Measuring market liquidity: An introductory survey A Gabrielsen, M Marzo, P Zagaglia arXiv preprint arXiv:1112.6169, 2011 | 95 | 2011 |
Forecasting value-at-risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework A Gabrielsen, A Kirchner, Z Liu, P Zagaglia Annals of Financial Economics 10 (01), 1550005, 2015 | 34 | 2015 |
(Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets N Apergis, A Gabrielsen, LA Smales Financial Markets and Portfolio Management 30 (1), 63-94, 2016 | 18 | 2016 |
Dynamics of credit spread moments of European corporate bond indexes AH Alizadeh, A Gabrielsen Journal of Banking & Finance 37 (8), 3125-3144, 2013 | 16 | 2013 |
Testing for Convergence in the European Insurance Sector: A Non-Linear Factor Approach N Apergis, A Gabrielsen, J Payne, P Zagaglia Asian Journal of Finance & Accounting 4 (2), 1, 2012 | 8 | 2012 |
Optimal hedge ratio estimation during the credit crisis: an application of higher moments N Apergis, A Gabrielsen Frontiers in Finance and Economics 9 (2), 64-84, 2012 | 5 | 2012 |
Measuring and modelling the market liquidity of stocks: Methods and issues A Gabrielsen, M Marzo, P Zagaglia Journal of Finance and Investment Analysis 1 (4), 1-8, 2012 | 5 | 2012 |
FORECASTING VOLATILITY OF EUROPEAN AND. ASIAN EQUITY INDICES WITH HANSEN'S SKEW-T AND FAT TAILED DISTRIBUTIONS, AS WELL AS WITH NON-LINEAR ASYMMETRIC EFFECTS. A GABRIELSEN, S SARMPEZOUDIS International Journal of Economic Research 9 (2), 2012 | 1 | 2012 |
Convergence and clustering of Tier 1 capital in the European banking sector: a non–linear factor approach N Apergis, A Gabrielsen, JE Payne, P Zagaglia International Journal of Monetary Economics and Finance 5 (2), 210-221, 2012 | 1 | 2012 |
Modelling the dynamics of credit spreads of European corporate bond indices A Gabrielsen City University London, 2010 | 1 | 2010 |
Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an EWMA Framework P ZAGAGLIA, A Gabrielsen, A Kirchner, Z Liu ANNALS OF FINANCIAL ECONOMICS 10 (1), 1-29, 2015 | | 2015 |
Modelling the Tail Risk in Private Equities and Hedge Funds Y Daisai, A Gabrielsen Available at SSRN 2407601, 2014 | | 2014 |
The bank lending channel and lunar phases: Evidence from a panel of European banks N Apergis, A Gabrielsen Available at SSRN 1780005, 2011 | | 2011 |
Regime Dependent Determinants of Credit Spread Indices A Gabrielsen The 67th International Atlantic Economic Conference, 0 | | |