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Publications

A full list of publications by members of the group can be found be visiting individual staff profiles

Publications by staff in this group

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  • Chau, F., Lau, M. & Su, Y. (2013). Commodity Futures and Strategic Asset Allocation. In Alternative Investments: Instruments, Performance, Benchmarks, and Strategies. John Wiley & Sons. 399-418.
  • Calice, G., Chen, J. & Williams, J. (2013). Liquidity Spillovers in Credit Markets During the Eurozone Crisis. In Financial Crisis Containment and Government Guarantees. LaBrosse, J.R., Olivares-Caminal, R. & Singh, D. Edward Elgar Publishing.
  • Ioannidis, C., Pym, D. & Williams, J. (2013). Fixed Costs, Investment Rigidities, and Risk Aversion in Information Security: A Utility-theoretic Approach. In Economics of Information Security and Privacy III. Schneier, B. New York: Springer Verlag. III: 171-192.
  • Philip, D. (2012). Modelling volatility and correlations in financial time series. In Introductory Econometrics – A Practical Approach. Seddighi, H.R. Routledge.
  • Zhang, Z., Chau, F. & Shi, N. (2012). A curious Partnership in Global Imbalances: China’s Continual Accumulation of US Treasuries. In China's Role in Global Economic Recovery. Fu, X Routledge. 18-40.
  • Journal Article

  • Song, X. & Taamouti, A. (2018). Measuring Nonlinear Granger Causality in Mean. Journal of Business and Economics Statistics 36(2): 321-333.
  • Bogoev, D. & Karam, A. (2017). Detection of algorithmic trading.. Physica A: Statistical Mechanics and its Applications 484: 168-181.
  • Karam, A. (2017). The effects of intraday news flow on market liquidity, price volatility and trading activity.. Economics Bulletin 37(4): 2354-2363.
  • Ramos, S.B., Taamouti, A., Veiga, H. & Wang, C.-W. (2017). Do investors price industry risk? Evidence from the cross-section of the oil industry.. Journal of Energy Markets 10(1): 79-108.
  • Han, C. & Taamouti, A. (2017). Partial Structural Break Identi fication.. Oxford Bulletin of Economics and Statistics 79(2): 145-164.
  • Belalia, M., Bouezmarni, T., Lemyre, F.C. & Taamouti, A. (2017). Testing Independence Based on Bernstein Empirical Copula and Copula Density.. Journal of Nonparametric Statistics 29(2): 346-380.
  • Buckle, M., Chen, J. & Williams, J. (2016). Realised higher moments theory and practice.. European journal of finance 22(13): 1272-1291.
  • Gomes, P. & Taamouti, A. (2016). In search of the determinants of European asset market comovements.. International Review of Economics and Finance 44: 103-117.
  • Taamouti, A. (2015). Stock Market's Reaction to Money Supply: Nonparametric Analysis.. Studies in Nonlinear Dynamics and Econometrics 19(5): 669-689.
  • Buckland, R., Williams, J. & Beecher, J. (2015). Risk and regulation in water utilities a cross-country comparison of evidence from the CAPM.. Journal of regulatory economics 47(2): 117-145.
  • Malagon, J., Moreno, D. & Rodríguez, R. (2015). Time Horizon Trading and the Idiosyncratic Risk Puzzle. Quantitative Finance 15(2): 327-343.
  • Harris, T. (2015). Credit scoring using the clustered support vector machine.. Expert Systems with Applications 42(2): 741-750.
  • Taamouti, A. (2015). Finite-Sample Sign-Based Inference in Linear and Nonlinear Regression Models with Applications in Finance. L'actualité économique: revue d'analyse économique 91(1-2): 89-113.
  • Taamouti, A., Bouezmarni, T. & El Gouch, A. (2014). Nonparametric estimation and inference for conditional density based Granger causality measures.. Journal of Econometrics 180(2): 251-264.
  • Banerjee, A. & Banik, N. (2014). Is India Shining? . Review of Development Economics 18(1): 59-72.
  • Taamouti, A., Feunou, B., Fontaine, J-S. & Tédongap, R. (2014). The Equity Premium, the Variance Premium and the Maturity Structure of Uncertainty. Review of Finance 18: 219-269.
  • Buckle, M., Chen, J. & Williams, J. (2014). How predictable are equity covariance matrices? Evidence from high frequency data for four markets. Journal of Forecasting 33(7): 542-557.
  • Bouezmarni, T. & Taamouti, A. (2014). Nonparametric Tests for Conditional Independence Using Conditional Distribution. . Journal of Nonparametric Statistics 26(4): 697-719.
  • Afonso, A., Gomes, P. & Taamouti, A. (2014). Sovereign Credit Ratings and Financial Markets Volatility.. Computational Statistics and Data Analysis 76: 20-33.
  • Chau, F., Deesomsak, R. & Wang, J. (2014). Political Uncertainty and Stock Market Volatility in the Middle East and North African (MENA) Countries.. Journal of International Financial Markets, Institutions and Money 28: 1-19.
  • Feunou, B., Fontaine, J.S., Taamouti, A. & Tédongap, R. (2014). Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty. Review of Finance 18(1): 219-269.
  • Luque, J. & Taamouti, A. (2014). Did the Euro Change the Effect of Fundamentals on Economic Uncertainty?. The B.E. Journal of Macroeconomics 14(1): 625-660.
  • Calice, G., Chen, J. & Williams, J. (2013). Liquidity spillovers in sovereign bond and CDS markets: An analysis of the Eurozone sovereign debt crisis. Journal of Economic Behavior & Organization 85: 122-143.
  • Hung, C.D. & Banerjee, A. (2013). Active Momentum Trading versus Passive "1/N Naive Diversification. Quantitative Finance 13(5): 655-663.
  • Harris, T. (2013). Quantitative credit risk assessment using support vector machines: broad versus narrow default definitions. Expert Systems with Applications 40(11): 4404-4413.
  • Calice, G., Chen, J. & Williams, J. (2013). Are there benefits to being naked? The returns and diversification impact of capital structure arbitrage. The European Journal of Finance 19(9): 815-840.
  • Chau, F., Dosmukhambetova, G. & Kallinterakis, V. (2013). International Financial Reporting Standards and Noise Trading: Evidence from Central and Eastern European Countries.. Journal of Applied Accounting Research 14(1): 37-53.
  • Zhang, Z., Chau, F. & Zhang, W. (2013). Exchange Rate Determination and Dynamics in China: A Market Microstructure Analysis. . International Review of Financial Analysis 29: 303-316.
  • Zhang, Z., Chau, F. & Li, X. (2013). Accumulation of Large Foreign Reserves in China: A Behavioural Perspective. Economic Change and Restructuring 46(1): 85-108.
  • Banerjee, A. (2013). Sensitivity of detrended long-memory processes. Communications in Statistics: Theory and Methods 42(20): 3770-3780.
  • Bouaddi, M. & Taamouti, A. (2013). Portfolio Selection in a Data-Rich Environment.. Journal of Economic Dynamics and Control 37(12): 2943-2962.
  • Damianov, D.S. & Pagan, J.A. (2013). Health Insurance Coverage, Income Distribution and Healthcare Quality in Local Healthcare Markets. Health Economics 22(8): 987-1002.
  • Bouezmarni, T., El Gouch, A. & Taamouti, A. (2013). Bernstein estimator for unbounded copula densities.. Statistics & Risk Modeling 30(4): 343-360.
  • Taamouti, A. (2012). Moments of Multivariate Regime Switching with Application to Risk-Return Trade-Off. Journal of Empirical Finance 19(2): 292-308.
  • Calice, G., Ionnadis, C. & Williams, J. (2012). Credit Derivatives and the Default Risk of Large Complex Financial Institutions. Journal of Financial Services Research 42(1-2): 85-107.
  • Banerjee, A. (2012). Discriminating short and long memory in finite samples using sensitivity analysis: an application to growth convergence. Bulletin of economic research 64(s1): 168-192.
  • Taamouti, A., Dufour, J-M. & Garcia, R. (2012). Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility. Journal of Financial Econometrics 10(1): 124-163.
  • Bouezmarni, T., Rombouts, J.V.K. & Taamouti, A. (2012). A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality. Journal of Business & Economic Statistics 30(2): 275-287.
  • McMillan, D.G. & Philip, D. (2012). Short-sale constraints and efficiency of the spot-futures dynamics. International Review of Financial Analysis 24: 129-136.
  • Suvankulov, F., Lau, M. & Chau, F. (2012). Job search on the Internet and its outcome. Internet Research 22(3): 298-317.
  • Damianov, D.S. (2012). Seller Competition by Mechanism Design. Economic Theory 51(1): 105-137.
  • Ioannidis, C., Pym, D. & Williams, J. (2012). Information Security Trade-offs and Optimal Patching Policies. European Journal of Operational Research 216(2): 434-444.
  • Taamouti, A. & Bouaddi, M. (2012). Portfolio Risk Management in a Data-Rich Environment. Financial Markets and Portfolio Management 26(4): 469-494.
  • Lau, M., Suvankulov, F., Su, Y. & Chau, F. (2012). Some Cautions on the Use of Nonlinear Panel Unit Root Tests: Evidence from a Modified Series-specific Non-linear Panel Unit-root Test. Economic Modelling 29(3): 810–816.
  • Damianov, D.S. & Sanders, S. (2012). Why Don't You Two Get a Room? A Puzzle and Pricing Model of Extra Services in Hotels. Journal of Industrial Organization Education 6(1): 1035.
  • Taamouti, A., Tsafack, G. & Amira, K. (2011). What Drives International Equity Correlations? Volatility or Market Direction? Journal of International Money and Finance 30(6): 1234-1263.
  • Williams, J. & Ioannidis, C. (2011). Multivariate Asset Price Dynamics with Stochastic Covariation. Quantitative Finance 11(1): 125-134.
  • Damianov, D.S. & Sanders, S. (2011). Status Spending Races, Cooperative Consumption, and Voluntary Public Income Disclosure: A Classroom Experiment. International Review of Economic Education 10(1): 29-53
  • Damianov, D.S. (2011). A Classroom Experiment on Status Goods and Consumer Choice. Journal of Economics and Finance Education 10(1): 1-13.
  • Calafiore, P. & Damianov, D.S. (2011). The Effect of Time Spent Online on Student Achievement in Economics and Finance Online Courses. Journal of Economic Education 42(3): 209-223.
  • Chau, F., Deesomsak, R. & Lau, M. (2011). Investor Sentiment and Feedback Trading: Evidence from the Exchange-Traded Fund Markets.. International Review of Financial Analysis 20(5): 292-305.
  • Banerjee, A. & Hung, C.-H. (2011). Informed Momentum Trading versus Uninformed "Naive" Investors Strategies.. Journal of Banking and Finance 35(11): 3077-3089.
  • Chen, J., Buckland, R. & Williams, J. (2011). Regulatory Changes, Market Integration and Spillover Effects in the Chinese A, B and Hong Kong Equity Markets. Pacific-Basin Finance Journal 19(4): 351-373.
  • Taamouti, A. & Dufour, J-M. (2010). Short and Long Run Causality Measures: Theory and Inference. Journal of Econometrics 154(1): 42-58.
  • Taamouti, A. Roy, R. & Bouezmarni, T. (2010). Asymptotic and Small Sample Properties of Conditional-Distribution-based Tests for Conditional. Proceedings of the Business and Economic Statistics Section of the American Statistical Association 1436-1447.
  • Damianov, D.S. & Becker, J.G. (2010). Auctions with Variable Supply: Uniform Price versus Discriminatory. European Economic Review 54(4): 571-593
  • Bouezmarn, T., Rombouts, Jeroen V.K. & Taamouti, A. (2010). Asymptotic properties of the Bernstein density copula estimator for α-mixing data. Journal of Multivariate Analysis 101(1): 1-10.
  • Damianov, D.S., Oechssler, J. & Becker, J.G. (2010). Uniform vs. Discriminatory Auctions with Variable Supply—Experimental Evidence. Games and Economic Behavior 68(1): 60-76.
  • Taamouti, A. & Dufour, J-M. (2010). Exact Optimal and Adaptive Inference in Linear and Nonlinear Models under Heteroskedasticity and Non-Normality of Unknown Forms. Journal of Computational Statistics and Data Analysis 54(11): 2532-2553.
  • Taamouti, A. (2009). Analytical Value-at-Risk and Expected Shortfall under Regime Switching. Finance Research Letters 6(3): 138-151.
  • Taamouti, A. & Dufour, J-M. (2006). Nonparametric Short and Long Run Causality Measures. Proceedings of the Business and Economic Statistics Section of the American Statistical Association 3986-3992.