skip to content

Faculty of Economics


Asset Pricing; Trading Volume; Bond Interest Rates

Title AuthorsYearJEL Codes
3-Party Covenant Financing of ‘Semi-Regulated’ Pumped Hydro AssetsSimshauser, P., Gohde, N.[2024]D52 D53 G12 L94 Q40
Non-Firm vs. Priority Access: on the Long Run Average and Marginal Cost of Renewables in AustraliaSimshauser, P., Newbery, D.[2023]D52 D53 G12 L94 Q40
On Static vs. Dynamic Line Ratings in Renewable Energy ZonesSimshauser, P.[2023]D52 D53 G12 L94 Q40
The regulation of electricity transmission in Australia’s National Electricity Market: user charges, investment and accessSimshauser, P.[2023]D52 D53 G12 L94. Q40
Green Transmission: Monetary Policy in the Age of ESGPatozi, A. [2023]E52 G12 G14 G30
Political markets as equity price factorsAuld, T.[2022]C38 C51 D72 G12 G14 G15
Betting and financial markets are cointegrated on election nightAuld, T.[2022]C51 D72 G12 G14 G15
Do consumption-based asset pricing models explain the dynamics of stock market returns?Ashby, M., Linton, O. B. [2022]C52 C58 G12
Specification Lasso and an Application in Financial MarketsDong, C. and Li, S.[2021]C14 G12
Testing and Modelling Time Series with Time Varying TailsPalumbo, D.[2021]C12 C18 C51 C52 C46 C58 G12
Modelling Demand for ESGAhmed, M. F., Gao, Y. and Satchell, S.[2020]G11 G12 G14 G23 G34
Common Short Selling and Excess Comovement: Evidence from a Sample of LSE StocksGeraci, M. V., Gnabo, J-Y. and Veredas, D. [2020]G11 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 CharacteristicsGe, S., Li, S. and Linton, O.[2020]C14 G11 G12
Text-Based Linkages and Local Risk Spillovers in the Equity MarketGe, S.[2020]C33 C58 G10 G12
A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching ModelGe, S.[2020]C10 C58 F36 G12 G15
Exchange Rate Risk and Business CyclesLloyd, S. P. and Marin, E. A. [2019]E43 F31 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 Corporate QE on Liquidity: Evidence from the UKBoneva, L., Elliott, D., Kaminska, I., Linton, O., McLaren, N. and 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 and EstimationEscanciano, 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

<< Back to CWPE Home | See all JEL Codes >>