Da Fonseca. J. and Zaatour, R. (2016). Correlation and Lead-Lag Relationships in a Hawkes Microstructure Model, forthcoming Journal of Futures Markets. DOI: 10.1002/fut.21800
Da Fonseca, J. (2016). On Moment Non-Explosions for Wishart-Based Stochastic Volatility Models, European Journal of Operational Research, Volume 254, Issue 3, 889-894. DOI: 10.1016/j.ejor.2016.04.042
Da Fonseca, J., Ignatieva, K., and Ziveyi, J. (2016). Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market, Energy Economics, Volume 56, 215-228. DOI: 10.1016/j.eneco.2016.03.022
Da Fonseca, J. and Martini, C. (2016). The alpha-Hypergeometric Stochastic Volatility Model, Stochastic Processes and their Applications, 126(5), 1472-1502. DOI: 10.1016/j.spa.2015.11.010
Dodd, O. and Gilbert, A. (2016). The Impact of Cross-listing on the Home Market’s Information Environment and Stock Price Efficiency. The Financial Review, forthcoming.
Fernandez-Perez, A., Brooks, C., Miffre, J., and Nneji, O. (2016). Commodity Risk Factors and the Cross-Section of Equity Returns, The British Accounting Review, Vol. 48, pp 134-150.
Fernandez-Perez, A., Fuertes A.M. and Miffre, J. (2016) Commodity Markets, Long-Horizon Predictability and Intertemporal Pricing, Review of Finance, forthcoming.
Fernandez-Perez, A., Frijns, B. and Tourani-Rad, A. (2016). Contemporaneous interactions among fuel, biofuel and agricultural commodities, Energy Economics 58, 1–10.
Fernandez-Perez, A., Frijns, B. and Tourani-Rad, A. (2016). When No News is Good News – The decrease in Investor Fear after the FOMC announcement, Journal of Empirical Finance, forthcoming.
Fernandez-Perez, A., Fuertes A.-M. and Miffre, J. (2016). Is Idiosyncratic Volatility Priced in Commodity Futures Markets? International Review of Financial Analysis, 46, 219–226.
Frijns, B., Dodd, O. and Cimerova, H. (2016). The Impact of Cultural Diversity in Corporate Boards on Firm Performance, Journal of Corporate Finance, forthcoming.
Frijns, B. and Indriawan, I. (2016). Behavioural heterogeneity in the New Zealand Stock Market, New Zealand Economic Papers, forthcoming.
Frijns, B., Gilbert, A. and Zwinkels, R.C.J. (2016). On the Style-based Feedback Trading of Mutual Fund Managers, Journal of Financial and Quantitative Analysis 51, 771-800.
Frijns, B., Finta, M. and Tourani-Rad, A. (2016). Contemporaneous Spillover Effects between the US and the UK Equity Markets, Financial Review, forthcoming.
Frijns, B. and Tourani-Rad, A. (2016). The Long-Run Performance of the New Zealand Stock Markets: 1899-2013, Pacific Accounting Review 28, 59-70.
Knif, J. and Högholm, K. (2016). Short Term Announcement Returns for the Bidder European Journal of Economics and Management, Vol. 3 No. 2, 29-57
Lehnert, T. (2016). Mutual Funds, Price Pressure and Index Options”, 2016, Journal of Derivatives, 24 (1), 30–46.
Lehnert, T., Kräussl, R. and Senulyte, S. (2016). Euro Crash Risk, Journal of Empirical Finance, 38, 417-428.
Lehnert, T., Lin, Y. and Martelin, N. (2016). Stein’s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior?, Journal of Derivatives, 23 (3), 22-35.
Lehnert, T., Kräussl, R. and Stefanova, D. (2016). The European Sovereign Debt Crisis: What have we learned?”, Journal of Empirical Finance, 38, 363-373.
Lehnert, T., Kräussl, R. and Martelin, N. (2016). Is there a bubble in the art market?”, Journal of Empirical Finance, 35, 99-109.
Webb, R.I., Frino, A. and Mollica, A. (2016). The Impact of Latency Sensitive Trading on High Frequency Arbitrage Opportunities,” Pacific Basin Finance Journal, forthcoming 2017.
Webb, R.I., Ryu, D. and Han, J. (2016). The Price Impact of Futures Trades and their Intraday Seasonality, Emerging Markets Review, Vol. 26, pp. 80-98.---SSCI
Webb, R.I. (2016). Recent Advances in the Literature: Asia Pacific Derivatives Markets, Asia Pacific Journal of Financial Studies, Vol. 45, No. 1, February, pp.34-47.--SSCI
Webb, R.I., Ryu, D. and Song, W. (2016). Overseas market shocks and VKOSPI dynamics: A Markov-switching approach,” Finance Research Letters, Vol. 16, February, pp. 275-282.--SSCI
Webb, R.I., Frijns, B. and Tourani-Rad, A. (2016). On the Intraday Relation between the VIX and its Futures,” Journal of Futures Markets, Volume 36, Issue 9, September, Pages: 870–886.--SSCI
Webb, R.I., Yang, J. and Zhang, J. (2016). Price Jump Risk in the U.S. Housing Market, Journal of Real Estate Finance and Economics, July 2016, Volume 53, Issue 1, pp. 29-49. (Published online 26 July 2015).--SSCI
Zwinkels, R.C.J., Gong, M. and Lin, M. (2016). Forecasting Crashes: Correlated Fund Flows and Skewness in Stock Returns, Journal of Financial Econometrics, forthcoming.
Zwinkels, R.C.J. and Salzman, D. (2016). Behavioural Real Estate, Journal of Real Estate Literature, forthcoming.
Zwinkels, R.C.J. and Cox, R. (2016). Mortgage Insurance Adoption in the Netherlands, Real Estate Economics, forthcoming.
Zwinkels, R.C.J., Kouwenberg, R., Markiewicz, A. and Verhoeks, R. (2016). Model Uncertainty and Exchange Rate Forecasting, Journal of Financial and Quantitative Analysis, forthcoming.
Zwinkels, R.C.J., Pieterse-Bloem, M., Qian, Z. and Verschoor, W. (2016). Time-Varying Importance of Country and Industry Factors in European Corporate Bonds, Journal of Empirical Finance 38(A): 429-448.