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Research classified by
Journal of
Economic Literature (JEL) codes
Top JEL
/ G: Financial Economics
/ / G1: General Financial Markets
/ / / G19: Other
Most recent items first, undated at the end.
2009 The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs
by Rotfuß, Waldemar & Conrad, Christian & Rittler, Daniel [Downloadable!]
2009 Stock Market Returns and Partisan Political Business Cycles
by James Cooley [Downloadable!]
2009 Impact des résultats passés sur l’aversion au risque de l’investisseur (The impact of past results on the investor's risk)
by Eric VERNIER & Aymeric BOUCHIE DE BELLE [Downloadable!]
2009 Does Macroeconomic Indicators exert shock on the Nigerian Capital Market?
by Maku, Olukayode E. & Atanda, Akinwande A. [Downloadable!]
2009 Characteristics of Japan’s Commodities Index and its Correlation with Stock Index
by Yamori, Nobuyoshi [Downloadable!]
2009 Burnout from pools to loans: Modeling refinancing prepayments as a self-selection process
by Gan, Jumwu [Downloadable!]
2009 Securitized Banking and the Run on Repo
by Gary B. Gorton & Andrew Metrick [Downloadable!]
2009 Market Solutions in Poverty: The Role of Microcredit in Development Countries with Financial Restrictions
by Mário Olivares & Sofia Santos [Downloadable!]
2009 Pricing of Asian temperature risk
by Fred Benth & Wolfgang Karl Härdle & Brenda López Cabrera [Downloadable!]
2009 Implied Market Price of Weather Risk
by Wolfgang Härdle & Brenda López Cabrera [Downloadable!]
2009 On risk prediction
by Lönnbark, Carl [Downloadable!]
2009 The Effects of Interest Rate Movements on Assets’ Conditional Second Moments
by Alessandro Palandri [Downloadable!]
2009 Visual Recurrence Analysis And Its Application
by Jan Kodera & Tran Van Quang [Downloadable!]
2008 Fuzzy interval net present value
by Marco Corazza & Silvio Giove [Downloadable!]
2008 Value at Risk (VaR) and the alpha-stable distribution
by John C. Frain [Downloadable!]
2008 Sector Classification through non-Gaussian Similarity
by Maximilian Vermorken & Ariane Szafarz & Hugues Pirotte [Downloadable!]
2008 The Efficiency of Trading Halts; Evidence from Bursa Malaysia
by Bacha, Obiyathulla I. & Mohamed, Eskandar R. & Ramlee, Roslily [Downloadable!]
2008 Did Mergers Help Japanese Mega-Banks Avoid Failure? Analysis of the Distance to Default of Banks
by Kimie Harada & Takatoshi Ito [Downloadable!]
2008 The co-movements along the forward curve of natural gas futures: a structural view
by Spargoli, Fabrizio & Zagaglia, Paolo [Downloadable!]
2008 Türkiye’de devlet iç borçlanma senetlerinin günlük getirilerinde mevsimsellik ve koşullu risk
by Macide ÇİÇEK
2008 On the Robustness of Symmetry Tests for Stock Returns
by Yi-Ting Chen & Chang-Ching Lin [Downloadable!]
2008 Aspects Concerning Financial Profitableness Analysis And Its Purpose In Substantiation Of Firm’S Strategic Financing Decisions
by Solomon Daniela-Cristina & Dragomirescu Simona-Elena [Downloadable!]
2008 Calibration of Parametric CAT bonds. A case study of Mexican earthquakes
by Wolfgang Karl Härdle & Brenda López Cabrera [Downloadable!]
2007 Which market protocols facilitate fair trading?
by Marco LiCalzi & Paolo Pellizzari [Downloadable!]
2007 Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk
by Carol Alexander & Elizabeth Sheedy [Downloadable!]
2007 Copula based simulation procedures for pricing basket Credit Derivatives
by Fathi , Abid & Nader, Naifar [Downloadable!]
2007 Price Calibration of basket default swap: Evidence from Japanese market
by Fathi, Abid & Nader, Naifar [Downloadable!]
2007 The nearest correlation matrix problem: Solution by differential evolution method of global optimization
by Mishra, SK [Downloadable!]
2007 Causality in Crude Oil Prices
by Hagstromer, Bjorn & Wlazlowski, Szymon [Downloadable!]
2007 Are Short-sellers Different?
by Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K. [Downloadable!]
2007 Calibrating CAT bonds for Mexican earthquakes
by Wolfgang Härdle & Brenda López Cabrera [Downloadable!]
2007 Along the Forward Curve for Natural Gas: Unobservable Shocks and Dynamic Correlations
by Spargoli, Fabrizio & Zagaglia, Paolo [Downloadable!]
2007 The Comovements between Futures Markets for Crude Oil: Evidence from a Structural GARCH Model
by Spargoli, Fabrizio & Zagaglia, Paolo [Downloadable!]
2007 Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets
by Marzo, Massimiliano & Zagaglia, Paolo [Downloadable!]
2007 Volatility forecasting for crude oil futures
by Marzo, Massimiliano & Zagaglia, Paolo [Downloadable!]
2007 Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models
by Nakatani, Tomoaki & Teräsvirta, Timo
2007 Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model
by Nakatani, Tomoaki & Teräsvirta, Timo [Downloadable!]
2007 Modeling Electronic FX Brokerage as a Fast Order-Driven Marketunder Heterogeneous Private Values and Information
by Alexis Derviz [Downloadable!]
2007 The asymptotic theories used to estimate the integrated variance using realised variance or multipower variation suggest that returns should be sampled at the highest possible frequency. This leads to a bias problem due to market microstructure effects that can completely invalidate the theory. There is a trade-off between bias and variance when choosing the sample frequency. There is an urgent need for estimators of integrated variance that are unbiased and efficient under these effects. In this paper, multipower variation is studied under this perspective and alternative estimators are defined using the subsampling and averaging method
by Carla Ysusi [Downloadable!]
2007 Stock Market Optimism And Cointegration Among Stocks: The Case Of The Prague Stock Exchange
by Jaromír Baxa [Downloadable!]
2007 Business Cycle Asymmetries In Stock Returns: Robust Evidence
by KIANI, Khurshid M. [Downloadable!]
2007 Innovations financières:construire et légitimer un nouveau marché financier de gré à gré–le cas des dérivés de crédit
by Isabelle Huault & Hélène Rainelli-Le Montagner
2006 Nonlinear Bivariate Comovements of Asset Prices: Theory and Tests
by Marco Corazza & A.G. Malliaris & Elisa Scalco [Downloadable!]
2006 Simple Market Protocols for Efficient Risk Sharing
by Marco LiCalzi & Paolo Pellizzari [Downloadable!]
2006 The allocative effectiveness of market protocols under intelligent trading
by Marco LiCalzi & Paolo Pellizzari [Downloadable!]
2006 The potential use of derivatives to manage the price risk of seafood markets: the case of sole and cuttlefish in France
by Bégué-Turon, Jean-Loïc & Perraudeau, Yves & Rautureau, Nicolas [Downloadable!]
2006 Exploring the CDS-Bond Basis
by Jan De Wit [Downloadable!]
2006 Financial Dollarization and Currency Substitution. An Empirical Study for Bolivia America than in Asia?
by Salvatore Dell'Erba & Martin Saldías Zambrana [Downloadable!]
2006 New Evidence On Expiration-Day Effects Using Realized Volatility: An Intraday Analysis For The Spanish Stock Exchange
by Juan A. Lafuente & Manuel Illueca Muñoz [Downloadable!]
2006 Common Functional Principal Components
by Michal Benko & Wolfgang Härdle & Alois Kneip [Downloadable!]
2006 Is Ethical Money Financially Smart?
by Renneboog, L.D.R. & Horst, Jenke ter & Zhang, Chendi [Downloadable!]
2006 Is ethical money financially smart?
by Renneboog, L.D.R. & Horst, Jenke ter & Zhang, Chendi [Downloadable!]
2006 Estimating Integrated Volatility Using Absolute High-Frequency Returns
by Carla Ysusi [Downloadable!]
2006 Detecting Jumps in High-Frequency Financial Series Using Multipower Variation
by Carla Ysusi [Downloadable!]
2006 Sermaye piyasalarında değerleme unsuru olarak hisse senedi endeksleri
by Mahmut YARDIMCIOĞLU
2005 Niederschlagsderivate
by Heidorn, Thomas & Trautmann, Alexandra [Downloadable!]
2005 Wertsicherungsstrategien für das Asset Management
by Kluß, Norbert & Bayer, Marcus & Cremers, Heinz [Downloadable!]
2005 Simple market protocols for efficient risk sharing
by Marco LiCalzi & Paolo Pellizzari [Downloadable!]
2005 A Note on the Malliavin differentiability of the Heston Volatility
by Elisa Alòs & Christian-Olivier Ewald [Downloadable!]
2005 An Investigation of the Role of Cross-Border Spillover of Returns and Volatility in the Estonian Stock Market
by Alar Kein [Downloadable!]
2005 Estimation of the Stylized Facts of a Stochastic Cascade Model
by Céline Azizieh & Wolfgang Breymann [Downloadable!]
2005 Is the gamma risk of options insurable?
by Egli, Daniel & Blum, Peter & Dacorogna, Michel M & Müller, Ulrich A [Downloadable!]
2005 Transaction Pattern and Liquidity Parameters (in Japanese)
by Hisashi Hashimoto [Downloadable!]
2005 Notes for a Contingent Claims Theory of Limit Order Markets
by Bruce N. Lehmann [Downloadable!]
2005 Liquidity And Information Around Annual Earnings Announcements: An Intraday Analysis Of The Spanish Stock Market
by David Abad & José Yagüe & Sonia Sanabria [Downloadable!]
2005 Estudio Del Efecto Informativo Del Anuncio De Beneficios Trimestrales
by Begoña Herrero & Ana María Ibáñez & Constantino José García [Downloadable!]
2005 Common functional component modelling
by Michal Benko & Alois Kneip [Downloadable!]
2005 Common Functional Implied Volatility Analysis
by Michal Benko & Wolfgang Härdle [Downloadable!]
2005 Selecting Comparables for the Valuation of European Firms
by Ingolf Dittmann & Christian Weiner [Downloadable!]
2005 Pocket Banks and Out-of-Pocket Losses: Links between Corruption and Contagion
by Raphael H. Solomon [Downloadable!]
2005 Risk Quantification - Early History Of Option Pricing
by Jaroslav Brada [Downloadable!]
2004 Why VAR Fails: Long Memory and Extreme Events in Financial Markets
by Cornelis A. Los [Downloadable!]
2004 How to Recognize Opportunities: Heterarchical Search in a Wall Street Trading Room
by Daniel Beunza Ibáñez & David Stark [Downloadable!]
2004 Resolving Identities: Successive Crises in a Trading Room after 9/11
by Daniel Beunza Ibáñez & David Stark [Downloadable!]
2004 Testing the Markov property with ultra-high frequency financial data
by Matos, Joao Amaro de & Fernandes, Marcelo [Downloadable!]
2004 Heterogeneity and feedback in an agent based market model
by Ghoulmié & F.
2004 Pricing Hybrid Securities: The Case of Malaysian ICULS
by Bacha, Obiyathulla I. [Downloadable!]
2004 Trading Nokia: The roles of the Helsinki vs the New York stock exchanges
by Jokivuolle , Esa & Lanne , Markku [Downloadable!]
2004 ABS Issuance and Lending Attitude of Banks
by Kimie Harada [Downloadable!]
2004 Sistema Financeiro E Crescimento Econômico: Uma Aplicação De Regressão Quantílica
by Everton Nunes da Silva & Sabino da Silva Porto Júnior [Downloadable!]
2004 Transparencia y nuevas tecnologías en las Cooperativas de crédito
by Mª José Vañó Vañó [Downloadable!]
2004 A Stochastic Version of Zeeman's Market Model
by Thorsten Rheinlaender & Marcus Steinkamp [Downloadable!]
2003 Incentive Fees: erfolgsabhängige Vergütungsmodelle deutscher Publikumsfonds
by Kluß, Norbert & König, Markus & Cremers, Heinz [Downloadable!]
2003 Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media
by Thomas Schuster [Downloadable!]
2003 Stock Market Valuation : the Role of the Macroeconomic Risk Premium
by Christophe Boucher [Downloadable!]
2003 News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media
by Thomas Schuster [Downloadable!]
2003 Fifty-Fifty. Stock Recommendations and Stock Prices. Effects and Benefits of Investment Advice in the Business Media
by Thomas Schuster [Downloadable!]
2003 Testing for Changes in the Unconditional Variance of Financial Time Series
by Andreu Sansó & Vicent Aragó & Josep Lluís Carrion [Downloadable!]
2003 Hedge Fund Classification using K-means Clustering Method
by Nandita Das
2003 Asset and liability management for a defined benefit pension fund using heuristic optimization
by Ricardo Ratner Rochman
2003 Y a-t-il une théorie des marchés financiers ?
by Jean-Pierre Galavielle [Downloadable!]
2003 Productivity shocks and hedging: theory and evidence
by Marcello SPANO' [Downloadable!]
2003 Stock market expectations, effects on prices and aggregate income
by Marcello SPANO' [Downloadable!]
2003 A monetary value for initial information in portfolio optimization
by Martin Schweizer & Dirk Becherer & Jürgen Amendinger [Downloadable!]
2003 Les Fonds Alternatifs sont-ils reellement decorreles des produits d'investissments classiques?
by Daniel Capocci & Romain Mahieu
2003 Testing Serial Independence against Time Irreversibility
by Yi-Ting Chen [Downloadable!]
2002 Fundamentalists Clashing over the Book: A Study of Order-Driven Stock Markets
by Marco LiCalzi & Paolo Pellizzari [Downloadable!]
2002 A "One-line" Simulator for Maxima or Minima on Drifting Brownian Paths
by Allen Abrahamson [Downloadable!]
2002 Tamaño De Transacciones, Introducción De Órdenes Y Preferencias Por Precios En Los Splits De Acciones
by Juan Carlos Gómez Sala & José Yagüe [Downloadable!]
2002 Volumen, tamaño y ajuste a nueva información en el mercado accionario chileno
by Pablo Marshall & Eduardo Walker [Downloadable!]
2002 Le recours au financement désintermédié par une collectivité locale et l'évaluation de la prime de risque obligataire: le cas de la ville de Marseille
by Stéphanie Serve [Downloadable!]
2001 Testing the Gaussian Copula Hypothesis for Financial Assets Dependences
by Y. Malevergne & D. Sornette [Downloadable!]
2001 Portfolio Selection Models Driven by Non Gaussian Price Dynamics
by Marina Resta
2001 Portfolio Selection Models Driven by Non Gaussian Price Dynamics
by Marina Resta
2001 Extreme Value Theory and Extremely Large Electricity Price Changes
by Byström, Hans
2001 Managing Extreme Risks in Tranquil and Volatile Markets Using Conditional Extreme Value Theory
by Byström, Hans
2001 Modeling The Dividend-Price Ratio: The Role Of Fundamentals Using A Regime-Switching Approach
by Nielsen, Steen & Olesen, Jan Overgaard [Downloadable!]
2001 Regime-Switching Stock Returns And Mean Reversion
by Nielsen, Steen & Olesen, Jan Overgaard [Downloadable!]
2001 Empirical Rationality in the Stock Market
by Raahauge, Peter [Downloadable!]
2001 Social Against Mobile Capital: Explaining Cross-National Variations in Stock Market Size in the OECD
by Verdier, D.
2001 Existe-t-il des seuils psychologiques sur les marches coursiers? Une application au future CAC 40 sur donnees tres haute frequence
by Morel, C. & Teiletche, J.
2001 Defaultable Security Valuation and Model Risk
by Aydin AKGUN, [Downloadable!]
2001 Insider Dealing and Market Abuse: The Financial Services and Markets Act 2000
by K. Alexander [Downloadable!]
2001 A Uniform Choice of Law Rule for the Taking of Collateral Interests in Securities: Using Private Law Approaches to Reduce Credit and Legal Risk in Financial Systems
by K Alexander
2001 Equity portfolios generated by functions of ranked market weights
by Robert Fernholz [Downloadable!]
2001 Arbitrage and investment opportunities
by Elyès Jouini [Downloadable!]
2001 Politique de remboursement anticipé des obligations
by Annie Bellier-Delienne [Downloadable!]
2001 Organisation et performance:le lien entre l'organisation des sociétés de gestion de portefeuille et la performance financière des fonds gérés
by Jean Moussavou & Philippe Gillet [Downloadable!]
2000 The Compass Rose Pattern of the Stock Market: How Does it Affect Parameter Estimates, Forecasts, and Statistical Tests?
by Amilon , Henrik & Byström , Hans [Downloadable!]
2000 Using Simulated Currency Rainbow Options to Evaluate Covariance Matrix Forecasts
by Byström, Hans
2000 Orthogonal GARCH and Covariance Matrix Forecasting in a Stress Scenario: The Nordic Stock Markets During the Asian Financial Crisis 1997-1998
by Byström, Hans
2000 Governance Impact on Private Investment: Evidence from the International Patterns of Infrastructure Bond Risk Pricing
by Bubnova, N.B.
2000 Estimating & Testing Fundamental Stock Prices: Evidence from Simulated Economies
by Donaldson, R.G. & Kamstra, M.
2000 On the Strategic Origin of Brownian Motion in Finance
by De Meyer, B. & Moussa Saley, H.
2000 The Dynamics of Firms' Credit Ratings
by Bijapur, M.
2000 Cambios En El Rating De Bonos Y Su Efecto En Los Precios Accionarios: El Caso Chileno
by FRANCO PARISI & DANIEL PEREZ [Downloadable!]
1999 Issues In Stock Index Futures Introduction And Trading. Evidence From The Malaysian Index Futures Market
by Bacha, Obiyathulla I. & Abdul, Jalil O. & Othman, Khairudin [Downloadable!]
1999 Distortionary Taxation, Excessive Price Sensitivity, and Japanese Land Prices
by Kiyohiko G. Nishimura & Fukujyu Yamazaki & Takako Idee & Toshiaki Watanabe [Downloadable!]
1999 - Evaluation Of The Fixing Trading System In The Spanish Market
by David Abad & Antonio Rubia [Downloadable!]
1999 Risiko For Kollaps På Aktiemarkedet- Eller Hvad?
by Olesen, Jan Overgaard & Risager, Ole [Downloadable!]
1999 Asset Prices and Default-Free Term Structure in an Equilibrium Model of Default
by Chang, G. & Sundaresan, S.M.
1999 Asset Prices and Default-Free Term Structure in an Equilibrium Model of Default
by Chang, G. & Sundaresan, S.M.
1999 Sixteenths: Direct Evidence on Institutional Execution Costs
by Jones, C.M. & Lipson, M.L.
1999 Sixteenths: Direct Evidence on Institutional Execution Costs
by Jones, C.M. & Lipson, M.L.
1999 Execution Costs of Institutional Equity Orders
by Jones, C.M. & Lipson, M.L.
1999 Execution Costs of Institutional Equity Orders
by Jones, C.M. & Lipson, M.L.
1998 A Censored-Garch Model of Asset Returns with Price Limits
by Wei, S.X.
1998 Application of Simple Technical Trading Rules to Swiss Stock Prices: Is It Profitable?
by Isakov, D. & Hollistein, M.
1998 Risk Neutral Forecasting
by Skouras, S.
1998 The Profitability of Block Trades in Auction and Dealer Markets
by Andy Snell & Ian Tonks [Downloadable!]
1998 Order Flow Composition and Trading Costs in Dynamic Limit Order Markets
by Foucault, Thierry [Downloadable!]
1998 La politique à l'ère de la mondialisation et de la finance : le point sur quelques recherches régulationnistes
by Boyer, Robert [Downloadable!]
1997 Herd behavior and aggregate fluctuations in financial markets
by Rama CONT & Jean-Philippe BOUCHAUD [Downloadable!]
1997 Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation: Korean Evidence
by Silvapulle, P. & Choi, J.-S.
1996 Minimum Price Variations, Time Priority and Quotes Dynamics
by Tito Cordella & Thierry Foucault [Downloadable!]
1996 Generalized Binomial Trees
by Jackwerth, Jens Carsten [Downloadable!]
1996 Quotes, Order Flow, and Price Discovery
by Blume, M.E. & Goldstein, M.A.
1996 On an Edgeworth Characterization of Rational Expectations Equilibria in Atomless Asset Market Economies
by Koutsougeras, L.C.
1996 Contemporaneous Asymmetry in Weak Garch Processes
by El Babsiri, M. & Zakoian, J.M.
1996 Dividende et beta: une estimation Garch
by Atindehou, R.B. & Bernier, G. & Charest, G.
1996 Consumption and the Stock Market: Interpreting International Experience
by Campbell, J.Y.
1996 Croissance effective ou croissance potentielle et les marches monetaire et obligataire americains
by Avouyi-Dovi, S. & Lakhoua, F.
1996 Stock Prices and Money Velocity: A Multi-Country Analysis
by Caruso, M.
1996 A Model of Myopic Corporate Behaviour with Efficient Stock Markets and Optimal Management Incentive Programs
by Garvey, G.T. & Grant, S. & King, S.P.
1996 Call Features and Term to Maturity of Callable Foreign Bonds
by Hooper, V. & Pointon, J.
1996 Methodologie multicritere pour l'evaluation et la gestion de portefeuilles d'actions
by Hurson, C. & Zopounidis, C.
1995 Capital Gains in Japan: Their Magnitude and Imact on Consumption
by Horioka, C.Y.
1995 Capital Flows to Emerging Markets:What Have We Learned?
by Crockett,A.
1995 Endogenous Short Sale Constraint, Stock Prices and Output Cycles
by Zhang, H.H.
1994 Asset Pricing and Trading Volume in Heterogeneous Agent Models with Incomplete Markets
by Jean-Paul THELER
1989 Relative Performance Evaluation for Chief Executive Officers
by Robert Gibbons & Kevin Murphy [Downloadable!]
Neutral and Non Neutral Shock Effects on Hedging, Investment and Debt
by Marcello Spanò [Downloadable!]
Investment, Debt and Risk Management in a Context of Uncertain Returns to Investment
by Marcello Spanò [Downloadable!]
On the Existence of Efficient Hedge for an American Contingent Claim: Discrete Time Market
by Leonel Pérez-Hernández [Downloadable!]
The Price of Protection: Derivatives, Default Risk, and Margining
by Rajna GIBSON & Carsten MURAWSKI [Downloadable!]
Endogenous versus exogenous origins of financial rallies and crashes in an agent-based model with Bayesian learning and imitation
by Georges Harras & Didier Sornette [Downloadable!]
This page was last updated on 2009-11-22.
This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.