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Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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  1. 2024
  2. Published

    Statistical Inference with High-Frequency Financial Data: New Perspectives from Alternative Observation Schemes

    Yu, S., 26/07/2024, Lancaster University. 182 p.

    Research output: Thesis › Doctoral Thesis

  3. Published

    Generalized Disappointment Aversion and the Variance Term Structure

    Babiak, M., 30/06/2024, In: Journal of Financial and Quantitative Analysis. 59, 4, p. 1796-1820 24 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  4. Published

    On the Other Side of Hedge Fund Equity Trades

    Wang, G., Kolokolova, O. & Cui, X., 30/06/2024, In: Management Science. 70, 6, p. 3684-3710 27 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  5. Published

    Parametric Risk-Neutral Density Estimation via Finite Lognormal-Weibull Mixtures

    Li, Y., Nolte, I. & Pham, M., 30/04/2024, In: Journal of Econometrics. 241, 2, 105748.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  6. Published

    Transaction Cost-Optimized Equity Factors Around the World

    Basic, F., Lohre, H., Martin Utrera, A., Nolte, I. & Nolte, S., 1/04/2024, In: Journal of Portfolio Management. 50, 6, p. 40-73

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  7. Published

    Factor Timing with Portfolio Characteristics

    Kagkadis, A., Nolte, I., Nolte, S. & Vasilas, N., 31/03/2024, In: Review of Asset Pricing Studies. 14, 1, p. 84-118 35 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  8. Published

    Do Tourists stand by the Tourism Industry? Examining Solidarity During and After a Pandemic

    Kock, F., Assaf, A. G., Tsionas, M., Josiassen, A. & Karl, M., 1/03/2024, In: Journal of Travel Research. 63, 3, p. 696-712 17 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  9. Published

    Dynamic Effects of Corporate Taxation in Open Economy

    Cardi, O., Hoke, F. & Restout, R., 20/02/2024, Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  10. Published

    Bubbles and Crashes: A Tale of Quantiles

    Pavlidis, E., 18/01/2024, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  11. Published

    A generalized inefficiency model with input and output dependence

    Tsionas, M. G., 1/01/2024, In: European Journal of Operational Research. 312, 1, p. 315-323 9 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  12. Published

    The Value of Growth: Changes in Profitability and Future Stock Returns

    Wang, G., Yao, C., Sotes-Paladino, J. & Lim, B., 1/01/2024, In: Journal of Banking and Finance. 158, 52 p., 107036.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  13. Published

    Essays in Factor Investing

    Swade, A., 2024, Lancaster University. 149 p.

    Research output: Thesis › Doctoral Thesis

  14. 2023
  15. Published

    Endogenous uncertainty and the macroeconomic impact of shocks to inflation expectations

    Rossi, L., Fasani, S. & Grazzini, J., 30/11/2023, In: Journal of Monetary Economics. 140, Supplement, p. S48-S63

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  16. Published

    Factor Zoo (.zip)

    Swade, A., Hanauer, M., Lohre, H. & Blitz, D., 24/11/2023, In: Journal of Portfolio Management. 55, 3, p. 11-31 21 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  17. Published

    Bayesian learning in performance: Is there any?

    Tsionas, M. G., 16/11/2023, In: European Journal of Operational Research. 311, 1, p. 263-282 20 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  18. Published

    Dynamic linear models with adaptive discounting

    Yusupova, A., Pavlidis, N. & Pavlidis, E., 31/10/2023, In: International Journal of Forecasting. 39, 4, p. 1925-1944 20 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  19. Published

    THE EXPANSIONARY EFFECTS OF HOUSING CREDIT SUPPLY SHOCKS

    Miescu, M. S., Motta, G., Pontiggia, D. & Rossi, R., 17/10/2023, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  20. Published

    Sectoral Fiscal Multipliers and Technology in Open Economy

    Cardi, O. & Restout, R., 30/09/2023, In: Journal of International Economics. 144, 103789.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  21. Published

    Minimax regret priors for efficiency estimation

    Tsionas, M., 16/09/2023, In: European Journal of Operational Research. 309, 3, p. 1279-1285 7 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  22. Published

    Why Hours Worked Decline Less after Technology Shocks? 

    Cardi, O. & Restout, R., 6/09/2023, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  23. E-pub ahead of print

    ControversyBERT: Detecting Social Controversies and their Impact on Stock Returns

    Lohre, H., Nolte, S., Ranganathan, A., Rother, C. & Steiner, M., 26/07/2023, (E-pub ahead of print) In: Journal of Impact & ESG Investing.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  24. Published

    How can machine learning advance quantitative asset management

    Blitz, D., Hoogteijling, T., Lohre, H. & Messow, P., 20/07/2023, In: Journal of Portfolio Management. 49, 7, 18 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  25. Published

    Does Transport Infrastructure Benefit Gdp Growth?

    Bai, Y., Wang, S. & Zhang, H., 30/06/2023, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  26. Published

    Dynamic Network Data Envelopment Analysis with a sequential structure and behavioural-causal analysis: application to the Chinese banking industry

    Fukuyama, H., Tsionas, M. & Tan, Y., 16/06/2023, In: European Journal of Operational Research. 307, 3, p. 1360-1373 14 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  27. Published

    Joint production in Stochastic Non-Parametric Envelopment of Data with firm-specific directions

    Tsionas, M. G., 16/06/2023, In: European Journal of Operational Research. 307, 3, p. 1336-1347 12 p., 3.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

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