Items where Research Group is "Finance Group

A

Ahmed, Shamim and Tsvetanov, Daniel (2016) The predictive performance of commodity futures risk factors. Journal of Banking & Finance, 71. pp. 20-36. ISSN 0378-4266

K

Kourtis, Apostolos (2016) The Sharpe ratio of estimated efficient portfolios. Finance Research Letters, 17. pp. 72-78. ISSN 1544-6123

Kourtis, Apostolos, Markellos, Raphael N. and Symeonidis, Lazaros (2016) An international comparison of implied, realized and GARCH volatility forecasts. Journal of Futures Markets, 36 (12). 1164–1193. ISSN 0270-7314

M

Markellos, Raphael N., Psychoyios, Dimitris and Schneider, Friedrich (2016) Sovereign debt markets in light of the shadow economy. European Journal of Operational Research, 252 (1). pp. 220-231. ISSN 0377-2217

P

Prokopczuk, Marcel, Symeonidis, Lazaros and Wese Simen, Chardin (2016) Do jumps matter for volatility forecasting? Evidence from energy markets. Journal of Futures Markets, 36 (8). pp. 758-792. ISSN 0270-7314

T

Tsvetanov, Daniel, Coakley, Jerry and Kellard, Neil (2016) Bubbling over! The behaviour of oil futures along the yield curve. Journal of Empirical Finance, 38 (Part B). pp. 516-533. ISSN 0927-5398

Tsvetanov, Daniel, Coakley, Jerry and Kellard, Neil (2016) Is news related to GDP growth a risk factor for commodity futures returns? Quantitative Finance, 16 (12). pp. 1887-1899. ISSN 1469-7688

Z

Zafeirakis, Dimitrios, Chalvatzis, Konstantinos ORCID: https://orcid.org/0000-0001-9829-7030, Baiocchi, Giovanni and Daskalakis, Georgios ORCID: https://orcid.org/0000-0003-4421-7167 (2016) The value of arbitrage for energy storage: evidence from European electricity markets. Applied Energy, 184. 971–986. ISSN 0306-2619