Research outputs

Kang, K. -Y., & Wang, Z. (2026). Payment data, information disclosure, and privacy. Journal of Monetary Economics, 161, 17 pages. doi:10.1016/j.jmoneco.2026.103957

Bregolin, J. (2025). Communication Quality and the Cost of Language: Evidence from Stack Overflow. Management Science. 71(6), 20 pages. doi:10.1287/mnsc.2022.01333

Byrne, D. P., de Roos, N., Lewis, M. S., Marx, L. M., & Wu, X. (2025). Price Coordination with Asymmetric Information Sharing: Theory and Evidence. The Review of Economics and Statistics, 1-45. doi:10.1162/rest.a.1691

Byrne, D. P., de Roos, N., Lewis, M. S., Marx, L. M., & Wu, X. (2025). Asymmetric Information Sharing in Oligopoly: A Natural Experiment in Retail Gasoline. Journal of Political Economy. 133(7), 2031-2088. doi:10.1086/734872

Jang, I., & Kang, K. Y. (2025). Dynamic Adverse Selection and Belief Update in Credit Markets. Journal of Financial and Quantitative Analysis. 60 (4), 1994-2025. doi:10.1017/S0022109024000243

Agenor, P-R., Jackson, T. P., & da Silva, L. A. P. (2024). Cross-border regulatory spillovers and macroprudential policy coordination. Journal of Monetary Economics, 146, 17 pages. doi:10.1016/j.jmoneco.2024.103582

Firoozi, D., Burn, I., Ladd, D., & Neumark, D. (2024). Help Really Wanted? The Impact of Age Stereotypes in Job Ads on Applications from Older Workers. Journal of Labor Economics. doi:10.1086/733492

Ikeda, D., Li, S., Mavroeidis, S., & Zanetti, F. (2024). Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United States. American Economic Journal: Macroeconomics, 16(2), 250-286. doi:10.1257/mac.20210169

Kang, K., & Lee, S. (2024). Money, Bitcoin, and Monetary Policy. Journal of Money Credit and Banking, 56(1), 225-256. doi:10.1111/jmcb.12992

Anderberg, D., Mantovan, N., & Sauer, R. M. (2023). The Dynamics of Domestic Violence: Learning about the Match. Economic Journal, 133(656), 2863-2898. doi:10.1093/ej/uead057

Mantovan, N., Alsakka, R., & Nguyen, P. L. T. (2023). The Impact of Sovereign Credit Ratings on Voters’ Preferences. Journal of Banking and Finance, 154. doi:10.1016/j.jbankfin.2023.106938

Burn, I., Button, P., Corella, L. M., & Neumark, D. (2022). Does Ageist Language in Job Ads Predict Age Discrimination in Hiring?. Journal of Labor Economics, 40(3), 613-667. doi:10.1086/717730

Byrne, D. P., & de Roos, N. (2022). Start-up Search Costs. American Economic Journal: Microeconomics, 14(2), 81-112. doi:10.1257/mic.20190279

Gong, Y., Bu, R., & Chen, Q. (2022). What Affects the Relationship Between Oil Prices and the US Stock Market? A Mixed-Data Sampling Copula Approach*. Journal of Financial Econometrics, 20(2), 253-277. doi:10.1093/jjfinec/nbz043

Jones, L., Alsakka, R., ap Gwilym, O., & Mantovan, N. (2022). The impact of regulatory reforms on European bank behaviour: A dynamic structural estimation. European Economic Review, 150, 28 pages. doi:10.1016/j.euroecorev.2022.104280

Agenor, P. -R., Jackson, T., & Jia, P. (2021). Macroprudential policy coordination in a currency union. European Economic Review, 137. doi:10.1016/j.euroecorev.2021.103791

Arslan, Y., Guler, B., & Taskin, T. (2021). Price search, consumption inequality and expenditure inequality over the life -cycle. International Economic Review, 62(1), 295-320. doi:10.1111/iere.12488

Jackson, T., & Kotlikoff, L. J. (2021). Banks as Potentially Crooked Secret Keepers. Journal of Money Credit and Banking, 53(7), 1593-1628. doi:10.1111/jmcb.12841

Jackson, T., & Pennacchi, G. (2021). How should governments create liquidity? Journal of Monetary Economics, 118, 281-295. doi:10.1016/j.jmoneco.2021.01.001 

Ellington, MT and Milas, KC (2019) Global Liquidity, Money Growth and UK Inflation. Journal of Financial Stability, forthcoming.

Ellington, MT (2018) The Case for Divisia Monetary Statistics: A Bayesian Time-varying Approach. Journal of Economic Dynamics and Control, 96, 26-41.

Ellington, Michael, Florackis, Chris and Milas, Costas (2017) Liquidity shocks and real GDP growth: Evidence from a Bayesian time-varying parameter VAR. Journal of International Money and Finance, 72. 93 - 117.

Thijssen, Jacco JJ and Bregantini, Daniele (2017) Costly sequential experimentation and project valuation with an application to health technology assessment. Journal of Economic Dynamics and Control, 77. 202 - 229.

Boumparis, Periklis, Milas, Costas and Panagiotidis, Theodore (2017) Economic policy uncertainty and sovereign credit rating decisions: Panel quantile evidence for the Eurozone. Journal of International Money and Finance, 79. 39 - 71.

Addison, Tony, Ghoshray, Atanu and Stamatogiannis, Michalis P (2016) Agricultural Commodity Price Shocks and Their Effect on Growth in Sub-Saharan Africa. Journal of Agricultural Economics, 67 (1). 47 - 61.

Ghoshray, Atanu and Stamatogiannis, Michalis P (2015) Centurial evidence of breaks in the persistence of unemployment. Economics Letters, 129. 74 - 76.

Guan, J., & Tena, J. D. (2026). Improving children's health outcomes: The effect of China's urban and rural resident basic medical insurance. Journal of Risk and Insurance, 93(2), 455-475. doi:10.1111/jori.70037

Tena Horrillo, J, Forrest, DK, Corona, Francisco and Wiper, Mike (2019) Bayesian forecasting of UEFA Champions League under alternative seeding regimes. International Journal of Forecasting, forthcoming.

Corona, Francisco, Horrillo, Juan de Dios Tena and Wiper, Michael Peter (2017) On the importance of the probabilistic model in identifying the most decisive games in a tournament. Journal of Quantitative Analysis in Sports, 13 (1).

Forrest, David, McHale, Ian G, Sanz, Ismael and Tena, JD (2017) An analysis of country medal shares in individual sports at the Olympics. European Sport Management Quarterly, 17 (2). 117 - 131.

Flores, Ramon, Forrest, David, de Pablo, Cesar and Tena, JD (2015) What is a good result in the first leg of a two-legged football match? European Journal of Operational Research, 247 (2). 641 - 647.

Jara, Miguel, Paolini, Dimitri and de Dios Tena Horrillo, Juan (2015) Management Efficiency in Football: An Empirical Analysis of Two Extreme Cases. Managerial and Decision Economics, 36 (5). 286 - 298.

Hollstein, F., Prokopczuk, M., Tharann, B., & Simen, C. W. (2025). Predicting the equity premium around the globe: Comprehensive evidence from a large sample. International Journal of Forecasting, 41(1), 208-228. doi:10.1016/j.ijforecast.2024.05.002

Taamouti, A., & Lin, W. (2024). Portfolio Selection Under Non-Gaussianity And Systemic Risk: A Machine Learning Based Forecasting Approach. International Journal of Forecasting. 40 (3), 1179-1188. doi: 10.1016/j.ijforecast.2023.10.007

Ellington, M., Fu, X., & Zhu, Y. (2023). Real estate illiquidity and returns: A time-varying regional perspective. International Journal of Forecasting, 39(1), 58-72. doi:10.1016/j.ijforecast.2021.08.005

Wang, R., Morley, B., & Stamatogiannis, M. P. (2021). Forecasting the exchange rate using nonlinear Taylor rule based models (vol 35, pg 429, 2019). International Journal of Forecasting, 37(3), 1330. Retrieved from https://www.webofscience.com/

Wang, R, Morley, B and Stamatogiannis, MP (2019) Forecasting the exchange rate using nonlinear Taylor rule based models. International Journal of Forecasting, 35 (2). 429 - 442.

Rao, Yao and McCabe, Brendan (2016) Real-time surveillance for abnormal events: the case of influenza outbreaks. Statistics in Medicine, 35 (13). 2206 - 2220.

Chaudhuri, Kausik, Kim, Minjoo and Shin, Yongcheol (2016) Forecasting distributions of inflation rates: the functional auto-regressive approach. Journal of the Royal Statistical Society Series A – Statistics in Society, 179 (1). 65 - 102.

Cai, C. X., & Zhang, Q. (2016). High-Frequency Exchange Rate Forecasting. European Financial Management, 22(1), 120-141.

Bevilacqua, M., Ellington, M., & Hizmeri, R. (2026). Testing for differences in high-frequency network connectedness from variance decompositions. Journal of Econometrics, 256, 26 pages. doi:10.1016/j.jeconom.2026.106238

Doukali, M., Kone, N., & Taamouti, A. (2026). A regularization approach to optimizing large portfolios under asymmetries in returns and risk attitudes. Econometric Reviews, 45(6), 826-855. doi:10.1080/07474938.2026.2621658

Alexiou, L., Goyal, A., Kostakis, A., & Rompolis, L. (2025). Pricing Event Risk: Evidence from Concave Implied Volatility Curves. Review of Finance, 29 (4), 963-1007. doi:10.1093/rof/rfaf016

Aretz, K., & Kagkadis, A. (2025). Construction, Real Uncertainty, and Stock-Level Investment Anomalies. Journal of Financial and Quantitative Analysis, 60(2), 1042-1073. doi:10.1017/S0022109024000024

Boumparis, P., Florackis, C., Guedhami, O., & Sainani, S. (2025). Backing away from ESG? The effect of sovereign rating downgrades on corporate sustainability. Journal of Corporate Finance, 94, 27 pages. doi:10.1016/j.jcorpfin.2025.102856

Ellington, M., & Kalli, M. (2025). Predictive distributions and the market return: The role of market illiquidity. European Journal of Operational Research, 323(1), 309-322. doi:10.1016/j.ejor.2025.01.006

Ho, T., Kagkadis, A., & Wang, G. (2025). Bear factor and hedge fund performance. Journal of Empirical Finance, 82, 26 pages. doi:10.1016/j.jempfin.2025.101611

Lin, W., Olmo, J., & Taamouti, A. (2025). Portfolio Selection under Systemic Risk. Journal of Money Credit and Banking, 57(4), 905-949. doi:10.1111/jmcb.13038

Barunik, J., & Ellington, M. (2024). Persistence in financial connectedness and systemic risk. European Journal of Operational Research, 314(1), 393-407. doi:10.1016/j.ejor.2023.11.023

Ellington, M., Martin, C., & Wang, B. (2024). Revisiting Real Wage Rigidity. Journal of Money Credit and Banking, 56(2-3), 613-626. doi:10.1111/jmcb.13056

Abu Bakar, N., Abdelsalam, O., Taamouti, A., & Elmasry, A. (2023). The Market Uncertainty of Ethically Compliant Equity: An Integrated Screening Approach. Journal of International Financial Markets, Institutions and Money, 101759. doi:10.1016/j.intfin.2023.101759

Cai, C. X. X., Keasey, K., Li, P., & Zhang, Q. (2023). Market Development, Information Diffusion, and the Global Anomaly Puzzle. Journal of Financial and Quantitative Analysis, 58(1), 104-147. doi:10.1017/S0022109022000643

Fernandez, M. F., Henry, O., Pybis, S., & Stamatogiannis, M. P. (2023). Can we forecast better in periods of low uncertainty? The role of technical indicators. Journal of Empirical Finance, 71, 1-12. doi:10.1016/j.jempfin.2022.12.014

Florakis, C., Louca, C., Michaely, R., & Weber, M. (2023). Cybersecurity Risk. The Review of Financial Studies, 36(1), 351-407. doi:10.1093/rfs/hhac024

Kostakis, A., Magdalinos, T., & Stamatogiannis, M. (2023). Taking Stock of Long-Horizon Predictability Tests: Are Factor Returns Predictable?. Journal of Econometrics, 237 (2), Part C. doi.org/10.1016/j.jeconom.2022.10.009

Dovonon, P., Taamouti, A., & Williams, J. (2022). Testing the eigenvalue structure of spot and integrated covariance?. Journal of Econometrics, 229(2), 363-395. doi:10.1016/j.jeconom.2021.02.006

Ellington, M. (2022). Fat Tails, Serial Dependence, and Implied Volatility Index Connections. European Journal of Operational Research. doi:10.1016/j.ejor.2021.09.038

Kostakis, A., Mu, L., & Otsubo, Y. (2022). Detecting Political Event Risk in the Option Market. Journal of Banking and Finance, (146) 106624. doi:10.1016/j.jbankfin.2022.106624

Ellington, M. (2021). The Empirical Relevance of the Shadow Rate and the Zero Lower Bound. Journal of Money, Credit and Banking. doi:10.1111/jmcb.12881

Ghaly, M., Kostakis, A., & Stathopoulos, K. (2021). The (non-) effect of labor unionization on firm risk: Evidence from the options market. Journal of Corporate Finance, 66, (101816). doi:10.1016/j.jcorpfin.2020.10181

Gkionis, K., Kostakis, A., Skiadopoulos, G., & Stilger, P. S. (2021). Positive stock information in out-of-the-money option prices. Journal of Banking and Finance, 128. doi:10.1016/j.jbankfin.2021.106112

Sainani, S., & Florakis, C. (2021). Can CFOs Resist Undue Pressure from CEOs to Manage Earnings?. Journal of Corporate Finance. doi:10.1016/j.jcorpfin.2020.101859

Avino, D. E., Stancu, A., & Wese Simen, C. (2020). The Predictive Power of the Dividend Risk Premium. Journal of Financial and Quantitative Analysis. doi:10.1017/S0022109020000733 

Bu, R, Fu, Xi and Jawadi, Fredj (2019) Does the Volatility of Volatility Risk Forecast Future Stock Returns? Journal of International Financial Markets, Institutions and Money, 61, 16-36. doi: 10.1016/j.intfin.2019.02.001

Ellington, Michael (2018) Financial market illiquidity shocks and macroeconomic dynamics: Evidence from the UK. Journal of Banking and Finance, 89. 225 - 236.

Bu, Ruijun, Jawadi, Fredj and Li, Yuyi (2017) An Empirical Comparison of Transformed Diffusion Models for VIX and VIX Futures. Journal of International Financial Markets, Institutions and Money, 46. 116 - 127.

Fu, Xi, Sandri, Matteo and Shackleton, Mark B (2016) Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures. Journal of Futures Markets, 36 (11). 1029 - 1056.

Dang, Viet Anh, Kim, Minjoo and Shin, Yongcheol (2015) In search of robust methods for dynamic panel data models in empirical corporate finance. Journal of Banking and Finance, 53. 84 - 98.

Kostakis, Alexandros, Magdalinos, Tassos and Stamatogiannis, Michalis P (2015) Robust Econometric Inference for Stock Return Predictability. Review of Financial Studies, 28 (5). 1506 - 1553.

von Eije, Henk, Goyal, Abhinav and Muckley, Cal B (2014) Does the information content of payout initiations and omissions influence firm risks? Journal of Econometrics, 183 (2). 222 - 229.

Bouezmarni, T., Doukali, M., & Taamouti, A. (2026). Copula-based estimation of health inequality measures. Journal of the Royal Statistical Society Series A: Statistics in Society, 189(2), 1051-1069. doi:10.1093/jrsssa/qnaf039

Bu, R., Li, D., Linton, O., & Wang, H. (2025). Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data. Econometric Theory.

Bu, R., Kim, J., & Wang, B. (2023). Uniform and Lp Convergences for Nonparametric Continuous Time Regressions with Semiparametric Applications. Journal of Econometrics. doi:10.1016/j.jeconom.2023.02.006

Taamouti, A., Doukali, M., & Taoufik, B. (2023). Testing Granger non-causality in expectiles. Econometric Reviews, 43 (1). doi.org/10.1080/07474938.2023.2246823

Bu, R, Li, Yuyi and Jawadi, Fredj (2019) A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures. Econometric Reviews. Forthcoming.

Kim, M, Cai, X, Shin, Yongcheol and Zhang, Qi (2019) FARVaR: Functional Autoregressive Value-at-Risk. Journal of Financial Econometrics, forthcoming.

Rao, Yao and McCabe, Brendan (2017) Is MORE LESS? The role of data augmentation in testing for structural breaks. Economics Letters, 155. 131 - 134.

Phillips, Garry DA and Liu-Evans, Gareth (2016) Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models. Computational Statistics & Data Analysis, 100. 734 - 762.

Hadri, K., Kurozumi, E., & Rao, Y. (2015). Novel panel cointegration tests emending for cross-section dependence with N fixed. Econometrics Journal. 18(3), 363-411.

Hall, A. R., Li, Y., Orme, C. D., & Sinko, A. (2015) Testing for Structural Instability in Moment Restriction Models: An Info-Metric Approach. Econometric Reviews, 34(3), 286-327.

Bregantini, D. (2013) Moment-based estimation of stochastic volatility. Journal of Banking and Finance, 37(12), 4755-4764.

Bu, R, Giet, L, Hadri, K and Lubrano, M (2011) Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations. Journal of Financial Econometrics, 9 (1). 198 - 236. ISSN 1479-8409, 1479-8417.