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Faculty of Economics


Asset Pricing; Trading Volume; Bond Interest Rates

Title AuthorsYearJEL Codes
Common Short Selling and Excess ComovementGeraci, M. V., Gnabo, J-Y. and Veredas, D.[2020]G12 G14
Nonparametric Euler Equation Identification and EstimationEscanciano, J C., Hoderlein, S., Lewbel, A., Linton, O., Srisuma, S.[2020]C14 D91 E21 G12
A Dynamic Network of Arbitrage CharacteristicsLi, S. and Linton, O.[2020]C14 G11 G12
Foreign Direct Investment as a Determinant of Cross-Country Stock Market ComovementAnagnostopoulos, A., Atesagaoglu, O., Faraglia, E., Giannitsarou, C.[2019]G15 F21 F23 G12 F44
Lessons from Australia’s National Electricity Market 1998-2018: the strengths and weaknesses of the reform experienceSimshauser, P.[2019]D52 D53 G12 L94 Q40
The Impact of QE on Liquidity: Evidence from the UK Corporate Bond Purchase SchemeBoneva, L., Elliott, D., Kaminska, I., Linton, O., McLaren, N., Morley, B.[2019]G12 G23 E52 E58
Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series InformationKoo, B., La Vecchia, D., Linton, O.[2019]C13 C14 C22 G12
On the impact of government-initiated CfD’s in Australia’s National Electricity MarketSimshauser, P.[2019]D52 D53 G12 L94 Q40
Debt Seniority and Sovereign Debt CrisesAri, A., Corsetti, G. and Dedola, L.[2018]F34 G12 H63
Unconventional Monetary Policy and the Interest Rate Channel: Signalling and Portfolio RebalancingLloyd, S. P.[2017]E32 E43 E44 E52 E58 G12 G14
Estimating Nominal Interest Rate Expectations: Overnight Indexed Swaps and the Term StructureLloyd, S. P.[2017]C32 C58 E43 E47 G12
Double-question Survey Measures for the Analysis of Financial Bubbles and CrashesPesaran, Hashem. and Johnsson. Ida.[2016]C83 D84 G12 G14
Spline-DCS for Forecasting Trade Volume in High-Frequency FinanceIto, R.[2016]C22 C51 C53 C58 G12
Nonparametric Euler Equation Identification andEstimationEscanciano, J. C., Hoderlein, S., Lewbel, A. and Linton, O.[2015]C14 D91 E21 G12
An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market PredictabilityHong, S. Y., Linton, O. and Zhang, H. J.[2015]C10 C32 G10 G12
Multivariate Variance Ratio StatisticsHong, S. Y., Linton, O. and Zhang , H. J.[2014]C10 C32 G10 G12
Modeling Dynamic Diurnal Patterns in High-Frequency Financial DataIto, R.[2013]C22 C51 C53 C58 G01 G12
Testing CAPM with a Large Number of Assets (Updated 28th March 2012)Pesaran, M. and Yamagata, T.[2012]C12 C15 C23 G11 G12
Predictability of Asset Returns and the Efficient Market HypothesisPesaran, M. H.[2010]G12 G14

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