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Citations of

Robert C. Merton

Contents:

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, The RAND Corporation, vol. 4(1), pages 141-183, Spring.

    Mentioned in:

    1. Not Quite the Dullest Post I Ever Wrote
      by Buce in Underbelly on 2014-03-20 01:08:00

Wikipedia mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Author Profile
    1. روبرت مرتون in Wikipedia (Persian)
    2. Robert C. Merton in Wikipedia (English)
    3. ロバート・マートン in Wikipedia (Japanese)
    4. Robert C. Merton in Wikipedia (Norwegian)
    5. Robert C. Merton in Wikipedia (Vietnamese)
    6. Робърт Мъртън in Wikipedia (Bulgarian)
    7. Robert C. Merton in Wikipedia (Turkish)

Working papers

  1. Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009. "Systemic Risk and the Refinancing Ratchet Effect," NBER Working Papers 15362, National Bureau of Economic Research, Inc.

    Cited by:

    1. Campbell, John Y. & Tufano, Peter & Madrian, Brigitte C. & Jackson, Howell Edmunds, 2011. "Consumer Financial Protection," Scholarly Articles 9887620, Harvard University Department of Economics.
    2. Guharay, Samar K. & Thakur, Gaurav S. & Goodman, Fred J. & Rosen, Scott L. & Houser, Daniel, 2013. "Analysis of non-stationary dynamics in the financial system," Economics Letters, Elsevier, Elsevier, vol. 121(3), pages 454-457.
    3. John Y. Campbell, 2013. "Mortgage Market Design," Review of Finance, European Finance Association, European Finance Association, vol. 17(1), pages 1-33.
    4. Ebner, André, 2010. "A micro view on home equity withdrawal and its determinants. Evidence from Dutch households," Discussion Papers in Economics, University of Munich, Department of Economics 11309, University of Munich, Department of Economics.
    5. Ebrahim, M. Shahid & Shackleton, Mark B. & Wojakowski, Rafal M., 2011. "Participating mortgages and the efficiency of financial intermediation," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(11), pages 3042-3054, November.
    6. Buiter, Willem H., 2009. "Housing wealth isn't wealth," Economics Discussion Papers, Kiel Institute for the World Economy 2009-56, Kiel Institute for the World Economy.
    7. Huang, MeiChi, 2014. "Bubble-like housing boom–bust cycles: Evidence from the predictive power of households’ expectations," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 54(1), pages 2-16.
    8. Manuel Adelino & Antoinette Schoar & Felipe Severino, 2012. "Credit Supply and House Prices: Evidence from Mortgage Market Segmentation," NBER Working Papers 17832, National Bureau of Economic Research, Inc.
    9. Pol, Eduardo, 2012. "The preponderant causes of the USA banking crisis 2007–08," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, Elsevier, vol. 41(5), pages 519-528.

  2. Dale F. Gray & Robert C. Merton & Zvi Bodie, 2007. "New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability," NBER Working Papers 13607, National Bureau of Economic Research, Inc.

    Cited by:

    1. Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009. "Systemic Risk and the Refinancing Ratchet Effect," Harvard Business School Working Papers, Harvard Business School 10-023, Harvard Business School, revised Jul 2010.
    2. Winkler, Adalbert & Bindseil, Ulrich, 2012. "Dual liquidity crises under alternative monetary frameworks," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association 62032, Verein für Socialpolitik / German Economic Association.
    3. Ulrich Bindseil & Adalbert Winkler, 2013. "Dual Liquidity Crises—A Financial Accounts Framework," Review of International Economics, Wiley Blackwell, Wiley Blackwell, vol. 21(1), pages 151-163, 02.
    4. David Aikman & Piergiorgio Alessandri & Bruno Eklund & Prasanna Gai & Sujit Kapadia & Elizabeth Martin & Nada Mora & Gabriel Sterne & Matthew Willison, 2009. "Funding Liquidity Risk in a Quantitative Model of Systemic Stability," Working Papers Central Bank of Chile, Central Bank of Chile 555, Central Bank of Chile.
    5. Christoph Trebesch & Michael G Papaioannou & Udaibir S. Das, 2012. "Sovereign Debt Restructurings 1950-2010," IMF Working Papers, International Monetary Fund 12/203, International Monetary Fund.
    6. Udaibir S. Das & Maria A. Oliva & Takahiro Tsuda, 2012. "Sovereign Risk: A Macro-Financial Perspective," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, Policy Research Institute, Ministry of Finance Japan, vol. 8(3), pages 367-392, August.
    7. Andrew W Lo, 2009. "Regulatory reform in the wake of the financial crisis of 2007-2008," Journal of Financial Economic Policy, Emerald Group Publishing, Emerald Group Publishing, vol. 1(1), pages 4-43, April.
    8. Battaglia, Francesca & Gallo, Angela, 2013. "Securitization and systemic risk: An empirical investigation on Italian banks over the financial crisis," International Review of Financial Analysis, Elsevier, Elsevier, vol. 30(C), pages 274-286.
    9. Martin Saldías Zambrana, 2010. "Systemic risk analysis using forward-looking distance-to-default series," Working Paper, Federal Reserve Bank of Cleveland 1005, Federal Reserve Bank of Cleveland.
    10. Iulia Iuga, 2009. "The Assessment Procedure Of The Operational Risk Events," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(11), pages 49.
    11. Das, Udaibir S. & Oliva, Maria A. & Tsuda, Takahiro, 2012. "Sovereign Risk: A Macro-Financial Perspective," ADBI Working Papers, Asian Development Bank Institute 383, Asian Development Bank Institute.
    12. Miroslav Plasil & Ivana Kubicova, 2012. "Contingent Claims Analysis And The Inter-Sector Transmission Of Credit Risk," Occasional Publications - Chapters in Edited Volumes, Czech National Bank, Research Department, in: CNB Financial Stability Report 2011/2012, chapter 0, pages 129-139 Czech National Bank, Research Department.
    13. Christoph Trebesch, 2009. "The Cost of Aggressive Sovereign Debt Policies," IMF Working Papers, International Monetary Fund 09/29, International Monetary Fund.
    14. Rodríguez-Moreno, María & Peña, Juan Ignacio, 2013. "Systemic risk measures: The simpler the better?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(6), pages 1817-1831.
    15. Bindseil, Ulrich & Winkler, Adalbert, 2012. "Dual liquidity crises under alternative monetary frameworks: a financial accounts perspective," Working Paper Series, European Central Bank 1478, European Central Bank.
    16. Reza Siregar, 2011. "Macro-Prudential Approaches to Banking Regulation : Perspectives of Selected Asian Central Banks," Macroeconomics Working Papers 23211, East Asian Bureau of Economic Research.
    17. Piergiorgio Alessandri & Prasanna Gai & Sujit Kapadia & Nada Mora & Claus Puhr, 2009. "Towards a Framework for Quantifying Systemic Stability," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 47-81, September.
    18. Nuno Silva, 2010. "Inter-Sector Relations in the Portuguese Economy: an Application of Contingent," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department, Banco de Portugal, Economics and Research Department.
    19. Markus K. Brunnermeier & Martin Oehmke, 2012. "Bubbles, Financial Crises, and Systemic Risk," NBER Working Papers 18398, National Bureau of Economic Research, Inc.
    20. Christian Schmieder & Maher Hasan & Claus Puhr, 2011. "Next Generation Balance Sheet Stress Testing," IMF Working Papers, International Monetary Fund 11/83, International Monetary Fund.
    21. Albulescu, Claudiu Tiberiu, 2013. "Financial Stability and Monetary Policy: A Reduced-Form Model for the EURO Area," Journal for Economic Forecasting, Institute for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 62-81, March.
    22. Espino, Freddy, 2012. "Un Índice de Estabilidad Bancaria para Perú," Working Papers, Banco Central de Reserva del Perú 2012-015, Banco Central de Reserva del Perú.
    23. Blaise Gadanecz & Kaushik Jayaram, 2009. "Measures of financial stability - a review," IFC Bulletins chapters, Bank for International Settlements, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Measuring financial innovation and its impact", Basel, 26-27 August 2008, volume 31, pages 365-380 Bank for International Settlements.
    24. Martin Cihák & Petya Koeva Brooks, 2009. "From Subprime Loans to Subprime Growth? Evidence for the Euro Area," IMF Working Papers, International Monetary Fund 09/69, International Monetary Fund.
    25. Gábor P. Kiss, 2007. "One-off and off-budget items: An alternative approach," MNB Conference Volume, Magyar Nemzeti Bank (the central bank of Hungary), Magyar Nemzeti Bank (the central bank of Hungary), vol. 1(1), pages 18-27, December.
    26. Leonardo Luna & Dale F. Gray & Jorge Restrepo & Carlos Garcia, 2011. "Incorporating Financial Sector Risk Into Monetary Policy Models," IMF Working Papers, International Monetary Fund 11/228, International Monetary Fund.
    27. Pesola, Jarmo, 2011. "Joint effect of financial fragility and macroeconomic shocks on bank loan losses: Evidence from Europe," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(11), pages 3134-3144, November.

  3. Dale F. Gray & Robert C. Merton & Zvi Bodie, 2006. "A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy," NBER Working Papers 12637, National Bureau of Economic Research, Inc.

    Cited by:

    1. Baglioni, Angelo & Cherubini, Umberto, 2013. "Marking-to-market government guarantees to financial systems – Theory and evidence for Europe," Journal of International Money and Finance, Elsevier, Elsevier, vol. 32(C), pages 990-1007.
    2. Claudio Borio, 2011. "Rediscovering the macroeconomic roots of financial stability policy: journey, challenges and a way forward," BIS Working Papers, Bank for International Settlements 354, Bank for International Settlements.
    3. Claudio Borio & Mathias Drehmann, 2011. "Toward an Operational Framework for Financial Stability: “Fuzzy” Measurement and Its Consequences," Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile, in: Rodrigo Alfaro (ed.), Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 4, pages 063-123 Central Bank of Chile.
    4. Dale F. Gray; & Robert C. Merton & Zvi Bodie, 2009. "New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability," Working Papers Central Bank of Chile, Central Bank of Chile 541, Central Bank of Chile.
    5. Khandani, Amir E. & Lo, Andrew W. & Merton, Robert C., 2013. "Systemic risk and the refinancing ratchet effect," Journal of Financial Economics, Elsevier, Elsevier, vol. 108(1), pages 29-45.
    6. Edward I. Altman & Herbert A. Rijken, 2013. "Sovereign default risk assessment," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, Inderscience Enterprises Ltd, vol. 5(1/2), pages 6-27.
    7. Tiago Severo, 2012. "Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance," IMF Working Papers, International Monetary Fund 12/194, International Monetary Fund.
    8. Leonardo Luna & Dale F. Gray & Jorge Restrepo & Carlos Garcia, 2011. "Incorporating Financial Sector Risk Into Monetary Policy Models," IMF Working Papers, International Monetary Fund 11/228, International Monetary Fund.
    9. Kalteier, Eva-Maria & Posch, Peter N., 2013. "Sovereign asset values and implications for the credit market," Review of Financial Economics, Elsevier, Elsevier, vol. 22(2), pages 53-60.
    10. José Pablo Dapena, 2006. "Volatility of GDP, macro applications and policy implications of real options for structure of capital Markets," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA 320, Universidad del CEMA.
    11. Agliardi, Elettra & Agliardi, Rossella & Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas, 2012. "A new country risk index for emerging markets: A stochastic dominance approach," Journal of Empirical Finance, Elsevier, Elsevier, vol. 19(5), pages 741-761.
    12. Eduardo López E. & Víctor Riquelme P. & Ercio Muñoz S., 2011. "Long – Term Interest Rate and Fiscal Policy," Working Papers Central Bank of Chile, Central Bank of Chile 633, Central Bank of Chile.
    13. Baglioni, Angelo & Cherubini, Umberto, 2013. "Within and between systemic country risk. Theory and evidence from the sovereign crisis in Europe," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(8), pages 1581-1597.
    14. Surach Tanboon & Suchot Piamchol & Tanawat Ruenbanterng & Paiboon Pongpaichet, 2009. "Impacts of Financial Factors on Thailand's Business Cycle Fluctuations," Working Papers, Economic Research Department, Bank of Thailand 2009-01, Economic Research Department, Bank of Thailand.

  4. Li Jin & Robert Merton & Zvi Bobie, 2004. "Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan?," NBER Working Papers 10650, National Bureau of Economic Research, Inc.

    Cited by:

    1. Mirko Cardinale & Mike Orszag, 2005. "Severance Pay and Corporate Finance: Empirical Evidence from a Panel of Austrian and Italian Firms," Empirica, Springer, Springer, vol. 32(3), pages 309-343, 09.
    2. Atanasova, Christina & Hrazdil, Karel, 2010. "Why do healthy firms freeze their defined-benefit pension plans?," Global Finance Journal, Elsevier, vol. 21(3), pages 293-303.
    3. Mohan, Nancy & Zhang, Ting, 2014. "An analysis of risk-taking behavior for public defined benefit pension plans," Journal of Banking & Finance, Elsevier, Elsevier, vol. 40(C), pages 403-419.
    4. Aggarwal, Raj & Goodell, John W., 2013. "Political-economy of pension plans: Impact of institutions, gender, and culture," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(6), pages 1860-1879.
    5. An, Heng & Huang, Zhaodan & Zhang, Ting, 2013. "What determines corporate pension fund risk-taking strategy?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(2), pages 597-613.

  5. Robert C. Merton & Zvi Bodie, 2004. "The Design of Financial Systems: Towards a Synthesis of Function and Structure," NBER Working Papers 10620, National Bureau of Economic Research, Inc.

    Cited by:

    1. José María Fanelli, 2009. "Economic Policy out of the Corridor. Reflections on the Global Crisis and the Latin American Experience," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, Central Bank of Argentina, Economic Research Department, vol. 1(53-54), pages 73-105, January -.
    2. Carlos E. Cuevas & Klaus P. Fischer, 2006. "Cooperative Financial Institutions : Issues in Governance, Regulation, and Supervision," World Bank Publications, The World Bank, number 7107, August.
    3. Piyapas Tharavanij, 2007. "Capital Market, Frequency Of Recession, And Fraction Of Time The Economy In Recession," Development Research Unit Working Paper Series, Monash University, Department of Economics 34-07, Monash University, Department of Economics.
    4. Levine, Ross, 2005. "Finance and Growth: Theory and Evidence," Handbook of Economic Growth, Elsevier, in: Philippe Aghion & Steven Durlauf (ed.), Handbook of Economic Growth, edition 1, volume 1, chapter 12, pages 865-934 Elsevier.
    5. Coval, Joshua D. & Thakor, Anjan V., 2005. "Financial intermediation as a beliefs-bridge between optimists and pessimists," Journal of Financial Economics, Elsevier, Elsevier, vol. 75(3), pages 535-569, March.
    6. Gunther Capelle-Blancard & Jézabel Couppey-Soubeyran & Laurent Soulat, 2005. "The measurement of financial intermediation in Japan," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL halshs-00197104, HAL.
    7. Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics, EconWPA 0503001, EconWPA.
    8. Demirguc-Kunt, Asli, 2006. "Finance and economic development : policy choices for developing countries," Policy Research Working Paper Series, The World Bank 3955, The World Bank.
    9. James B. Ang, 2008. "A Survey Of Recent Developments In The Literature Of Finance And Growth," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 22(3), pages 536-576, 07.
    10. Claire Woods & Roger Urwin, 2010. "Putting Sustainable Investing into Practice: A Governance Framework for Pension Funds," Journal of Business Ethics, Springer, Springer, vol. 92(1), pages 1-19, April.
    11. Koetter, Michael & Wedow, Michael, 2005. "Finance and growth in a bank-based economy: is it quantity or quality that matters?," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, Research Centre 2006,02, Deutsche Bundesbank, Research Centre.
    12. de la Torre, Augusto & Feyen, Erik & Ize, Alain, 2011. "Financial development : structure and dynamics," Policy Research Working Paper Series, The World Bank 5854, The World Bank.
    13. Tharavanij, Piyapas, 2007. "Capital Market and Business Cycle Volatility," MPRA Paper 4952, University Library of Munich, Germany.
    14. Tharavanij, Piyapas, 2007. "Capital Market Development, Frequency of Recession, and Fraction of Time the Economy in Recession," MPRA Paper 4954, University Library of Munich, Germany.
    15. Juan Pablo Medina Guzman & Jorge Roldos, 2014. "Monetary and Macroprudential Policies to Manage Capital Flows," IMF Working Papers, International Monetary Fund 14/30, International Monetary Fund.
    16. Tharavanij, Piyapas, 2007. "Capital Market, Severity of Business Cycle, and Probability of Economic Downturn," MPRA Paper 4953, University Library of Munich, Germany.
    17. Zhanyu Ying, 2010. "Study on the measurement of China’s financial intermediation ratio in terms of stock: 1992–2006," Frontiers of Economics in China, Springer, Springer, vol. 5(3), pages 430-444, September.

  6. Mario Draghi & Francesco Giavazzi & Robert C. Merton, 2003. "Transparency, Risk Management and International Financial Fragility," NBER Working Papers 9806, National Bureau of Economic Research, Inc.

    Cited by:

    1. Dale F. Gray; & Robert C. Merton & Zvi Bodie, 2009. "New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability," Working Papers Central Bank of Chile, Central Bank of Chile 541, Central Bank of Chile.
    2. Frankel, Jeffrey A., 2011. "Monetary Policy in Emerging Markets: A Survey," Scholarly Articles, Harvard Kennedy School of Government 4669671, Harvard Kennedy School of Government.
    3. Mayes , David G., 2004. "An approach to bank insolvency in transition and emerging economies," Research Discussion Papers, Bank of Finland 4/2004, Bank of Finland.
    4. Robert C. Merton & Zvi Bodie, 2004. "The Design of Financial Systems: Towards a Synthesis of Function and Structure," NBER Working Papers 10620, National Bureau of Economic Research, Inc.
    5. Dimitri Vittas, 2003. "The use of"asset swaps"by institutional investors in South Africa," Policy Research Working Paper Series, The World Bank 3175, The World Bank.
    6. Dale F. Gray, 2013. "Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR," IMF Working Papers, International Monetary Fund 13/218, International Monetary Fund.
    7. Edward J. Kane, 2005. "Can the European Community Afford to Neglect the Need for More Accountable Safety-Net Management?," NBER Working Papers 11860, National Bureau of Economic Research, Inc.
    8. Gianluigi Ferrucci, 2003. "Empirical determinants of emerging market economies' sovereign bond spreads," Bank of England working papers, Bank of England 205, Bank of England.
    9. Dale F. Gray & Robert C. Merton & Zvi Bodie, 2006. "A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy," NBER Working Papers 12637, National Bureau of Economic Research, Inc.

  7. Merton, Robert C., 1997. "Applications of Option-Pricing Theory: Twenty-Five Years Later," Nobel Prize in Economics documents, Nobel Prize Committee 1997-1, Nobel Prize Committee.

    Cited by:

    1. V. Bosetti & J.M. Conrad & E. Messinat, 2004. "The Value of Flexibility: Preservation, Remediation, or Development for Ginostra?," Environmental & Resource Economics, European Association of Environmental and Resource Economists, European Association of Environmental and Resource Economists, vol. 29(2), pages 219-229, October.
    2. Bellalah, Mondher & El Farissi, Inass, 2002. "On Real Options and Information Costs," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/3018, Paris Dauphine University.
    3. Robert A. Jarrow, 1999. "In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 13(4), pages 229-248, Fall.
    4. Stuart Holland & Teresa Carla Oliveira, 2013. "Missing Links: Hume, Smith, Kant and Economic Methodology," Economic Thought, World Economics Association, World Economics Association, vol. 2(2), pages 46, October.
    5. Conrad, Jon M., 2000. "Wilderness: options to preserve, extract, or develop," Resource and Energy Economics, Elsevier, Elsevier, vol. 22(3), pages 205-219, July.
    6. Justus Wesseler, 2002. "The Option Value of Scientific Uncertainty on Pest - Resistance Development of Transgenic Crops," Others, EconWPA 0206001, EconWPA.
    7. Alejandro Bernales & Massimo Guidolin, 2013. "The Effects of Information Asymmetries on the Success of Stock Option Listings," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University 484, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    8. Coleman Bazelon & Kent Smetters, 1999. "Discounting Inside the Washington D.C. Beltway," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 13(4), pages 213-228, Fall.
    9. Xiaozhong Liang, 2005. "The Behavior of Banks under the Deposit Insurance and Capital Requirements," Computing in Economics and Finance 2005, Society for Computational Economics 407, Society for Computational Economics.
    10. Adrian POP, 2005. "La Politique de Dette Subordonnée comme alternative au IIIè Pilier de Bâle II : est-elle faisable?," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) 2005023, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    11. Timothy Riddiough & Paul Childs & Steven Ott, 2001. "Noise, Real Estate Markets, and Options on Real Assets: Applications," Wisconsin-Madison CULER working papers, University of Wisconsin Center for Urban Land Economic Research 01-06, University of Wisconsin Center for Urban Land Economic Research.
    12. Baldwin, Carliss & Hienerth, Christoph & von Hippel, Eric, 2006. "How user innovations become commercial products: A theoretical investigation and case study," Research Policy, Elsevier, Elsevier, vol. 35(9), pages 1291-1313, November.
    13. Brian Loasby, 1999. "Making Connections - A Review of Neil M. Kay, Pattern in Corporate Evolution," International Journal of the Economics of Business, Taylor & Francis Journals, Taylor & Francis Journals, vol. 6(3), pages 439-452.
    14. Alfredo Ibáñez, 2005. "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Computing in Economics and Finance 2005, Society for Computational Economics 216, Society for Computational Economics.
    15. Niels C. Thygesen & Robert N. McCauley & Guonan Ma & William R. White & Jakob de Haan & Willem van den End & Jon Frost & Christiaan Pattipeilohy & Mostafa Tabbae & Ernest Gnan & Morten Balling & Paul , 2013. "50 Years of Money and Finance: Lessons and Challenges," SUERF 50th Anniversary Volume - 50 Years of Money and Finance: Lessons and Challenges, SUERF - The European Money and Finance Forum, number 1 edited by Morten Balling & Ernest Gnan.
    16. Ibáñez, Alfredo, 2008. "Factorization of European and American option prices under complete and incomplete markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(2), pages 311-325, February.
    17. Bellalah, Mondher, 2006. "On derivatives and information costs," International Review of Economics & Finance, Elsevier, Elsevier, vol. 15(1), pages 30-51.
    18. Michael T. Gapen & Dale F. Gray & Cheng Hoon Lim & Yingbin Xiao, 2005. "Measuring and Analyzing Sovereign Risk with Contingent Claims," IMF Working Papers, International Monetary Fund 05/155, International Monetary Fund.
    19. Streissler, Erich W., 2001. "Globalizáció, tőkepiacok és az állam szerepe
      [Globalization, capital markets and the role of the state]
      ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(1), pages 1-17.
    20. Wesseler, Justus, 2009. "The Santaniello theorem of irreversible benefits," MPRA Paper 25602, University Library of Munich, Germany.
    21. Shin S. Ikeda, 2013. "A Contingent Claim Analysis of Suicide," GRIPS Discussion Papers, National Graduate Institute for Policy Studies 13-05, National Graduate Institute for Policy Studies.

  8. Robert C. Merton, 1995. "Financial Innovation and the Management and Regulation of Financial Institutions," NBER Working Papers 5096, National Bureau of Economic Research, Inc.

    Cited by:

    1. W. Scott Frame & Lawrence J. White, 2009. "Technological Change, Financial Innovation, and Diffusion in Banking," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics 09-03, New York University, Leonard N. Stern School of Business, Department of Economics.
    2. David F. Babbel & Anthony M. Santomero, 1997. "Risk Management by Insurers: An Analysis of the Process," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 96-16, Wharton School Center for Financial Institutions, University of Pennsylvania.
    3. George Karathanassis & Vasilios Sogiakas, 2010. "Spill over effects of futures contracts initiation on the cash market: a regime shift approach," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 34(1), pages 95-143, January.
    4. Margaret Armstrong & Guillaume Cornut & Stéphane Delacôte & Marc Lenglet & Yuval Millo & Fabian Muniesa & Alexandre Pointier & Yamina Tadjeddine, 2012. "Towards a practical approach to responsible innovation in finance: New Product Committees revisited," Post-Print, HAL halshs-00699985, HAL.
    5. Françoise Renversez & Christine Lagoutte & Agnès Labye, 2002. "Banques mutualistes et systèmes financiers : une analyse comparative Allemagne, Grande-Bretagne, France," Revue d'Économie Financière, Programme National Persée, Programme National Persée, vol. 67(3), pages 85-109.
    6. Stelios Michalopoulos & Luc Lueven & Ross Levine, 2010. "Financial Innovation and Endogenous Growth," Discussion Papers Series, Department of Economics, Tufts University, Department of Economics, Tufts University 0746, Department of Economics, Tufts University.
    7. de Bondt, Gabe & Marqués-Ibáñez, David, 2004. "The high-yield segment of the corporate bond market: a diffusion modelling approach for the United States, the United Kingdom and the euro area," Working Paper Series, European Central Bank 0313, European Central Bank.
    8. El-Hawary, Dahlia & Grais, Wafik & Iqbal, Zamir, 2007. "Diversity in the regulation of Islamic Financial Institutions," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 46(5), pages 778-800, February.
    9. Pennings, Joost M. E. & M. Leuthold, Raymond, 2001. "Introducing new futures contracts: reinforcement versus cannibalism," Journal of International Money and Finance, Elsevier, Elsevier, vol. 20(5), pages 659-675, October.
    10. Awrey, Dan, 2013. "Toward a supply-side theory of financial innovation," Journal of Comparative Economics, Elsevier, vol. 41(2), pages 401-419.
    11. Blasko, Matej & Sinkey, Joseph Jr., 2006. "Bank asset structure, real-estate lending, and risk-taking," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 46(1), pages 53-81, February.
    12. Shahid Ebrahim, M. & Hussain, Sikandar, 2010. "Financial development and asset valuation: The special case of real estate," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(1), pages 150-162, January.
    13. Martin Mayer, 1999. "Risk Reduction in the New Financial Architecture: Realities, Fallacies, and Proposals," Macroeconomics, EconWPA 9905003, EconWPA.
    14. Mayes, David G., 1998. "Improving Banking Supervision," Research Discussion Papers, Bank of Finland 23/1998, Bank of Finland.
    15. Simon Kwan & Robert Eisenbeis, 1997. "Bank Risk, Capitalization, and Operating Efficiency," Journal of Financial Services Research, Springer, Springer, vol. 12(2), pages 117-131, October.
    16. Mitchell A. Petersen & Raghuram G. Rajan, 2000. "Does Distance Still Matter? The Information Revolution in Small Business Lending," NBER Working Papers 7685, National Bureau of Economic Research, Inc.
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  13. Terry A. Marsh and Robert C. Merton., 1986. "Dividend Behavior for the Aggregate Stock Market," Research Program in Finance Working Papers, University of California at Berkeley 163, University of California at Berkeley.

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    7. Lucy Ackert & William Hunter, 2001. "An Empirical Examination of the Price-Dividend Relation with Dividend Management," Journal of Financial Services Research, Springer, Springer, vol. 19(2), pages 115-129, April.
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    13. Bellalah, Mondher, 2000. "Réflexions sur la politique optimale de dividendes en présence de coûts d'information," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/9846, Paris Dauphine University.
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    23. Andres, C. & Betzer, A. & Goergen, M. & Renneboog, L.D.R., 2008. "The Dividend Policy of German Firms," Discussion Paper, Tilburg University, Center for Economic Research 2008-67, Tilburg University, Center for Economic Research.
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    26. Goergen, M. & Renneboog, L.D.R. & Correia da Silva, L., 2004. "Dividend policy of German firms: A dynamic panel analysis of partial adjustment models," Discussion Paper, Tilburg University, Tilburg Law and Economic Center 2004-013, Tilburg University, Tilburg Law and Economic Center.
    27. Frankfurter, George M. & Wood, Bob Jr., 2002. "Dividend policy theories and their empirical tests," International Review of Financial Analysis, Elsevier, Elsevier, vol. 11(2), pages 111-138.
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    29. Engsted, Tom & Pedersen, Thomas Q., 2010. "The dividend-price ratio does predict dividend growth: International evidence," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(4), pages 585-605, September.
    30. Leibrecht, Markus & Bellak, Christian & Wild, Michael, 2009. "Does lowering dividend tax rates increase dividends repatriated?: evidence of intra-firm cross-border dividend repatriation policies by German Multinational Enterprises," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre 2009,19, Deutsche Bundesbank, Research Centre.
    31. Christi Wann & D. Long, 2009. "Do liquidity induced changes in aggregate dividends signal aggregate future earnings growth?," Journal of Economics and Finance, Springer, Springer, vol. 33(1), pages 1-12, January.
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    36. Terrance Odean., 1996. "Volume, Volatility, Price and Profit When All Trader Are Above Average," Research Program in Finance Working Papers, University of California at Berkeley RPF-266, University of California at Berkeley.
    37. Wu, Chunchi, 1996. "Taxes and dividend policy," International Review of Economics & Finance, Elsevier, Elsevier, vol. 5(3), pages 291-305.
    38. Myung Hwan Seo & Yongcheol Shin, 2014. "Dynamic Panels with Threshold Effect and Endogeneity," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2014/577, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    39. Goergen, M. & Renneboog, L.D.R. & Correia da Silva, L., 2004. "Dividend Policy of German Firms," Discussion Paper, Tilburg University, Center for Economic Research 2004-122, Tilburg University, Center for Economic Research.
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    43. Samih Antoine Azar, 2012. "Determinants of Cyclical Aggregate Dividend Behavior," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 71-78, August.
    44. Tom Van Caneghem & Walter Aerts, 2011. "Intra-industry conformity in dividend policy," Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 37(6), pages 492-516, June.
    45. Andres, Christian & Betzer, André & Goergen, Marc & Renneboog, Luc, 2009. "Dividend policy of German firms: A panel data analysis of partial adjustment models," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(2), pages 175-187, March.
    46. Steven Li, 2002. "A valuation model for firms with stochastic earnings," School of Economics and Finance Discussion Papers and Working Papers Series, School of Economics and Finance, Queensland University of Technology 122, School of Economics and Finance, Queensland University of Technology.
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  14. Zvi Bodie & Alan J. Marcus & Robert C. Merton, 1985. "Defined Benefit versus Defined Contribution Pension Plans: What are the Real Tradeoffs?," NBER Working Papers 1719, National Bureau of Economic Research, Inc.

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    1. Takeuchi, Tomohiko & Tachibanaki, Toshiaki, 2004. "The differences in the economic effects between the DB plan and the DC plan," Journal of the Japanese and International Economies, Elsevier, vol. 18(4), pages 551-564, December.
    2. Palacios, Robert & Whitehouse, Edward, 1998. "The role of choice in the transition to a funded pension system," Social Protection Discussion Papers 20109, The World Bank.
    3. Salvador Valdés & Gonzalo Edwards, . "Jubilación en los Sistemas Pensionales Privados," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. 182, Instituto de Economia. Pontificia Universidad Católica de Chile..
    4. Srinivas, P.S. & Whitehouse, Edward & Yermo, Juan, 2000. "Regulating private pension funds’ structure, performance and investments: cross-country evidence," MPRA Paper 14753, University Library of Munich, Germany.
    5. Poterba, James & Rauh, Joshua & Venti, Steven & Wise, David, 2007. "Defined contribution plans, defined benefit plans, and the accumulation of retirement wealth," Journal of Public Economics, Elsevier, Elsevier, vol. 91(10), pages 2062-2086, November.
    6. Gopi Shah Goda & Colleen Flaherty Manchester, 2010. "Incorporating Employee Heterogeneity Into Default Rules for Retirement Plan Selection," Working Papers, Center for Retirement Research at Boston College, Center for Retirement Research wp2010-5, Center for Retirement Research.
    7. Whitehouse, Edward, 2000. "Paying for pensions: An international comparison of administrative charges in funded retirement-income systems," MPRA Paper 14171, University Library of Munich, Germany.
    8. David McCarthy, 2003. "A Lifecycle Analysis of Defined Benefit Pension Plans," Working Papers, University of Michigan, Michigan Retirement Research Center wp053, University of Michigan, Michigan Retirement Research Center.
    9. Thomas Steinberger, 2005. "Pension benefit default risk and welfare effects of funding regulation," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy 147, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
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    4. Meghana Ayyagari & Asli Demirgüç-Kunt & Vojislav Maksimovic, 2013. "What Determines Protection of Property Rights? An Analysis of Direct and Indirect Effects," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 11(4), pages 610-649, September.
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  18. Robert C. Merton & Zvi Bodie & Alan J. Marcus, 1984. "Pension Plan Integration as Insurance Against Social Security Risk," NBER Working Papers 1370, National Bureau of Economic Research, Inc.

    Cited by:

    1. Zvi Bodie & Alan J. Marcus & Robert C. Merton, 1988. "Defined Benefit versus Defined Contribution Pension Plans: What are the Real Trade-offs?," NBER Chapters, National Bureau of Economic Research, Inc, in: Pensions in the U.S. Economy, pages 139-162 National Bureau of Economic Research, Inc.
    2. R. Glenn Hubbard, 1984. "'Precautionary' Saving Revisited: Social Security, Individual Welfare, and the Capital Stock," NBER Working Papers 1430, National Bureau of Economic Research, Inc.
    3. Marie-Eve Lachance & Olivia S. Mitchell, 2002. "Understanding Individual Account Guarantees," NBER Working Papers 9195, National Bureau of Economic Research, Inc.
    4. Bender, Keith A., 2009. "How are pension integration and pension benefits related?," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 49(1), pages 26-41, February.
    5. Alan L. Gustman & Olivia S. Mitchell & Thomas L. Steinmeier, 1993. "The Role of Pensions in the Labor Market," NBER Working Papers 4295, National Bureau of Economic Research, Inc.
    6. Dutta, Jayasri & Kapur, Sandeep & Orszag, J. Michael, 2000. "A portfolio approach to the optimal funding of pensions," Economics Letters, Elsevier, Elsevier, vol. 69(2), pages 201-206, November.
    7. Olivia S. Mitchell, . "Developments in Pensions," Pension Research Council Working Papers, Wharton School Pension Research Council, University of Pennsylvania 98-4, Wharton School Pension Research Council, University of Pennsylvania.

  19. Robert C. Merton, 1982. "On Consumption-Indexed Public Pension Plans," NBER Working Papers 0910, National Bureau of Economic Research, Inc.

    Cited by:

    1. Diamond, P., 1994. "Insulations of pensions from Political Risk," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics 94-20, Massachusetts Institute of Technology (MIT), Department of Economics.
    2. Dirk Broeders & Paul Hilbers & David Rijsbergen, 2013. "What drives pension indexation in turbulent times? An empirical examination of Dutch pension funds," DNB Working Papers, Netherlands Central Bank, Research Department 368, Netherlands Central Bank, Research Department.
    3. Robert J. Shiller, 1998. "Social Security and Institutions for Intergenerational, Intragenerational and International Risk Sharing," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1185, Cowles Foundation for Research in Economics, Yale University.
    4. Edward P. Lazear, 1985. "Incentive Effects of Pensions," NBER Chapters, National Bureau of Economic Research, Inc, in: Pensions, Labor, and Individual Choice, pages 253-282 National Bureau of Economic Research, Inc.
    5. Wolfram Horneff & Raimond Maurer & Olivia Mitchell & Ivica Dus, 2006. "Optimizing the Retirement Portfolio: Asset Allocation, Annuitization, and Risk Aversion," Working Papers, University of Michigan, Michigan Retirement Research Center wp124, University of Michigan, Michigan Retirement Research Center.
    6. Horneff, Wolfram J. & Maurer, Raimond H. & Mitchell, Olivia S. & Dus, Ivica, 2008. "Following the rules: Integrating asset allocation and annuitization in retirement portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 396-408, February.
    7. Robert J. Shiller, 1997. "Expanding the Scope of Individual Risk Management: Moral Hazard and Other Behavioral Considerations," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1145, Cowles Foundation for Research in Economics, Yale University.

  20. Robert C. Merton, 1981. "On the Role of Social Security as a Means for Efficient Risk-Bearing in an Economy Where Human Capital Is Not Tradeable," NBER Working Papers 0743, National Bureau of Economic Research, Inc.

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    1. Egil Matsen & Øystein Thøgersen, 2000. "Designing Social Security – A Portfolio Choice Approach," Working Paper Series, Department of Economics, Norwegian University of Science and Technology 1102, Department of Economics, Norwegian University of Science and Technology.
    2. Michael Voigtländer, 2005. "Qualitative und quantitative Aspekte einer Elternrente," Otto-Wolff-Institut Discussion Paper Series, Otto-Wolff-Institut für Wirtschaftsordnung, Köln, Deutschland 02/2005, Otto-Wolff-Institut für Wirtschaftsordnung, Köln, Deutschland.
    3. Barbie, Martin & Hagedorn, Marcus & Kaul, Ashok, 2002. "Fostering Within-Family Human Capital Investment: An Intragenerational Insurance Perspective of Social Security," IZA Discussion Papers 678, Institute for the Study of Labor (IZA).
    4. Lans Bovenberg & Harald Uhlig, 2008. "Pension Systems and the Allocation of Macroeconomic Risk," NBER Chapters, National Bureau of Economic Research, Inc, in: NBER International Seminar on Macroeconomics 2006, pages 241-344 National Bureau of Economic Research, Inc.
    5. Martin Kolmar & Volker Meier, 2005. "Intra-Generational Externalities and Inter-Generational Transfers," CESifo Working Paper Series, CESifo Group Munich 1437, CESifo Group Munich.
    6. Wagener, Andreas, 2004. "On intergenerational risk sharing within social security schemes," European Journal of Political Economy, Elsevier, Elsevier, vol. 20(1), pages 181-206, March.
    7. Krueger, Dirk & Kubler, Felix, 2005. "Pareto improving social security reform when financial markets are incomplete!?," CFS Working Paper Series, Center for Financial Studies (CFS) 2005/12, Center for Financial Studies (CFS).
    8. David Miles & Ales Cerny, 2001. "Risk, Return and Portfolio Allocation under Alternative Pension Arrangements with Imperfect Financial Markets," CESifo Working Paper Series, CESifo Group Munich 441, CESifo Group Munich.
    9. Alexander Kemnitz & Berthold U. Wigger, 2000. "Growth and Social Security: The Role of Human Capital," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy 33, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    10. Mulligan Casey B & Gil Ricard & Sala-i-Martin Xavier X, 2010. "Social Security and Democracy," The B.E. Journal of Economic Analysis & Policy, De Gruyter, De Gruyter, vol. 10(1), pages 1-46, March.
    11. Miles, David K & Sefton, James, 2002. "Optimal Social Security Design," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3290, C.E.P.R. Discussion Papers.
    12. Maclennan, Duncan & Muellbauer, John & Stephens, Mark, 1998. "Asymmetries in Housing and Financial Market Institutions and EMU," Oxford Review of Economic Policy, Oxford University Press, Oxford University Press, vol. 14(3), pages 54-80, Autumn.
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    14. Boldrin, Michele & Montes, Ana, 2002. "The Intergenerational State: Education and Pensions," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3275, C.E.P.R. Discussion Papers.
    15. Laurence J. Kotlikoff, 1995. "Privatization of Social Security: How It Works and Why It Matters," NBER Working Papers 5330, National Bureau of Economic Research, Inc.
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    17. Elmendorf, Douglas W & Kimball, Miles S, 2000. "Taxation of Labor Income and the Demand for Risky Assets," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 41(3), pages 801-33, August.
    18. Zvi Bodie & Alan J. Marcus & Robert C. Merton, 1988. "Defined Benefit versus Defined Contribution Pension Plans: What are the Real Trade-offs?," NBER Chapters, National Bureau of Economic Research, Inc, in: Pensions in the U.S. Economy, pages 139-162 National Bureau of Economic Research, Inc.
    19. Syed M. Ahsan & Panagiotis Tsigaris, 2003. "Choice of Tax Base Revisited: Cash Flow vs. Prepayment Approaches to Consumption Taxation," CESifo Working Paper Series, CESifo Group Munich 983, CESifo Group Munich.
    20. Miles, David K, 2000. "Funded and Unfunded Pensions: Risk, Return and Welfare," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2369, C.E.P.R. Discussion Papers.
    21. Lindbeck, Assar, 1997. "Incentives in the Welfare State," Seminar Papers, Stockholm University, Institute for International Economic Studies 604, Stockholm University, Institute for International Economic Studies.
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    23. Thomas Steinberger, 2005. "Pension benefit default risk and welfare effects of funding regulation," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy 147, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    24. Michele Boldrin & Aldo Rustichini, 2000. "Political Equilibria with Social Security," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(1), pages 41-78, January.
    25. David K. Miles, 2000. "Funded and Unfunded Pension Schemes: Risk, Return and Welfare," CESifo Working Paper Series, CESifo Group Munich 239, CESifo Group Munich.
    26. Casey B. Mulligan & Xavier Sala-i-Martin, 1999. "Social security in theory and practice (II): Efficiency theories, narrative theories and implications for reform," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 385, Department of Economics and Business, Universitat Pompeu Fabra.

  21. Robert C. Merton, 1980. "On Estimating the Expected Return on the Market: An Exploratory Investigation," NBER Working Papers 0444, National Bureau of Economic Research, Inc.

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    1. Michael McAleer & Marcelo Cunha Medeiros, 2010. "Forecasting Realized Volatility with Linear and Nonlinear Models," Textos para discussão, Department of Economics PUC-Rio (Brazil) 568, Department of Economics PUC-Rio (Brazil).
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    3. Corsi, Fulvio & Peluso, Stefano & Audrino, Francesco, 2012. "Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science 1202, University of St. Gallen, School of Economics and Political Science.
    4. Jay Shanken & Ane Tamayo, 2001. "Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield," NBER Working Papers 8666, National Bureau of Economic Research, Inc.
    5. Jun Yu, 2006. "Temporal Aggregation and Risk-Return Relation," Working Papers, Singapore Management University, School of Economics 01-2007, Singapore Management University, School of Economics.
    6. Thomas Kraus & Heinz Zimmermann, 2002. "Stock Option Listings:Information versus Liquidity Effects," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), Swiss Society of Economics and Statistics (SSES), vol. 138(I), pages 83-97, March.
    7. Manuabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Modelling and Forecasting Noisy Realized Volatility," Working Papers in Economics, University of Canterbury, Department of Economics and Finance 10/21, University of Canterbury, Department of Economics and Finance.
    8. Amir Safari & Detlef Seese, 2010. "Behavior of realized volatility and correlation in exchange markets," International Econometric Review (IER), Econometric Research Association, Econometric Research Association, vol. 2(2), pages 73-96, September.
    9. Dimitrios D. Thomakos & Michail S. Koubouros, 2005. "Realized Volatility and Asymmetries in the A.S.E. Returns," Finance, EconWPA 0504009, EconWPA, revised 17 Jan 2006.
    10. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2000. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," NBER Working Papers 7590, National Bureau of Economic Research, Inc.
    11. Fama, Eugene F. & French, Kenneth R., 1997. "Industry costs of equity," Journal of Financial Economics, Elsevier, Elsevier, vol. 43(2), pages 153-193, February.
    12. Torben Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," NBER Working Papers 6961, National Bureau of Economic Research, Inc.
    13. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2001. "High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models," NBER Working Papers 8162, National Bureau of Economic Research, Inc.
    14. Jonathan Lewellen & Stefan Nagel, 2003. "The Conditional CAPM does not Explain Asset-Pricing Anamolies," NBER Working Papers 9974, National Bureau of Economic Research, Inc.
    15. Louis K.C. Chan & Jason Karceski & Josef Lakonishok, 1999. "On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model," NBER Working Papers 7039, National Bureau of Economic Research, Inc.
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    17. John Knight & Fuchun Li & Mingwei Yuan, 2006. "A Semiparametric Two-Factor Term Structure Model," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(2), pages 204-237.
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    20. Glen Donaldson & Mark Kamstra & Lisa Kramer, 2003. "Stare down the barrel and center the crosshairs: Targeting the ex ante equity premium," Working Paper, Federal Reserve Bank of Atlanta 2003-4, Federal Reserve Bank of Atlanta.
    21. Garlappi, Lorenzo & Uppal, Raman & Wang, Tan, 2005. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5148, C.E.P.R. Discussion Papers.
    22. Campbell, John Y & Kim, Sangjoon & Lettau, Martin, 1998. "Dispersion and Volatility in Stock Returns: An Empirical Investigation," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1923, C.E.P.R. Discussion Papers.
    23. Yacine Aït-Sahalia, 2005. "How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 18(2), pages 351-416.
    24. Roskelley, Kenneth D., 2008. "Cromwell's Rule and the Role of the Prior in the Economic Metric: An Application to the Portfolio Allocation Problem," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 26, pages 227-236, April.
    25. Knill, April M. & Lee, Bong Soo & Mauck, Nathan, 2012. "Sovereign wealth fund investment and the return-to-risk performance of target firms," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 21(2), pages 315-340.
    26. Don Bredin & John Cotter, 2008. "Volatility And Irish Exports," Economic Inquiry, Western Economic Association International, Western Economic Association International, vol. 46(4), pages 540-560, October.
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    29. David G. Barr & Richard Priestley, . "Expected Returns, Risk, and the Integration of International Bond Markets," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University 97-01, Economics and Finance Section, School of Social Sciences, Brunel University.
    30. Andreou, Elena & Ghysels, Eric, 2002. "Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(3), pages 363-76, July.
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  23. Merton, Robert C., 1977. "On the cost of deposit insurance when there are surveillance costs," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management 903-77., Massachusetts Institute of Technology (MIT), Sloan School of Management.

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    8. Antonio Roma, 2006. "Common factors and balance sheet structure of major European banks," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, Banca Nazionale del Lavoro, vol. 59(237), pages 123-170.
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