Cañon, C., Gerba, E., Pambira, A. and Stoja, E. (2024) ‘An Unconventional FX Tail Risk Story.’ Journal of International Money and Finance, 148, 103152; Bank of England WPS 1068, April 2024; CESifo Working Paper No. 10629, August 2023; SSRN WP. Our central bank data on monetary and liquidity measures is here.
Stoja, E. Polanski, A. and Nguyen, L.H. (2024) 'The Taxonomy of Tail Risk', Journal of Financial Research, 48, 701-724; SSRN WP.
Altmeyer, P., Boneva, L., Kinston, R., Saha, S. and Stoja, E. (2023) ’Yield Curve Sensitivity to Investor Positioning Around Economic Shocks.’ Bank of England WPS 1029, June 2023; SSRN WP.
Stoja, E. Polanski, A. Nguyen, L.H. and Pereverzin, A. (2023) 'Does systematic tail risk matter?', Journal of International Financial Markets, Institutions and Money, 82, 101698; SSRN WP.
Polanski, A., Stoja, E. and Chiu, C-W. (2020) ‘Tail Risk Interdependence.’ International Journal of Finance and Economics, 26, 5499-5511; Bank of England WPS 815, August 2019.
Harris R.D.F., Nguyen, L.H. and Stoja, E. (2019) ‘Extreme Downside Risk and Market Turbulence.’ Quantitative Finance, 19, 1875-1892; Bank of England WPS 547, September 2015.
Harris R.D.F., Nguyen, L.H. and Stoja, E. (2019) ‘Systematic Extreme Downside Risk.’ Journal of International Financial Markets, Institutions and Money, 61, 128-142; Bank of England WPS 637, December 2016.
Harris R.D.F., Karadotchev, V., Sowerbutts, R. and Stoja, E. (2019) 'Have FSRs got news for you? Evidence from the impact of Financial Stability Reports on market activity.' Bank of England WPS 792, April 2019.
Polanski, A., Stoja, E. and Windmeijer, F. (2019) 'Telling Tales from the Tails: High-Dimensional Tail Interdependence.' Journal of Applied Econometrics, 34, 779-794; SSRN WP.
Chiu, C-W., Harris R.D.F., Stoja, E. and Chin, M. (2018) 'Financial Market Volatility, Macroeconomic Fundamentals and Investor Sentiment.' Journal of Banking and Finance, 92, 130-145; Bank of England WPS 608, August 2016.
Polanski, A. and Stoja, E. (2017) 'Forecasting Multidimensional Tail Risk at Short and Long Horizons.' International Journal of Forecasting, 33, 958-969; Bank of England WPS 660, June 2017.
Harris R.D.F., Stoja, E. and Tan, L. (2017) 'The Dynamic Black-Litterman Approach to Asset Allocation.' European Journal of Operational Research, 259, 1085-1096; Bank of England WPS 596, April 2016.
Polanski, A. and Stoja, E. (2015) 'Extreme Risk Interdependence.' Bank of England WPS 563, November 2015; European Systemic Risk Board ESRB Working Paper Series 12, June 2016.
Polanski, A. and Stoja, E. (2014) ‘Co-Dependence of Extreme Events in High Frequency FX Returns.’ Journal of International Money and Finance, 44, 164-178; SSRN WP.
Polanski, A., Stoja, E. Zhang, R. (2013) ‘Multidimensional Risk and Risk Dependence.’ Journal of Banking and Finance, 37, 3286-3294; SSRN WP.
Polanski, A. and Stoja, E. (2012) ‘Efficient Evaluation of Multidimensional Time-Varying Density Forecasts with Applications to Risk Management.’ International Journal of Forecasting, 28, 343-352; SSRN WP.
Harris, R.D.F., Stoja, E. and Yilmaz, F. (2011) ‘A Cyclical Model of Exchange Rate Volatility.’ Journal of Banking and Finance, 35, 3055-3064; SSRN WP.
Stoja, E. and Tucker, J. (2011) ‘Industry Membership and Capital Structure Dynamics in the UK.’ International Review of Financial Analysis, 20, 207-214; SSRN WP.
Polanski, A. and Stoja, E. (2011) ‘Dynamic Density Forecasts for Multivariate Asset Returns.’ Journal of Forecasting, 30, 523-540; SSRN WP.
Harris, R.D.F., Shen, J. and Stoja, E. (2010) ‘The Limits to Minimum Variance Hedging.’ Journal of Business Finance and Accounting, 37, 737–761; SSRN WP.
Polanski, A. and Stoja, E. (2010) ‘Incorporating Higher Moments into Value-at-Risk Forecasting.’ Journal of Forecasting, 29, 523–535; SSRN WP.
Harris, R.D.F., Stoja, E. and Yilmaz, F. (2009) ‘Day-of-the-Month Effects in the Performance of Momentum Trading Strategies in the Foreign Exchange Market.’ Journal of Trading, 4, 48-55; SSRN WP.
Harris, R.D.F., Stoja, E. and Tucker, J. (2007) ‘A Simplified Approach to Modelling the Comovement of Asset Returns.’ Journal of Futures Markets, 27, 575-598; SSRN WP.
Stoja, E. (2006) ‘The Capital Structure Decision.’ in Management Accounting and Business Finance, Hyndman, N. and McKillop, D.G, Eds., ICAI, 135-140.
Policy writings
Sowerbutts, R., Karadotchev, V., Harris, R. and Stoja, E. 'Have FSRs got news for you?' Bank of England Bank Underground, May 2019.
Chiu, J., Harris, R. and Stoja, E. 'Do core and transitory volatilities matter for the economy?' Bank of England Bank Underground, May 2017.
Chavaz, M., Chiu, J. and Stoja, E. 'The “question” or the “answer”? Market reaction to UK stress tests.' Bank of England Bank Underground, November 2015.