Publications
All members of the group are research active and strive to publish in leading international journals, as well as author academic textbooks and professional reports. A selection of recent publications and discussion papers are provided below.
2014
Duong, C., Pescetto, G., and Santamaria, D. (2014) How value–glamour investors use financial information: UK Evidence of Investor’s Confirmation Bias, The European Journal of Finance , 20 (6), 524-549.
Petmezas, D. and Santamaria, D. (2014) Investor Induced Contagion during the Banking and European Sovereign Debt Crisis of 2007-2012: Wealth Effect or Portfolio Rebalancing? Journal of International Money and Finance , (Special Edition - forthcoming).
Tsinaslanidis, P. and Kugiumtzis, D. (2014). A Prediction Scheme Using Perceptually Important Points and Dynamic Time Warping, Expert Systems with Applications (forthcoming).
2013
Afrifa, G.A. (2013). ‘Working Capital Management Practices of SMEs: The Role of Education and Experience’, International Journal of Academic Research in Accounting, Finance and Management Sciences , Vol. 3, (4), 185-196.
Afrifa, G.A. (2013). ‘WCM components Importance Ranking Order by SMEs: Financial Directors Perspective’, International Journal of Current Research, 2013, 6(1), 4631-4639.
Chen, Y.-H. and Quan, L. (2013),'Rational Speculative Bubbles in the Asian Stock Markets: Tests on Deterministic Explosive Bubbles and Stochastic Explosive Root Bubbles', Journal of Asset Management , 14 (3), 195-208.
Chen, Y.-H ., Quan, L. and Liu, Y. (2013).'n Empirical Investigation on the Temporal Properties of China’s GDP, China Economic Review , 27, 69-81.
Kalli M. and Griffin J. (2013) Time Varying Sparsity in Dynamic Regression Models. Journal of Econometrics , 178 (2), 779–793.
Kalli, M. Walker S.G., and Damien P. (2013). Modelling the Conditional Distribution of Daily Stock Index Returns: An Alternative Bayesian Semi-parametric Model, Journal of Business and Economic Statistics , 31 (4), 371-383.
Tauringana, V. and Afrifa, G. (2013). ‘Relative importance of working capital management and its components to SMEs profitability, Journal of Small Business and Enterprise Development , 20(3), 453-469.
2012
Gounopoulos D., Petmezas, D. and Santamaria, D. (2012) Forecasting Tourist Arrivals in Greece and the Impact of Macroeconomic Shocks From the Countries of Tourists' Origin, Annals of Tourism Research , 39 (2), 641-666.
Zapranis, A. and Tsinaslanidis, P. (2012). A Novel, Rule-based Technical Pattern Identification Mechanism: Identifying and Evaluating Saucers and Resistant Levels in the US stock market. Expert Systems with Applications , 39 (7), pp.6301-6308.
Zapranis, A. and Tsinaslanidis, P. (2012) Identifying and Evaluating Horizontal Support and Resistance Levels: An Empirical Study on US stock markets. Applied Financial Economics , 22 (19), pp. 1571-1585.
2011
Kalli, M. Griffin, J. and Walker S.G. (2011). Slice Sampling Mixture Models, Statistics and Computing , 21, 93–105.
2010
Chen, Y.-H. and Fraser, P. (2010). What Drives Stock Prices? Fundamentals, Bubbles and Investor Behaviour, Applied Financial Economics , 20 (18), 1461-1477.
Group Publications
2016
Afrifa, G. and Padachi, K, (2016) Working capital level influence on SME profitability. Journal of Small Business and Enterprise Development, 23 (1). ISSN 1462-6004. (In Press) ISSN 1462-6004.
Afrifa, G. (2016) Net working capital, cash flow and performance of UK SMEs.” Review of Accounting and Finance, 51 (1). ISSN 1475-7702.
Kalli, M. (2016) Flexible modelling of dependence in volatility processes. Journal of Business and Economic Statistics (forthcoming).
Tsinaslanidis, P. and Zapranis, A. (2016) Technical analysis for algorithmic pattern recognition. Springer. ISBN 9783319236353.
2015
Afrifa, G. (2015) Working capital management practices and profitability of AIM listed SMEs. Journal of Enterprising Culture, 23 (1). pp. 1-23. ISSN 0218-4958.
Shevchenko, K. McManus, R. and Haddock-Fraser, J. (2015) UK pension sustainability and fund manager governance: agent duties to the principal. Journal of Sustainable Finance and Investment, 54 (4). pp. 205-209. ISSN 2043-0795.
Afrifa, G. and Tauringana, V. (2015) Corporate governance and performance of UK listed small and medium enterprises. Corporate Governance, 15 (5). ISSN 1472-0701.
McManus, R. (2015) Austerity versus stimulus: the polarizing effect of fiscal policy. Oxford Economics Papers. ISSN 0030-7653.
McManus, R. and Ozkan, G. (2015) On the consequences of procyclical fiscal policy. Fiscal Studies, 36 (1). pp. 29-50. ISSN 0143-5671.
2014
Afrifa, G. (2014) WCM component importance ranking order by SMEs: financial directors perspective. International Journal of Current Research, 6 (1). pp. 631-4639. ISSN 0975-833X.
Kalli, M. and Griffin, J. (2014) Time-varying sparsity in dynamic regression models. Journal of Econometrics, 178 (2). pp. 779-793. ISSN 0304-4076.
Discussion Papers:
McManus, R. and Ozkan, G. (2012). On the Consequences of Procyclical Fiscal Policy. http://www.york.ac.uk/media/economics/documents/discussionpapers/2012/1234.pdf .
McManus, R. (2013). “We’re all in this together”? A DSGE Interpretation. http://www.york.ac.uk/media/economics/documents/discussionpapers/2013/1308.pdf .
McManus, R. (2013). Austerity versus Stimulus: a DSGE Political Economy Explanation. http://www.york.ac.uk/media/economics/documents/discussionpapers/2013/1309.pdf .