Centre for Financial Econometrics (CFE)
Selection of peer-reviewed research publications of group members
- Westerlund, J., and Narayan, P.K., (2013) Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets, Journal of Futures Markets (In Press).
- Narayan, P.K., and Narayan, S., (2013) Psychological Oil Price Barrier and Firm Returns, Journal of Behavioral Finance (In Press).
- Westerlund, J., and Narayan, P.K., (2012) Does the Choice of Estimator Matter for Forecasting Returns, Journal of Banking and Finance, 36, 2632-2640.
- Narayan, P.K., Mishra, M., Narayan S., (2011) Do Market Capitalisations and Stocks Traded Converge? New Global Evidence, Journal of Banking and Finance, 35, 2771-2781.
- Narayan, P.K., and Sharma, S., (2011) New Evidence on Oil Price and Firm Returns, Journal of Banking and Finance, 35, 3253-3262.
- Makin, T., and Narayan, P.K., (2011) Have Domestic or Foreign Factors driven European External Imbalances, Journal of International Money and Finance, 30, 537-546.
- Narayan, P.K., Narayan, S., and Mishra, S., (2011) Do Remittances Induce Inflation? Fresh Evidence from Developing Countries, Southern Economic Journal, 77, 914-933.
- Narayan, P.K., (2010) What Drives Stock Markets Over Short Horizons? Evidence from Emerging Markets, Quantitative Finance, 11, 261-269.
- Narayan, P.K., and Zheng, X., (2010) Market Liquidity Risk Factor and Financial Market Anomalies: Evidence from the Chinese Stock Market, Pacific-Basin Finance Journal, 18, 509-520.
- Narayan, P.K., and Popp, S., (2010) A New Unit Root Test with Two Structural Breaks in Level and Slope at Unknown Time, Journal of Applied Statistics, 37, 1425-1438.
- Thuraisamy, K., Gannon, G. (2013). Modelling the sovereign linkages of key Latin American economies. Journal of International Financial Markets, Institutions and Money. 23, 222-239.
- Hayat, Aziz, Ganiev, Bahodir and Tang, Xueli (forthcoming), Expectations of future income and real exchange rate movements, Journal of Banking and Finance
11th June 2013