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Research classified by
Journal of
Economic Literature (JEL) codes
Top JEL
/ G: Financial Economics
/ / G1: General Financial Markets
/ / / G10: General (includes Measurement and Data)
/ / / G11: Portfolio Choice; Investment Decisions
/ / / G12: Asset Pricing
/ / / G13: Contingent Pricing; Futures Pricing
/ / / G14: Information and Market Efficiency; Event Studies
/ / / G15: International Financial Markets
/ / / G18: Government Policy and Regulation
/ / / G19: Other
Most recent items first, undated at the end.
2008 Do high-frequency measures of volatility improve forecasts of return distributions?
by John M Maheu & Thomas H McCurdy [Downloadable!]
2008 Observing bailout expectations during a total eclipse of the sun
by Oscar Bernal & Kim Oosterlinck & Ariane Szafarz [Downloadable!]
2008 Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
by Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen [Downloadable!]
2008 The Study of Foreign Direct Investment - Poverty Nexus in Pakistan: Under Investigation of Pro-Poor Investment Index (PPII)
by Zaman, Khalid & Ikram, Waseem [Downloadable!]
2008 Garch Parameter Estimation Using High-Frequency Data
by Visser, Marcel P. [Downloadable!]
2008 Modeling International Financial Returns with a Multivariate Regime Switching Copula
by Chollete, Loran & Heinen, Andreas & Valdesogo, Alfonso [Downloadable!]
2008 Modelling The World Exchange Rates:Dynamics, Volatility And Forecasting
by Nwaobi, Godwin [Downloadable!]
2008 Fundamentals of Functional Business Valuation - Chinese 3rd Version
by Matschke, Manfred Jürgen & Broesel, Gerrit [Downloadable!]
2008 Long-term linear trends in consumer price indices
by Kitov, Ivan & Kitov, Oleg [Downloadable!]
2008 Co-integration and Causality Analysis on Developed Asian Markets For Risk Management & Portfolio Selection
by Herwany, Aldrin & Febrian, Erie [Downloadable!]
2008 Stress Testing Linkages between Banks in the Netherlands
by van Lelyveld, Iman & Liedorp, Franka & Pröpper, Marc [Downloadable!]
2008 Macroeconomic Volatility and Stock Market Volatility, World-Wide
by Francis X. Diebold & Kamil Yilmaz [Downloadable!]
2008 An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch [Downloadable!]
2008 Power Laws in Economics and Finance
by Xavier Gabaix [Downloadable!]
2008 Macroeconomic Volatility and Stock Market Volatility, Worldwide
by Francis X. Diebold & Kamil Yilmaz [Downloadable!]
2008 Modeling the Long Run: Valuation in Dynamic Stochastic Economies
by Lars Peter Hansen [Downloadable!]
2008 Long Term Insurance (LTI) for Addressing Catastrophe Risk
by Dwight Jaffee & Howard Kunreuther & Erwann Michel-Kerjan [Downloadable!]
2008 Real Effects of the Subprime Mortgage Crisis: Is it a Demand or a Finance Shock?
by Hui Tong & Shang-Jin Wei [Downloadable!]
2008 Housing Wealth Isn't Wealth
by Willem H. Buiter [Downloadable!]
2008 Crashes and Recoveries in Illiquid Markets
by Ricardo Lagos & Guillaume Rocheteau & Pierre-Olivier Weill [Downloadable!]
2008 Life-cycle Investing and Leverage: Buying Stock on Margin Can Reduce Retirement Risk
by Ian Ayres & Barry J. Nalebuff [Downloadable!]
2008 Subprime Mortgages: What, Where, and to Whom?
by Christopher J. Mayer & Karen Pence [Downloadable!]
2008 Why do Foreigners Invest in the United States?
by Kristin J. Forbes [Downloadable!]
2008 Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk
by Bruce Lehmann [Downloadable!]
2008 Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
by Francis X. Diebold & Kamil Yilmaz [Downloadable!]
2008 Bond Supply and Excess Bond Returns
by Robin Greenwood & Dimitri Vayanos [Downloadable!]
2008 Predictive Systems: Living with Imperfect Predictors
by Lubos Pastor & Robert F. Stambaugh [Downloadable!]
2008 Cross-Border Returns Differentials
by Stephanie E. Curcuru & Tomas Dvorak & Francis E. Warnock [Downloadable!]
2008 How Does Corporate Governance Risk at Home Affect Investment Choices Abroad?
by Woochan Kim & Taeyoon Sung & Shang-Jin Wei [Downloadable!]
2008 Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield
by Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & McMahon, Sébastien [Downloadable!]
2008 Un portrait de l?investisseur individuel français
by Shaneera Boolell-Gunesh [Downloadable!]
2008 Do Futures Benefit Farmers?
by Lence, Sergio H. [Downloadable!]
2008 Planting Real Option in Cash Rent Valuation, The
by Xiaodong Du & David A. Hennessy [Downloadable!]
2008 Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia
by Nikolaus Hautsch & Yangguoyi Ou [Downloadable!]
2008 Are Professional Investors Sophisticated?
by Menkhoff, Lukas & Schmeling, Maik & Schmidt, Ulrich [Downloadable!]
2008 No arbitrage condition and existence of equilibrium in inï¬nite or ï¬nite dimension with expected risk averse utilities
by Thai Ha Huy & Cuong Le Van & Manh Hung Nguyen [Downloadable!]
2008 Towards a Network Description of Interbank Payment Flows
by Marc Pröpper & Iman van Lelyveld & Ronald Heijmans [Downloadable!]
2008 The Virtues and Vices of Equilibrium and the Future of Financial Economics
by J. Doyne Farmer & John Geanakoplos [Downloadable!]
2008 Does Idiosyncratic Business Risk Matter?
by Michelacci, Claudio & Schivardi, Fabiano [Downloadable!]
2008 Bond Supply and Excess Bond Returns
by Greenwood, Robin & Vayanos, Dimitri [Downloadable!]
2008 Higher Order Expectations in Asset Pricing
by Bacchetta, Philippe & van Wincoop, Eric [Downloadable!]
2008 Optimal External Debt and Default
by Bernardo Guimaraes [Downloadable!]
2008 The Credit Risk Premium in a Disaster-Prone World
by Zhu, Yanhui & Copeland, Laurence [Downloadable!]
2008 Optimal Asset Allocation with Factor Models for Large Portfolios
by Pesaran, M.H. & Zaffaroni, P. [Downloadable!]
2008 An Affine Factor Model of the Greek Term Structure
by Hiona Balfoussia [Downloadable!]
2008 Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model
by Annastiina Silvennoinen & Timo Teräsvirta [Downloadable!]
2008 Structural Change in the Efficiency of the Japanese Stock Market after the Millennium
by Terence Tai-Leung Chong & Sheung Tat Chan [Downloadable!]
2008 The relative efficiency of stockmarkets
by Ricardo Giglio & Raul Matsushita & Sergio Da Silva [Downloadable!]
2008 Exploring the driving force and price adjustment of the J-REIT market
by Sichong Chen [Downloadable!]
2008 Disclosure of mergers without regulatory restrictions: Insider trading in pre-1914 Germany
by Gerhard Kling [Downloadable!]
2008 Is the Brazilian stockmarket efficient?
by Caio Guttler & Roberto Meurer & Sergio Da Silva [Downloadable!]
2008 An empirical analysis of structural changes in emerging market volatility
by Duc NGUYEN [Downloadable!]
2008 Explosive and periodically collapsing bubbles in emerging stockmarkets
by Mauricio Nunes & Sergio Da Silva [Downloadable!]
2008 Comparison of Mean-Variance Theory and Expected-Utility Theory through a Laboratory Experiment
by Andrea Morone [Downloadable!]
2008 Demarcating stable and turbulent regimes in Taiwan's stock market
by Yu-Lieh Huang & Chia-Wen Ho [Downloadable!]
2008 Rational Bubbles in the Korea Stock Market? Further Evidence based on Nonlinear and Nonparametric Cointegration Tests
by Wen-Chi Liu & Tsangyao Chang [Downloadable!]
2008 The Relationship between Stock Price and EPS: Evidence Based on Taiwan Panel Data
by Hsu-Ling Chang & Yahn-Shir Chen & Chi-Wei Su & Ya-Wen Chang [Downloadable!]
2008 Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries
by Shyh-Wei Chen [Downloadable!]
2007 Using Financial Markets to Analyze History: The Case of the Second World War
by Bruno S. Frey & Daniel Waldenström [Downloadable!]
2007 Options, Futures, and Other Derivatives in Russia: An Overview
by Rotfuß, Waldemar [Downloadable!]
2007 Banking consolidation and small businessfinance : empirical evidence for Germany
by Marsch, Katharina & Schmieder, Christian & Forster-van Aerssen, Katrin [Downloadable!]
2007 Financial Development and Technology
by Solomon Tadesse & & [Downloadable!]
2007 Innovation, Information and Financial Architecture
by Solomon Tadesse & & [Downloadable!]
2007 DEA models for ethical and non ethical mutual funds with negative data
by Antonella Basso & Stefania Funari [Downloadable!]
2007 An Application of Extreme Value Theory to U.S. Movie Box Office Returns
by Guang Bi & David E. Giles [Downloadable!]
2007 Modeling foreign exchange rates with jumps
by John M Maheu & Thomas H McCurdy [Downloadable!]
2007 Determinants of Interest Group Formation
by Bonnie Wilson & Dennis Coates & Jac Heckelman [Downloadable!]
2007 Interest Group Activity and Long-Run Stock Market Performance
by Bonnie Wilson & Dennis Coates [Downloadable!]
2007 A closed-form solution to the continuous-time consumption model with endogenous labor income
by Aihua Zhang [Downloadable!]
2007 Forecasting Oil Price Movements: Exploiting the Information in the Future Market
by Andrea Coppola [Downloadable!]
2007 Co-integration and Causality Among Jakarta Stock Exchange, Singapore Stock Exchange, and Kuala Lumpur Stock Exchange
by Febrian, Erie & Herwany, Aldrin [Downloadable!]
2007 Stock Price Manipulation: The Role of Intermediaries
by Siddiqi, Hammad [Downloadable!]
2007 Relationship between the Changes in Ownership and Performance of Indian Firms around IPO: A Panel Data Analysis
by Mayur, Manas & Kumar, Manoj & Mahakud, Jitendra [Downloadable!]
2007 Regulation versus Competition on European Financial Markets
by Horobet , Alexandra & Ilie, Livia [Downloadable!]
2007 Ito Processes with Finitely Many States of Memory
by McCauley, Joseph L. [Downloadable!]
2007 The asymmetric impact of macroeconomic announcements on U.S. Government bond rate level and volatility
by Tuysuz, Sukriye [Downloadable!]
2007 Why is the foreclosure rate so high in Indiana?
by Tatom, John [Downloadable!]
2007 Financial Sector Restructuring in Pakistan
by Khan, Muhammad Arshad & khan, Sajawal [Downloadable!]
2007 Extreme risk in Asian equity markets
by Cotter, John [Downloadable!]
2007 Intra-Day Seasonality in Foreign Exchange Market Transactions
by Cotter, John & Dowd, Kevin [Downloadable!]
2007 Rational Interacting Agents and Volatility Clustering: A New Approach
by Siddiqi, Hammad [Downloadable!]
2007 Portfolio Value-at-Risk with Time-Varying Copula: Evidence from the Americas
by Ozun, Alper & Cifter, Atilla [Downloadable!]
2007 Multiscale Systematic Risk: An Application on ISE-30
by Cifter, Atilla & Ozun, Alper [Downloadable!]
2007 Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
by Francis X. Diebold & Canlin Li & Vivian Z. Yue [Downloadable!]
2007 The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models
by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch [Downloadable!]
2007 When Does a Mutual Fund's Trade Reveal its Skill?
by Zhi Da & Pengjie Gao & Ravi Jagannathan [Downloadable!]
2007 The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models
by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch [Downloadable!]
2007 Advisors and Asset Prices: A Model of the Origins of Bubbles
by Harrison Hong & Jose A. Scheinkman & Wei Xiong [Downloadable!]
2007 Wall Street and Silicon Valley: A Delicate Interaction
by George-Marios Angeletos & Guido Lorenzoni & Alessandro Pavan [Downloadable!]
2007 Is the "Surge" Working? Some New Facts
by Michael Greenstone [Downloadable!]
2007 Psychology and Economics: Evidence from the Field
by Stefano DellaVigna [Downloadable!]
2007 Agency Conflicts, Investment, and Asset Pricing
by Rui Albuquerque & Neng Wang [Downloadable!]
2007 The Fundamentals of Commodity Futures Returns
by Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst [Downloadable!]
2007 Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models
by Michael F. Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley E. Zin [Downloadable!]
2007 Long-Run Risks and Financial Markets
by Ravi Bansal [Downloadable!]
2007 Cointegration and Consumption Risks in Asset Returns
by Ravi Bansal & Robert Dittmar & Dana Kiku [Downloadable!]
2007 Rational Pessimism, Rational Exuberance, and Asset Pricing Models
by Ravi Bansal & A. Ronald Gallant & George Tauchen [Downloadable!]
2007 Inflation Illusion, Credit, and Asset Pricing
by Monika Piazzesi & Martin Schneider [Downloadable!]
2007 Beliefs, Doubts and Learning: Valuing Economic Risk
by Lars Peter Hansen [Downloadable!]
2007 Collective Risk Management in a Flight to Quality Episode
by Ricardo J. Caballero & Arvind Krishnamurthy [Downloadable!]
2007 Slow Moving Capital
by Mark Mitchell & Lasse Heje Pedersen & Todd Pulvino [Downloadable!]
2007 Predictive Systems: Living with Imperfect Predictors
by Lubos Pastor & Robert F. Stambaugh [Downloadable!]
2007 Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures
by Rose-Anne Dana & Cuong Le Van [Downloadable!]
2007 Choosing Between Fixed and Adjustable Rate Mortgages
by Paiella, Monica & Pozzolo, Alberto Franco [Downloadable!]
2007 Bond Indebtedness in a Recursive Dynamic CGE Model
by André Lemelin [Downloadable!]
2007 Generating Innovations in Economic Variables
by Vitor Leone & Lawrence A. Leger [Downloadable!]
2007 Changes in the risk structure of stock returns. Consumer Confidence and the Dotcom Bubble
by Lawrence A. Leger & Vitor Leone [Downloadable!]
2007 Random Walk Expectations and the Forward Discount Puzzle
by Philippe BACCHETTA & Eric VAN WINCOOP [Downloadable!]
2007 Do Differences in Institutional and Legal Environments Explain Cross-Country Variations in IPO Underpricing?
by Christian Hopp & Axel Dreher [Downloadable!]
2007 Macroeconomic Volatility and Stock Market Volatility,World-Wide
by Francis X. Diebold & Kamil Yılmaz [Downloadable!]
2007 Adaptive Expectations and Stock Market Crashes
by Frankel, David M. [Downloadable!]
2007 The Seismography of Crashes in Financial Markets
by Tanya Araujo & Francisco Louçã [Downloadable!]
2007 Modelling Sovereign Bond Yield Curves of the US, Japan and Germany
by Chi-sang Tam & Ip-wing Yu [Downloadable!]
2007 Information Acquisition and Portfolio Performance
by Luigi Guiso & Tullio Jappelli [Downloadable!]
2007 The Impact of Heavy Tails and Comovements in Downside-Risk Diversification
by Jesus Gonzalo & Jose Olmo [Downloadable!]
2007 Using Financial Markets to Analyze History: The Case of the Second World War
by Bruno S. Frey & Daniel Waldenstrom [Downloadable!]
2007 Correlated Trading and Returns
by Dorn, Daniel & Huberman, Gur & Sengmueller, Paul [Downloadable!]
2007 Currency Crisis Triggers: Sunspots or Thresholds?
by Guimarães, Bernardo [Downloadable!]
2007 Institutional Trade Persistence and Long-Term Equity Returns
by Dasgupta, Amil & Prat, Andrea & Verardo, Michela [Downloadable!]
2007 Market Liquidity and Funding Liquidity
by Brunnermeier, Markus K & Pedersen, Lasse Heje [Downloadable!]
2007 Favouritism or Markets in Capital Allocation?
by Giannetti, Mariassunta & Yu, Xiaoyun [Downloadable!]
2007 Random Walk Expectations and the Forward Discount Puzzle
by Bacchetta, Philippe & van Wincoop, Eric [Downloadable!]
2007 Slow Moving Capital
by Mitchell, Mark & Pedersen, Lasse Heje & Pulvino, Todd [Downloadable!]
2007 The Gambler's and Hot-Hand Fallacies: Theory and Applications
by Rabin, Matthew & Vayanos, Dimitri [Downloadable!]
2007 Predictive Systems: Living with Imperfect Predictors
by Pástor, Lubos & Stambaugh, Robert F [Downloadable!]
2007 Entrepreneurial Learning, the IPO Decision, and the Post-IPO Drop in Firm Profitability
by Pástor, Lubos & Taylor, Lucian & Veronesi, Pietro [Downloadable!]
2007 Political Connections and Preferential Access to Finance: The Role of Campaign Contributions
by Claessens, Stijn & Feijen, Erik & Laeven, Luc [Downloadable!]
2007 Optimal external debt and default
by Guimarães, Bernardo [Downloadable!]
2007 Gradualism, Transparency and Improved Operational Framework: A Look at the Overnight Volatility Transmission
by Silvio Colarossi & Andrea Zaghini [Downloadable!]
2007 Loan and bond finance in Argentina, 1985-2005
by Roque B. Fernández & Celeste González & Sergio Pernice & Jorge M. Streb [Downloadable!]
2007 Rare Disasters and the Equity Premium in a Two-Country World
by Copeland, Laurence & Zhu, Yanhui [Downloadable!]
2007 Ownership Structure and Analysts' Earnings Forecasts: UK Evidence
by Taylor, Svetlana M. [Downloadable!]
2007 Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis
by David Jamieson Bolder & Tiago Rubin [Downloadable!]
2007 Liquidity and Ambiguity: Banks or Asset Markets?
by Jürgen Eichberger & Willy Spanjers [Downloadable!]
2007 A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects
by Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen [Downloadable!]
2007 Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
by Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen [Downloadable!]
2007 Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega [Downloadable!]
2007 Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold [Downloadable!]
2007 A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures
by Torben G. Andersen & Tim Bollerslev & Xin Huang [Downloadable!]
2007 The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
by Thomas Busch & Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen [Downloadable!]
2007 Buying Winners while Holding on to Losers: an Experimental Study of Investors’ Behavior
by Anna Dodonova & Yuri Khoroshilov [Downloadable!]
2007 Constructing Fama-French Factors from style indexes: Japanese evidence
by Vu Thang Long Pham [Downloadable!]
2007 Stock Prices and Dividends in Taiwan's Stock Market: Evidence Based on Time-Varying Present Value Model
by Chi-Wei Su & Hsu-Ling Chang & Yahn-Shir Chen [Downloadable!]
2007 Hurst exponents, power laws, and efficiency in the Brazilian foreign exchange market
by Sergio Da Silva & Raul Matsushita & Iram Gleria & Annibal Figueiredo [Downloadable!]
2007 Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy?
by Matei Demetrescu [Downloadable!]
2007 Some implications of a quartic loss function
by Kevin Aretz & David Peel [Downloadable!]
2007 Financial Constraints and the Risk-Return Relation
by Tao Wang [Downloadable!]
2007 Continuous Time Models of Interest Rate: Testing the Mexican Data (1998-2006)
by Jose Antonio Nuñez & Jose Luis de la Cruz & Elizabeth Ortega [Downloadable!]
2007 The impact of foreign trading information on emerging futures markets: a study of Taiwan's unique data set
by Wen-Hsiu Kuo & Ching-Chung Lin & Liu-Hsiang Hsu [Downloadable!]
2007 Does the US IT stock market dominate other IT stock markets: Evidence from multivariate GARCH model
by Zhuo Qiao & Venus Khim-Sen Liew & Wing-Keung Wong [Downloadable!]
2007 Collateralized capital and news-driven cycles
by Keiichiro Kobayashi & Kengo Nutahara [Downloadable!]
2007 An Empirical Note on Testing the Cointegration Relationship Between the Real Estate and Stock Markets in Taiwan
by Yang-Cheng Lu & Tsangyao Chang & Yu-Chen Wei [Downloadable!]
2007 The Impact of the QFIIs Deregulation on Normal and Abnormal Information Transmission Between the Stock and Exchange rates in Taiwan
by Chien-Liang Chiu & Yen-Hsien Lee [Downloadable!]
2007 On the valuation of psychic returns to art market investments
by Erdal Atukeren & Aylin Seçkin [Downloadable!]
2007 Exchange rates and global volatility: implications for Asia-Pacific currencies
by John Cairns & Corrinne Ho & Robert McCauley [Downloadable!]
2006 Fundamentals and stock returns on the Warsaw Stock Exchange. The application of panel data models
by Monika Witkowska [Downloadable!]
2006 Non-exclusivity and adverse selection: An application to the annuity market
by Agar Brugiavini & Gwenaël Piaser [Downloadable!]
2006 Information Acquisition and Portfolio Performance
by Luigi Guiso & Tullio Jappelli [Downloadable!]
2006 An Equilibrium Model of Global Imbalances and Low Interest Rates
by Ricardo J. Caballero & Emmanuel Farhi & Pierre-Olivier Gourinchas [Downloadable!]
2006 Entrepreneurial Risk, Investment and Innovation
by Andrea Caggese [Downloadable!]
2006 Optimal Debt Maturity Management
by Hanno Lustig & Christopher Sleet & Sevin Yeltekin
2006 Financial Reporting and Supplemental Voluntary Disclosures
by Bagnoli, Mark & Watts, Susan G. [Downloadable!]
2006 Path dependent volatility
by Pascucci, Andrea & Foschi, Paolo [Downloadable!]
2006 Is Sales Growth Associated with Market, Size and Value Factors in Returns? Evidence from Athens Stock Exchange (1998-2003)
by Feridun, Mete [Downloadable!]
2006 Crossing the Lines: The Conditional Relation between Exchange Rate Exposure and Stock Returns in Emerging and Developed Markets
by Bartram, Söhnke M. & Bodnar, Gordon M. [Downloadable!]
2006 Belief merging and revision under social influence: An explanation for the volatility clustering puzzle
by Siddiqi, Hammad [Downloadable!]
2006 Stock prices, exchange rates and causality in Malaysia: a note
by Azman-Saini, W.N.W. & Habibullah, M.S. & Law, Siong Hook & Dayang-Afizzah, A.M. [Downloadable!]
2006 Wirkungen alternativer Steuerreformmodelle auf die Einkommensverteilung von Freien und anderen Berufen
by Merz, Joachim & Stolze, Henning & Zwick, Markus [Downloadable!]
2006 David and Goliath: small banks in an era of consolidation. Evidence from Italy
by Bongini, Paola & Di Battista, Maria Luisa & Zavarrone, Emma [Downloadable!]
2006 Stock Prices, Real Sector and the Causal Analysis: The Case of Pakistan
by Husain, Fazal [Downloadable!]
2006 Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements
by Cotter, John & Dowd, Kevin [Downloadable!]
2006 Towards a new Approach to Regulation and Supervision in the EU: Post-FSAP and Comitology
by Gualandri, Elisabetta & Grasso, Alessandro Giovanni [Downloadable!]
2006 Stock Market Liberalisations in the South Asian Region
by Husain, Fazal & Qayyum, Abdul [Downloadable!]
2006 Volatility Spillover Between the Stock Market and the Foreign Exchange Market in Pakistan
by Qayyum, Abdul & Kemal, A. R. [Downloadable!]
2006 Financial systems and banking crises: An assessment
by Ruiz-Porras, Antonio [Downloadable!]
2006 A local dynamic conditional correlation model
by Feng, Yuanhua [Downloadable!]
2006 Volatility Spillover between the Stock Market and the Foreign Market in Pakistan
by Abdul Qayyum & A. R. Kemal [Downloadable!]
2006 Stock Market Liberalisations in the South Asian Region
by Fazal Husain & Abdul Qayyum [Downloadable!]
2006 A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration
by Francis X. Diebold & Lei Ji & Canlin Li [Downloadable!]
2006 Adjusting the CAPM for Threshold Effects: An Application to Food and Agribusiness Stocks
by Christine Wilson & Allen Featherstone [Downloadable!]
2006 Evaluation of macroeconomic models for financial stability analysis
by Gunnar Bårdsen & Kjersti-Gro Lindquist & Dimitrios P. Tsomocos [Downloadable!]
2006 Entrepreneurial Learning, the IPO Decision, and the Post-IPO Drop in Firm Profitability
by Lubos Pastor & Lucian Taylor & Pietro Veronesi [Downloadable!]
2006 Security Issue Timing: What Do Managers Know, and When Do They Know It?
by Dirk Jenter & Katharina Lewellen & Jerold B. Warner [Downloadable!]
2006 A Search-Based Theory of the On-the-Run Phenomenon
by Dimitri Vayanos & Pierre-Olivier Weill [Downloadable!]
2006 Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression
by Wayne E. Ferson & Sergei Sarkissian & Timothy Simin [Downloadable!]
2006 Financial Globalization: A Reappraisal
by M. Ayhan Kose & Eswar Prasad & Kenneth S. Rogoff & Shang-Jin Wei [Downloadable!]
2006 The Equity Premium in India
by Rajnish Mehra [Downloadable!]
2006 In Search of Distress Risk
by John Y. Campbell & Jens Hilscher & Jan Szilagyi [Downloadable!]
2006 Competing With the NYSE
by William O. Brown, Jr. & J. Harold Mulherin & Marc D. Weidenmier [Downloadable!]
2006 Capital Gains Taxes and Asset Prices: Capitalization or Lock-In?
by Zhonglan Dai & Edward Maydew & Douglas A. Shackelford & Harold H. Zhang [Downloadable!]
2006 Do Borrowing Constraints Matter? An Analysis of Why the Permanent Income Hypothesis Does Not Apply in Japan
by Miki Kohara & Charles Yuji Horioka [Downloadable!]
2006 Financial Innovations and Macroeconomic Volatility
by Urban Jermann & Vincenzo Quadrini [Downloadable!]
2006 Resolving Macroeconomic Uncertainty in Stock and Bond Markets
by Alessandro Beber & Michael W. Brandt [Downloadable!]
2006 Noise Traders
by James Dow & Gary Gorton [Downloadable!]
2006 An Empirical Analysis of the Pricing of Collateralized Debt Obligations
by Francis A. Longstaff & Arvind Rajan [Downloadable!]
2006 Intergenerational Risksharing and Equilibrium Asset Prices
by John Y. Campbell & Yves Nosbusch [Downloadable!]
2006 The Expected Value Premium
by Long Chen & Ralitsa Petkova & Lu Zhang [Downloadable!]
2006 Bubbles and Busts: The 1990s in the Mirror of the 1920s
by Eugene N. White [Downloadable!]
2006 Reconciling the Return Predictability Evidence
by Martin Lettau & Stijn Van Nieuwerburgh [Downloadable!]
2006 Pay for Short-Term Performance: Executive Compensation in Speculative Markets
by Patrick Bolton & Jose Scheinkman & Wei Xiong [Downloadable!]
2006 Agency-Based Asset Pricing
by Gary Gorton & Ping He [Downloadable!]
2006 Five Open Questions About Prediction Markets
by Justin Wolfers & Eric Zitzewitz [Downloadable!]
2006 The Dog That Did Not Bark: A Defense of Return Predictability
by John H. Cochrane [Downloadable!]
2006 Valuation in Over-the-Counter Markets
by Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen [Downloadable!]
2006 A Short Note on the Size of the Dot-Com Bubble
by J. Bradford DeLong & Konstantin Magin [Downloadable!]
2006 Equilibrium Exhaustible Resource Price Dynamics
by Murray Carlson & Zeigham Khoker & Sheridan Titman [Downloadable!]
2006 An Equilibrium Model of "Global Imbalances" and Low Interest Rates
by Ricardo J. Caballero & Emmanuel Farhi & Pierre-Olivier Gourinchas [Downloadable!]
2006 Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital
by Lubos Pastor & Meenakshi Sinha & Bhaskaran Swaminathan [Downloadable!]
2006 A Comparative Simulation Study of Fund Performance Measures
by Zhangpeng Gao & Shahidur Rahman [Downloadable!]
2006 A New Direction of Fund Rating Based on the Finite Normal Mixture Model
by Zhangpeng Gao & Shahidur Rahman [Downloadable!]
2006 Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models
by Chris M Strickland & Gael Martin & Catherine S Forbes [Downloadable!]
2006 Five Open Questions About Prediction Markets
by Justin Wolfers & Eric Zitzewitz [Downloadable!]
2006 Signaling currency crises in South Africa
by Tobias Knedlik [Downloadable!]
2006 On the Nature of Certainty Equivalent Functionals
by Hennessy, David A. & Lapan, Harvey E.
2006 Forecasting the Term Structure of Variance Swaps
by Kai Detlefsen & Wolfgang Härdle [Downloadable!]
2006 Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount
by Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu [Downloadable!]
2006 Interacting Agents in Finance
by Cars Hommes [Downloadable!]
2006 Optimal Electoral Timing: Exercise Wisely and You May Live Longer
by Jussi Keppo & Lones Smith & Dmitry Davydov [Downloadable!]
2006 Nonexclusivity and adverse selection: An application to the annuity market
by Agar Brugiavini & Gwenaël Piaser [Downloadable!]
2006 A Search-Based Theory of the On-the-Run Phenomenon
by Vayanos, Dimitri & Weill, Pierre-Olivier [Downloadable!]
2006 Information Acquisition and Portfolio Performance
by Guiso, Luigi & Jappelli, Tullio [Downloadable!]
2006 Cognitive Abilities and Portfolio Choice
by Christelis, Dimitris & Jappelli, Tullio & Padula, Mario [Downloadable!]
2006 Financial Innovations and Macroeconomic Volatility
by Jermann, Urban & Quadrini, Vincenzo [Downloadable!]
2006 An Equilibrium Model of 'Global Imbalances' and Low Interest Rates
by Caballero, Ricardo & Farhi, Emmanuel & Gourinchas, Pierre-Olivier [Downloadable!]
2006 Five Open Questions About Prediction Markets
by Wolfers, Justin & Zitzewitz, Eric [Downloadable!]
2006 International Portfolio Equilibrium and the Current Account
by Kollmann, Robert [Downloadable!]
2006 India's Public Finances: Excessive Budget Deficits, a Government-Abused Financial System and Fiscal Rules
by Buiter, Willem H & Patel, Urjit R. [Downloadable!]
2006 Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital
by Pástor, Lubos & Sinha, Meenakshi & Swaminathan, Bhaskaran [Downloadable!]
2006 Consumer Lending When Lenders are More Sophisticated Than Households
by Inderst, Roman [Downloadable!]
2006 Hedge Fund Indices for Retail Investors: UCITS Eligible or not Eligible?
by François-Serge Lhabitant [Downloadable!]
2006 Dynastic Management
by Francesco Caselli & Nicola Gennaioli [Downloadable!]
2006 A New Approach to Factor Vector Autoregressive Estimation with an Application to Large-Scale Macroeconometric Modelling
by Fabio C. Bagliano & Claudio Morana [Downloadable!]
2006 Evaluation of macroeconomic models for financial stability analysis
by Gunnar Bårdsen & Kjersti-Gro Lindquist & Dimitrios P. Tsomocos [Downloadable!]
2006 An equilibrum model of "global imbalances" and low interest rates
by Ricardo J Caballero & Emmanuel Farhi & Pierre-Olivier Gourinchas [Downloadable!]
2006 Canonical term-structure models with observable factors and the dynamics of bond risk premiums
by Marcello Pericoli & Marco Taboga [Downloadable!]
2006 Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective
by David Jamieson Bolder [Downloadable!]
2006 The Role of Debt and Equity Finance over the Business Cycle
by Francisco Covas & Wouter J. den Haan [Downloadable!]
2006 Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns
by Antonio Diez de los Rios & René Garcia [Downloadable!]
2006 Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events
by Alejandro García & Ramazan Gençay [Downloadable!]
2006 What Drives Stock Prices? Identifying the Determinants of Stock Price Movements
by Nathan S. Balke & Mark E. Wohar
2006 Why Do Entrepreneurs Enter Politics? Evidence from China
by Hongbin Li & Lingsheng Meng & Junsen Zhang [Downloadable!]
2006 The Macroeconomy and the Yield Curve: A Review of the Literature with Some New Evidence
by Zeno Rotondi
2006 A Note on Synchronization Risk and Delayed Arbitrage
by Hideaki Sakawa & Naoki Watanabel [Downloadable!]
2006 Portfolio Selection with Endogenous Estimation Risk
by Diego Nocetti [Downloadable!]
2006 Stock Market Interdependence and Trade Relations: A Correlation Test for the U.S. and Its Trading Partners
by Steven Zongshin Liu & Kung-Cheng Lin & Sophia Meiying Lai [Downloadable!]
2006 Equity Diversification in Two Chinese Share Markets: Old Wine and New Bottle
by Tsangyao Chang & Yang-Cheng Lu [Downloadable!]
2006 Ederington's ratio with production flexibility
by Benoît Sévi [Downloadable!]
2006 Art and the Economy: A First Look at the Market for Paintings in Turkey
by Aylin Seçkin & Erdal Atukeren [Downloadable!]
2006 Internationalising a currency: the case of the Australian dollar
by Robert McCauley [Downloadable!]
2005 Measuring Loss Potential of Hedge Fund Strategies
by Marcos Mailoc López de Prado & Achim Peijan [Downloadable!]
2005 Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development
by T. Di Matteo & T. Aste & Michel M. Dacorogna [Downloadable!]
2005 National Culture and Financial Systems
by Solomon Tadesse & Chuck Kwok & [Downloadable!]
2005 Stock Markets Liquidity, Corporate Governance and Small Firms
by Solomon Tadesse & & [Downloadable!]
2005 Financial Development and Technology
by Solomon Tadesse [Downloadable!]
2005 Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations
by Annastiina Silvennoinen & Timo Teräsvirta [Downloadable!]
2005 Emotions, Bayesian Inference, and Financial Decision Making
by Diego Salzman & Emanuel Trifan [Downloadable!]
2005 Hope springs eternal…French bondholders and the Soviet Repudiation (1915-1919)
by John Landon-Lane & Kim Oosterlinck [Downloadable!]
2005 Volatility and realized quadratic variation of differenced returns
by Esben Hoeg
2005 HRM and Value Creation
by Michel PHILIP & Patrick Micheletti [Downloadable!]
2005 Asset Pricing and Loss Aversion
by Willi Semmler & Lars Grüne [Downloadable!]
2005 Do the technical indicators reward chartists? A study on the stock markets of China, Hong Kong and Taiwan
by Wing-Keung Wong & Jun Du & Terence Tai-Leung Chong [Downloadable!]
2005 Recent trends in the sources of finance for Japanese firms: has Japan become a 'high internal finance' country?
by Kenichiro Suzuki & David Cobham [Downloadable!]
2005 Hope springs eternal… French bondholders and the Soviet Repudiation (1915-1919)
by John Landon-Lane & Kim Oosterlinck [Downloadable!]
2005 Housing, House Prices, and the Equity Premium Revisited
by Morris Davis & Robert F. Martin [Downloadable!]
2005 Financial Development and Macroeconomic Stability
by Vincenzo Quadrini & Urban Jermann [Downloadable!]
2005 Taylor Rules, McCallum Rules and the Term Structure of Interest Rates
by Michael F. Gallmeyer & Burton Hollifield [Downloadable!]
2005 Crises and Prices: Information Aggregation, Multiplicity and Volatility
by Ivan Werning & George-Marios Angeletos [Downloadable!]
2005 International Asset Portfolios: A Dynamic General Equilibrium Perspective
by Robert Kollmann
2005 Hurst exponents, Markov processes, and nonlinear diffusion equations
by Bassler, Kevin E. & Gunaratne, Gemunu H. & McCauley, Joseph L. [Downloadable!]
2005 The macroeconomic effects of monetary policy and financial crisis
by Douch, Mohamed [Downloadable!]
2005 Volatility Forecasting
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold [Downloadable!]
2005 Modeling Bond Yields in Finance and Macroeconomics
by Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch [Downloadable!]
2005 Robust Estimation of Multiple Regression Model with asymmetric innovations and Its Applicability on Asset Pricing Model
by Wing-Keung Wong & Guorui Bian [Downloadable!]
2005 Technological Revolutions and Stock Prices
by Lubos Pastor & Pietro Veronesi [Downloadable!]
2005 Financial System Risk and Flight to Quality
by Ricardo Caballero & Arvind Krishnamurthy [Downloadable!]
2005 What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?
by Bernard Dumas & Alexander Kurshev & Raman Uppal [Downloadable!]
2005 Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold [Downloadable!]
2005 Unobserved Actions of Mutual Funds
by Marcin Kacperczyk & Clemens Sialm & Lu Zheng [Downloadable!]
2005 Understanding Order Flow
by Martin D. D. Evans & Richard K. Lyons [Downloadable!]
2005 Has Financial Development Made the World Riskier?
by Raghuram G. Rajan [Downloadable!]
2005 Institutional Investors and Stock Market Volatility
by Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley [Downloadable!]
2005 Fiscal Hedging and the Yield Curve
by Hanno Lustig & Christopher Sleet & Sevin Yeltekin [Downloadable!]
2005 Investor Inattention, Firm Reaction, and Friday Earnings Announcements
by Stefano DellaVigna & Joshua Pollet [Downloadable!]
2005 Rational Inattention: A Solution to the Forward Discount Puzzle
by Philippe Bacchetta & Eric van Wincoop [Downloadable!]
2005 The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street
by Hanno Lustig & Stijn Van Nieuwerburgh [Downloadable!]
2005 Solving Models with External Habit
by Jessica A. Wachter [Downloadable!]
2005 $100 Bills on the Sidewalk: Suboptimal Investment in 401(k) Plans
by James J. Choi & David Laibson & Brigitte C. Madrian [Downloadable!]
2005 How Do House Prices Affect Consumption? Evidence From Micro Data
by John Y. Campbell & João F. Cocco [Downloadable!]
2005 Consumption Strikes Back?: Measuring Long-Run Risk
by Lars Peter Hansen & John Heaton & Nan Li
2005 Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?
by John Y. Campbell & Samuel B. Thompson [Downloadable!]
2005 The Effects of Taxes on Market Responses to Dividend Announcements and Payments: What Can we Learn from the 2003 Dividend Tax Cut?
by Raj Chetty & Joseph Rosenberg & Emmanuel Saez [Downloadable!]
2005 Caught On Tape: Institutional Order Flow and Stock Returns
by John Y. Campbell & Tarun Ramadorai & Tuomo O. Vuolteenaho [Downloadable!]
2005 Investor Attention: Overconfidence and Category Learning
by Lin Peng & Wei Xiong [Downloadable!]
2005 The Microeconomic Evidence on Capital Controls: No Free Lunch
by Kristin J. Forbes [Downloadable!]
2005 Asset Float and Speculative Bubbles
by Harrison Hong & Jose Scheinkman & Wei Xiong [Downloadable!]
2005 Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia
by Jianping Mei & Jose Scheinkman & Wei Xiong [Downloadable!]
2005 Optimism and Economic Choice
by Manju Puri & David Robinson [Downloadable!]
2005 Measuring and Interpreting Expectations of Equity Returns
by Jeff Dominitz & Charles F. Manski [Downloadable!]
2005 Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega [Downloadable!]
2005 Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches
by Mitchell A. Petersen [Downloadable!]
2005 Taylor Rules, McCallum Rules and the Term Structure of Interest Rates
by Michael Gallmeyer & Burton Hollifield & Stanley E. Zin [Downloadable!]
2005 Overconfidence vs. Market Efficiency in the National Football League
by Cade Massey & Richard Thaler [Downloadable!]
2005 Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income
by Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein [Downloadable!]
2005 An Information Approach to International Currencies
by Richard K. Lyons & Michael J. Moore [Downloadable!]
2005 Pitfalls of a State-Dominated Financial System: The Case of China
by Genevieve Boyreau-Debray & Shang-Jin Wei [Downloadable!]
2005 Attention, Demographics, and the Stock Market
by Stefano DellaVigna & Joshua M. Pollet [Downloadable!]
2005 Financial Markets and the Real Economy
by John Cochrane [Downloadable!]
2005 Volatility Forecasting
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold [Downloadable!]
2005 Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium
by Martin Lettau & Jessica Wachter [Downloadable!]
2005 Smart Institutions, Foolish Choices? The Limited Partner Performance Puzzle
by Josh Lerner & Antoinette Schoar & Wan Wong [Downloadable!]
2005 Order Flow and the Formation of Dealer Bids: Information Flows and Strategic Behavior in the Government of Canada Securities Auctions
by Ali Hortacsu & Samita Sareen [Downloadable!]
2005 Modeling Bond Yields in Finance and Macroeconomics
by Francis X. Diebold & Monika Piazzesi & Glenn Rudebusch [Downloadable!]
2005 Practical Volatility and Correlation Modeling for Financial Market Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold [Downloadable!]
2005 Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting
by Martin D.D. Evans & Richard K. Lyons [Downloadable!]
2005 Do Currency Markets Absorb News Quickly?
by Martin D.D. Evans & Richard K. Lyons [Downloadable!]
2005 Weak and Semi-Strong Form Stock Return Predictability Revisited
by Wayne E. Ferson & Andrea Heuson & Tie Su [Downloadable!]
2005 Mimicking Portfolios with Conditioning Information
by Wayne E. Ferson & Andrew F. Siegel & Pisun (Tracy) Xu [Downloadable!]
2005 Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
by BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda [Downloadable!]
2005 La dette obligataire dans un MÉGC dynamique séquentiel
by André Lemelin [Downloadable!]
2005 Distribution Risk and Equity Returns
by Jean-Pierre Danthine & John B. Donaldson & Paolo Siconolfi [Downloadable!]
2005 The interdealer market and the central bank intervention
by Paula Albuquerque [Downloadable!]
2005 The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises
by Tanya Araujo & Francisco Louçã [Downloadable!]
2005 Feeding and the Equilibrium Feeder Animal Price-Weight Schedule
by David A. Hennessy [Downloadable!]
2005 Optimal Monetary Policy and Asset Price Misalignments
by Alexandros Kontonikas & Alberto Montagnoli [Downloadable!]
2005 Distribution Risk and Equity Returns
by Jean-Pierre DANTHINE & John B. DONALDSON & Paolo SICONOLFI [Downloadable!]
2005 Rational Inattention: A Solution to the Forward Discount Puzzle
by Philippe Bacchetta & Eric van Wincoop [Downloadable!]
2005 Can Information Heterogeneity Explain the Exchange Rate Determination?
by Philippe Bacchetta & Eric van Wincoop [Downloadable!]
2005 Deposit Collectors
by Nava Ashraf & Dean Karlan & Wesley Yin [Downloadable!]
2005 Monetary policy predictability in the euro area: an international comparison
by Bjørn-Roger Wilhelmsen & Andrea Zaghini [Downloadable!]
2005 Security fungibility and the cost of capital - evidence from global bonds
by Darius P. Miller & John J. Puthenpurackal [Downloadable!]
2005 Valuation of pension liabilities in incomplete markets
by Frank de Jong [Downloadable!]
2005 Convergence of Electricity Wholesale Prices in Europe? : A Kalman Filter Approach
by Georg Zachmann [Downloadable!]
2005 Heterogeneous Agent Models in Economics and Finance
by Cars H. Hommes [Downloadable!]
2005 Heterogeneous Agent Models: Two Simple Case Studies
by Cars Hommes [Downloadable!]
2005 Behavioral Heterogeneity in Stock Prices
by Peter Boswijk & Cars H. Hommes & Sebastiano Manzan [Downloadable!]
2005 Portfolio Diversification Effects of Downside Risk
by Namwon Hyung & Casper G. de Vries [Downloadable!]
2005 Technological Revolutions and Stock Prices
by Pástor, Lubos & Veronesi, Pietro [Downloadable!]
2005 Distribution Risk and Equity Returns
by Danthine, Jean-Pierre & Donaldson, John B & Siconolfi, Paolo [Downloadable!]
2005 What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?
by Dumas, Bernard J & Kurshev, Alexander & Uppal, Raman [Downloadable!]
2005 Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability
by Lettau, Martin & van Nieuwerburgh, Stijn [Downloadable!]
2005 Rational Inattention: A Solution to the Forward Discount Puzzle
by Bacchetta, Philippe & van Wincoop, Eric [Downloadable!]
2005 The (Bad?) Timing of Mutual Fund Investors
by Braverman, Oded & Kandel, Shmuel & Wohl, Avi [Downloadable!]
2005 Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
by Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf [Downloadable!]
2005 Awareness and Stock Market Participation
by Luigi Guiso & Tullio Jappelli [Downloadable!]
2005 Volatility Forecasting
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold [Downloadable!]
2005 Modeling Bond Yields in Finance and Macroeconomics
by Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch [Downloadable!]
2005 Shareholder value maximisation, stock market and new technology: should the US corporate model be the universal standard
by Ajit Singh & Jack Glen & Ann Zammitt & Rafael De Hoyos & Alaka Singh & Bruce Weisse [Downloadable!]
2005 Monetary policy predictability in the euro area: An international comparison
by Bjørn-Roger Wilhelmsen & Andrea Zaghini [Downloadable!]
2005 An empirical evaluation of structural credit risk models
by Nikola A. Tarashev [Downloadable!]
2005 Ambiguity in Financial Markets: Herding and Contrarian Behaviour
by J L Ford, David Kelsey and W Pang [Downloadable!]
2005 Order Submission: The Choice between Limit and Market Orders
by Ingrid Lo & Stephen G. Sapp [Downloadable!]
2005 What are the Determinants of the Capital Structure? Evidence from Switzerland
by Wolfgang Drobetz & Roger Fix [Downloadable!]
2005 Why Are Asset Markets Modeled Successfully, But Not Their Dealers?
by Rafael Romeu [Downloadable!]
2005 Why Are Asset Markets Modeled Successfully, But Not Their Dealers?
by Rafael Romeu [Downloadable!]
2005 Exchange Rate Volatility and the Credit Channel in Emerging Markets: A Vertical Perspective
by Ricardo Caballero & Arvind Krishnamurthy [Downloadable!]
2005 Stochastic dominance on optimal portfolio with one risk-less and two risky assets
by Jean Fernand Nguema [Downloadable!]
2005 Non-linear Market Behavior: Events Detection in the Malaysian Stock Market
by Kian-Ping Lim & Melvin J. Hinich [Downloadable!]
2005 The impact of trading mechanisms and stock characteristics on order processing and information costs: A panel GMM approach
by Gerhard Kling [Downloadable!]
2005 Stockmarket comovements revisited
by Newton Da Costa, Jr & Silvia Nunes & Paulo Ceretta & Sergio Da Silva [Downloadable!]
2005 Can a Time-to-Plan Model explain the Equity Premium Puzzle
by Kevin E. Beaubrun-Diant [Downloadable!]
2005 Cross-temporal universality of non-linear dependencies in Asian stock markets
by Kian-Ping Lim & Melvin J. Hinich [Downloadable!]
2005 Dependent background risks and asset prices
by Yusuke Osaki [Downloadable!]
2005 Signalling Effects of a Large Player in a Global Game of Creditor Coordination
by Tobias Schuele & Manfred Stadler [Downloadable!]
2005 Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Model
by Min-Hsien Chiang & Chihwa Kao [Downloadable!]
2005 Evaluating Brazilian mutual funds with stochastic frontiers
by Andre Santos & Joao Tusi & Newton Da Costa, Jr & Sergio Da Silva [Downloadable!]
2005 Stock selection based on cluster analysis
by Newton Da Costa, Jr & Jefferson Cunha & Sergio Da Silva [Downloadable!]
2005 Measuring volatility persistence in the presence of sudden changes in the variance of Canadian stock returns
by Farooq Malik & Bradley Ewing & James Payne [Downloadable!]
2004 Behavioral Factors in Mutual Fund Flows
by WILLIAM N. GOETZMANN & MASSIMO MASSA & K. GEERT ROUWENHORST [Downloadable!]
2004 A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability
by William N. Goetzmann & ROGER G. IBBOTSON & LIANG PENG [Downloadable!]
2004 Is a transactions tax an effective means to stabilize the foreign exchange market?
by Andrea Terzi [Downloadable!]
2004 The 1998 Third Annual Survey of Risk Management Practices of Unit Trusts in Singapore
by CORNELIS A. LOS [Downloadable!]
2004 The Impact of the Internet on Financial Markets
by Nicholas Economides [Downloadable!]
2004 Using the Scaling Analysis to Characterize Financial Markets
by T. Di Matteo & T. Aste & Michel M. Dacorogna [Downloadable!]
2004 Why Do Investors Still Hope? The Soviet Repudiation Puzzle (1918- 1919)
by Oosterlinck Kim [Downloadable!]
2004 Worsening of the Asian Financial Crisis: Who is to Blame?
by Ali M. Kutan & Brasukra G. Sudjana [Downloadable!]
2004 Heterogeneity, Adverse Selection and Valuation with Endogenous Labor Supply
by Marcelo Bianconi [Downloadable!]
2004 Equity Asset Allocation Model for EUR-based Eastern Europe Pension Funds
by Robert Kitt [Downloadable!]
2004 Herding and Contrarian Behavior in Financial Markets - An Internet Experiment
by Mathias Drehmann & Jörg Oechssler & Andreas Roider [Downloadable!]
2004 One Asset, Two Prices: The case of the Tsarist Repudiated Bonds
by Kim Oosterlinck & Ariane Szafarz [Downloadable!]
2004 Network properties of trading
by Ilija I. Zovko
2004 Volatility and the Term Structure: Evidence from Interest Rate Derivatives
by Alessandro Beber; Fabio Fornari. [Downloadable!]
2004 Macroeconomic Sources of Risk in the Term Structure
by Michael R. Wickens & Chiona Balfoussia [Downloadable!]
2004 Equilibrium in a Dynamic Limit Order Market
by Ronald L. Goettler & Christine A. Parlour
2004 Coordination Failures and Asset Prices
by Aleh Tsyvinski & Christian Hellwig & Arihit Mukherji
2004 Betting against your neighbor: a quantitative investigation
by Finn Kydland & Irasema Alonso
2004 New-Keynesian Macroeconomics and the Term Structure
by Antonio Moreno & Geert Bekaert & Seonghoon Cho [Downloadable!]
2004 A Dynamic Theory of Optimal Capital Structure and Executive Compensation
by Harold Cole & Andrew Atkeson
2004 Consumption, House Prices and Collateral Constraints: a Structural Econometric Analysis
by Matteo Iacoviello [Downloadable!]
2004 Using Financial Market Information to Enhance Canadian Fiscal Policy
by Huw Lloyd-Ellis & Xiaodong Zhu [Downloadable!]
2004 Trading activity and liquidity supply in a pure limit order book market: An empirical analysis using a multivariate count data model
by Grammig, Joachin & Heinen, Andreas & Rengifo, Erick [Downloadable!]
2004 International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000
by Cotter, John [Downloadable!]
2004 Downside Risk for European Equity Markets
by Cotter, John [Downloadable!]
2004 Absolute Return Volatility
by Cotter, John [Downloadable!]
2004 Understanding the Stock Market's Response to Monetary Policy Shocks
by Johann Scharler [Downloadable!]
2004 Cancellation and Uncertainty Aversion on Limit Order Books
by Jeremy Large [Downloadable!]
2004 Crises and Prices: Information Aggregation, Multiplicity and Volatility
by George-Marios Angeletos & Ivan Werning [Downloadable!]
2004 PIPE Dreams? The Performance of Companies Issuing Equity Privately
by David J. Brophy & Paige P. Ouimet & Clemens Sialm [Downloadable!]
2004 Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns
by Michael W. Brandt & Pedro Santa-Clara & Rossen Valkanov [Downloadable!]
2004 Theft and Taxes
by Mihir A. Desai & Alexander Dyck & Luigi Zingales [Downloadable!]
2004 A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
by Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan Storud [Downloadable!]
2004 The Information of Option Volume for Future Stock Prices
by Jun Pan & Allen Poteshman [Downloadable!]
2004 Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies
by Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov [Downloadable!]
2004 There is a Risk-Return Tradeoff After All
by Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov [Downloadable!]
2004 Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options
by Pedro Santa-Clara & Shu Yan [Downloadable!]
2004 Over-the-Counter Markets
by Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen [Downloadable!]
2004 Asset Pricing with Liquidity Risk
by Viral V. Acharya & Lasse Heje Pedersen [Downloadable!]
2004 Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility
by Pierre Collin-Dufresne & Christopher S. Jones & Robert S. Goldstein [Downloadable!]
2004 Predatory Trading
by Markus K. Brunnermeier & Lasse Heje Pedersen [Downloadable!]
2004 Stock Market Trading and Market Conditions
by John M. Griffin & Federico Nardari & Rene M. Stulz [Downloadable!]
2004 Weak and Semi-Strong Form Stock Return Predictability, Revisited
by Wayne E. Ferson & Andrea Heuson & Tie Su [Downloadable!]
2004 On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing
by Jacob Boudoukh & Roni Michaely & Matthew Richardson & Michael Roberts [Downloadable!]
2004 The Design of Financial Systems: Towards a Synthesis of Function and Structure
by Robert C. Merton & Zvi Bodie [Downloadable!]
2004 The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
by Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba [Downloadable!]
2004 Was There a Nasdaq Bubble in the Late 1990s?
by Lubos Pastor & Pietro Veronesi [Downloadable!]
2004 Should We Fear Derivatives?
by Rene M. Stulz [Downloadable!]
2004 Futures Prices as Risk-adjusted Forecasts of Monetary Policy
by Monika Piazzesi & Eric Swanson [Downloadable!]
2004 Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior
by Xiaohong Chen & Sydney C. Ludvigson [Downloadable!]
2004 Consumption-Wealth Comovement of the Wrong Sign
by James J. Choi & David Laibson & Brigitte C. Madrian & Andrew Metrick [Downloadable!]
2004 Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities
by Francis A. Longstaff [Downloadable!]
2004 Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
by Francis A. Longstaff & Sanjay Mithal & Eric Neis [Downloadable!]
2004 Financial Claustrophobia: Asset Pricing in Illiquid Markets
by Francis A. Longstaff [Downloadable!]
2004 Dynamic Portfolio Selection by Augmenting the Asset Space
by Michael W. Brandt & Pedro Santa-Clara [Downloadable!]
2004 Flight to Quality, Flight to Liquidity, and the Pricing of Risk
by Dimitri Vayanos [Downloadable!]
2004 Investor Behavior in the Option Market
by Josef Lakonishok & Inmoo Lee & Allen M. Poteshman [Downloadable!]
2004 A Scapegoat Model of Exchange Rate Fluctuations
by Philippe Bacchetta & Eric van Wincoop [Downloadable!]
2004 Employees' Investment Decisions about Company Stock
by James J. Choi & David Laibson & Brigitte Madrian & Andrew Metrick [Downloadable!]
2004 The Euro and European Financial Market Integration
by Söehnke Bartram & Stephen Taylor & Yaw-Huei Wang [Downloadable!]
2004 Modelling long memory and risk premia in Latin American sovereign bond markets
by Alfonso Mendoza [Downloadable!]
2004 A Scapegoat Model of Exchange Rate Fluctuations
by Philippe BACCHETTA & Eric VAN WINCOOP [Downloadable!]
2004 Health insurance for the poor in India
by Ahuja, Rajeev [Downloadable!]
2004 Economic Development in China and Its Implications for East Asia
by Chung H. Lee [Downloadable!]
2004 Real Asset Returns and Components of Inflation: A Structural VAR Analysis
by Matthias HAGMANN & Carlos LENZ [Downloadable!]
2004 Is more information always better? Experimental financial markets with asymmetric information
by Jürgen Huber & Matthias Sutter & Michael Kirchler [Downloadable!]
2004 Optimal time-consistent taxes, money supply, internal and external borrowing in the Sidrausky model
by Sotskov Alexander [Downloadable!]
2004 Asymmetry of Information Flow Between Volatilities Across Time Scales
by Ramazan Gencay & Faruk Selcuk [Downloadable!]
2004 Liquidity Black Holes
by Hyun Song Shin & Stephen Morris
2004 Arbitraging Arbitrageurs
by Martin E. Ruckes & Mukarram Attari & Antonio S. Mello
2004 Arbitraging Arbitrageurs
by Martin E. Ruckes & Mukarram Attari & Antonio S. Mello
2004 Liquidity Black Holes
by Hyun Song Shin & Stephen Morris
2004 Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?
by Feng Zhao & Robert Jarrow & Haitao Li [Downloadable!]
2004 Optimal Expectations
by Jonathan A. Parker & Markus K. Brunnermeier [Downloadable!]
2004 Predatory Trading
by Lasse H. Pedersen & Markus Brunnermeier [Downloadable!]
2004 Regime Switching for Dynamic Correlations
by Denis Pelletier [Downloadable!]
2004 Un Modelo Basico Crediticio: Regulacion Prudencial, Volatilidad Cambiaria y Medicion de Riesgos
by Mario Zambrano [Downloadable!]
2004 Optimal Rules under Adjustment Cost and Infrequent Information
by Rene Garcia & Marco Bonomo [Downloadable!]
2004 Investor psychology: a behavioural explanation of six finance puzzles
by Henriette Prast [Downloadable!]
2004 The Econometrics of Option Pricing
by René Garcia & Eric Ghysels & Éric Renault [Downloadable!]
2004 Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega [Downloadable!]
2004 Realized Beta: Persistence and Predictability
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu [Downloadable!]
2004 Forecasting the Term Structure of Government Bond Yields
by Francis X. Diebold & Canlin Li [Downloadable!]
2004 Owners, traders and providers of capital: the multiple faces of institutional investors
by John Roberts & Paul Sanderson & John Hendry & Richard Barker [Downloadable!]
2004 Estimating Betas and Stock-Return Correlations From Monthly Data: A Warning Note
by Daniella Acker & Nigel W. Duck [Downloadable!]
2004 Forward-Looking Information in VAR Models and the Price Puzzle
by Sophocles N. Brissimis & Nicholas S. Magginas [Downloadable!]
2004 Consumption, House Prices and Collateral Constraints: a Structural Econometric Analysis
by Matteo Iacoviello [Downloadable!]
2004 Monetary policy and asset price bubbles: calibrating the monetary policy trade-offs
by Andrew Filardo [Downloadable!]
2004 An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates
by David J. Bolder & Grahame Johnson & Adam Metzler [Downloadable!]
2004 Country pair-correlations as a measure of financial integration: the case of the Euro equity markets
by Manuela CROCI [Downloadable!]
2004 Structural Breaks and the Normality of Stock Returns
by Joshua Seungwook Bahng [Downloadable!]
2004 Macroeconomic Factors and Pakistani Equity Market
by Mohammed Nishat & Rozina Shaheen [Downloadable!]
2004 The Determinants of Capital Structure of Stock Exchange-listed Non-financial Firms in Pakistan
by Attaullah Shah & Tahir Hijazi [Downloadable!]
2004 Finance and the Sources of Growth at Various Stages of Economic Development
by Felix Rioja & Neven Valev [Downloadable!]
2004 Return Predictability, Contrarian & Momentum Profits:The Case of the Athens Stock Exchange
by T. Mandalis & S. I. Spyrou
2004 Has Monetary Policy Reacted to Asset Price Movements? Evidence from the UK
by Alexandros Kontonikas & Alberto Montagnoli
2004 A canonical first passage time model to pricing nature-linked bonds
by Victor Vaugirard [Downloadable!]
2004 Does the risk of exchange rate fluctuation really affect international trade flows between countries?
by Chongcheul Cheong [Downloadable!]
2004 Does liquidity in the FX market depend on volatility?
by Frank Westerhoff & Sebastiano Manzan [Downloadable!]
2004 Risk neutral valuation and uncovered interest rate parity in a stochastic two-country-economy with two goods
by Vincenzo Costa [Downloadable!]
2004 Searching for chaos on low frequency
by Nicolas Wesner [Downloadable!]
2003 Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach
by Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda [Downloadable!]
2003 A Model of Stochastic Liquidity
by Masahiro Watanabe [Downloadable!]
2003 The Impact of Clientele Changes: Evidence from Stock Splits
by Ning Zhu & Ravi Dhar & William N. Goetzmann [Downloadable!]
2003 Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias
by Massimo Massa [Downloadable!]
2003 Liquidity and Financial Market Runs
by Ivo Welch & Antonio Bernardo [Downloadable!]
2003 Stochastics for the worst case: distributions and risk measures for minimal returns
by Mihnea-Stefan Mihai [Downloadable!]
2003 International versus Domestic Auditing of Bank Solvency
by Andrew Feltenstein & Roger Lagunoff [Downloadable!]
2003 Long Run Relationships between Stock Market Returns and Macroeconomic Performance: Evidence from Turkey
by Osman Karamustafa & Yakup Kucukkale [Downloadable!]
2003 Firm-Specific Variation and Openness in Emerging Markets
by Kan Li & Randall Morck & Fan Yang & Bernard Yeung [Downloadable!]
2003 Deposit Insurance During EU Accession
by Nikolay Nenovsky & Kalina Dimitrova & [Downloadable!]
2003 MCMC Bayesian Estimation of a Skew-GED Stochastic Volatily Model
by Nunzio Cappuccio & Diego Lubian & Davide Raggi [Downloadable!]
2003 Why Do Investors still Hope? The Soviet Repudiation Puzzle (1918-1919)
by Kim Oosterlinck [Downloadable!]
2003 IPO underpricing and after-market liquidity
by Andrew Ellul & Marco Pagano [Downloadable!]
2003 Awareness and Stock Market Participation
by Luigi Guiso & Tullio Jappelli [Downloadable!]
2003 The Welfare Gains from Stabilization in a Stochastically Growing Economy with Idiosyncratic Shocks and Flexible Labor Supply
by Marcelo Bianconi & Stephen J. Turnovsky [Downloadable!]
2003 Wavelet Estimation of Integrated Volatility
by Asger Lunde & Esben Hoeg [Downloadable!]
2003 A Network Model of Market Prices and Trading Volume
by Andrei Kirilenko
2003 The great influence of less risk averse agents
by Frank Niehaus
2003 Equilibrium Analysis, Banking and Financial Instability
by Dimitrios P. Tsomocos [Downloadable!]
2003 Equilibrium Analysis, Banking, Contagion and Financial Fragility
by Dimitrios Tsomocos [Downloadable!]
2003 Long-term Information, Short-lived Securities
by Dan Bernhardt & Ryan J. Davies & John Spicer [Downloadable!]
2003 Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model
by Heinen, Andreas [Downloadable!]
2003 Issuing Policies In Currencies Denominated In Euros And Eurocents
by Novak, Branko & Matić, Branko & Stjepanović, Slobodanka [Downloadable!]
2003 Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega [Downloadable!]
2003 Realized Beta: Persistence and Predictability
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu [Downloadable!]
2003 Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold [Downloadable!]
2003 The Macroeconomy and the Yield Curve: A Nonstructural Analysis
by Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba [Downloadable!]
2003 Financial Markets of the Middle East and North Africa: The Past and Present
by Yochanan Shachmurove [Downloadable!]
2003 Markov Switching Garch Models of Currency Crises in Southeast Asia
by Celso Brunetti & Roberto S. Mariano & Chiara Scotti & Augustine H. H. Tan [Downloadable!]
2003 Heterogeneous Yield Curves and Basis Swaps
by Keiichi Tanaka [Downloadable!]
2003 Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective
by Hanno Lustig & Stijn Van Nieuwerburgh [Downloadable!]
2003 Capital Investments and Stock Returns
by Sheridan Titman & K.C. John Wei & Feixue Xie [Downloadable!]
2003 Uncovering the Risk-Return Relation in the Stock Market
by Hui Guo & Robert F. Whitelaw [Downloadable!]
2003 The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market
by Alessandro Beber & Michael W. Brandt [Downloadable!]
2003 Transparency, Risk Management and International Financial Fragility
by Mario Draghi & Francesco Giavazzi & Robert C. Merton [Downloadable!]
2003 Household Risk Management and Optimal Mortgage Choice
by John Y. Campbell & Joao F. Cocco [Downloadable!]
2003 Market Reactions to Tangible and Intangible Information
by Kent Daniel & Sheridan Titman [Downloadable!]
2003 A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
by Michael W. Brandt & Francis X. Diebold [Downloadable!]
2003 What Do Financial Markets Think of War in Iraq?
by Andrew Leigh & Justin Wolfers & Eric Zitzewitz [Downloadable!]
2003 Initial Public Offering and Corporate Governance in China's Transitional Economy
by Chen-Chien Hsun & Shih Hui-Tzu [Downloadable!]
2003 Knife Edge of Plateau: When Do Market Models Tip?
by Glenn Ellison & Drew Fudenberg [Downloadable!]
2003 Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the OJ Market
by Jacob Boudoukh & Matthew Richardson & YuQing Shen & Robert F. Whitelaw [Downloadable!]
2003 Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias
by William N. Goetzmann & Massimo Massa [Downloadable!]
2003 Fees on Fees in Funds of Funds
by Stephen J. Brown & William N. Goetzmann & Bing Liang [Downloadable!]
2003 Diversification and the Optimal Construction of Basis Portfolios
by Bruce N. Lehmann & David M. Modest [Downloadable!]
2003 The Price Impact and Survival of Irrational Traders
by Leonid Kogan & Stephen Ross & Jiang Wnag & Mark Westerfield [Downloadable!]
2003 Weather Forecasting for Weather Derivatives
by Sean D. Campbell & Francis X. Diebold [Downloadable!]
2003 Generalized Disappointment Aversion and Asset Prices
by Bryan R. Routledge & Stanley E. Zin [Downloadable!]
2003 Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors
by Antonios Sangvinatsos & Jessica A. Wachter [Downloadable!]
2003 Corporate Earnings and the Equity Premium
by Francis Longstaff & Monika Piazzesi [Downloadable!]
2003 Forecasting the Term Structure of Government Bond Yields
by Francis X. Diebold & Canlin Li [Downloadable!]
2003 Efficient Tests of Stock Return Predictability
by John Y. Campbell & Motohiro Yogo [Downloadable!]
2003 Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
by Peter F. Christoffersen & Francis X. Diebold [Downloadable!]
2003 Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models
by DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude [Downloadable!]
2003 Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
by DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude [Downloadable!]
2003 Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models
by DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude [Downloadable!]
2003 Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
by DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude [Downloadable!]
2003 Lending Technologies, Competition, and Consolidation in the Market for Microfinance in Bolivia
by Jonathan Conning & Sergio Navajas & Claudio Gonzalez-Vega [Downloadable!]
2003 Testing for Contagion in International Financial Markets: Which Way to Go?
by Sébastien WÄLTI [Downloadable!]
2003 Behavioral finance: the role of psychology in financial markets (Dutch title: Gedragseconomie: de rol van psychologie op financiële markten)
by Henriette Prast
2003 Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS
by Cees Diks & Roy van der Weide [Downloadable!]
2003 Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence
by Albert J. Menkveld & Siem Jan Koopman & André Lucas [Downloadable!]
2003 Country and consumer segmentation : multi-level latent class analysis of financial product ownership
by Bijmolt, T.H.A. & Paas, L.J. & Vermunt, J.K. [Downloadable!]
2003 A Double Auction Market: Teaching, Experiment and Theory
by Martin Shubik [Downloadable!]
2003 Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
by Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu [Downloadable!]
2003 Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models
by Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu [Downloadable!]
2003 Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, [Downloadable!]
2003 The Macroeconomy and the Yield Curve: A Nonstructural Analysis
by Francis X. Diebold, & Glenn D. Rudebusch & S. Boragan Aruoba [Downloadable!]
2003 Demographic Change and the UK Savings Rate
by David Demery & Nigel Duck [Downloadable!]
2003 Measuring Interest Rate Expectations in Canada
by Grahame Johnson [Downloadable!]
2003 An optimal consumption model with stochastic volatility
by Wendell H. Fleming & Daniel Hernández-Hernández [Downloadable!]
2003 Liquidity and Financial Markets - Introduction
by Felipe Zurita [Downloadable!]
2003 Long memory in a small stock market
by Jussi Tolvi [Downloadable!]
2003 Credit bubble and stagnation in Colombia, 1990-2001
by Fernando Tenjo & Enrique Lopez [Downloadable!]
2002 Sharpening Sharpe Ratios
by William N. Goetzmann & Jonathan E. Ingersoll, Jr. & Matthew I. Spiegel & Ivo Welch [Downloadable!]
2002 Sharpening Sharpe Ratios
by William N. Goetzmann & Jonathan E. Ingersoll Jr. & Matthew I. Spiegel & Ivo Welch [Downloadable!]
2002 How to work in the uncertain market conditions
by Dmitry Baryshevsky [Downloadable!]
2002 An Analysis of Hedge Fund Performance
by Daniel Capocci [Downloadable!]
2002 Trading system evaluation based on past performance: Random Signals Test
by Alex Strashny [Downloadable!]
2002 Are Incomlete Markets Able to Achieve Minimal Efficiency?
by Egbert Dierker & Hildegard Dierker & Birgit Grodal [Downloadable!]
2002 Credit Derivatives in Emerging Markets
by Romain Rancière [Downloadable!]
2002 The Effect of the Asian Financial Crisis on the Performance of Korean Nationwide Banks
by Yongil Jeon & Stephen M. Miller [Downloadable!]
2002 An introduction to statistical finance
by Jean-Philippe Bouchaud [Downloadable!]
2002 An introduction to statistical finance
by Jean-Philippe Bouchaud [Downloadable!]
2002 Reply to Johansen's comment
by Laurent Laloux & Marc Potters & Jean-Pierre Aguilar & Jean-Philippe Bouchaud [Downloadable!]
2002 Reply to Johansen's comment
by Laurent Laloux & Marc Potters & Jean-Pierre Aguilar & Jean-Philippe Bouchaud [Downloadable!]
2002 The skewed multifractal random walk with applications to option smiles
by Benoit Pochard & Jean-Philippe Bouchaud [Downloadable!]
2002 The skewed multifractal random walk with applications to option smiles
by Benoit Pochard & Jean-Philippe Bouchaud [Downloadable!]
2002 A simple microstructure model of double auction markets
by Giulia Iori & Carl Chiarella
2002 A Heuristic Technique for Model Selection Problems
by Manfred Gilli & Nicolas Roth
2002 Switching Regime Models: applications to trading rules
by Nuno Almeida & Pedro Valls Pereira
2002 Financial Market in the Laboratory
by Andrea Morone
2002 SuperMontage in the American Securities Markets Context
by Senn, Myriam [Downloadable!]
2002 Role of the Egyptian securities market on saving development
by Alasrag, Hussien [Downloadable!]
2002 Judging Fund Managers by the Company They Keep
by Randolph Cohen & Joshua Coval & Lubos Pastor [Downloadable!]
2002 Debt Policy, Corporate Taxes, and Discount Rates
by Mark Grinblatt & Jun Liu [Downloadable!]
2002 Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium
by Clemens Sialm [Downloadable!]
2002 Financial Market Runs
by Antonio E. Bernardo & Ivo Welch [Downloadable!]
2002 The Time Series of the Cross Section of Asset Prices
by Lior Menzly & Tano Santos & Pietro Veronesi [Downloadable!]
2002 Bond Risk Premia
by John H. Cochrane & Monika Piazzesi [Downloadable!]
2002 Sharpening Sharpe Ratios
by William Goetzmann & Jonathan Ingersoll & Matthew I. Spiegel & Ivo Welch [Downloadable!]
2002 Dynamic Asset Allocation With Event Risk
by Jun Liu & Francis A. Longstaff & Jun Pan [Downloadable!]
2002 Child Labor: The Role of Income Variability and Access to Credit Across Countries
by Rajeev Dehejia & Roberta Gatti [Downloadable!]
2002 Stocks as Money: Convenience Yield and the Tech-Stock Bubble
by John H. Cochrane [Downloadable!]
2002 Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega [Downloadable!]
2002 Limited Asset Market Participation and the Elasticity of Intertemporal Substitution
by Annette Vissing-Jorgensen [Downloadable!]
2002 Rational Asset Prices
by George M. Constantinides [Downloadable!]
2002 The New Systems Competition
by Hans-Werner Sinn [Downloadable!]
2002 Information Aggregation, Security Design and Currency Swaps
by Bhagwan Chowdhry & Mark Grinblatt & David Levine [Downloadable!]
2002 Tax-Loss Trading and Wash Sales
by Mark Grinblatt & Matti Keloharju [Downloadable!]
2002 What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns?
by Mark Grinblatt & Tobias J. Moskowitz [Downloadable!]
2002 The Disposition Effect and Momentum
by Mark Grinblatt & Bing Han [Downloadable!]
2002 Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach
by BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda. [Downloadable!]
2002 Are Incomplete Markets Able to Achieve Minimal Efficiency?
by Egbert Dierker & Hildegard Dierker & Birgit Grodal [Downloadable!]
2002 Transaction Costs and the Present Value
by Fontnouvelle, P. de & Lence, Sergio
2002 Symmetry and Order in the Portfolio Allocation Problem
by Lapan, Harvey & Hennessy, David A.
2002 Farmland Prices in the Presence of Transaction Costs: Reply
by Lence, Sergio H.
2002 Reflections on New Financial System in Japan: Participation Costs, Wealth Distribution, and Security Market-Based Intermidiation
by Yukinobu Kitamura & Megumi Suto & Juro Teranishi [Downloadable!]
2002 The Eastward Enlargement of the Eurozone: The Shaping of Capital Markets
by Thomas Meyer [Downloadable!]
2002 How accurate do markets predict the outcome of an event? The Euro 2000 soccer championships experiment
by Carsten Schmidt & Axel Werwatz [Downloadable!]
2002 Modelizacion econometrica de la rentabilidad en los mercados de valores
by Escudero, E. [Downloadable!]
2002 International Asset Allocation with Time-Varying Investment Opportunities
by Blake, David & Timmermann, Allan G [Downloadable!]
2002 Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach
by Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf [Downloadable!]
2002 Macro Surprises And Short-Term Behaviour In Bond Futures
by Eugene Durenard & David Veredas [Downloadable!]
2002 Hedging Housing Risk in London
by Matteo Iacoviello & Francois Ortalo-Magne [Downloadable!]
2002 Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada
by David Jamieson Bolder & Scott Gusba [Downloadable!]
2002 Asset Allocation Using Extreme Value Theory
by Younes Bensalah [Downloadable!]
2002 Corporate Bond Spreads and the Business Cycle
by Zhiwei Zhang [Downloadable!]
2002 research articles : Symmetry and order in the portfolio allocation problem
by Harvey E. Lapan & David A. Hennessy [Downloadable!]
2002 Fads or bubbles?
by Simon van Norden & Huntley Schaller [Downloadable!]
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