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Liquidity risk, systematic risk factor

lead-lag cross-autocorrelations, information diffusion, price delay, foreign investment, emerging markets

IT innovation, Absorptive Capacity, Persistence, Dynamic Random Effect Probit Model

P/E ratio, China, U.S., earnings volatility

CIO, IT capability, Sustainable IT capability, Business Value of IT, Structural Power

IT reputation, Tobin’s Q, CEO, IT executives, expert power, structural power

IT capability reputation, IT executives, IT strategic leadership, structural power, institutional theory, external legitimacy, internal legitimacy, reciprocity

interest rates, drift, AR, volatility, NGARCH, zero-coupon bond price, yield to maturity

Markov-chain, diffusion, volatility, density

discrete time, continuous time, optimal portfolio, proportional and fixed transaction costs, singular and impulse stochastic control problems, PDE

Cumulants, moments, swaption prices, CIR2 Model, CIR Model, Brennan-Schwarz's Model, Heston's Model

Value at Risk, Expected Shortfall, Mixtures of Normal, GARCH, Characteristic Function

Value at Risk, Stochastic Volatility, Mixture of Normals, Generalized Method of Moments, Markov Chain Monte Carlo

Stochastic Conditional Duration Model, Autoregressive Conditional Duration Model, Leverage Effect, Discrete Mixtures of Normal, Empirical Characteristic Function

Mixtures of Normal, Maximum Likelihood, Moment Generating Function, Characteristic Function, Switching Regression Model, (G)ARCH Model, Stochastic Volatility Model, Autoregressive Conditional Duration Model, Stochastic Duration Model, Value at Risk

Multivariate Models, Independent Component Analysis, Principal Component Analysis, GARCH, Value at Risk

Duration process, Ergodicity, Method of simulated moments, Return process, Stationarity

Unit root, Cross section, Time series, Limiting distribution, Wiener process

Financial time series, ARCH, non-normality, generalized method of moments, optimal choice of instruments, maximum likelihood, efficiency

Time series, integration, cointegration, spurious regression, dynamic regression

youth smoking participation and initiation, cigarette taxes

Migration, Optimal stopping time, Risk aversion, Uncertainty

Exchange rate pass through, Invoicing currency, Crude oil prices, OPEC

Trade balance, J-curve, Invoicing currency, Exchange rate pass-through, Crude oil

Tax incidence, Business taxation

Permanent income, Consumption, US states

Consumption, Permanent Income, West Germany

Asset Pricing, Consumption, Permanent Income, Current Income, Liquidity Constraint, Generalized Method of Moments

Asset Pricing, Consumption, Permanent Income, Current Income, Liquidity Constraint, Generalized Method of Moments

Asset Pricing, Consumption, Liquidity Constraint, Durability, Habit Persistence, Generalized Method of Moments

Asset Pricing, Consumption, Generalized Method of Moments, Cointegration, Preference Parameters

Unemployment insurance, income, utility function, Brownian motions, search, waiting, exit, continuation region

Time- deformation model, Bayesian Inference, Slice sampler, Leverage effect.

Threshold, MCMC, Auxiliary particle filter, Deviance information criterion

Stochastic conditional duration, Mixture of distributions, Bayesian inference, Markov Chain Monte Carlo, Leverage effect, Slice sampler

Threshold Stochastic Volatility, Bayesian Inference, MCMC, Deviance Information Criteria

Conterparty Credit Risk, Wrong-way Risk, Mass Transportation

Stochastic Duration, Bayesian Inference, Markov Chain Monte Carlo, Leverage Effect, Acceptance-rejection, Slice Sampler

Permanent Income, Current Income, Liquidity Constraint, Generalized Method of Moments

Extended minimum expected loss function estimator, Risks, Monte Carlo Experiment

Stochastic Duration Model, Mixture of Normal Distribution, Leverage Effect, Continuous Empirical Characteristic Function

One-factor model, Zero-coupon bond, Approximate price, True price

Leverage effect, Copulas, Tail dependence, Realized volatility, High frequency data

Return–volume dependence, Extreme returns, Copulas, Tail dependence

Money Supply, Linear Quadratic Model, Forcing Process, Stationarity, Nonstationarity

Intertemporal elasticity of substitution, Imports, Consumption, Cointegration, Generalized method of moments

IT Business Value, Dynamic Organizational IT Capability, Path Dependence, True State Dependence, Dynamic Random Effects, Fixed Effects Logit Models

Business Value of IT, CIO, IT capability, Structural Power, Tobin's q

covariance matrix estimator; cluster-robust; heteroskedasticity-robust; power; size, finite samples

optimal harvesting, real options, contingent claims, dynamic programming, market price of risk

Capital structure, Chinese companies, Institutional structure, Trade off theory, Pecking order theory, Dynamic panel-data regression, Dynamic panel-data GMM

permanent income, cointegration, government expenditure, consumption

Accrual quality, Stock returns, Return premium, Pricing factor, Information uncertainty

value, earnings smoothing, accrual volatility, future returns

Income Smoothing, Pre-Managed Earnings-Discretionary Accruals correlation, Accrual Volatility, Return, Value, Information Signaling