Paper Review Records
All Paper Review Records
14 valid samples · Newest publication first
Review days = acceptance date − received date. PDF, DOI, and publisher-page sources are retained.
Neural-Network Volatility Forecasting
AuthorsChen Liu; Minh-Ngoc Tran; Chao Wang; Richard Gerlach; Robert Kohn
Affiliations1. Business School, Nankai University , Tianjin,; 2. China Academy of Corporate Governance, Nankai University , Tianjin,; 3. Discipline of Business Analytics, The University of Sydney Business School , Sydney, NSW,; 4. School of Economics, UNSW Business School , Sydney, NSW,
Three-Pass Regression Filter Model with Time-Varying Coefficients: A Rolling Window Selection Approach
AuthorsWei Liu; Qiankun Zhou
Affiliations1. Department of Economics, Finance, and Global Business, William Paterson University, Wayne, NJ 07470, USA; 2. Department of Economics, Louisiana State University , Baton Rouge, LA 70803, USA
Low Power of Alpha Tests When Factors Are Constructed From Sorted Portfolios
AuthorsJoel M Vanden
Affiliations1. Department of Finance, Smeal College of Business, Pennsylvania State University , University Park, PA,
Enforcing an Admissible Parameter Space for Vector Multiplicative Error Models: The Fundamental Role of Matrix Inequality Constraints
AuthorsMenelaos Karanasos; Yongdeng Xu; Stavroula Yfanti; Constantin Zopounidis
Affiliations1. Economics and Finance, Brunel University of London , Uxbridge,; 2. Cardiff University Cardiff Business School, , Cardiff,; 3. Queen Mary University of London School of Business and Management, , London,; 4. Technical University of Crete School of Production, Engineering and Management, , Chania,
Fast Bayesian Calibration of Option Pricing Models Based on Sequential Monte Carlo Methods and Deep Learning
AuthorsRiccardo Brignone; Luca Gonzato; Sven Knaust; Eva Lütkebohmert
Affiliations1. Department of Economics and Management, University of Pavia , Pavia,; 2. Department of Statistics and Operations Research, University of Vienna , Vienna,; 3. Department of Economics, University of Freiburg , Freiburg i. Br,
Hedge Fund Investment: Optimal Portfolios with Regime-Switching
AuthorsAndréas Heinen; Alfonso Valdesogo
Affiliations1. CNRS, THEMA, CY Cergy Paris Université , Cergy-Pontoise 9500,; 2. Department of Applied Economics, Universitat de les Illes Balears , Palma 07122,
Multifactor Timing with Deep Learning
AuthorsPaul Cotturo; Fred Liu; Robert Proner
Affiliations1. Department of Statistics and Actuarial Science, University of Waterloo , Waterloo, ON N2L3G1,; 2. Department of Economics and Finance, University of Guelph , Guelph, ON N1G2W1,; 3. Department of Economics, University of Western Ontario , London, ON N6A3K7,; 4. Department of Economics, University of Toronto , Toronto, ON M5S1A1,
Warnings about Future Jumps: Properties of the Exponential Hawkes Model
AuthorsRachele Foschi; Francesca Lilla; Cecilia Mancini
Affiliations1. University of Pisa; 2. Bank of Italy; 3. University of Verona
Efficiently Weighted Estimation of Tail and Interquantile Expectations
AuthorsSander Barendse
Affiliations1. University of Amsterdam Faculty of Economics and Business, , Roetersstraat 11 , Amsterdam, 1018 WB,
Nonlinear Fore(Back)Casting and Innovation Filtering for Causal–Noncausal VAR Models
AuthorsChristian Gourieroux; Joann Jasiak
Affiliations1. University of Toronto , 150 St. George Street , Toronto, Ontario, M5S 3G7,; 2. York University , 4700 Keele Street , Toronto, Ontario, M3J 1P3,
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