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Introductory Econometrics for Finance

Citations

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Cited by:

  1. Eleodor-Alin MIHAI & Corina-Florentina SCARLAT (MIHAI), 2020. "Econometric Models for Quantifying the Impact of Macroeconomic Variables on the Configuration of Banking Assets and Liabilities," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, vol. 1(22), pages 64-80, November.
  2. Milan Christian de Wet, 2021. "Modelling the Australasian Financial Cycle: A Markov-Regime Switching Approach," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 14(1), pages 69-79, June.
  3. Ion Santra, 2022. "Effect of tax dynamics on linearly growing processes under stochastic resetting: a possible economic model," Papers 2202.13713, arXiv.org.
  4. Preeti Sharma & Priyanka Panday & R. C. Dangwal, 2020. "Determinants of environmental, social and corporate governance (ESG) disclosure: a study of Indian companies," International Journal of Disclosure and Governance, Palgrave Macmillan, vol. 17(4), pages 208-217, December.
  5. Olatunji A. Shobande & Simplice A. Asongu, 2022. "Searching for Sustainable Footprints: Does ICT increase CO2 emissions?," Working Papers 22/062, European Xtramile Centre of African Studies (EXCAS).
  6. Vishal Roy & Twinkle Jaiswal & Amit Gautam, 2024. "Assessing risk profiles of ESG portfolios in global financial markets," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 51(2), pages 183-194, June.
  7. Avraham Turgeman & Claudiu Botoc & Marilen Pirtea & Octavian Jude, 0000. "Modelling Intraday Realized Volatility: The Role Of Vix, Oil And Gold," Proceedings of Economics and Finance Conferences 14115804, International Institute of Social and Economic Sciences.
  8. Shobande, Olatunji A. & Asongu, Simplice A., 2022. "The Critical Role of Education and ICT in Promoting Environmental Sustainability in Eastern and Southern Africa: A Panel VAR Approach," Technological Forecasting and Social Change, Elsevier, vol. 176(C).
  9. Gunay, Samet & Kaskaloglu, Kerem, 2022. "Does utilizing smart contracts induce a financial connectedness between Ethereum and non-fungible tokens?," Research in International Business and Finance, Elsevier, vol. 63(C).
  10. Thomas Habanabakize & Daniel Francois Meyer & Judit Oláh, 2019. "The Impact of Productivity, Investment and Real Wages on Employment Absorption Rate in South Africa," Social Sciences, MDPI, vol. 8(12), pages 1-15, December.
  11. Samet Gunay & Walid Bakry & Somar Al-Mohamad, 2021. "The Australian Stock Market’s Reaction to the First Wave of the COVID-19 Pandemic and Black Summer Bushfires: A Sectoral Analysis," JRFM, MDPI, vol. 14(4), pages 1-19, April.
  12. Ramón Valencia-Romero & José C. Trejo-García & Humberto Ríos-Bolívar, 2023. "Wheat Import Demand in Mexico: Evidence of Quantile Cointegration," Agriculture, MDPI, vol. 13(5), pages 1-19, April.
  13. Brooks, Chris & Williams, Louis, 2022. "When it comes to the crunch: Retail investor decision-making during periods of market volatility," International Review of Financial Analysis, Elsevier, vol. 80(C).
  14. Haydory Akbar Ahmed, 2020. "Monetary base and federal government debt in the long‐run: A non‐linear analysis," Bulletin of Economic Research, Wiley Blackwell, vol. 72(2), pages 167-184, April.
  15. Muhammad Mar’i & Turgut Tursoy, 2021. "Exchange Rate Dependency Between Emerging Countries-Case of Black Sea Countries," Capital Markets Review, Malaysian Finance Association, vol. 29(2), pages 43-54.
  16. Frode Kjærland & Ane Tolnes Haugdal & Anna Søndergaard & Anne Vågslid, 2020. "Corporate Governance and Earnings Management in a Nordic Perspective: Evidence from the Oslo Stock Exchange," JRFM, MDPI, vol. 13(11), pages 1-18, October.
  17. Lars Lien Ankile & Kjartan Krange, 2022. "Deep Learning and Linear Programming for Automated Ensemble Forecasting and Interpretation," Papers 2201.00426, arXiv.org, revised Nov 2022.
  18. Evangelos Vasileiou, 2022. "Inaccurate Value at Risk Estimations: Bad Modeling or Inappropriate Data?," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1155-1171, March.
  19. Okotori, Tonprebofa & Ayunku, Peter, 2020. "Banking Reforms and Deposit Money Banks Profitability in Nigeria," MPRA Paper 102389, University Library of Munich, Germany.
  20. Gunay, Samet, 2020. "Seeking causality between liquidity risk and credit risk: TED-OIS spreads and CDS indexes," Research in International Business and Finance, Elsevier, vol. 52(C).
  21. Muhammad Mar’I & Mehdi Seraj & Turgut Tursoy, 2023. "The Role of Fiscal Policy in G20 Countries in the Context of the Environmental Kuznets Curve Hypothesis," Energies, MDPI, vol. 16(5), pages 1-16, February.
  22. Leiv Opstad & Randi Hammervold & Johannes Idsø, 2021. "The Influence of Income and Currency Changes on Tourist Inflow to Norwegian Campsites: The Case of Swedish and German Visitors," Economies, MDPI, vol. 9(3), pages 1-13, July.
  23. Milan Christian Wet & Ilse Botha, 2022. "Constructing and Characterising the Aggregate South African Financial Cycle: A Markov Regime-Switching Approach," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(1), pages 37-67, March.
  24. Olatunji Abdul Shobande & Joseph Onuche Enemona, 2021. "A Multivariate VAR Model for Evaluating Sustainable Finance and Natural Resource Curse in West Africa: Evidence from Nigeria and Ghana," Sustainability, MDPI, vol. 13(5), pages 1-15, March.
  25. Bongumusa Prince Makhoba & Irrshad Kaseeram, 2019. "The Contribution of Foreign Direct Investment (FDI) To Domestic Employment Levels in South Africa: A Vector Autoregressive Approach," Journal of Economics and Behavioral Studies, AMH International, vol. 11(1), pages 110-121.
  26. Victor Chung Alva, 2021. "Modelación de la Volatilidad del Tipo de Cambio del Dólar en el Perú: Aplicación de los Modelos GARCH y EGARCH," Revista de Análisis Económico y Financiero, Universidad de San Martín de Porres, vol. 4(02), pages 07-12.
  27. Siew − Peng Lee, 2021. "Environmental responsibility, CEO power and financial performance in the energy sector," Review of Managerial Science, Springer, vol. 15(8), pages 2407-2426, November.
  28. Max Resende & Alexandre Ferreira, 2021. "A machine learning approach to risk disclosure reporting," Economics Bulletin, AccessEcon, vol. 41(2), pages 234-251.
  29. Nana Guo & Anselm B. M. Fuermaier & Janneke Koerts & Bernhard W. Mueller & Christian Mette & Lara Tucha & Norbert Scherbaum & Oliver Tucha, 2021. "The Role of Self- and Informant-Reports on Symptoms and Impairments in the Clinical Evaluation of Adult ADHD," Sustainability, MDPI, vol. 13(8), pages 1-16, April.
  30. Lorraine Muguto & Paul-Francois Muzindutsi, 2022. "A Comparative Analysis of the Nature of Stock Return Volatility in BRICS and G7 Markets," JRFM, MDPI, vol. 15(2), pages 1-27, February.
  31. Aziz Ullah & He Biao & Assad Ullah, 2024. "Unveiling the Nexus Between Crises, Investor Sentiment, and Volatility of Tourism-Related Stocks: Empirical Findings From Pakistan," SAGE Open, , vol. 14(3), pages 21582440241, August.
  32. Elham Shubaita & Muhammad Mar’i & Mehdi Seraj, 2020. "Investigating in the J-curve phenomenon in Tunisia- ARDL bound test approach," Journal of Economics and Behavioral Studies, AMH International, vol. 12(5), pages 23-32.
  33. Surbhi Mishra & Dukhabandhu Sahoo & Souryabrata Mohapatra, 2024. "Mapping Structural Break and Sectoral Movement on Female Employment in India Since 1991," The Indian Journal of Labour Economics, Springer;The Indian Society of Labour Economics (ISLE), vol. 67(3), pages 731-750, September.
  34. Caroline Michere Ndei & Stephen Muchina & Kennedy Waweru, 2019. "Modeling stock market return volatility in the presence of structural breaks: Evidence from Nairobi Securities Exchange, Kenya," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 8(5), pages 156-171, September.
  35. Koray Yıldırım & Neşe Algan & Harun Bal, 2024. "Investment Hysteresis: An Empirical Essay Turkish Case," Evaluation Review, , vol. 48(1), pages 143-176, February.
  36. Brooks, Chris & Williams, Louis, 2021. "The impact of personality traits on attitude to financial risk," Research in International Business and Finance, Elsevier, vol. 58(C).
  37. Sikarwar, Ekta, 2020. "Forex interventions and exchange rate exposure: Evidence from emerging market firms," Economic Modelling, Elsevier, vol. 93(C), pages 69-81.
  38. Yasir Alsaedi & Gurudeo Anand Tularam & Victor Wong, 2020. "Impact of Solar and Wind Prices on the Integrated Global Electricity Spot and Options Markets: A Time Series Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 10(2), pages 337-353.
  39. Yu-lin Huang & Wei Lin, 2010. "Does debt structure matter? Estimating contractor default barrier by the down-and-out call option approach," Construction Management and Economics, Taylor & Francis Journals, vol. 28(9), pages 947-958.
  40. Seyedeh Fatemeh Razmi & Leila Torki & Seyed Mohammad Javad Razmi & Ehsan Mohaghegh Dowlatabadi, 2022. "The Indirect Effects of Oil Price on Consumption through Assets," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 236-242.
  41. Abdi, Farshid & Kormanyos, Emily & Pelizzon, Loriana & Getmansky, Mila & Simon, Zorka, 2021. "Market impact of government communication: The case of presidential tweets," SAFE Working Paper Series 314, Leibniz Institute for Financial Research SAFE, revised 2021.
  42. Liang Zhu & Lingxue Zhan & Shaobo (Kevin) Li, 2021. "Is sustainable development reasonable for tourism destinations? An empirical study of the relationship between environmental competitiveness and tourism growth," Sustainable Development, John Wiley & Sons, Ltd., vol. 29(1), pages 66-78, January.
  43. Hossein Tarighi & Zeynab Nourbakhsh Hosseiny & Mohammad Reza Abbaszadeh & Grzegorz Zimon & Darya Haghighat, 2022. "How Do Financial Distress Risk and Related Party Transactions Affect Financial Reporting Quality? Empirical Evidence from Iran," Risks, MDPI, vol. 10(3), pages 1-23, February.
  44. Tuna, Gulcay & Almahadin, Hamed Ahmad, 2021. "Does interest rate and its volatility affect banking sector development? Empirical evidence from emerging market economies," Research in International Business and Finance, Elsevier, vol. 58(C).
  45. Rajesh Elangovan & Francis Gnanasekar Irudayasamy & Satyanarayana Parayitam, 2022. "Month-of-the-Year Effect: Empirical Evidence from Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(3), pages 449-476, September.
  46. Natalia Porto & Matías Ciaschi, 2021. "Reformulating the tourism-extended environmental Kuznets curve: A quantile regression analysis under environmental legal conditions," Tourism Economics, , vol. 27(5), pages 991-1014, August.
  47. Loc Dong Truong & H. Swint Friday, 2021. "The Impact of the Introduction of Index Futures on the Daily Returns Anomaly in the Ho Chi Minh Stock Exchange," IJFS, MDPI, vol. 9(3), pages 1-14, August.
  48. Edson VENGESAI & Adefemi A. OBALADE & Paul-Francois MUZINDUTSI, 2021. "Country Risk Dynamics and Stock Market Volatility: Evidence from the JSE Cross-Sector Analysis," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 5(2), pages 63-84.
  49. B M, Lithin & chakraborty, Suman & iyer, Vishwanathan & M N, Nikhil & ledwani, Sanket, 2022. "Modeling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India," MPRA Paper 117067, University Library of Munich, Germany, revised 05 Jan 2023.
  50. Murat Akkaya, 2021. "An Analysis of the Stock Market Volatility Spread in Emerging Countries," Istanbul Business Research, Istanbul University Business School, vol. 50(2), pages 215-233, November.
  51. Jose Barrales‐Ruiz & Ivan Mendieta‐Muñoz & Codrina Rada & Daniele Tavani & Rudiger von Arnim, 2022. "The distributive cycle: Evidence and current debates," Journal of Economic Surveys, Wiley Blackwell, vol. 36(2), pages 468-503, April.
  52. Michele Azzone & Roberto Baviera & Pietro Manzoni, 2024. "The puzzle of Carbon Allowance spread," Papers 2405.12982, arXiv.org.
  53. Anwar, Yunita & Mulyadi, Martin Surya, 2009. "The day of the week effects in Indonesia, Singapore, and Malaysia stock market," MPRA Paper 16873, University Library of Munich, Germany.
  54. I Ketut Suyasa & Adler Haymans Manurung & Jhonni Sinaga & Amran Manurung, 2023. "Determinants of Bank Management Confidence Level in Indonesia moderated by Bank Scale," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(3), pages 1-7.
  55. Javad Shaabani & Ali Akbar Jafari, 2020. "A New Look to Three-Factor Fama-French Regression Model using Sample Innovations," Papers 2006.02467, arXiv.org.
  56. William Miles, 2020. "The Dynamics of House Prices and Income in the UK," International Real Estate Review, Global Social Science Institute, vol. 23(3), pages 397-416.
  57. Axelsson, Birger & Song, Han-Suck, 2023. "Univariate Forecasting for REITs with Deep Learning: A Comparative Analysis with an ARIMA Model," Working Paper Series 23/10, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance, revised 14 Nov 2023.
  58. Victor O. Abegunde & Melusi Sibanda & Ajuruchukwu Obi, 2019. "Determinants of the Adoption of Climate-Smart Agricultural Practices by Small-Scale Farming Households in King Cetshwayo District Municipality, South Africa," Sustainability, MDPI, vol. 12(1), pages 1-27, December.
  59. Caroline Michere Ndei & Stephen Muchina & Kennedy Waweru, 2019. "Equity Unit Trust Funds Flow and Stock Market Returns: Evidence from Kenya," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 8(1), pages 21-36, January.
  60. Joanne M. Moyer & Adeeba A. Raheem, 2020. "Study of Past and Future Spatiotemporal Patterns and Impact on Electricity Consumption for Sustainable Planning: A Case Study of El Paso, Texas," Sustainability, MDPI, vol. 12(20), pages 1-23, October.
  61. Landajo, Manuel & Presno, María José, 2010. "Nonparametric pseudo-Lagrange multiplier stationarity testing," MPRA Paper 25659, University Library of Munich, Germany.
  62. Adefemi A. OBALADE & Akona TSHUTSHA & Lungelo MVUYANA & Nothando NDLOVU & Paul-Francois MUZINDUTSI, 2022. "Are Frontier African Markets Inefficient or Adaptive? Application of Rolling GARCH Models," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 6(1), pages 19-35.
  63. Nada Milenković & Branimir Kalaš & Vera Mirović & Jelena Andrašić, 2024. "Static and Dynamic Modeling of Non-Performing Loan Determinants in the Eurozone," Mathematics, MDPI, vol. 12(21), pages 1-21, October.
  64. Fahd Al-Shaghdari & Barjoyai Bardai, 2020. "The Impact of Bank Characteristics and Macroeconomic Variables on the Islamic Commercial Banks Financial Performances: Case of Indonesia," International Journal of Research and Scientific Innovation, International Journal of Research and Scientific Innovation (IJRSI), vol. 7(10), pages 16-21, October.
  65. Polyxeni Kechagia & Theodore Metaxas, 2022. "FDI and Institutions in BRIC and CIVETS Countries: An Empirical Investigation," Economies, MDPI, vol. 10(4), pages 1-23, March.
  66. Ruqayya Aljifri, 2020. "The Macroeconomy, Oil and the Stock Market: A Multiple Equation Time Series Analysis of Saudi Arabia," Economics Discussion Papers em-dp2020-27, Department of Economics, University of Reading.
  67. Shobande Olatunji Abdul & Shodipe Oladimeji Tomiwa, 2020. "Re-Evaluation of World Population Figures: Politics and Forecasting Mechanics," Economics and Business, Sciendo, vol. 34(1), pages 104-125, February.
  68. Arpita Sharma & Shailesh Rastogi, 2021. "Impact of Efficiency on Voluntary Disclosure of Non-Banking Financial Company—Microfinance Institutions in India," JRFM, MDPI, vol. 14(7), pages 1-21, June.
  69. Zericho R. Marak & Deepa Pillai, 2021. "Relationship Between International Factoring and Cross-border Trade: A Granger Causality Approach," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 15(3), pages 320-337, August.
  70. Rodrigo A. Morales Fernández Rafaelly & Roberto J. Santillán-Salgado, 2021. "Oil price effect on sectoral stock returns: A conditional covariance and correlation approach for Mexico," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-15, Enero - M.
  71. Chuku, Chuku & Effiong, Ekpeno & Sam, Ndifreke, 2010. "Oil price distortions and their short- and long-run impacts on the Nigerian economy," MPRA Paper 24434, University Library of Munich, Germany.
  72. Ahmed M. Khedr & Ifra Arif & Pravija Raj P V & Magdi El‐Bannany & Saadat M. Alhashmi & Meenu Sreedharan, 2021. "Cryptocurrency price prediction using traditional statistical and machine‐learning techniques: A survey," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 28(1), pages 3-34, January.
  73. Joanna Olbryś & Elżbieta Majewska, 2020. "Assessing Commonality in Liquidity with Principal Component Analysis: The Case of the Warsaw Stock Exchange," JRFM, MDPI, vol. 13(12), pages 1-13, December.
  74. William Miles, 2020. "The Dynamics of House Prices and Income in the UK," International Real Estate Review, Global Social Science Institute, vol. 23(3), pages 1023-1042.
  75. Bao Cong Nguyen To & Tam Van Thien Nguyen & Nham Thi Hong Nguyen & Hoai Thu Ho, 2022. "Responses of the International Bond Markets to COVID-19 Containment Measures," JRFM, MDPI, vol. 15(3), pages 1-11, March.
  76. Frimpong, Joseph Magnus & Oteng-Abayie, Eric Fosu, 2006. "Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models," MPRA Paper 593, University Library of Munich, Germany, revised 07 Oct 2006.
  77. Ahmed Muhamad Omer & Mehmet Yeşiltaş, 2020. "“Modeling the impact of wars and terrorism on tourism demand in Kurdistan region of Iraq”," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 19(3), pages 301-322, September.
  78. Manu Viorica Madalina, 2021. "Sailing in the Storm in 2020, The Business to Consumer Case," International Journal of Management Science and Business Administration, Inovatus Services Ltd., vol. 7(2), pages 20-27, January.
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