Financial Economics

Advancing the understanding of fixed income and equity markets, financial intermediation, sources and mitigation of risk and policies designed to foster financial stability.

  • Coroneo, L. and Pastorello, S. (2020). European spreads at the interest rate lower bound. Journal of Economic Dynamics and Control, 119, p.103979. Paper
  • Coroneo, L., Giannone, D., & Modugno, M. (2016). Unspanned macroeconomic factors in the yield curve. Journal of Business & Economic Statistics. 34(3), 472-485. Paper
  • Goliński, A. and Spencer, P. (2021). Estimating the term structure with linear regressions: Getting to the roots of the problem. Journal of Financial Econometrics, 19(5), pp.960-984.
  • Goliński, A., & Spencer, P. (2017). The advantages of using excess returns to model the term structure. Journal of Financial Economics, 125(1), 163-181. Paper
  • Goliński, A., & Zaffaroni, P. (2016). Long memory affine term structure models. Journal of Econometrics, 191(1), 33-56. Paper
  • Spencer, P. (2013). UK macroeconomic volatility and the term structure of interest rates. Oxford Bulletin of Economics and Statistics, 75(3), 323-339. Paper
  • Abhakorn, P., Smith, P. N., and Wickens, M. R. (2013). What do the Fama–French factors add to C-CAPM?. Journal of Empirical Finance, 22, 113-127. Paper
  • Abhakorn, P., Smith, P. N., and Wickens, M. R. (2016). Can stochastic discount factor models explain the cross-section of equity returns?. Review of Financial Economics, 28, 56-68. Paper
  • Andriosopoulos, D., Andriosopoulos, K., and Hoque, H. (2013). Information disclosure, CEO overconfidence, and share buyback completion rates. Journal of Banking & Finance, 37(12), 5486-5499. Paper
  • Asgharian, H., Christiansen, C., Hou, A. and Wang, W. (2021). Long-and Short-Run Components of Factor Betas: Implications for Equity Pricing. Journal of International Financial Markets, Institutions and Money.
  • Baldwin, K. and Alhalboni, M. (2020). The impact of profit-sharing investment accounts on shareholders’ wealth. Journal of International Financial Markets, Institutions and Money, 69, p.101253.
  • Baum, C.F., Zerilli, P. and Chen, L. (2021). Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data. Energy Economics, 93, p.104481.
  • Chen, J., Cai, C.X., Faff, R. and Shin, Y. (2022). Nonlinear limits to arbitrage. Journal of Futures Markets.
  • Chen, J., Li, D., Linton, O. and Lu, Z. (2016). Semiparametric dynamic portfolio choice with multiple conditioning variables. Journal of Econometrics, 194(2), 309-318. Paper
  • Clare, A.D., Seaton, J., Smith, P. N. and Thomas, S.H. (2021). Can sustainable withdrawal rates be enhanced by trend following?. International Journal of Finance & Economics, 26(1), pp.27-41.
  • Coroneo, L., Jackson, L.E. and Owyang, M.T. (2020). International stock comovements with endogenous clusters. Journal of Economic Dynamics and Control, 116, p.103904.
  • He, Z., O'Connor, F. and Thijssen, J. (2018). Is gold a Sometime Safe Haven or an Always Hedge for equity investors? A Markov-Switching CAPM approach for US and UK stock indices. International Review of Financial Analysis, 60, pp.30-37.
  • Hoque, H., and Doukas, J. (2016). Why firms prefer AIM when they can list on the Main Market. Journal of International Money and Finance, 60, 378-404. Paper
  • Huisman, K.J. and Thijssen, J.J. (2020). On the firm’s option values of short-time work policies. Mathematics and Financial Economics, 14(2), pp.329-351.
  • Li, S., Hoque, H., and Thijssen, J. (2021). Firm financial behaviour dynamics and interactions: A structural vector autoregression approach. Journal of Corporate Finance, 69, p.102028.
  • Thijssen, J. (2010). On Irreversible Investment and Discounting: An Arbitrage Pricing Approach, Annals of Finance, 6, 295–315.
  • Thijssen, J. (2008). Optimal and Strategic Timing of Mergers and Acquisitions Motivated by Synergies and Risk Diversification, Journal of Economic Dynamics and Control, 32, 1701–1720.
  • Baum, C. F., and Zerilli, P. (2016). Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility. Energy Economics, 53, 175-181. Paper
  • Clare, A., Seaton, J., Smith, P. N., & Thomas, S. (2014). Trend following, risk parity and momentum in commodity futures. International Review of Financial Analysis, 31, 1-12. Paper
  • Coroneo, L. and Pastorello, S. (2020). European spreads at the interest rate lower bound. Journal of Economic Dynamics and Control, 119, p.103979. Paper
  • Hoque, H., Andriosopoulos, D., Andriosopoulos, K., and Douady, R. (2015). Bank regulation, risk and return: Evidence from the credit and sovereign debt crises. Journal of Banking & Finance, 50, 455-474. Paper
  • Hou, A.J., Wang, W., Chen, C.Y. and Härdle, W.K. (2020). Pricing cryptocurrency options. Journal of Financial Econometrics, 18(2), pp.250-279.
  • Liu, Z., and Spencer, P. (2013). Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009. Journal of Banking & Finance, 37(2), 241-256. Paper
  • Polito, V., and Wickens, M. (2014). Modelling the US sovereign credit rating. Journal of Banking & Finance, 46, 202-218. Paper
  • Thijssen, J. (2008). A Computational Study on General Equilibrium Pricing of Derivative Securities, Annals of Finance, 4, 505–523.
  • Dang, V. A., Kim, M., & Shin, Y. (2014). Asymmetric adjustment toward optimal capital structure: Evidence from a crisis. International Review of Financial Analysis, 33, 226-242. Paper
  • Demiris, N., Kypraios, T., & Vanessa Smith, L. (2014). On the epidemic of financial crises. Journal of the Royal Statistical Society: Series A (Statistics in Society), 177(3), 697-723. Paper
  • Gulcin Ozkan, F., & Filiz Unsal, D. (2017). It is not your fault, but it is your problem: global financial crisis and emerging markets. Oxford Economic Papers, 69(3), 591-611. Paper
  • Hoque, H., Andriosopoulos, D., Andriosopoulos, K., & Douady, R. (2015). Bank regulation, risk and return: Evidence from the credit and sovereign debt crises. Journal of Banking & Finance, 50, 455-474. Paper
  • Spencer, P. (2016). US bank credit spreads during the financial crisis. Journal of Banking & Finance, 71, 168-182. Paper