Publications
by members of
Finance Department
Stern School of Business
New York University (NYU)
New York City, New York (United States)
These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. Find also a compilation of publications from alumni here.This page is updated in the first days of each month.
| Working papers | Journal articles | Books | Chapters | Software components |
Working papers
Undated material is listed at the end2018
- Viral V. Acharya & Arvind Krishnamurthy, 2018. "Capital Flow Management with Multiple Instruments," NBER Working Papers 24443, National Bureau of Economic Research, Inc.
- Hertzberg, Andrew & Liberman, Andres & Paravisini, Daniel, 2018. "Screening on Loan Terms: Evidence from Maturity Choice in Consumer Credit," Working Papers 18-5, Federal Reserve Bank of Philadelphia.
2017
- Brownlees, Christian & Engle, Robert F., 2017.
"SRISK: a conditional capital shortfall measure of systemic risk,"
ESRB Working Paper Series
37, European Systemic Risk Board.
- Christian Brownlees & Robert F. Engle, 2017. "SRISK: A Conditional Capital Shortfall Measure of Systemic Risk," Review of Financial Studies, Society for Financial Studies, vol. 30(1), pages 48-79.
- Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017. "Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics Working Papers Archive 2017_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Terence C. Burnham & Harry Gakidis & Jeffrey Wurgler, 2017. "Investing in the Presence of Massive Flows: The Case of MSCI Country Reclassifications," NBER Working Papers 23557, National Bureau of Economic Research, Inc.
- Jongsub Lee & Junho Oh & David Yermack, 2017. "Credit Default Swaps, Agency Problems, and Management Incentives," NBER Working Papers 24064, National Bureau of Economic Research, Inc.
- Alexander Ljungqvist & Konrad Raff, 2017.
"Busy Directors: Strategic Interaction and Monitoring Synergies,"
NBER Working Papers
23889, National Bureau of Economic Research, Inc.
- Ljungqvist, Alexander P. & Raff, Konrad, 2017. "Busy Directors: Strategic Interaction and Monitoring Synergies," CEPR Discussion Papers 12361, C.E.P.R. Discussion Papers.
- Joan Farre-Mensa & Deepak Hegde & Alexander Ljungqvist, 2017. "What is a Patent Worth? Evidence from the U.S. Patent “Lottery”," NBER Working Papers 23268, National Bureau of Economic Research, Inc.
- Markus Ibert & Ron Kaniel & Stijn Van Nieuwerburgh & Roine Vestman, 2017.
"Are Mutual Fund Managers Paid For Investment Skill?,"
NBER Working Papers
23373, National Bureau of Economic Research, Inc.
- Ibert, Marcus & Kaniel, Ron & van Nieuwerburgh, Stijn & Vestman, Roine, 2017. "Are Mutual Fund Managers Paid For Investment Skill?," CEPR Discussion Papers 12241, C.E.P.R. Discussion Papers.
- Ibert, Marcus & Kaniel, Ron & van Nieuwerburgh, Stijn & Vestman, Roine, 2017. "Are Mutual Fund Managers Paid For Investment Skill?," CEPR Discussion Papers 12010, C.E.P.R. Discussion Papers.
- Stijn Van Nieuwerburgh & Jack Favilukis, 2017.
"Out-of-town Home Buyers and City Welfare,"
2017 Meeting Papers
486, Society for Economic Dynamics.
- Favilukis, Jack & van Nieuwerburgh, Stijn, 2017. "Out-of-town Home Buyers and City Welfare," CEPR Discussion Papers 12283, C.E.P.R. Discussion Papers.
- van Nieuwerburgh, Stijn, 2017. "Why Are REITS Currently So Expensive?," CEPR Discussion Papers 12281, C.E.P.R. Discussion Papers.
- Thomas Philippon & Pierre Pessarossi & Boubacar Camara, 2017.
"Backtesting European Stress Tests,"
NBER Working Papers
23083, National Bureau of Economic Research, Inc.
- B. Camara & P. Pessarossi & T. Philippon, 2017. "Back-testing European stress tests," Débats économiques et financiers 26, Banque de France.
- Camara, Boubacar & Pessarossi, Pierre & Philippon, Thomas, 2017. "Backtesting European Stress Tests," CEPR Discussion Papers 11805, C.E.P.R. Discussion Papers.
- Germán Gutiérrez & Thomas Philippon, 2017. "Declining Competition and Investment in the U.S," NBER Working Papers 23583, National Bureau of Economic Research, Inc.
- Amihud, Yakov & Schmid, Markus & Davidoff Solomon, Steven, 2017. "Settling the Staggered Board Debate," Working Papers on Finance 1713, University of St. Gallen, School of Finance.
2016
- Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016.
"Copula--based Specification of vector MEMs,"
Papers
1604.01338, arXiv.org.
- Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016. "Copula--based Specification of vector MEMs," Econometrics Working Papers Archive 2016_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Robert F. Engle & Olivier Ledoit & Michael Wolf, 2016. "Large dynamic covariance matrices," ECON - Working Papers 231, Department of Economics - University of Zurich, revised Apr 2017.
- Malcolm Baker & Mathias F. Hoeyer & Jeffrey Wurgler, 2016. "The Risk Anomaly Tradeoff of Leverage," NBER Working Papers 22116, National Bureau of Economic Research, Inc.
- Lasse Pedersen & David Lando & Christian Skov Jensen, 2016. "Generalized Recovery," 2016 Meeting Papers 935, Society for Economic Dynamics.
- Max Raskin & David Yermack, 2016. "Digital Currencies, Decentralized Ledgers, and the Future of Central Banking," NBER Working Papers 22238, National Bureau of Economic Research, Inc.
- Yehuda Izhakian & David Yermack & Jaime F. Zender, 2016. "Ambiguity and the Tradeoff Theory of Capital Structure," NBER Working Papers 22870, National Bureau of Economic Research, Inc.
- Alexander Ljungqvist & Lars Persson & Joacim Tåg, 2016.
"Private Equity's Unintended Dark Side: On the Economic Consequences of Excessive Delistings,"
NBER Working Papers
21909, National Bureau of Economic Research, Inc.
- Ljungqvist, Alexander P. & Persson, Lars & Tåg, Joacim, 2016. "Private Equity’s Unintended Dark Side: On the Economic Consequences of Excessive Delistings," CEPR Discussion Papers 11075, C.E.P.R. Discussion Papers.
- Joan Farre-Mensa & Deepak Hegde & Alexander Ljungqvist, 2016.
"The Bright Side of Patents,"
NBER Working Papers
21959, National Bureau of Economic Research, Inc.
- Farre-Mensa, Joan & Hegde, Deepak & Ljungqvist, Alexander P., 2016. "The Bright Side of Patents," CEPR Discussion Papers 11091, C.E.P.R. Discussion Papers.
- Ljungqvist, Alexander & Persson, Lars & Tåg, Joacim, 2016. "The Incredible Shrinking Stock Market: On the Political Economy Consequences of Excessive Delistings," Working Paper Series 1115, Research Institute of Industrial Economics, revised 01 Feb 2018.
- Kerry Back & Pierre Collin-Dufresne & Vyacheslav Fos & Tao Li & Alexander Ljungqvist, 2016.
"Activism, Strategic Trading, and Liquidity,"
NBER Working Papers
22893, National Bureau of Economic Research, Inc.
- Back, Kerry E. & Collin-Dufresne, Pierre & Fos, Vyacheslav & Li, Tao & Ljungqvist, Alexander P., 2017. "Activism, Strategic Trading, and Liquidity," CEPR Discussion Papers 12372, C.E.P.R. Discussion Papers.
- Back, Kerry E. & Collin-Dufresne, Pierre & Fos, Vyacheslav & Li, Tao & Ljungqvist, Alexander P., 2017. "Activism, Strategic Trading, and Liquidity," CEPR Discussion Papers 11843, C.E.P.R. Discussion Papers.
- Markus K. Brunnermeier & Luis Garicano & Philip Lane & Marco Pagano & Ricardo Reis & Tano Santos & David Thesmar & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016.
"The Sovereign-Bank Diabolic Loop and ESBies,"
NBER Working Papers
21993, National Bureau of Economic Research, Inc.
- Markus K. Brunnermeier & Luis Garicano & Philip R. Lane & Marco Pagano & Ricardo Reis & Tano Santos & David Thesmar & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016. "The Sovereign-Bank Diabolic Loop and ESBies," American Economic Review, American Economic Association, vol. 106(5), pages 508-512, May.
- Markus K. Brunnermeier & Luis Garicano & Philip R. Lane & Marco Pagano & Ricardo Reis & Tano Santos & David Thesmar & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016. "The Sovereign-Bank Diabolic Loop and ESBies," CSEF Working Papers 427, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 18 Jun 2016.
- Brunnermeier, Markus K & Garicano, Luis & Lane, Philip R. & Pagano, Marco & Reis, Ricardo & Santos, Tano & Thesmar, David & van Nieuwerburgh, Stijn & Vayanos, Dimitri, 2016. "The Sovereign-Bank Diabolic Loop and ESBies," CEPR Discussion Papers 11317, C.E.P.R. Discussion Papers.
- Thesmar, David & Brunnermeier , Markus K & Garicano , Luis & Lane, Philip R & Pagano , Marco & Reis, Ricardo & Santos , Tano & Van Nieuwerburgh , Stijn & Vayanos , Dimitri, 2016. "The Sovereign-Bank Diabolic Loop and Esbies," Les Cahiers de Recherche 1133, HEC Paris.
- Brunnermeier, Markus K. & Garicano, Luis & Lane, Philip R. & Pagano, Marco & Reis, Ricardo & Santos, Tano & Thesmar, David & Nieuwerburgh, Stijn Van & Vayanos, Dimitri, 2016. "The sovereign-bank diabolic loop and ESBies," LSE Research Online Documents on Economics 66429, London School of Economics and Political Science, LSE Library.
- Marcus K. Brunnermeier & Luis Garicano & Philip R. Lane & Marco Pagano & Ricardo Reis & Tano Santos & David Thesmar & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016. "The Sovereign-Bank Diabolic Loop and ESBies," EIEF Working Papers Series 1603, Einaudi Institute for Economics and Finance (EIEF), revised May 2016.
- Brunnermeier, Markus K & Garicano, Luis & Lane, Philip R. & Pagano, Marco & Reis, Ricardo & Santos, Tano & Thesmar, David & Van Nieuwerburgh, Stijn & Vayanos, Dimitri, 2016. "The sovereign-bank diabolic loop and ESBies," LSE Research Online Documents on Economics 86230, London School of Economics and Political Science, LSE Library.
- Markus K. Brunnermeier & Luis Garicano & Philip R. Lane & Marco Pagano & Ricardo Reis & Tano Santos & David Thesmar & Stijn Van Nieuwerburgh & Dimitri Vayanosy, 2016. "The Sovereign-Bank Diabolic Loop and ESBies," Discussion Papers 1617, Centre for Macroeconomics (CFM).
- Markus K. Brunnermeier & Luis Garicano & Philip R. Lane & Marco Pagano & Ricardo Reis & Tano Santos & David Thesmar & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016. "The Sovereign-Bank Diabolic Loop and ESBies," CEP Discussion Papers dp1414, Centre for Economic Performance, LSE.
- Brunnermeier, Markus K. & Garicano, Luis & Lane, Philip R. & Pagano, Marco & Reis, Ricardo & Santos, Tano & Thesmar, David & Van Nieuwerberg, Stijn & Vayanos, Dimitri, 2016. "The sovereign-bank diabolic loop and ESBies," LSE Research Online Documents on Economics 65863, London School of Economics and Political Science, LSE Library.
- Markus K. Brunnermeier & Sam Langfield & Marco Pagano & Ricardo Reis & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016.
"ESBies: Safety in the tranches,"
Discussion Papers
1627, Centre for Macroeconomics (CFM).
- Markus K. Brunnermeier & Sam Langfield & Marco Pagano & Ricardo Reis & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2017. "ESBies: safety in the tranches," Economic Policy, CEPR;CES;MSH, vol. 32(90), pages 175-219.
- Markus K. Brunnermeier & Sam Langfield & Marco Pagano & Ricardo Reis & Stijn Van Nieuwerburgh Author Email: svnieuwe@stern.nyu.edu & Dimitri Vayanos Author Email: d.vayanos@lse.ac.uk, 2016. "ESBies: Safety in the Tranches," CSEF Working Papers 453, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Markus K. Brunnermeier & Sam Langfield & Marco Pagano & Ricardo Reis & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016. "ESBies: Safety in the tranches," ESRB Working Paper Series 21, European Systemic Risk Board.
- Brunnermeier, Markus K. & Langfield, Sam & Pagano, Marco & Reis, Ricardo & Nieuwerburgh, Stijn Van & Vayanos, Dimitri, 2016. "ESBies: safety in the tranches," LSE Research Online Documents on Economics 86221, London School of Economics and Political Science, LSE Library.
- Brunnermeier, Markus K & Langfield, Sam & Pagano, Marco & Reis, Ricardo & van Nieuwerburgh, Stijn & Vayanos, Dimitri, 2016. "ESBies: Safety in the Tranches," CEPR Discussion Papers 11537, C.E.P.R. Discussion Papers.
- Brunnermeier, Markus Konrad & Langfield, Sam & Pagano, Marco & Reis, Ricardo & van Nieuwerburgh, Stijn & Vayanos, Dimitri, 2016. "ESBies: Safety in the tranches," CFS Working Paper Series 537, Center for Financial Studies (CFS).
- Marcus K. Brunnermeier & Sam Langfield & Marco Pagano & Ricardo Reis & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016. "ESBies - Safety in the tranches," EIEF Working Papers Series 1614, Einaudi Institute for Economics and Finance (EIEF), revised Sep 2016.
- Paolo Sodini & Stijn Van Nieuwerburgh & Roine Vestman & Ulf von Lilienfeld-Toal, 2016.
"Identifying the Benefits from Home Ownership: A Swedish Experiment,"
NBER Working Papers
22882, National Bureau of Economic Research, Inc.
- Sodini, Paolo & van Nieuwerburgh, Stijn & Vestman, Roine & von Lilienfeld-Toal, Ulf, 2016. "Identifying the Benefits from Home Ownership: A Swedish Experiment," CEPR Discussion Papers 11656, C.E.P.R. Discussion Papers.
- Tim Landvoigt & Stijn Van Nieuwerburgh & Vadim Elenev, 2016.
"A Macroeconomic Model with Financially Constrained Producers and Intermediaries,"
2016 Meeting Papers
1224, Society for Economic Dynamics.
- Elenev, Vadim & Landvoigt, Tim & van Nieuwerburgh, Stijn, 2017. "A Macroeconomic Model with Financially Constrained Producers and Intermediaries," CEPR Discussion Papers 12282, C.E.P.R. Discussion Papers.
- Pierre-Olivier Gourinchas & Thomas Philippon & Dimitri Vayanos, 2016.
"The Analytics of the Greek Crisis,"
NBER Working Papers
22370, National Bureau of Economic Research, Inc.
- Pierre-Olivier Gourinchas & Thomas Philippon & Dimitri Vayanos, 2017. "The Analytics of the Greek Crisis," NBER Macroeconomics Annual, University of Chicago Press, vol. 31(1), pages 1-81.
- Pierre-Olivier Gourinchas & Thomas Philippon & Dimitri Vayanos, 2016. "The Analytics of the Greek Crisis," NBER Chapters,in: NBER Macroeconomics Annual 2016, Volume 31, pages 1-81 National Bureau of Economic Research, Inc.
- Pierre-Olivier Gourinchas & Thomas Philippon & Dimitri Vayanos, 2016. "The Analytics of the Greek Crisis," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 100, Hellenic Observatory, LSE.
- Gourinchas, Pierre-Olivier & Philippon, Thomas & Vayanos, Dimitri, 2016. "The Analytics of the Greek Crisis," CEPR Discussion Papers 11334, C.E.P.R. Discussion Papers.
- Thomas Philippon, 2016.
"The FinTech Opportunity,"
NBER Working Papers
22476, National Bureau of Economic Research, Inc.
- Philippon, Thomas, 2016. "The FinTech Opportunity," CEPR Discussion Papers 11409, C.E.P.R. Discussion Papers.
- Gourinchas, Pierre-Olivier & Philippon, Thomas & Vayanos, Dimitri, 2016. "The analytics of the Greek crisis: celebratory centenary issue," LSE Research Online Documents on Economics 67368, London School of Economics and Political Science, LSE Library.
- Germán Gutiérrez & Thomas Philippon, 2016.
"Investment-less Growth: An Empirical Investigation,"
NBER Working Papers
22897, National Bureau of Economic Research, Inc.
- Gutierrez, German & Philippon, Thomas, 2016. "Investment-less Growth: An Empirical Investigation," CEPR Discussion Papers 11673, C.E.P.R. Discussion Papers.
- Virgiliu Midrigan & Thomas Philippon & Callum Jones, 2016. "Beyond the Liquidity Trap: the Secular Stagnation of Investment," 2016 Meeting Papers 1429, Society for Economic Dynamics.
- Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2016.
"The Deposits Channel of Monetary Policy,"
NBER Working Papers
22152, National Bureau of Economic Research, Inc.
- Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2017. "The Deposits Channel of Monetary Policy," The Quarterly Journal of Economics, Oxford University Press, vol. 132(4), pages 1819-1876.
- Paolo Giudici & Laura Parisi, 2016. "CoRisk: measuring systemic risk through default probability contagion," DEM Working Papers Series 116, University of Pavia, Department of Economics and Management.
- Paolo Giudici & Laura Parisi, 2016. "Bail in or Bail out? The Atlante example from a systemic risk perspective," DEM Working Papers Series 124, University of Pavia, Department of Economics and Management.
- Marieke Bos & Emily Breza & Andres Liberman, 2016. "The Labor Market Effects of Credit Market Information," NBER Working Papers 22436, National Bureau of Economic Research, Inc.
2015
- Nicolae B. Gârleanu & Lasse H. Pedersen, 2015. "Efficiently Inefficient Markets for Assets and Asset Management," NBER Working Papers 21563, National Bureau of Economic Research, Inc.
- Pedersen, Lasse Heje & Vestergaard Jensen, Mads, 2015.
"Early Option Exercise: Never Say Never,"
CEPR Discussion Papers
11019, C.E.P.R. Discussion Papers.
- Jensen, Mads Vestergaard & Pedersen, Lasse Heje, 2016. "Early option exercise: Never say never," Journal of Financial Economics, Elsevier, vol. 121(2), pages 278-299.
- David Yermack, 2015. "Donor Governance and Financial Management in Prominent U.S. Art Museums," NBER Working Papers 21066, National Bureau of Economic Research, Inc.
- David Yermack, 2015. "Corporate Governance and Blockchains," NBER Working Papers 21802, National Bureau of Economic Research, Inc.
- Alexander Ljungqvist & Donghua Chen & Dequan Jiang & Haitian Lu & Mingming Zhou, 2015.
"State Capitalism vs. Private Enterprise,"
NBER Working Papers
20930, National Bureau of Economic Research, Inc.
- Chen, Donghua & Jiang, Dequan & Ljungqvist, Alexander P. & Lu, Haitian & Zhou, Mingming, 2015. "State Capitalism vs. Private Enterprise," CEPR Discussion Papers 10423, C.E.P.R. Discussion Papers.
- Alexander Ljungqvist & Liandong Zhang & Luo Zuo, 2015.
"Sharing Risk with the Government: How Taxes Affect Corporate Risk Taking,"
NBER Working Papers
21834, National Bureau of Economic Research, Inc.
- Alexander Ljungqvist & Liandong Zhang & Luo Zuo, 2017. "Sharing Risk with the Government: How Taxes Affect Corporate Risk Taking," Journal of Accounting Research, Wiley Blackwell, vol. 55(3), pages 669-707, June.
- Vadim Elenev & Tim Landvoigt & Stijn Van Nieuwerburgh, 2015.
"Phasing Out the GSEs,"
NBER Working Papers
21626, National Bureau of Economic Research, Inc.
- Elenev, Vadim & Landvoigt, Tim & Van Nieuwerburgh, Stijn, 2016. "Phasing out the GSEs," Journal of Monetary Economics, Elsevier, vol. 81(C), pages 111-132.
- Tim Landvoigt & Stijn Van Nieuwerburgh & Vadim Elenev, 2015. "Phasing out the GSEs," 2015 Meeting Papers 977, Society for Economic Dynamics.
- Miguel Faria-e-Castro & Joseba Martinez & Thomas Philippon, 2015.
"Runs versus Lemons: Information Disclosure and Fiscal Capacity,"
NBER Working Papers
21201, National Bureau of Economic Research, Inc.
- Miguel Faria-e-Castro & Joseba Martinez & Thomas Philippon, 2017. "Runs versus Lemons: Information Disclosure and Fiscal Capacity," Review of Economic Studies, Oxford University Press, vol. 84(4), pages 1683-1707.
- Thomas Philippon & Joseba Martinez & Miguel de Faria e Castro, 2015. "Runs versus Lemons: Information Disclosure and Fiscal Capacity," 2015 Meeting Papers 1146, Society for Economic Dynamics.
- Faria-e-Castro, Miguel & Martinez, Joseba & Philippon, Thomas, 2016. "Runs versus Lemons: Information Disclosure and Fiscal Capacity," CEPR Discussion Papers 11408, C.E.P.R. Discussion Papers.
- Faria-e-Castro, Miguel & Martinez, Joseba & Philippon, Thomas, 2015. "Runs versus Lemons: Information Disclosure and Fiscal Capacity," CEPR Discussion Papers 10614, C.E.P.R. Discussion Papers.
- Thomas Philippon & Joseba Martinez, 2015. "Does a Currency Union Need a Capital Market Union?," 2015 Meeting Papers 501, Society for Economic Dynamics.
- Jennifer N. Carpenter & Fangzhou Lu & Robert F. Whitelaw, 2015. "The Real Value of China's Stock Market," NBER Working Papers 20957, National Bureau of Economic Research, Inc.
- A. Monfort & F. Pegoraro & J.-P. Renne & G. Roussellet, 2015.
"Staying at Zero with Affine Processes: An Application to Term Structure Modelling,"
Working papers
558, Banque de France.
- Monfort, Alain & Pegoraro, Fulvio & Renne, Jean-Paul & Roussellet, Guillaume, 2017. "Staying at zero with affine processes: An application to term structure modelling," Journal of Econometrics, Elsevier, vol. 201(2), pages 348-366.
- Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2017. "Staying at zero with affine processes : an application to term structure modelling," Rue de la Banque, Banque de France, issue 52, november.
- Laura Parisi & Igor Gianfrancesco & Camillo Gilberto & Paolo Giudici, 2015. "Monetary transmission models for bank interest rates," DEM Working Papers Series 101, University of Pavia, Department of Economics and Management.
- Paolo Giudici & Laura Parisi, 2015. "Dynamic models for monetary transmission," DEM Working Papers Series 106, University of Pavia, Department of Economics and Management.
- Paolo Giudici & Laura Parisi, 2015. "Modeling Systemic Risk with Correlated Stochastic Processes," DEM Working Papers Series 110, University of Pavia, Department of Economics and Management.
- Paolo Giudici & Laura Parisi, 2015. "Dynamic hierarchical models for monetary transmission," DEM Working Papers Series 112, University of Pavia, Department of Economics and Management.
2014
- Robert Engle & Emil Siriwardane, 2014. "Structural GARCH: The Volatility-Leverage Connection," Working Papers 14-07, Office of Financial Research, US Department of the Treasury.
- Acharya, Viral V. & Fleming, Michael J. & Hrung, Warren B. & Sarkar, Asani, 2014.
"Dealer financial conditions and lender-of-last resort facilities,"
Staff Reports
673, Federal Reserve Bank of New York.
- Acharya, Viral V. & Fleming, Michael J. & Hrung, Warren B. & Sarkar, Asani, 2017. "Dealer financial conditions and lender-of-last-resort facilities," Journal of Financial Economics, Elsevier, vol. 123(1), pages 81-107.
- David Backus & Axelle Ferriere & Stanley Zin, 2014.
"Risk and Ambiguity in Models of Business Cycles,"
NBER Working Papers
20319, National Bureau of Economic Research, Inc.
- Backus, David & Ferriere, Axelle & Zin, Stanley, 2015. "Risk and ambiguity in models of business cycles," Journal of Monetary Economics, Elsevier, vol. 69(C), pages 42-63.
- Yehuda Izhakian & David Yermack, 2014. "Risk, Ambiguity, and the Exercise of Employee Stock Options," NBER Working Papers 19975, National Bureau of Economic Research, Inc.
- David Yermack & Yuanzhi Li, 2014. "Evasive Shareholder Meetings," NBER Working Papers 19991, National Bureau of Economic Research, Inc.
- Alexander Ljungqvist & Michael Smolyansky, 2014.
"To Cut or Not to Cut? On the Impact of Corporate Taxes on Employment and Income,"
NBER Working Papers
20753, National Bureau of Economic Research, Inc.
- Ljungqvist, Alexander & Smolyansky, Michael, 2016. "To Cut or Not to Cut? On the Impact of Corporate Taxes on Employment and Income," Finance and Economics Discussion Series 2016-6, Board of Governors of the Federal Reserve System (U.S.).
- Alexander Ljungqvist & Wenlan Qian, 2014. "How Constraining Are Limits to Arbitrage? Evidence from a Recent Financial Innovation," NBER Working Papers 19834, National Bureau of Economic Research, Inc.
- Bernard Herskovic & Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2014.
"The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications,"
NBER Working Papers
20076, National Bureau of Economic Research, Inc.
- Herskovic, Bernard & Kelly, Bryan & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2016. "The common factor in idiosyncratic volatility: Quantitative asset pricing implications," Journal of Financial Economics, Elsevier, vol. 119(2), pages 249-283.
- Morris A. Davis & Stijn Van Nieuwerburgh, 2014.
"Housing, Finance and the Macroeconomy,"
NBER Working Papers
20287, National Bureau of Economic Research, Inc.
- Davis, Morris A. & Van Nieuwerburgh, Stijn, 2015. "Housing, Finance, and the Macroeconomy," Handbook of Regional and Urban Economics, Elsevier.
- Stijn Van Nieuwerburgh & Hanno Lustig & Bryan Kelly & Bernard Herskovic, 2014. "The Common Factor in Idiosyncratic Volatility," 2014 Meeting Papers 810, Society for Economic Dynamics.
- Philippe Martin & Thomas Philippon, 2014.
"Inspecting the Mechanism: Leverage and the Great Recession in the Eurozone,"
NBER Working Papers
20572, National Bureau of Economic Research, Inc.
- Philippe Martin & Thomas Philippon, 2017. "Inspecting the Mechanism: Leverage and the Great Recession in the Eurozone," American Economic Review, American Economic Association, vol. 107(7), pages 1904-1937, July.
- Philippe Martin & Thomas Philippon, 2014. "Inspecting the Mechanism Leverage and the Great Recession in the Eurozone," Sciences Po publications 2014-16, Sciences Po.
- Martin, Philippe & Philippon, Thomas, 2014. "Inspecting the Mechanism: Leverage and the Great Recession in the Eurozone," CEPR Discussion Papers 10189, C.E.P.R. Discussion Papers.
- Philippe Martin & Thomas Philippon, 2017. "Inspecting the Mechanism: Leverage and the Great Recession in the Eurozone," Sciences Po publications info:hdl:2441/59bp0vqv2b8, Sciences Po.
- Philippe Martin & Thomas Philippon, 2014. "Inspecting the Mechanism Leverage and the Great Recession in the Eurozone," Sciences Po Economics Discussion Papers 2014-16, Sciences Po Departement of Economics.
- Monfort, A. & Renne, J.-P. & Roussellet, G., 2014.
"A Quadratic Kalman Filter,"
Working papers
486, Banque de France.
- Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2015. "A Quadratic Kalman Filter," Journal of Econometrics, Elsevier, vol. 187(1), pages 43-56.
- Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2014. "A Model of Monetary Policy and Risk Premia," NBER Working Papers 20141, National Bureau of Economic Research, Inc.
- Alexi Savov & Alan Moreira, 2014.
"The Macroeconomics of Shadow Banking,"
2014 Meeting Papers
254, Society for Economic Dynamics.
- Alan Moreira & Alexi Savov, 2014. "The Macroeconomics of Shadow Banking," NBER Working Papers 20335, National Bureau of Economic Research, Inc.
2013
- Turan G. Bali & Robert F. Engle & Yi Tang, 2013. "Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns," Koç University-TUSIAD Economic Research Forum Working Papers 1305, Koc University-TUSIAD Economic Research Forum.
- Viral V. Acharya & Robert Engle & Diane Pierret, 2013.
"Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights,"
NBER Working Papers
18968, National Bureau of Economic Research, Inc.
- Acharya, Viral & Engle, Robert & Pierret, Diane, 2014. "Testing macroprudential stress tests: The risk of regulatory risk weights," Journal of Monetary Economics, Elsevier, vol. 65(C), pages 36-53.
- Acharya, Viral V & Engle III, Robert F & Pierret, Diane, 2013. "Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights," CEPR Discussion Papers 9431, C.E.P.R. Discussion Papers.
- Acharya, Viral V & Engle III, Robert F & Pierret, Diane, 2014. "Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights," CEPR Discussion Papers 9800, C.E.P.R. Discussion Papers.
- Malcolm Baker & Jeffrey Wurgler, 2013. "Do Strict Capital Requirements Raise the Cost of Capital? Banking Regulation and the Low Risk Anomaly," NBER Working Papers 19018, National Bureau of Economic Research, Inc.
- Viral V. Acharya & Heitor Almeida & Filippo Ippolito & Ander Perez, 2013.
"Credit Lines as Monitored Liquidity Insurance: Theory and Evidence,"
NBER Working Papers
18892, National Bureau of Economic Research, Inc.
- Acharya, Viral & Almeida, Heitor & Ippolito, Filippo & Perez, Ander, 2014. "Credit lines as monitored liquidity insurance: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 112(3), pages 287-319.
- Heitor Almeida & Filippo Ippolito & Ander Perez & Viral Acharya, 2012. "Credit Lines as Monitored Liquidity Insurance: Theory and Evidence," 2012 Meeting Papers 823, Society for Economic Dynamics.
- Viral V. Acharya & Sascha Steffen, 2013.
"The "Greatest" Carry Trade Ever? Understanding Eurozone Bank Risks,"
NBER Working Papers
19039, National Bureau of Economic Research, Inc.
- Acharya, Viral V. & Steffen, Sascha, 2015. "The “greatest” carry trade ever? Understanding eurozone bank risks," Journal of Financial Economics, Elsevier, vol. 115(2), pages 215-236.
- Acharya, Viral V & Steffen, Sascha, 2013. "The "Greatest" Carry Trade Ever? Understanding Eurozone Bank Risks," CEPR Discussion Papers 9432, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Hanh Le & Hyun Song Shin, 2013.
"Bank Capital and Dividend Externalities,"
NBER Working Papers
19707, National Bureau of Economic Research, Inc.
- Viral V. Acharya & Hanh T. Le & Hyun Song Shin, 2017. "Bank Capital and Dividend Externalities," Review of Financial Studies, Society for Financial Studies, vol. 30(3), pages 988-1018.
- Acharya, Viral V & Le, Hanh & Shin, Hyun Song, 2014. "Bank Capital and Dividend Externalities," CEPR Discussion Papers 9865, C.E.P.R. Discussion Papers.
- Viral Acharya & Hanh Le & Hyun Song Shin, 2016. "Bank capital and dividend externalities," BIS Working Papers 580, Bank for International Settlements.
- Acharya, Viral V & Le, Hanh & Shin, Hyun Song, 2013. "Bank Capital and Dividend Externalities," CEPR Discussion Papers 9479, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Zhaoxia Xu, 2013. "Financial Dependence and Innovation: The Case of Public versus Private Firms," NBER Working Papers 19708, National Bureau of Economic Research, Inc.
- Viral V. Acharya & Bruce Tuckman, 2013. "Unintended Consequences of LOLR Facilities: The Case of Illiquid Leverage," NBER Working Papers 19773, National Bureau of Economic Research, Inc.
- Acharya, Viral V. & Afonso, Gara M. & Kovner, Anna, 2013.
"How do global banks scramble for liquidity? Evidence from the asset-backed commercial paper freeze of 2007,"
Staff Reports
623, Federal Reserve Bank of New York, revised 01 Apr 2016.
- Acharya, Viral V. & Afonso, Gara & Kovner, Anna, 2017. "How do global banks scramble for liquidity? Evidence from the asset-backed commercial paper freeze of 2007," Journal of Financial Intermediation, Elsevier, vol. 30(C), pages 1-34.
- Acharya, Viral V & Afonso, Gara & Kovner, Anna, 2013. "How do Global Banks Scramble for Liquidity? Evidence from the Asset-Backed Commercial Paper Freeze of 2007," CEPR Discussion Papers 9457, C.E.P.R. Discussion Papers.
- Ralph S.J. Koijen & Tobias J. Moskowitz & Lasse Heje Pedersen & Evert B. Vrugt, 2013.
"Carry,"
NBER Working Papers
19325, National Bureau of Economic Research, Inc.
- Koijen, Ralph & Moskowitz, Tobias J & Pedersen, Lasse Heje & Vrugt, Evert B., 2013. "Carry," CEPR Discussion Papers 9771, C.E.P.R. Discussion Papers.
- Andrea Frazzini & David Kabiller & Lasse H. Pedersen, 2013.
"Buffett's Alpha,"
NBER Working Papers
19681, National Bureau of Economic Research, Inc.
- Frazzini, Andrea & Kabiller, David & Pedersen, Lasse Heje, 2013. "Buffett’s Alpha," CEPR Discussion Papers 9769, C.E.P.R. Discussion Papers.
- David Backus & Mikhail Chernov & Stanley E. Zin, 2013.
"Identifying Taylor Rules in Macro-Finance Models,"
NBER Working Papers
19360, National Bureau of Economic Research, Inc.
- David Backus & Mikhail Chernov & Stanley Zin, 2013. "Identifying Taylor Rules in Macro-finance Models," Working Papers 13-12, New York University, Leonard N. Stern School of Business, Department of Economics.
- Backus, David & Chernov, Mikhail & Zin, Stanley E., 2013. "Identifying Taylor rules in macro-finance models," CEPR Discussion Papers 9611, C.E.P.R. Discussion Papers.
- Tanja Artiga González & Markus Schmid & David Yermack, 2013. "Smokescreen: How Managers Behave When They Have Something To Hide," NBER Working Papers 18886, National Bureau of Economic Research, Inc.
- David Yermack, 2013. "Is Bitcoin a Real Currency? An economic appraisal," NBER Working Papers 19747, National Bureau of Economic Research, Inc.
- Karthik Balakrishnan & Mary B. Billings & Bryan T. Kelly & Alexander Ljungqvist, 2013.
"Shaping Liquidity: On the Causal Effects of Voluntary Disclosure,"
NBER Working Papers
18984, National Bureau of Economic Research, Inc.
- Karthik Balakrishnan & Mary Brooke Billings & Bryan Kelly & Alexander Ljungqvist, 2014. "Shaping Liquidity: On the Causal Effects of Voluntary Disclosure," Journal of Finance, American Finance Association, vol. 69(5), pages 2237-2278, October.
- Kerry Back & Tao Li & Alexander Ljungqvist, 2013.
"Liquidity and Governance,"
NBER Working Papers
19669, National Bureau of Economic Research, Inc.
- Back, Kerry E. & Li, Tao & Ljungqvist, Alexander P., 2013. "Liquidity and Governance," CEPR Discussion Papers 9739, C.E.P.R. Discussion Papers.
- Joan Farre-Mensa & Alexander Ljungqvist, 2013.
"Do Measures of Financial Constraints Measure Financial Constraints?,"
NBER Working Papers
19551, National Bureau of Economic Research, Inc.
- Joan Farre-Mensa & Alexander Ljungqvist, 2016. "Do Measures of Financial Constraints Measure Financial Constraints?," Review of Financial Studies, Society for Financial Studies, vol. 29(2), pages 271-308.
- Farre-Mensa, Joan & Ljungqvist, Alexander P., 2015. "Do Measures of Financial Constraints Measure Financial Constraints?," CEPR Discussion Papers 10326, C.E.P.R. Discussion Papers.
- Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2013.
"Firm Volatility in Granular Networks,"
NBER Working Papers
19466, National Bureau of Economic Research, Inc.
- Stijn Van Nieuwerburgh & Hanno Lustig & Bryan Kelly, 2014. "Firm Volatility in Granular Networks," 2014 Meeting Papers 253, Society for Economic Dynamics.
- Herskovic, Bernard & Kelly, Bryan & Lustig, Hanno & van Nieuwerburgh, Stijn, 2017. "Firm Volatility in Granual Networks," CEPR Discussion Papers 12284, C.E.P.R. Discussion Papers.
- Jennie Bai & Thomas Philippon & Alexi Savov, 2013.
"Have Financial Markets Become More Informative?,"
NBER Working Papers
19728, National Bureau of Economic Research, Inc.
- Bai, Jennie & Philippon, Thomas & Savov, Alexi, 2016. "Have financial markets become more informative?," Journal of Financial Economics, Elsevier, vol. 122(3), pages 625-654.
- Jennie Bai & Thomas Philippon & Alexi Savov, 2012. "Have financial markets become more informative?," Staff Reports 578, Federal Reserve Bank of New York.
- Dubecq, S. & Monfort, A. & Renne, J-P. & Roussellet, G., 2013.
"Credit and Liquidity in Interbank Rates: a Quadratic Approach,"
Working papers
446, Banque de France.
- Dubecq, Simon & Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2016. "Credit and liquidity in interbank rates: A quadratic approach," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 29-46.
2012
- Robert F. Engle & Martin Klint Hansen & Asger Lunde, 2012. "And Now, The Rest of the News: Volatility and Firm Specific News Arrival," CREATES Research Papers 2012-56, Department of Economics and Business Economics, Aarhus University.
- Robert Engle & Michael J. Fleming & Eric Ghysels & Giang Nguyen, 2012. "Liquidity, volatility, and flights to safety in the U.S. treasury market: evidence from a new class of dynamic order book models," Staff Reports 590, Federal Reserve Bank of New York.
- Malcolm Baker & Jeffrey Wurgler, 2012.
"Dividends as Reference Points: A Behavioral Signaling Approach,"
NBER Working Papers
18242, National Bureau of Economic Research, Inc.
- Malcolm Baker & Brock Mendel & Jeffrey Wurgler, 2016. "Dividends as Reference Points: A Behavioral Signaling Approach," Review of Financial Studies, Society for Financial Studies, vol. 29(3), pages 697-738.
- Viral Acharya & Marco Pagano & Paolo Volpin, 2012.
"Seeking Alpha: Excess Risk Taking and Competition for Managerial Talent,"
CSEF Working Papers
312, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 07 May 2016.
- Viral Acharya & Marco Pagano & Paolo Volpin, 2016. "Seeking Alpha: Excess Risk Taking and Competition for Managerial Talent," Review of Financial Studies, Society for Financial Studies, vol. 29(10), pages 2565-2599.
- Viral Acharya & Marco Pagano & Paolo Volpin, 2013. "Seeking Alpha - Excess Risk Taking and Competition for Managerial Talent," EIEF Working Papers Series 1303, Einaudi Institute for Economics and Finance (EIEF), revised Apr 2016.
- Viral V. Acharya & Marco Pagano & Paolo Volpin, 2013. "Seeking Alpha: Excess Risk Taking and Competition for Managerial Talent," NBER Working Papers 18891, National Bureau of Economic Research, Inc.
- Acharya, Viral V & Pagano, Marco & Volpin, Paolo, 2012. "Seeking Alpha: Excess Risk Taking and Competition for Managerial Talent," CEPR Discussion Papers 8905, C.E.P.R. Discussion Papers.
- Acharya, Viral V & Naqvi, Hassan, 2012.
"The Seeds of a Crisis: A Theory of Bank Liquidity and Risk-Taking over the Business Cycle,"
CEPR Discussion Papers
8851, C.E.P.R. Discussion Papers.
- Acharya, Viral & Naqvi, Hassan, 2012. "The seeds of a crisis: A theory of bank liquidity and risk taking over the business cycle," Journal of Financial Economics, Elsevier, vol. 106(2), pages 349-366.
- Acharya, Viral V & Gabarro, Marc & Volpin, Paolo, 2012. "Competition for Managers, Corporate Governance and Incentive Compensation," CEPR Discussion Papers 8936, C.E.P.R. Discussion Papers.
- Acharya, Viral V & Öncü, T Sabri, 2012. "A proposal for the resolution of systemically important assets and liabilities: The case of the repo market," CEPR Discussion Papers 8927, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Ramin P. Baghai & Krishnamurthy V. Subramanian, 2012.
"Wrongful Discharge Laws and Innovation,"
NBER Working Papers
18516, National Bureau of Economic Research, Inc.
- Viral V. Acharya & Ramin P. Baghai & Krishnamurthy V. Subramanian, 2014. "Wrongful Discharge Laws and Innovation," Review of Financial Studies, Society for Financial Studies, vol. 27(1), pages 301-346, January.
- Andrea Frazzini & Lasse H. Pedersen, 2012. "Embedded Leverage," NBER Working Papers 18558, National Bureau of Economic Research, Inc.
- David Yermack, 2012. "Tailspotting: Identifying and profiting from CEO vacation trips," NBER Working Papers 17940, National Bureau of Economic Research, Inc.
- Florian Heider & Alexander Ljungqvist, 2012. "As Certain as Debt and Taxes: Estimating the Tax Sensitivity of Leverage from Exogenous State Tax Changes," NBER Working Papers 18263, National Bureau of Economic Research, Inc.
- Jack Favilukis & David Kohn & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2012.
"International Capital Flows and House Prices: Theory and Evidence,"
NBER Working Papers
17751, National Bureau of Economic Research, Inc.
- Jack Favilukis & David Kohn & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2012. "International Capital Flows and House Prices: Theory and Evidence," NBER Chapters,in: Housing and the Financial Crisis, pages 235-299 National Bureau of Economic Research, Inc.
- Sydney Ludvigson & Stijn Van Nieuwerburgh & Jack Favilukis, 2012.
"Foreign Ownership of U.S. Safe Assets: Good or Bad?,"
2012 Meeting Papers
297, Society for Economic Dynamics.
- Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2014. "Foreign Ownership of U.S. Safe Assets: Good or Bad?," NBER Working Papers 19917, National Bureau of Economic Research, Inc.
- Thomas Philippon, 2012.
"Has the U.S. Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation,"
NBER Working Papers
18077, National Bureau of Economic Research, Inc.
- Thomas Philippon, 2015. "Has the US Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation," American Economic Review, American Economic Association, vol. 105(4), pages 1408-1438, April.
- Philippon, Thomas, 2014. "Has the U.S. Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation," CEPR Discussion Papers 9792, C.E.P.R. Discussion Papers.
- Agnès Bénassy-Quéré & Guillaume Roussellet, 2012.
"Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
halshs-00755705, HAL.
- Agnès Bénassy-Quéré & Guillaume Roussellet, 2014. "Fiscal sustainability in the presence of systemic banks: the case of EU countries," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 21(3), pages 436-467, June.
- Agnès Bénassy-Quéré & Guillaume Roussellet, 2014. "Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU countries," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00825256, HAL.
- Agnès Bénassy-Quéré & Guillaume Roussellet, 2012. "Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries," PSE - G-MOND WORKING PAPERS hal-00962455, HAL.
- Agnes Benassy-Quere & Guillaume Roussellet, 2012. "Fiscal Sustainability in the Presence of Systemic Banks: The Case of EU Countries," CESifo Working Paper Series 3975, CESifo Group Munich.
- Agnès Bénassy-Quéré & Guillaume Roussellet, 2012. "Fiscal sustainability in the presence of systemic banks: the case of EU countries," Working Papers 2012-05, CEPII research center.
- Bénassy-quéré, A. & Roussellet, A., 2013. "Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries," Working papers 428, Banque de France.
- Agnès Bénassy-Quéré & Guillaume Roussellet, 2012. "Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries," Documents de travail du Centre d'Economie de la Sorbonne 12077, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Agnès Bénassy-Quéré & Guillaume Roussellet, 2012. "Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries," Working Papers hal-00962455, HAL.
2011
- Malcolm Baker & Jeffrey Wurgler, 2011.
"Behavioral Corporate Finance: An Updated Survey,"
NBER Working Papers
17333, National Bureau of Economic Research, Inc.
- Baker, Malcolm & Wurgler, Jeffrey, 2013. "Behavioral Corporate Finance: An Updated Survey," Handbook of the Economics of Finance, Elsevier.
- Acharya, Viral V. & Cooley, Thomas & Richardson, Matthew & Walter, Ingo, 2011.
"Market Failures and Regulatory Failures: Lessons from Past and Present Financial Crises,"
ADBI Working Papers
264, Asian Development Bank Institute.
- Viral V. Acharya & Thomas Cooley & Matthew Richardson & Ingo Walter, 2011. "Market Failures and Regulatory Failures : Lessons from Past and Present Financial Crises," Macroeconomics Working Papers 23273, East Asian Bureau of Economic Research.
- Viral V. Acharya & Thomas Cooley & Matthew Richardson & Ingo Walter, 2011. "Market Failures and Regulatory Failures : Lessons from Past and Present Financial Crises," Governance Working Papers 23273, East Asian Bureau of Economic Research.
- Viral V. Acharya & Thomas Cooley & Matthew Richardson & Ingo Walter, 2011. "Market Failures and Regulatory Failures : Lessons from Past and Present Financial Crises," Finance Working Papers 23273, East Asian Bureau of Economic Research.
- Viral V. Acharya & Nada Mora, 2011.
"Are banks passive liquidity backstops? deposit rates and flows during the 2007-2009 crisis,"
Research Working Paper
RWP 11-06, Federal Reserve Bank of Kansas City.
- Viral V. Acharya & Nada Mora, 2012. "Are Banks Passive Liquidity Backstops? Deposit Rates and Flows during the 2007-2009 Crisis," NBER Working Papers 17838, National Bureau of Economic Research, Inc.
- Acharya, Viral V & Mora, Nada, 2011. "Are Banks Passive Liquidity Backstops? Deposit Rates and Flows during the 2007-2009 Crisis," CEPR Discussion Papers 8706, C.E.P.R. Discussion Papers.
- Acharya, Viral V & Rajan, Raghuram G, 2011.
"Sovereign debt, government myopia, and the financial sector,"
CEPR Discussion Papers
8668, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Raghuram G. Rajan, 2013. "Sovereign Debt, Government Myopia, and the Financial Sector," Review of Financial Studies, Society for Financial Studies, vol. 26(6), pages 1526-1560.
- Viral V. Acharya & Raghuram G. Rajan, 2011. "Sovereign Debt, Government Myopia, and the Financial Sector," NBER Working Papers 17542, National Bureau of Economic Research, Inc.
- Viral V. Acharya & Hamid Mehran & Til Schuermann & Anjan V. Thakor, 2011.
"Robust capital regulation,"
Staff Reports
490, Federal Reserve Bank of New York.
- Viral V. Acharya & Hamid Mehran & Til Schuermann & Anjan V. Thakor, 2012. "Robust capital regulation," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 18(May).
- Acharya, Viral V & Mehran, Hamid & Schuermann, Til & Thakor, Anjan, 2012. "Robust Capital Regulation," CEPR Discussion Papers 8792, C.E.P.R. Discussion Papers.
- Acharya, Viral V & Skeie, David, 2011.
"A Model of Liquidity Hoarding and Term Premia in Inter-Bank Markets,"
CEPR Discussion Papers
8705, C.E.P.R. Discussion Papers.
- Acharya, Viral V. & Skeie, David, 2011. "A model of liquidity hoarding and term premia in inter-bank markets," Journal of Monetary Economics, Elsevier, vol. 58(5), pages 436-447.
- Viral V. Acharya & David R. Skeie, 2011. "A model of liquidity hoarding and term premia in inter-bank markets," Staff Reports 498, Federal Reserve Bank of New York.
- Viral V. Acharya, 2011.
"A Transparency Standard for Derivatives,"
NBER Working Papers
17558, National Bureau of Economic Research, Inc.
- Viral V. Acharya, 2012. "A Transparency Standard for Derivatives," NBER Chapters,in: Risk Topography: Systemic Risk and Macro Modeling, pages 83-95 National Bureau of Economic Research, Inc.
- Viral V. Acharya & Itamar Drechsler & Philipp Schnabl, 2011.
"A Pyrrhic Victory? - Bank Bailouts and Sovereign Credit Risk,"
NBER Working Papers
17136, National Bureau of Economic Research, Inc.
- Viral Acharya & Itamar Drechsler & Philipp Schnabl, 2014. "A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," Journal of Finance, American Finance Association, vol. 69(6), pages 2689-2739, December.
- Acharya, Viral V & Drechsler, Itamar & Schnabl, Philipp, 2011. "A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," CEPR Discussion Papers 8679, C.E.P.R. Discussion Papers.
- Viral Acharya & Itamar Drechsler & Philipp Schnabl, 2011. "A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," Working Papers 2012-004, Becker Friedman Institute for Research In Economics.
- Viral V. Acharya & Bart M. Lambrecht, 2011.
"A Theory of Income Smoothing When Insiders Know More Than Outsiders,"
NBER Working Papers
17696, National Bureau of Economic Research, Inc.
- Acharya, Viral V & Lambrecht, Bart, 2012. "A Theory of Income Smoothing When Insiders Know More Than Outsiders," CEPR Discussion Papers 8729, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Alberto Bisin, 2011.
"Counterparty Risk Externality: Centralized Versus Over-the-counter Markets,"
NBER Working Papers
17000, National Bureau of Economic Research, Inc.
- Acharya, Viral & Bisin, Alberto, 2014. "Counterparty risk externality: Centralized versus over-the-counter markets," Journal of Economic Theory, Elsevier, vol. 149(C), pages 153-182.
- Viral Acharya & Alberto Bisin, 2011. "Counterparty risk externality: Centralized versus over-the-counter markets," 2011 Meeting Papers 618, Society for Economic Dynamics.
- Viral V. Acharya & Irvind Gujral & Nirupama Kulkarni & Hyun Song Shin, 2011.
"Dividends and Bank Capital in the Financial Crisis of 2007-2009,"
NBER Working Papers
16896, National Bureau of Economic Research, Inc.
- Acharya, Viral V & Gujral, Irvind & Kulkarni, Nirupama & Shin, Hyun Song, 2012. "Dividends and Bank Capital in the Financial Crisis of 2007-2009," CEPR Discussion Papers 8801, C.E.P.R. Discussion Papers.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2011.
"Margin-Based Asset Pricing and Deviations from the Law of One Price,"
NBER Working Papers
16777, National Bureau of Economic Research, Inc.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2011. "Margin-based Asset Pricing and Deviations from the Law of One Price," Review of Financial Studies, Society for Financial Studies, vol. 24(6), pages 1980-2022.
- John Geanakoplos & Lasse H. Pedersen, 2011.
"Monitoring Leverage,"
Cowles Foundation Discussion Papers
1838, Cowles Foundation for Research in Economics, Yale University.
- John Geanakoplos & Lasse Heje Pedersen, 2012. "Monitoring Leverage," NBER Chapters,in: Risk Topography: Systemic Risk and Macro Modeling, pages 113-127 National Bureau of Economic Research, Inc.
- Backus, David & Chernov, Mikhail & Zin, Stanley E., 2011.
"Sources of entropy in representative agent models,"
CEPR Discussion Papers
8488, C.E.P.R. Discussion Papers.
- David Backus & Mikhail Chernov & Stanley Zin, 2014. "Sources of Entropy in Representative Agent Models," Journal of Finance, American Finance Association, vol. 69(1), pages 51-99, February.
- David Backus & Mikhail Chernov & Stanley E. Zin, 2011. "Sources of Entropy in Representative Agent Models," NBER Working Papers 17219, National Bureau of Economic Research, Inc.
- David Backus & Mikhail Chernov & Stanley Zin, 2011. "Sources of Entropy in Representative Agent Models," Working Papers 11-21, New York University, Leonard N. Stern School of Business, Department of Economics.
- John Asker & Joan Farre-Mensa & Alexander Ljungqvist, 2011. "Comparing the Investment Behavior of Public and Private Firms," NBER Working Papers 17394, National Bureau of Economic Research, Inc.
- Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2011.
"Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees,"
NBER Working Papers
17149, National Bureau of Economic Research, Inc.
- Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2016. "Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees," American Economic Review, American Economic Association, vol. 106(6), pages 1278-1319, June.
- Kelly, Bryan & Lustig, Hanno & van Nieuwerburgh, Stijn, 2012. "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," CEPR Discussion Papers 9023, C.E.P.R. Discussion Papers.
- Stijn Van Nieuwerburgh & Hanno Lustig & Bryan Kelly, 2011. "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," 2011 Meeting Papers 1285, Society for Economic Dynamics.
- Ralph Koijen & Stijn Van Nieuwerburgh & Motohiro Yogo, 2011.
"Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice,"
NBER Working Papers
17325, National Bureau of Economic Research, Inc.
- Ralph S.J. Koijen & Stijn Nieuwerburgh & Motohiro Yogo, 2016. "Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice," Journal of Finance, American Finance Association, vol. 71(2), pages 957-1010, April.
- Yogo, Motohiro & Koijen, Ralph S.J. & Van Nieuwerburgh, Stijn, 2014. "Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice," Staff Report 499, Federal Reserve Bank of Minneapolis.
- Stijn Van Nieuwerburgh & Motohiro Yogo & Ralph S.J. Koijen, 2009. "Optimal Health and Longevity Insurance," 2009 Meeting Papers 185, Society for Economic Dynamics.
- Stijn Van Nieuwerburgh & Motohiro Yogo & Ralph S. J. Koijen, 2011. "Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice," 2011 Meeting Papers 633, Society for Economic Dynamics.
- Marcin Kacperczyk & Stijn Van Nieuwerburgh & Laura Veldkamp, 2011.
"Time-Varying Fund Manager Skill,"
NBER Working Papers
17615, National Bureau of Economic Research, Inc.
- Marcin Kacperczyk & Stijn Van Nieuwerburgh & Laura Veldkamp, 2014. "Time-Varying Fund Manager Skill," Journal of Finance, American Finance Association, vol. 69(4), pages 1455-1484, August.
- Kacperczyk, Marcin & van Nieuwerburgh, Stijn & Veldkamp, Laura, 2012. "Time-Varying Fund Manager Skill," CEPR Discussion Papers 9025, C.E.P.R. Discussion Papers.
- Laura Veldkamp, 2012. "Time-varying fund manager skill," 2012 Meeting Papers 68, Society for Economic Dynamics.
- Midrigan, Virgiliu & Philippon, Thomas, 2011.
"Household Leverage and the Recession,"
CEPR Discussion Papers
8381, C.E.P.R. Discussion Papers.
- Thomas Philippon & Virgiliu Midrigan, 2011. "Household Leverage and the Recession," NBER Working Papers 16965, National Bureau of Economic Research, Inc.
- Midrigan, Virgiliu & Philippon, Thomas, 2016. "Household Leverage and the Recession," CEPR Discussion Papers 11407, C.E.P.R. Discussion Papers.
- Thomas Philippon & Virgiliu Midrigan, 2011. "Household Leverage and the Recession," 2011 Meeting Papers 261, Society for Economic Dynamics.
- Thomas Philippon & Virgiliu Midrigan, 2013. "Household Leverage and the Recession," 2013 Meeting Papers 335, Society for Economic Dynamics.
- Philippon, Thomas & Schnabl, Philipp, 2011.
"Informational Rents, Macroeconomic Rents, and Efficient Bailouts,"
CEPR Discussion Papers
8216, C.E.P.R. Discussion Papers.
- Thomas Philippon & Philipp Schnabl, 2011. "Informational Rents, Macroeconomic Rents, and Efficient Bailouts," NBER Working Papers 16727, National Bureau of Economic Research, Inc.
- Emiliano Pagnotta & Thomas Philippon, 2011.
"Competing on Speed,"
NBER Working Papers
17652, National Bureau of Economic Research, Inc.
- Pagnotta, Emiliano & Philippon, Thomas, 2012. "Competing on Speed," CEPR Discussion Papers 8786, C.E.P.R. Discussion Papers.
- Thomas Philippon & Emiliano S. Pagnotta, 2011. "The Welfare Effects of Financial Innovation: High-Frequency Trading in Equity Markets," 2011 Meeting Papers 1246, Society for Economic Dynamics.
- George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov, 2011.
"The Puzzle of Index Option Returns,"
Working Paper Series of the Department of Economics, University of Konstanz
2011-17, Department of Economics, University of Konstanz.
- George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov, 2013. "The Puzzle of Index Option Returns," Review of Asset Pricing Studies, Oxford University Press, vol. 3(2), pages 229-257.
- George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov, 2012. "The Puzzle of Index Option Returns," Working Paper Series of the Department of Economics, University of Konstanz 2012-35, Department of Economics, University of Konstanz.
2010
- Arthur M. Berd & Robert F. Engle & Artem Voronov, 2010. "The Underlying Dynamics of Credit Correlations," Papers 1001.0786, arXiv.org.
- Jeffrey Wurgler, 2010. "On the Economic Consequences of Index-Linked Investing," NBER Working Papers 16376, National Bureau of Economic Research, Inc.
- Viral V. Acharya & S. Viswanathan, 2010.
"Leverage, Moral Hazard and Liquidity,"
NBER Working Papers
15837, National Bureau of Economic Research, Inc.
- Viral V. Acharya & S. Viswanathan, 2011. "Leverage, Moral Hazard, and Liquidity," Journal of Finance, American Finance Association, vol. 66(1), pages 99-138, February.
- Viral V. Acharya & Ouarda Merrouche, 2010.
"Precautionary Hoarding of Liquidity and Inter-Bank Markets: Evidence from the Sub-prime Crisis,"
NBER Working Papers
16395, National Bureau of Economic Research, Inc.
- Viral V. Acharya & Ouarda Merrouche, 2013. "Precautionary Hoarding of Liquidity and Interbank Markets: Evidence from the Subprime Crisis," Review of Finance, European Finance Association, vol. 17(1), pages 107-160.
- Acharya, Viral V & Merrouche, Ouarda, 2012. "Precautionary hoarding of liquidity and inter-bank markets: Evidence from the sub-prime crisis," CEPR Discussion Papers 8859, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2010.
"Measuring systemic risk,"
Working Paper
1002, Federal Reserve Bank of Cleveland.
- Acharya, Viral V & Pedersen, Lasse H & Philippon, Thomas & Richardson, Matthew P, 2012. "Measuring Systemic Risk," CEPR Discussion Papers 8824, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Yakov Amihud & Sreedhar T. Bharath, 2010.
"Liquidity Risk of Corporate Bond Returns: A Conditional Approach,"
NBER Working Papers
16394, National Bureau of Economic Research, Inc.
- Acharya, Viral V. & Amihud, Yakov & Bharath, Sreedhar T., 2013. "Liquidity risk of corporate bond returns: conditional approach," Journal of Financial Economics, Elsevier, vol. 110(2), pages 358-386.
- Viral V. Acharya & Philipp Schnabl & Gustavo Suarez, 2010.
"Securitization without risk transfer,"
NBER Working Papers
15730, National Bureau of Economic Research, Inc.
- Acharya, Viral V. & Schnabl, Philipp & Suarez, Gustavo, 2013. "Securitization without risk transfer," Journal of Financial Economics, Elsevier, vol. 107(3), pages 515-536.
- Acharya, Viral V & Schnabl, Philipp & Suarez, Gustavo, 2012. "Securitization Without Risk Transfer," CEPR Discussion Papers 8769, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Heitor Almeida & Murillo Campello, 2010.
"Aggregate Risk and the Choice between Cash and Lines of Credit,"
NBER Working Papers
16122, National Bureau of Economic Research, Inc.
- Acharya, Viral V & Almeida, Heitor & Campello, Murillo, 2012. "Aggregate Risk and the Choice between Cash and Lines of Credit," CEPR Discussion Papers 8913, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Philipp Schnabl, 2010. "Do Global Banks Spread Global Imbalances? The Case of Asset-Backed Commercial Paper During the Financial Crisis of 2007-09," NBER Working Papers 16079, National Bureau of Economic Research, Inc.
- Acharya, Viral V. & Mehran, Hamid & Thakor, Anjan V., 2010.
"Caught between Scylla and Charybdis? Regulating bank leverage when there is rent seeking and risk shifting,"
Staff Reports
469, Federal Reserve Bank of New York, revised 01 Dec 2014.
- Acharya, Viral V & Mehran, Hamid & Thakor, Anjan, 2012. "Caught between Scylla and Charybdis? Regulating bank leverage when there is rent-seeking and risk-shifting," CEPR Discussion Papers 8822, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Hamid Mehran & Anjan V. Thakor, 2010. "Caught between Scylla and Charybdis? Regulating bank leverage when there is rent seeking and risk shifting," Working Paper 1024, Federal Reserve Bank of Cleveland.
- Adam Ashcraft & Nicolae Gârleanu & Lasse Heje Pedersen, 2010.
"Two Monetary Tools: Interest Rates and Haircuts,"
NBER Working Papers
16337, National Bureau of Economic Research, Inc.
- Adam Ashcraft & Nicolae Gârleanu & Lasse Heje Pedersen, 2011. "Two Monetary Tools: Interest Rates and Haircuts," NBER Chapters,in: NBER Macroeconomics Annual 2010, Volume 25, pages 143-180 National Bureau of Economic Research, Inc.
- Nicolae B. Garleanu & Lasse Heje Pedersen & Adam B. Ashcraft, 2010. "Two Monetary Tools: Interest-Rates and Haircuts," 2010 Meeting Papers 1102, Society for Economic Dynamics.
- Ashcraft, Adam & Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje, 2010. "Two Monetary Tools: Interest Rates and Haircuts," CEPR Discussion Papers 8000, C.E.P.R. Discussion Papers.
- Andrea Frazzini & Lasse H. Pedersen, 2010.
"Betting Against Beta,"
NBER Working Papers
16601, National Bureau of Economic Research, Inc.
- Frazzini, Andrea & Pedersen, Lasse Heje, 2014. "Betting against beta," Journal of Financial Economics, Elsevier, vol. 111(1), pages 1-25.
- Andrea Frazzini & Lasse Heje Pedersen, "undated". "Betting Against Beta," Swiss Finance Institute Research Paper Series 12-17, Swiss Finance Institute.
- David K. Backus & Federico Gavazzoni & Christopher Telmer & Stanley E. Zin, 2010. "Monetary Policy and the Uncovered Interest Parity Puzzle," NBER Working Papers 16218, National Bureau of Economic Research, Inc.
- L. Epstein & S. Zin, 2010.
"First order risk aversion and the equity premium puzzle,"
Levine's Working Paper Archive
1400, David K. Levine.
- Epstein, Larry G. & Zin, Stanley E., 1990. "'First-order' risk aversion and the equity premium puzzle," Journal of Monetary Economics, Elsevier, vol. 26(3), pages 387-407, December.
- Stanley Zin & Mikhail Chernov & David Backus, 2010. "Sources of entropy in representative agent models of asset pricing," 2010 Meeting Papers 476, Society for Economic Dynamics.
- Asker, John & Farre-Mensa, Joan & Ljungqvist, Alexander P., 2010. "Does the Stock Market Harm Investment Incentives?," CEPR Discussion Papers 7857, C.E.P.R. Discussion Papers.
- Ralph S.J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh, 2010.
"The Cross-Section and Time-Series of Stock and Bond Returns,"
NBER Working Papers
15688, National Bureau of Economic Research, Inc.
- Koijen, Ralph S.J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017. "The cross-section and time series of stock and bond returns," Journal of Monetary Economics, Elsevier, vol. 88(C), pages 50-69.
- Koijen, Ralph S. J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017. "The Cross-Section and Time Series of Stock and Bond Returns," Research Papers 3518, Stanford University, Graduate School of Business.
- Koijen, Ralph & Lustig, Hanno & van Nieuwerburgh, Stijn, 2012. "The Cross-Section and Time-Series of Stock and Bond Returns," CEPR Discussion Papers 9024, C.E.P.R. Discussion Papers.
- Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2010.
"The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium,"
NBER Working Papers
15988, National Bureau of Economic Research, Inc.
- Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2017. "The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium," Journal of Political Economy, University of Chicago Press, vol. 125(1), pages 140-223.
- Sydney Ludvigson & Stijn Van Nieuwerburgh & Jack Favilukis, 2010. "The Macroeconomic E¤ects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium," 2010 Meeting Papers 733, Society for Economic Dynamics.
- Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2010.
"Predictability of Returns and Cash Flows,"
NBER Working Papers
16648, National Bureau of Economic Research, Inc.
- Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2011. "Predictability of Returns and Cash Flows," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 467-491, December.
- Philippon, Thomas & Skreta, Vasiliki, 2010.
"Optimal Interventions in Markets with Adverse Selection,"
CEPR Discussion Papers
7737, C.E.P.R. Discussion Papers.
- Thomas Philippon & Vasiliki Skreta, 2012. "Optimal Interventions in Markets with Adverse Selection," American Economic Review, American Economic Association, vol. 102(1), pages 1-28, February.
- Vasiliki Skreta & Thomas Philippon, 2010. "Optimal Interventions in Markets with Adverse Selection," 2010 Meeting Papers 1333, Society for Economic Dynamics.
- Thomas Philippon & Vasiliki Skreta, 2010. "Optimal Interventions in Markets with Adverse Selection," NBER Working Papers 15785, National Bureau of Economic Research, Inc.
- Thomas Philippon & Vasiliki Skreta, 2011. "Optimal Interventions in Markets with Adverse Selection," Working Papers 11-11, New York University, Leonard N. Stern School of Business, Department of Economics.
2009
- Jose Gonzalo Rangel & Robert F. Engle, 2009.
"The Factor-Spline-GARCH Model for High and Low Frequency Correlations,"
Working Papers
2009-03, Banco de México.
- José Gonzalo Rangel & Robert F. Engle, 2011. "The Factor--Spline--GARCH Model for High and Low Frequency Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 109-124, May.
- Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2009.
"Semiparametric vector MEM,"
Econometrics Working Papers Archive
wp2009_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2013. "Semiparametric Vector Mem," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(7), pages 1067-1086, November.
- Robert F. Engle & José Gonzalo Rangel, 2009. "High and Low Frequency Correlations in Global Equity Markets," Working Papers 2009-17, Banco de México.
- Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2009.
"Global, local, and contagious investor sentiment,"
Globalization and Monetary Policy Institute Working Paper
37, Federal Reserve Bank of Dallas.
- Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012. "Global, local, and contagious investor sentiment," Journal of Financial Economics, Elsevier, vol. 104(2), pages 272-287.
- Malcolm Baker & Xin Pan & Jeffrey Wurgler, 2009. "A Reference Point Theory of Mergers and Acquisitions," NBER Working Papers 15551, National Bureau of Economic Research, Inc.
- Acharya, Viral V & Kehoe, Conor & Reyner, Michael, 2009. "Private Equity vs. PLC Boards: A Comparison of Practices and Effectiveness - Summary of Research Findings," CEPR Discussion Papers 7148, C.E.P.R. Discussion Papers.
- Acharya, Viral V & Gale, Douglas M & Yorulmazer, Tanju, 2009.
"Rollover Risk and Market Freezes,"
CEPR Discussion Papers
7122, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Douglas Gale & Tanju Yorulmazer, 2011. "Rollover Risk and Market Freezes," Journal of Finance, American Finance Association, vol. 66(4), pages 1177-1209, August.
- Acharya, Viral & Gale, Douglas & Yorulmazer, Tanju, 2010. "Rollover Risk and Market Freezes," Working Papers 11-11, University of Pennsylvania, Wharton School, Weiss Center.
- Viral V. Acharya & Douglas Gale & Tanju Yorulmazer, 2010. "Rollover Risk and Market Freezes," NBER Working Papers 15674, National Bureau of Economic Research, Inc.
- Acharya, Viral V & Hahn, Moritz & Kehoe, Conor, 2009. "Corporate Governance and Value Creation: Evidence from Private Equity," CEPR Discussion Papers 7242, C.E.P.R. Discussion Papers.
- Acharya, Viral V, 2009.
"A Theory of Systemic Risk and Design of Prudential Bank Regulation,"
CEPR Discussion Papers
7164, C.E.P.R. Discussion Papers.
- Acharya, Viral V., 2009. "A theory of systemic risk and design of prudential bank regulation," Journal of Financial Stability, Elsevier, vol. 5(3), pages 224-255, September.
- Acharya, Viral V & Baghai, Ramin & Subramanian, Krishnamurthy, 2009.
"Labor Laws and Innovation,"
CEPR Discussion Papers
7171, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Ramin P. Baghai & Krishnamurthy V. Subramanian, 2010. "Labor Laws and Innovation," NBER Working Papers 16484, National Bureau of Economic Research, Inc.
- Acharya, Viral V & Myers, Stewart C & Rajan, Raghuram G, 2009.
"The Internal Governance of Firms,"
CEPR Discussion Papers
7210, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Stewart C. Myers & Raghuram G. Rajan, 2011. "The Internal Governance of Firms," Journal of Finance, American Finance Association, vol. 66(3), pages 689-720, June.
- Viral V. Acharya & Stewart C. Myers & Raghuram Rajan, 2009. "The Internal Governance of Firms," NBER Working Papers 15568, National Bureau of Economic Research, Inc.
- Acharya, Viral V & Davydenko, Sergei A. & Strebulaev, Ilya, 2009.
"Cash Holdings and Credit Risk,"
CEPR Discussion Papers
7125, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Sergei A. Davydenko & Ilya A. Strebulaev, 2011. "Cash Holdings and Credit Risk," NBER Working Papers 16995, National Bureau of Economic Research, Inc.
- Acharya, Viral V & Shin, Hyun Song & Yorulmazer, Tanju, 2009. "A Theory of Slow-Moving Capital and Contagion," CEPR Discussion Papers 7147, C.E.P.R. Discussion Papers.
- Acharya, Viral V & Lochstoer, Lars & Ramadorai, Tarun, 2009.
"Limits to Arbitrage and Hedging: Evidence from Commodity Markets,"
CEPR Discussion Papers
7327, C.E.P.R. Discussion Papers.
- Acharya, Viral V. & Lochstoer, Lars A. & Ramadorai, Tarun, 2013. "Limits to arbitrage and hedging: Evidence from commodity markets," Journal of Financial Economics, Elsevier, vol. 109(2), pages 441-465.
- Viral V. Acharya & Lars A. Lochstoer & Tarun Ramadorai, 2011. "Limits to Arbitrage and Hedging: Evidence from Commodity Markets," NBER Working Papers 16875, National Bureau of Economic Research, Inc.
- Acharya, Viral & Song Shin, Hyun & Yorulmazer, Tanju, 2009. "Endogenous choice of bank liquidity: the role of fire sales," Bank of England working papers 376, Bank of England.
- Viral V. Acharya & Hyun Song Shin & Tanju Yorulmazer, 2009.
"Crisis Resolution and Bank Liquidity,"
NBER Working Papers
15567, National Bureau of Economic Research, Inc.
- Viral V. Acharya & Hyun Song Shin & Tanju Yorulmazer, 2011. "Crisis Resolution and Bank Liquidity," Review of Financial Studies, Society for Financial Studies, vol. 24(6), pages 2166-2205.
- Nicolae B. Garleanu & Lasse H. Pedersen, 2009.
"Dynamic Trading with Predictable Returns and Transaction Costs,"
NBER Working Papers
15205, National Bureau of Economic Research, Inc.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2013. "Dynamic Trading with Predictable Returns and Transaction Costs," Journal of Finance, American Finance Association, vol. 68(6), pages 2309-2340, December.
- Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje, 2009. "Dynamic Trading with Predictable Returns and Transaction Costs," CEPR Discussion Papers 7392, C.E.P.R. Discussion Papers.
- Lasse Heje Pedersen, 2009.
"When Everyone Runs for the Exit,"
NBER Working Papers
15297, National Bureau of Economic Research, Inc.
- Lasse Pedersen, 2009. "When Everyone Runs for the Exit," International Journal of Central Banking, International Journal of Central Banking, vol. 5(4), pages 177-199, December.
- Pedersen, Lasse Heje, 2009. "When Everyone Runs for the Exit," CEPR Discussion Papers 7436, C.E.P.R. Discussion Papers.
- Stanley E. Zin & Bryan R. Routledge & David K. Backus, 2009. "The Cyclical Component of US Asset Returns," 2009 Meeting Papers 13, Society for Economic Dynamics.
- Kelly, Bryan & Ljungqvist, Alexander P., 2009.
"Testing Asymmetric-Information Asset Pricing Models,"
CEPR Discussion Papers
7180, C.E.P.R. Discussion Papers.
- Bryan Kelly & Alexander Ljungqvist, 2012. "Testing Asymmetric-Information Asset Pricing Models," Review of Financial Studies, Society for Financial Studies, vol. 25(5), pages 1366-1413.
- Cornelli, Francesca & Kominek, Zbigniew & Ljungqvist, Alexander P., 2009.
"Monitoring Managers: Does it Matter?,"
CEPR Discussion Papers
7571, C.E.P.R. Discussion Papers.
- Francesca Cornelli & Zbigniew Kominek & Alexander Ljungqvist, 2013. "Monitoring Managers: Does It Matter?," Journal of Finance, American Finance Association, vol. 68(2), pages 431-481, April.
- Francesca Cornelli & Zbigniew Kominek & Alexander Ljungqvist, 2010. "Monitoring Managers: Does it Matter?," Working Papers 2010.30, Fondazione Eni Enrico Mattei.
- Hanno Lustig & Chad Syverson & Stijn Van Nieuwerburgh, 2009.
"Technological Change and the Growing Inequality in Managerial Compensation,"
NBER Working Papers
14661, National Bureau of Economic Research, Inc.
- Lustig, Hanno & Syverson, Chad & Van Nieuwerburgh, Stijn, 2011. "Technological change and the growing inequality in managerial compensation," Journal of Financial Economics, Elsevier, vol. 99(3), pages 601-627, March.
- Marcin Kacperczyk & Stijn Van Nieuwerburgh & Laura Veldkamp, 2009. "Rational Attention Allocation Over the Business Cycle," NBER Working Papers 15450, National Bureau of Economic Research, Inc.
- Stijn Van Nieuwerburgh & Laura Veldkamp & Marcin Kacperczyk, 2009. "Recessions are a Time to Shine: A theory of attention allocation over the business cycle," 2009 Meeting Papers 461, Society for Economic Dynamics.
- Stijn Van Nieuwerburgh & Hanno Lustig & Ralph S.J. Koijen, 2009. "The Bond Risk Premium and the Cross-Section of Equity Returns," 2009 Meeting Papers 12, Society for Economic Dynamics.
- Thomas Philippon & Ariell Reshef, 2009.
"Wages and Human Capital in the U.S. Financial Industry: 1909-2006,"
NBER Working Papers
14644, National Bureau of Economic Research, Inc.
- Philippon, Thomas & Reshef, Ariell, 2009. "Wages and Human Capital in the U.S. Financial Industry: 1909-2006," CEPR Discussion Papers 7282, C.E.P.R. Discussion Papers.
- Philippon, Thomas & Schnabl, Philipp, 2009.
"Efficient Recapitalization,"
CEPR Discussion Papers
7516, C.E.P.R. Discussion Papers.
- Thomas Philippon & Philipp Schnabl, 2013. "Efficient Recapitalization," Journal of Finance, American Finance Association, vol. 68(1), pages 1-42, February.
- Thomas Philippon & Philipp Schnabl, 2009. "Efficient Recapitalization," NBER Working Papers 14929, National Bureau of Economic Research, Inc.
2008
- Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2008. "A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets," Econometrics Working Papers Archive wp2008_09, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Neil Shephard & Kevin Sheppard & Robert F. Engle, 2008.
"Fitting vast dimensional time-varying covariance models,"
Economics Series Working Papers
403, University of Oxford, Department of Economics.
- Robert Engle & Neil Shephard & Kevin Shepphard, 2008. "Fitting vast dimensional time-varying covariance models," OFRC Working Papers Series 2008fe30, Oxford Financial Research Centre.
- Malcolm Baker & Robin Greenwood & Jeffrey Wurgler, 2008.
"Catering Through Nominal Share Prices,"
NBER Working Papers
13762, National Bureau of Economic Research, Inc.
- Malcolm Baker & Robin Greenwood & Jeffrey Wurgler, 2009. "Catering through Nominal Share Prices," Journal of Finance, American Finance Association, vol. 64(6), pages 2559-2590, December.
- Acharya, Viral V & Amihud, Yakov & Litov, Lubomir P., 2008.
"Creditor Rights and Corporate Risk-taking,"
CEPR Discussion Papers
6697, C.E.P.R. Discussion Papers.
- Acharya, Viral V. & Amihud, Yakov & Litov, Lubomir, 2011. "Creditor rights and corporate risk-taking," Journal of Financial Economics, Elsevier, vol. 102(1), pages 150-166, October.
- Viral V. Acharya & Yakov Amihud & Lubomir Litov, 2009. "Creditor rights and corporate risk-taking," NBER Working Papers 15569, National Bureau of Economic Research, Inc.
- Acharya, Viral V & Volpin, Paolo, 2008.
"Corporate Governance Externalities,"
CEPR Discussion Papers
6627, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Paolo F. Volpin, 2010. "Corporate Governance Externalities," Review of Finance, European Finance Association, vol. 14(1), pages 1-33.
- Acharya, Viral V & Viswanathan, S. Vish, 2008. "Moral Hazard, Collateral and Liquidity," CEPR Discussion Papers 6630, C.E.P.R. Discussion Papers.
- Acharya, Viral V & Gromb, Denis & Yorulmazer, Tanju, 2008.
"Imperfect Competition in the Inter-Bank Market for Liquidity as a Rationale for Central Banking,"
CEPR Discussion Papers
6984, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Denis Gromb & Tanju Yorulmazer, 2012. "Imperfect Competition in the Interbank Market for Liquidity as a Rationale for Central Banking," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(2), pages 184-217, April.
- Acharya, Viral V & DeMarzo, Peter & Kremer, Ilan, 2008.
"Endogenous Information Flows and the Clustering of Announcements,"
CEPR Discussion Papers
6985, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Peter DeMarzo & Ilan Kremer, 2011. "Endogenous Information Flows and the Clustering of Announcements," American Economic Review, American Economic Association, vol. 101(7), pages 2955-2979, December.
- Viral V. Acharya & Peter M. DeMarzo & Ilan Kremer, 2010. "Endogenous Information Flows and the Clustering of Announcements," NBER Working Papers 16485, National Bureau of Economic Research, Inc.
- Acharya, Viral V & DeMarzo, Peter & Kremer, Ilan, 2011. "Endogenous Information Flows and the Clustering of Announcements," CEPR Discussion Papers 8680, C.E.P.R. Discussion Papers.
- Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008.
"Carry Trades and Currency Crashes,"
NBER Working Papers
14473, National Bureau of Economic Research, Inc.
- Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2009. "Carry Trades and Currency Crashes," NBER Chapters,in: NBER Macroeconomics Annual 2008, Volume 23, pages 313-347 National Bureau of Economic Research, Inc.
- Stanley E. Zin & Chris Telmer & David K. Backus, 2008. "Monetary Policy and the Uncovered Interest Rate Parity Puzzle," 2008 Meeting Papers 834, Society for Economic Dynamics.
- Alexander Ljungqvist & Matthew Richardson & Daniel Wolfenzon, 2008. "The Investment Behavior of Buyout Funds: Theory and Evidence," NBER Working Papers 14180, National Bureau of Economic Research, Inc.
- Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008.
"The Wealth-Consumption Ratio,"
NBER Working Papers
13896, National Bureau of Economic Research, Inc.
- Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2013. "The Wealth-Consumption Ratio," Review of Asset Pricing Studies, Oxford University Press, vol. 3(1), pages 38-94.
- Lustig, Hanno & van Nieuwerburgh, Stijn & Verdelhan, Adrien, 2012. "The Wealth-Consumption Ratio," CEPR Discussion Papers 9022, C.E.P.R. Discussion Papers.
- Stijn Van Nieuwerburgh & Laura Veldkamp, 2008.
"Information Acquisition and Under-Diversification,"
NBER Working Papers
13904, National Bureau of Economic Research, Inc.
- Stijn Van Nieuwerburgh & Laura Veldkamp, 2010. "Information Acquisition and Under-Diversification," Review of Economic Studies, Oxford University Press, vol. 77(2), pages 779-805.
- Laura Veldkamp & Stijn Van Nieuwerburgh, 2008. "Information Acquisition and Under-Diversification," Working Papers 08-21, New York University, Leonard N. Stern School of Business, Department of Economics.
- Stijn Van Nieuwerburgh & Chad Syverson & Hanno Lustig, 2008. "IT, Corporate Payouts, and the Growing Inequality in Managerial Compensation," 2008 Meeting Papers 265, Society for Economic Dynamics.
- Thomas Philippon & Nicolas Véron, 2008. "Financing Europe's fast movers," Policy Briefs 9, Bruegel.
2007
- Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2007. "A Model for Multivariate Non-negative Valued Processes in Financial Econometrics," Econometrics Working Papers Archive wp2007_16, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Malcolm Baker & Jeffrey Wurgler, 2007.
"Investor Sentiment in the Stock Market,"
NBER Working Papers
13189, National Bureau of Economic Research, Inc.
- Malcolm Baker & Jeffrey Wurgler, 2007. "Investor Sentiment in the Stock Market," Journal of Economic Perspectives, American Economic Association, vol. 21(2), pages 129-152, Spring.
- Acharya, Viral V & Johnson, Tim, 2007.
"More Insiders, More Insider Trading: Evidence from Private Equity Buyouts,"
CEPR Discussion Papers
6622, C.E.P.R. Discussion Papers.
- Acharya, Viral V. & Johnson, Timothy C., 2010. "More insiders, more insider trading: Evidence from private-equity buyouts," Journal of Financial Economics, Elsevier, vol. 98(3), pages 500-523, December.
- Acharya, Viral V & Imbs, Jean & Sturgess, Jason, 2007.
"Finance and Efficiency: Do Bank Branching Regulations Matter?,"
CEPR Discussion Papers
6029, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Jean Imbs & Jason Sturgess, 2011. "Finance and Efficiency: Do Bank Branching Regulations Matter?," Review of Finance, European Finance Association, vol. 15(1), pages 135-172.
- Viral V. Acharya & Jean Imbs & Jason Sturgess, 2006. "Finance and Efficiency: Do Bank Branching Regulations Matter?," Swiss Finance Institute Research Paper Series 06-36, Swiss Finance Institute.
- Acharya, Viral V & Imbs, Jean & Sturgess, Jason, 2007. "Finance and Efficiency: Do Bank Branching Regulations Matter?," CEPR Discussion Papers 6202, C.E.P.R. Discussion Papers.
- Acharya, Viral V & Shin, Hyun Song & Yorulmazer, Tanju, 2007. "Fire Sales, Foreign Entry and Bank Liquidity," CEPR Discussion Papers 6309, C.E.P.R. Discussion Papers.
- Acharya, Viral V & Shin, Hyun Song & Yorulmazer, Tanju, 2007.
"Fire-sale FDI,"
CEPR Discussion Papers
6319, C.E.P.R. Discussion Papers.
- Hyun Song Shin & Viral Acharya & Tanju Yorulmazer, 2011. "Fire Sale FDI," Korean Economic Review, Korean Economic Association, vol. 27, pages 163-202.
- Acharya, Viral V & Schaefer, Stephen M & Zhang, Yili, 2007. "Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005," CEPR Discussion Papers 6619, C.E.P.R. Discussion Papers.
- Viral Acharya & Tanju Yorulmazer, 2007.
"Cash-in-the-market pricing and optimal resolution of bank failures,"
Bank of England working papers
328, Bank of England.
- Viral V. Acharya & Tanju Yorulmazer, 2008. "Cash-in-the-Market Pricing and Optimal Resolution of Bank Failures," Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2705-2742, November.
- Acharya, Viral V & Subramanian, Krishnamurthy, 2007.
"Bankruptcy Codes and Innovation,"
CEPR Discussion Papers
6307, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Krishnamurthy V. Subramanian, 2009. "Bankruptcy Codes and Innovation," Review of Financial Studies, Society for Financial Studies, vol. 22(12), pages 4949-4988, December.
- Mark Mitchell & Lasse Heje Pedersen & Todd Pulvino, 2007.
"Slow Moving Capital,"
NBER Working Papers
12877, National Bureau of Economic Research, Inc.
- Lasse Heje Pedersen & Mark Mitchell & Todd Pulvino, 2007. "Slow Moving Capital," American Economic Review, American Economic Association, vol. 97(2), pages 215-220, May.
- Mitchell, Mark & Pedersen, Lasse Heje & Pulvino, Todd, 2007. "Slow Moving Capital," CEPR Discussion Papers 6117, C.E.P.R. Discussion Papers.
- Nicolae B. Garleanu & Lasse H. Pedersen, 2007.
"Liquidity and Risk Management,"
NBER Working Papers
12887, National Bureau of Economic Research, Inc.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2007. "Liquidity and Risk Management," American Economic Review, American Economic Association, vol. 97(2), pages 193-197, May.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2007.
"Market Liquidity and Funding Liquidity,"
NBER Working Papers
12939, National Bureau of Economic Research, Inc.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2009. "Market Liquidity and Funding Liquidity," Review of Financial Studies, Society for Financial Studies, vol. 22(6), pages 2201-2238, June.
- Brunnermeier, Markus K. & Pedersen, Lasse Heje, 2007. "Market liquidity and funding liquidity," LSE Research Online Documents on Economics 24478, London School of Economics and Political Science, LSE Library.
- Lasse Heje Pederson & Markus K Brunnermeier, 2007. "Market Liquidity and Funding Liquidity," FMG Discussion Papers dp580, Financial Markets Group.
- Brunnermeier, Markus K & Pedersen, Lasse Heje, 2007. "Market Liquidity and Funding Liquidity," CEPR Discussion Papers 6179, C.E.P.R. Discussion Papers.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2007.
"How Sovereign is Sovereign Credit Risk?,"
NBER Working Papers
13658, National Bureau of Economic Research, Inc.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2011. "How Sovereign Is Sovereign Credit Risk?," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 75-103, April.
- Michael F. Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley E. Zin, 2007.
"Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models,"
NBER Working Papers
13245, National Bureau of Economic Research, Inc.
- Michael F. Gallmeyer & Burton Hollifield & Francisco J. Palomino & Stanley E. Zin, 2007. "Arbitrage-free bond pricing with dynamic macroeconomic models," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 305-326.
- Stanley E. Zin & Bryan R. Routledge & David K. Backus, 2007. "Recursive Risk Sharing: Microfoundations for Representative-Agent Asset Pricing," 2007 Meeting Papers 992, Society for Economic Dynamics.
- Hanno Lustig & Stijn Van Nieuwerburg & Adrien Verdelhan, 2007.
"The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models¤,"
Boston University - Department of Economics - Working Papers Series
WP2007-030, Boston University - Department of Economics.
- Hanno Lustig, "undated". "The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models," UCLA Economics Online Papers 420, UCLA Department of Economics.
- Stijn Van Nieuwerburgh & Hanno Lustig, 2007. "The Wealth-Consumption Ratio: A Litmus Test for Consumption-Based Asset Pricing Models," 2007 Meeting Papers 398, Society for Economic Dynamics.
- John Ameriks & Andrew Caplin & Steven Laufer & Stijn Van Nieuwerburgh, 2007. "The Joy of Giving or Assisted Living? Using Strategic Surveys to Separate Bequest and Precautionary Motives," NBER Working Papers 13105, National Bureau of Economic Research, Inc.
- Ralph S.J. Koijen & Otto Van Hemert & Stijn Van Nieuwerburgh, 2007.
"Mortgage Timing,"
NBER Working Papers
13361, National Bureau of Economic Research, Inc.
- Koijen, Ralph S.J. & Hemert, Otto Van & Nieuwerburgh, Stijn Van, 2009. "Mortgage timing," Journal of Financial Economics, Elsevier, vol. 93(2), pages 292-324, August.
- Stijn Van Nieuwerburgh & Laura Veldkamp, 2007.
"Information Immobility and the Home Bias Puzzle,"
NBER Working Papers
13366, National Bureau of Economic Research, Inc.
- Stijn Van Nieuwerburgh & Laura Veldkamp, 2009. "Information Immobility and the Home Bias Puzzle," Journal of Finance, American Finance Association, vol. 64(3), pages 1187-1215, June.
- Laura Veldkamp & Stijn Van Nieuwerburgh, 2005. "Information Immobility and the Home Bias Puzzle," 2005 Meeting Papers 78, Society for Economic Dynamics.
- Laura Veldkamp & Stijn Van Nieuwerburgh, 2004. "Information Immobility and the Home Bias Puzzle," Working Papers 04-32, New York University, Leonard N. Stern School of Business, Department of Economics.
- Thomas Philippon & Ariell Reshef, 2007. "Skill Biased Financial Development: Education, Wages and Occupations in the U.S. Financial Sector," NBER Working Papers 13437, National Bureau of Economic Research, Inc.
- Thomas Philippon & Yuliy Sannikov, 2007. "Real Options in a Dynamic Agency Model, with Applications to Financial Development, IPOs, and Business Risk," NBER Working Papers 13584, National Bureau of Economic Research, Inc.
- Thomas Philippon, 2007. "Why Has the U.S. Financial Sector Grown so Much? The Role of Corporate Finance," NBER Working Papers 13405, National Bureau of Economic Research, Inc.
- Thomas Philippon, 2007. "Financiers vs. Engineers: Should the Financial Sector be Taxed or Subsidized?," NBER Working Papers 13560, National Bureau of Economic Research, Inc.
- Thomas Philippon, 2007. "The y-Theory of Investment," 2007 Meeting Papers 204, Society for Economic Dynamics.
2006
- Robert Engle & Robert Ferstenberg, 2006. "Execution Risk," NBER Working Papers 12165, National Bureau of Economic Research, Inc.
- Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2006.
"Vector Multiplicative Error Models: Representation and Inference,"
NBER Working Papers
12690, National Bureau of Economic Research, Inc.
- Fabrizio Cipollini & Robert F. Engle & Giampiero Gallo, 2006. "Vector Multiplicative Error Models: Representation and Inference," Econometrics Working Papers Archive wp2006_15, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2006. "Vector Multiplicative Error Models: Representation and Inference," NBER Technical Working Papers 0331, National Bureau of Economic Research, Inc.
- Barone-Adesi, Giovanni & Engle, Robert & Mancini, Loriano, 2006. "GARCH Options in Incomplete Markets," CEI Working Paper Series 2005-12, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
- Malcolm Baker & Stefan Nagel & Jeffrey Wurgler, 2006.
"The Effect of Dividends on Consumption,"
NBER Working Papers
12288, National Bureau of Economic Research, Inc.
- Malcolm Baker & Stefan Nagel & Jeffrey Wurgler, 2007. "The Effect of Dividends on Consumption," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 38(1), pages 231-292.
- Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2006.
"Valuation in Over-the-Counter Markets,"
NBER Working Papers
12020, National Bureau of Economic Research, Inc.
- Darrell Duffie & Nicolae Gârleanu & Lasse Heje Pedersen, 2007. "Valuation in Over-the-Counter Markets," Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1865-1900, November.
- Duffie, Darrell & Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje, 2006. "Valuation in Over-the-Counter Markets," CEPR Discussion Papers 5491, C.E.P.R. Discussion Papers.
- Stanley Zin & David Backus & Bryan Routledge, 2006. "Asset pricing implications for business cycle analysis," 2006 Meeting Papers 14, Society for Economic Dynamics.
- Sundaram, Rangarajan K. & Yermack, David, 2006. "Pay Me Later: Inside Debt and Its Role in Managerial Compensation," SIFR Research Report Series 43, Institute for Financial Research.
- Yermack, David, 2006.
"Golden Handshakes: Separation Pay for Retired and Dismissed CEOs,"
SIFR Research Report Series
41, Institute for Financial Research.
- Yermack, David, 2006. "Golden handshakes: Separation pay for retired and dismissed CEOs," Journal of Accounting and Economics, Elsevier, vol. 41(3), pages 237-256, September.
- Martin Lettau & Stijn Van Nieuwerburgh, 2006.
"Reconciling the Return Predictability Evidence,"
2006 Meeting Papers
29, Society for Economic Dynamics.
- Martin Lettau & Stijn Van Nieuwerburgh, 2008. "Reconciling the Return Predictability Evidence," Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1607-1652, July.
- Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," NBER Working Papers 12109, National Bureau of Economic Research, Inc.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2006. "Can Housing Collateral Explain Long-Run Swings in Asset Returns?," NBER Working Papers 12766, National Bureau of Economic Research, Inc.
- Stijn Van Nieuwerburgh & Pierre-Olivier Weill, 2006.
"Why Has House Price Dispersion Gone Up?,"
NBER Working Papers
12538, National Bureau of Economic Research, Inc.
- Stijn Van Nieuwerburgh & Pierre-Olivier Weill, 2010. "Why Has House Price Dispersion Gone Up?," Review of Economic Studies, Oxford University Press, vol. 77(4), pages 1567-1606.
- Thomas Philippon, 2006.
"The Bond Market's q,"
NBER Working Papers
12462, National Bureau of Economic Research, Inc.
- Thomas Philippon, 2009. "The Bond Market's q," The Quarterly Journal of Economics, Oxford University Press, vol. 124(3), pages 1011-1056.
- Mueller, Holger M & Philippon, Thomas, 2006.
"Family Firms, Paternalism and Labour Relations,"
CEPR Discussion Papers
6017, C.E.P.R. Discussion Papers.
- Holger M. Mueller & Thomas Philippon, 2006. "Family Firms, Paternalism, and Labor Relations," NBER Working Papers 12739, National Bureau of Economic Research, Inc.
- Mueller, Holger M & Philippon, Thomas, 2006. "Concentrated Ownership and Labour Relations," CEPR Discussion Papers 5776, C.E.P.R. Discussion Papers.
2005
- Magdalena E. Sokalska & Ananda Chanda & Robert F. Engle, 2005. "High Frequency Multiplicative Component Garch," Computing in Economics and Finance 2005 409, Society for Computational Economics.
- Robert F. Engle & Jose Gonzalo Rangel, 2005. "The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes," Working Papers 2005/13, Czech National Bank, Research Department.
- Acharya, Viral V & John, Kose & Sundaram, Rangarajan K, 2005.
"Cross-Country Variations in Capital Structures: The Role of Bankruptcy Codes,"
CEPR Discussion Papers
4916, C.E.P.R. Discussion Papers.
- Acharya, Viral V. & Sundaram, Rangarajan K. & John, Kose, 2011. "Cross-country variations in capital structures: The role of bankruptcy codes," Journal of Financial Intermediation, Elsevier, vol. 20(1), pages 25-54, January.
- Acharya, Viral V & Johnson, Tim, 2005.
"Insider Trading in Credit Derivatives,"
CEPR Discussion Papers
5180, C.E.P.R. Discussion Papers.
- Acharya, Viral V. & Johnson, Timothy C., 2007. "Insider trading in credit derivatives," Journal of Financial Economics, Elsevier, vol. 84(1), pages 110-141, April.
- Acharya, Viral V & Yorulmazer, Tanju, 2005. "Cash-in-the-Market Pricing and Optimal Bank Bailout Policy," CEPR Discussion Papers 5154, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Heitor Almeida & Murillo Campello, 2005.
"Is Cash Negative Debt? A Hedging Perspective on Corporate Financial Policies,"
NBER Working Papers
11391, National Bureau of Economic Research, Inc.
- Acharya, Viral V. & Almeida, Heitor & Campello, Murillo, 2007. "Is cash negative debt? A hedging perspective on corporate financial policies," Journal of Financial Intermediation, Elsevier, vol. 16(4), pages 515-554, October.
- Acharya, Viral V & Almeida, Heitor & Campello, Murillo, 2005. "Is Cash Negative Debt? A Hedging Perspective on Corporate Financial Policies," CEPR Discussion Papers 4886, C.E.P.R. Discussion Papers.
- Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2005.
"Demand-Based Option Pricing,"
NBER Working Papers
11843, National Bureau of Economic Research, Inc.
- Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2009. "Demand-Based Option Pricing," Review of Financial Studies, Society for Financial Studies, vol. 22(10), pages 4259-4299, October.
- Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje & Poteshman, Allen M, 2005. "Demand-Based Option Pricing," CEPR Discussion Papers 5420, C.E.P.R. Discussion Papers.
- Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje, 2005.
"Liquidity and Asset Prices,"
MPRA Paper
24768, University Library of Munich, Germany.
- Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje, 2006. "Liquidity and Asset Prices," Foundations and Trends(R) in Finance, now publishers, vol. 1(4), pages 269-364, February.
- Michael Gallmeyer & Burton Hollifield & Stanley E. Zin, 2005.
"Taylor Rules, McCallum Rules and the Term Structure of Interest Rates,"
NBER Working Papers
11276, National Bureau of Economic Research, Inc.
- Gallmeyer, Michael F. & Hollifield, Burton & Zin, Stanley E., 2005. "Taylor rules, McCallum rules and the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 52(5), pages 921-950, July.
- Michael F. Gallmeyer & Burton Hollifield, 2005. "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," 2005 Meeting Papers 676, Society for Economic Dynamics.
- Stanley Zin & Thomas Tallarini, 2005. "Portfolio Choice and Permanent Income," Computing in Economics and Finance 2005 408, Society for Computational Economics.
- Ljungqvist, Alexander P. & Marston, Felicia & Starks, Laura T & Wei, Kelsey D. & Yan, Hong, 2005.
"Conflicts of Interest in Sell-Side Research and the Moderating Role of Institutional Investors,"
CEPR Discussion Papers
5001, C.E.P.R. Discussion Papers.
- Ljungqvist, Alexander & Marston, Felicia & Starks, Laura T. & Wei, Kelsey D. & Yan, Hong, 2007. "Conflicts of interest in sell-side research and the moderating role of institutional investors," Journal of Financial Economics, Elsevier, vol. 85(2), pages 420-456, August.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2005.
"The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street,"
NBER Working Papers
11564, National Bureau of Economic Research, Inc.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2008. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street," Review of Financial Studies, Society for Financial Studies, vol. 21(5), pages 2097-2137, September.
- Stijn van Nieuwerburgh & Michael Kumhof, 2005.
"Monetary Policy in an Equilibrium Portfolio Balance Model,"
2005 Meeting Papers
851, Society for Economic Dynamics.
- Michael Kumhof & Stijn van Nieuwerburgh, 2007. "Monetary Policy in an Equilibrium Portfolio Balance Model," IMF Working Papers 07/72, International Monetary Fund.
- Stijn Van Nieuwerburgh & Hanno Lustig, 2005. "The Returns on Human Wealth: Good News on Wall Street is Bad News on Main Street," 2005 Meeting Papers 105, Society for Economic Dynamics.
- Laura Veldkamp & Stijn Van Nieuwerburgh, 2005. "Information Acquisition and Portfolio Underdiversification," 2005 Meeting Papers 77, Society for Economic Dynamics.
- Lettau, Martin & van Nieuwerburgh, Stijn, 2005. "Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability," CEPR Discussion Papers 5355, C.E.P.R. Discussion Papers.
- Heitor Almeida & Thomas Philippon, 2005.
"The Risk-Adjusted Cost of Financial Distress,"
NBER Working Papers
11685, National Bureau of Economic Research, Inc.
- Heitor Almeida & Thomas Philippon, 2007. "The Risk-Adjusted Cost of Financial Distress," Journal of Finance, American Finance Association, vol. 62(6), pages 2557-2586, December.
- Diego Comin & Thomas Philippon, 2005.
"The Rise in Firm-Level Volatility: Causes and Consequences,"
NBER Working Papers
11388, National Bureau of Economic Research, Inc.
- Diego A. Comin & Thomas Philippon, 2006. "The Rise in Firm-Level Volatility: Causes and Consequences," NBER Chapters,in: NBER Macroeconomics Annual 2005, Volume 20, pages 167-228 National Bureau of Economic Research, Inc.
- Qiang Dai & Thomas Philippon, 2005. "Fiscal Policy and the Term Structure of Interest Rates," NBER Working Papers 11574, National Bureau of Economic Research, Inc.
- Thomas Philippon & Francesco Franco, 2005.
"Firms and Aggregate Dynamics,"
2005 Meeting Papers
246, Society for Economic Dynamics.
- Francesco Franco & Thomas Philippon, 2007. "Firms and Aggregate Dynamics," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 587-600, November.
- Thomas Philippon & Fatih Guvenen, 2005. "Firm Volatility and Wage Inequality," 2005 Meeting Papers 230, Society for Economic Dynamics.
- Simi Kedia & Thomas Philippon, 2005.
"The Economics of Fraudulent Accounting,"
NBER Working Papers
11573, National Bureau of Economic Research, Inc.
- Simi Kedia & Thomas Philippon, 2009. "The Economics of Fraudulent Accounting," Review of Financial Studies, Society for Financial Studies, vol. 22(6), pages 2169-2199, June.
2004
- Giovanni Barone-Adesi & Robert F. Engle & Loriano Mancini, 2004. "A GARCH Option Pricing Model in Incomplete Markets," Swiss Finance Institute Research Paper Series 07-03, Swiss Finance Institute, revised Feb 2007.
- Engle III, Robert F., 2004. "Autobiography," Nobel Prize in Economics documents 2003-3, Nobel Prize Committee.
- Malcolm Baker & Jeffrey Wurgler, 2004.
"Investor Sentiment and the Cross-Section of Stock Returns,"
NBER Working Papers
10449, National Bureau of Economic Research, Inc.
- Malcolm Baker & Jeffrey Wurgler, 2006. "Investor Sentiment and the Cross-Section of Stock Returns," Journal of Finance, American Finance Association, vol. 61(4), pages 1645-1680, August.
- Malcolm Baker & C. Fritz Foley & Jeffrey Wurgler, 2004. "The Stock Market and Investment: Evidence from FDI Flows," NBER Working Papers 10559, National Bureau of Economic Research, Inc.
- Malcolm Baker & Lubomir Litov & Jessica A. Wachter & Jeffrey Wurgler, 2004.
"Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements,"
NBER Working Papers
10685, National Bureau of Economic Research, Inc.
- Baker, Malcolm & Litov, Lubomir & Wachter, Jessica A. & Wurgler, Jeffrey, 2010. "Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(05), pages 1111-1131, October.
- Malcolm P. Baker & Ryan Taliaferro & Jeffrey Wurgler, 2004. "Pseudo Market Timing and Predictive Regressions," NBER Working Papers 10823, National Bureau of Economic Research, Inc.
- Malcolm Baker & Richard S. Ruback & Jeffrey Wurgler, 2004. "Behavioral Corporate Finance: A Survey," NBER Working Papers 10863, National Bureau of Economic Research, Inc.
- Acharya, Viral V & Yorulmazer, Tanju, 2004.
"Too Many to Fail - An Analysis of Time Inconsistency in Bank Closure Policies,"
CEPR Discussion Papers
4778, C.E.P.R. Discussion Papers.
- Acharya, Viral V. & Yorulmazer, Tanju, 2007. "Too many to fail--An analysis of time-inconsistency in bank closure policies," Journal of Financial Intermediation, Elsevier, vol. 16(1), pages 1-31, January.
- Viral Acharya & Tanju Yorulmazer, 2007. "Too many to fail - an analysis of time-inconsistency in bank closure policies," Bank of England working papers 319, Bank of England.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2004.
"Predatory Trading,"
NBER Working Papers
10755, National Bureau of Economic Research, Inc.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2005. "Predatory Trading," Journal of Finance, American Finance Association, vol. 60(4), pages 1825-1863, August.
- Lasse H. Pedersen & Markus Brunnermeier, 2004. "Predatory Trading," Econometric Society 2004 North American Winter Meetings 425, Econometric Society.
- Markus K Brunnermeier & Lasse Heje Pederson, 2003. "Predatory Trading," FMG Discussion Papers dp441, Financial Markets Group.
- Brunnermeier, Markus K. & Pederson, Lasse Heje, 2003. "Predatory trading," LSE Research Online Documents on Economics 24829, London School of Economics and Political Science, LSE Library.
- Brunnermeier, Markus K & Pedersen, Lasse Heje, 2004. "Predatory Trading," CEPR Discussion Papers 4639, C.E.P.R. Discussion Papers.
- Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2004.
"Over-the-Counter Markets,"
NBER Working Papers
10816, National Bureau of Economic Research, Inc.
- Darrell Duffie, 2012. "Over-The-Counter Markets," Introductory Chapters,in: Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets Princeton University Press.
- Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2005. "Over-the-Counter Markets," Econometrica, Econometric Society, vol. 73(6), pages 1815-1847, November.
- Lasse Pedersen & Darrell Duffie & Nicolae Garleanu, 2004.
"Valuation in Dynamic Bargaining Markets,"
Econometric Society 2004 North American Winter Meetings
649, Econometric Society.
- duffie, 2004. "Valuation in Dynamic Bargaining Markets," Econometric Society 2004 North American Winter Meetings 633, Econometric Society.
- Stan Zin & David Backus & Bryan Routledge, 2004. "International Risk Sharing with exotic preferences," 2004 Meeting Papers 149, Society for Economic Dynamics.
- David Backus & Bryan Routledge & Stanley Zin, 2004.
"Exotic Preferences for Macroeconomists,"
Working Papers
04-20, New York University, Leonard N. Stern School of Business, Department of Economics.
- David K. Backus & Bryan R. Routledge & Stanley E. Zin, 2005. "Exotic Preferences for Macroeconomists," NBER Chapters,in: NBER Macroeconomics Annual 2004, Volume 19, pages 319-414 National Bureau of Economic Research, Inc.
- David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," NBER Working Papers 10597, National Bureau of Economic Research, Inc.
- Ljungqvist, Alexander & Boehmer, Ekkehart, 2004. "On the decision to go public: Evidence from privately-held firms," Discussion Paper Series 1: Economic Studies 2004,16, Deutsche Bundesbank.
- Cornelli, Francesca & Goldreich, David & Ljungqvist, Alexander P., 2004. "Investor Sentiment and Pre-Issue Markets," CEPR Discussion Papers 4448, C.E.P.R. Discussion Papers.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2004. "A Theory of Housing Collateral, Consumption Insurance and Risk Premia," NBER Working Papers 10955, National Bureau of Economic Research, Inc.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2004.
"How Much Does Household Collateral Constrain Regional Risk Sharing?,"
NBER Working Papers
10505, National Bureau of Economic Research, Inc.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2010. "How Much Does Household Collateral Constrain Regional Risk Sharing?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(2), pages 265-294, April.
- Stijn Van Nieuwerburgh & Hanno Lustig, 2004. "Housing Collateral and Consumption Insurance Across US Regions," 2004 Meeting Papers 548, Society for Economic Dynamics.
- Olivier Blanchard & Thomas Philippon, 2004. "The Quality of Labor Relations and Unemployment," NBER Working Papers 10590, National Bureau of Economic Research, Inc.
- Thomas Philippon, 2004.
"Corporate Governance Over the Business Cycle,"
2004 Meeting Papers
114, Society for Economic Dynamics.
- Philippon, Thomas, 2006. "Corporate governance over the business cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 2117-2141, November.
- Yakov Amihud & Clifford Hurvich, 2004.
"Predictive Regressions: A Reduced-Bias Estimation Method,"
Econometrics
0412008, EconWPA.
- Amihud, Yakov & Hurvich, Clifford M., 2004. "Predictive Regressions: A Reduced-Bias Estimation Method," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(04), pages 813-841, December.
- Yakov Amihud & Clifford Hurvich & Yi Wang, 2004. "Hypothesis Testing in Predictive Regressions," Finance 0412022, EconWPA.
2003
- Robert F. Engle & Giampiero M. Gallo, 2003.
"A Multiple Indicators Model for Volatility Using Intra-Daily Data,"
NBER Working Papers
10117, National Bureau of Economic Research, Inc.
- Engle, Robert F. & Gallo, Giampiero M., 2006. "A multiple indicators model for volatility using intra-daily data," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 3-27.
- Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model For Volatility Using Intra-Daily Data," Econometrics Working Papers Archive wp2003_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Engle III, Robert F. & Granger, Clive W. J., 2003. "Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III," Nobel Prize in Economics documents 2003-5, Nobel Prize Committee.
- Engle III, Robert F., 2003.
"Risk and Volatility: Econometric Models and Financial Practice,"
Nobel Prize in Economics documents
2003-4, Nobel Prize Committee.
- Robert Engle, 2004. "Risk and Volatility: Econometric Models and Financial Practice," American Economic Review, American Economic Association, vol. 94(3), pages 405-420, June.
- Cappiello, Lorenzo & Engle, Robert F. & Sheppard, Kevin, 2003.
"Asymmetric dynamics in the correlations of global equity and bond returns,"
Working Paper Series
204, European Central Bank.
- Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006. "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(4), pages 537-572.
- Malcolm Baker & Jeffrey Wurgler, 2003.
"A Catering Theory of Dividends,"
NBER Working Papers
9542, National Bureau of Economic Research, Inc.
- Malcolm Baker & Jeffrey Wurgler, 2004. "A Catering Theory of Dividends," Journal of Finance, American Finance Association, vol. 59(3), pages 1125-1165, June.
- Malcolm Baker & Jeffrey Wurgler, 2003.
"Appearing and Disappearing Dividends: The Link to Catering Incentives,"
NBER Working Papers
9995, National Bureau of Economic Research, Inc.
- Baker, Malcolm & Wurgler, Jeffrey, 2004. "Appearing and disappearing dividends: The link to catering incentives," Journal of Financial Economics, Elsevier, vol. 73(2), pages 271-288, August.
- Acharya, Viral V & Bisin, Alberto, 2003.
"Optimal Financial Market Integration and Security Design,"
CEPR Discussion Papers
3852, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Alberto Bisin, 2005. "Optimal Financial-Market Integration and Security Design," The Journal of Business, University of Chicago Press, vol. 78(6), pages 2397-2434, November.
- Acharya, Viral V & Yorulmazer, Tanju, 2003. "Information Contagion and Inter-Bank Correlation in a Theory of Systemic Risk," CEPR Discussion Papers 3743, C.E.P.R. Discussion Papers.
- Acharya, Viral V & Bharath, Sreedhar T & Srinivasan, Anand, 2003. "Understanding the Recovery Rates on Defaulted Securities," CEPR Discussion Papers 4098, C.E.P.R. Discussion Papers.
- Acharya, Viral V & Pedersen, Lasse Heje, 2003.
"Asset Pricing with Liquidity Risk,"
CEPR Discussion Papers
3749, C.E.P.R. Discussion Papers.
- Acharya, Viral V. & Pedersen, Lasse Heje, 2005. "Asset pricing with liquidity risk," Journal of Financial Economics, Elsevier, vol. 77(2), pages 375-410, August.
- Acharya, Viral V & Pedersen, Lasse Heje, 2004. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 4718, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Lasse Heje Pedersen, 2004. "Asset Pricing with Liquidity Risk," NBER Working Papers 10814, National Bureau of Economic Research, Inc.
- Bryan R. Routledge & Stanley E. Zin, 2003.
"Generalized Disappointment Aversion and Asset Prices,"
NBER Working Papers
10107, National Bureau of Economic Research, Inc.
- Bryan R. Routledge & Stanley E. Zin, 2010. "Generalized Disappointment Aversion and Asset Prices," Journal of Finance, American Finance Association, vol. 65(4), pages 1303-1332, August.
- Alexander Ljungqvist & Matthew Richardson, 2003. "The cash flow, return and risk characteristics of private equity," NBER Working Papers 9454, National Bureau of Economic Research, Inc.
- Ljungqvist, Alexander P. & Marston, Felicia & Wilhelm Jr, William J, 2003.
"Competing for Securities Underwriting Mandates: Banking Relationships and Analyst Recommendations,"
CEPR Discussion Papers
4162, C.E.P.R. Discussion Papers.
- Alexander Ljungqvist & Felicia Marston & William J. Wilhelm, 2006. "Competing for Securities Underwriting Mandates: Banking Relationships and Analyst Recommendations," Journal of Finance, American Finance Association, vol. 61(1), pages 301-340, February.
- Ljungqvist, Alexander P., 2003. "Conflicts of Interest and Efficient Contracting in IPOs," CEPR Discussion Papers 4163, C.E.P.R. Discussion Papers.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2003.
"Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective,"
NBER Working Papers
9959, National Bureau of Economic Research, Inc.
- Hanno N. Lustig & Stijn G. Van Nieuwerburgh, 2005. "Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective," Journal of Finance, American Finance Association, vol. 60(3), pages 1167-1219, June.
- Daniel Bergstresser & Thomas Philippon, 2003.
"CEO incentives and earnings management,"
Proceedings
862, Federal Reserve Bank of Chicago.
- Bergstresser, Daniel & Philippon, Thomas, 2006. "CEO incentives and earnings management," Journal of Financial Economics, Elsevier, vol. 80(3), pages 511-529, June.
2002
- David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2002.
"Time-Varying Arrival Rates of Informed and Uninformed Trades,"
Finance
0207017, EconWPA.
- David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2008. "Time-Varying Arrival Rates of Informed and Uninformed Trades," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(2), pages 171-207, Spring.
- Malcolm Baker & Jeremy C. Stein & Jeffrey Wurgler, 2002.
"When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms,"
NBER Working Papers
8750, National Bureau of Economic Research, Inc.
- Malcolm Baker & Jeremy C. Stein & Jeffrey Wurgler, 2003. "When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms," The Quarterly Journal of Economics, Oxford University Press, vol. 118(3), pages 969-1005.
- Malcolm Baker & Jeremy C. Stein & Jeffrey Wurgler, 2002. "When Does the Market Matter? Stock Prices and the Investsment of Equity-Dependent Firms," Harvard Institute of Economic Research Working Papers 1978, Harvard - Institute of Economic Research.
- Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002.
"Comovement,"
NBER Working Papers
8895, National Bureau of Economic Research, Inc.
- Barberis, Nicholas & Shleifer, Andrei & Wurgler, Jeffrey, 2005. "Comovement," Journal of Financial Economics, Elsevier, vol. 75(2), pages 283-317, February.
- Barberis, Nicholas & Shleifer, Andrei & Wurgler, Jeffrey, 2005. "Comovement," Scholarly Articles 27867240, Harvard University Department of Economics.
- Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002. "Comovement," Harvard Institute of Economic Research Working Papers 1953, Harvard - Institute of Economic Research.
- Iftekhar Hasan & Anthony Saunders & Viral V. Acharya, 2002.
"Should banks be diversified? Evidence from individual bank loan portfolios,"
BIS Working Papers
118, Bank for International Settlements.
- Viral V. Acharya & Iftekhar Hasan & Anthony Saunders, 2006. "Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolios," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1355-1412, May.
- Acharya, Viral V & Bisin, Alberto, 2002. "Entrepreneurial Incentives in Stock Market Economies," CEPR Discussion Papers 3474, C.E.P.R. Discussion Papers.
- Acharya, Viral V & Hasan, Iftekhar & Saunders, Anthony, 2002.
"The Effects of Focus and Diversification on Bank Risk and Return: Evidence from Individual Bank Loan Portfolios,"
CEPR Discussion Papers
3252, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Iftekhar Hasan & Anthony Saunders, 2002. "The effects of focus and diversification on bank risk and return: evidence from individual bank loan portfolios," Proceedings 905, Federal Reserve Bank of Chicago.
- Acharya, Viral V & Huang, Jing-Zhi & Subrahmanyam, Marti G. & Sundaram, Rangarajan K, 2002.
"When Does Strategic Debt Service Matter?,"
CEPR Discussion Papers
3566, C.E.P.R. Discussion Papers.
- Viral Acharya & Jing-zhi Huang & Marti Subrahmanyam & Rangarajan Sundaram, 2006. "When does Strategic Debt-service Matter?," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 29(2), pages 363-378, October.
- Acharya, Viral V & Das, Sanjiv Ranjan & Sundaram, Rangarajan K, 2002. "Pricing Credit Derivatives with Rating Transitions," CEPR Discussion Papers 3329, C.E.P.R. Discussion Papers.
- Acharya, Viral V & Carpenter, Jennifer, 2002.
"Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy,"
CEPR Discussion Papers
3328, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Jennifer N. Carpenter, 2002. "Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy," Review of Financial Studies, Society for Financial Studies, vol. 15(5), pages 1355-1383.
- Acharya, Viral V, 2002.
"Is the International Convergence of Capital Adequacy Regulation Desirable?,"
CEPR Discussion Papers
3253, C.E.P.R. Discussion Papers.
- Viral V. Acharya, 2003. "Is the International Convergence of Capital Adequacy Regulation Desirable?," Journal of Finance, American Finance Association, vol. 58(6), pages 2745-2782, December.
- David Backus & Liuren Wu & Stanley Zin, 2002. "Markov Chain Approximations For Term Structure Models," Finance 0207018, EconWPA.
- Lawrence M. Benveniste & Alexander Ljungqvist & William J. Wilhelm & Xiaoyun Yu, 2002.
"Evidence of Information Spillovers in the Production of Investment Banking Services,"
OFRC Working Papers Series
2002fe06, Oxford Financial Research Centre.
- Lawrence M. Benveniste & Alexander Ljungqvist & William J. Wilhelm & Xiaoyun Yu, 2003. "Evidence of Information Spillovers in the Production of Investment Banking Services," Journal of Finance, American Finance Association, vol. 58(2), pages 577-608, April.
- Benveniste, Lawrence M & Ljungqvist, Alexander P. & Wilhelm Jr, William J & Yu, Xiaoyun, 2001. "Evidence of Information Spillovers in the Production of Investment Banking Services," CEPR Discussion Papers 2988, C.E.P.R. Discussion Papers.
- William J. Wilhelm & Alexander Ljungqvist, 2002.
"IPO Pricing in the Dot-com Bubble,"
OFRC Working Papers Series
2002fe07, Oxford Financial Research Centre.
- Alexander Ljungqvist & William J. Wilhelm, 2003. "IPO Pricing in the Dot-com Bubble," Journal of Finance, American Finance Association, vol. 58(2), pages 723-752, April.
- Ljungqvist, Alexander P. & Wilhelm Jr, William J, 2002. "IPO Pricing in the dot-com Bubble," CEPR Discussion Papers 3314, C.E.P.R. Discussion Papers.
- Chemla, Gilles & Habib, Michel Antoine & Ljungqvist, Alexander P., 2002.
"An Analysis of Shareholder Agreements,"
CEPR Discussion Papers
3457, C.E.P.R. Discussion Papers.
- Gilles Chemla & Michel A. Habib & Alexander Ljungqvist, 2007. "An Analysis of Shareholder Agreements," Journal of the European Economic Association, MIT Press, vol. 5(1), pages 93-121, March.
- Michael Kumhof & Stijn van Nieuwerburgh, 2002. "A Fiscal Theory of the Currency Risk Premium and of Sterilized Intervention," IMF Working Papers 02/29, International Monetary Fund.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2002. "Housing Collateral, Consumption Insurance and Risk Premia," Macroeconomics 0211008, EconWPA.
2001
- Robert F. Engle & Kevin Sheppard, 2001.
"Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH,"
NBER Working Papers
8554, National Bureau of Economic Research, Inc.
- Engle, Robert F & Sheppard, Kevin K, 2001. "Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH," University of California at San Diego, Economics Working Paper Series qt5s2218dp, Department of Economics, UC San Diego.
- Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 0075, European Central Bank.
- Jeffrey A. Wurgler & Malcolm P. Baker, 2001.
"Market Timing and Capital Structure,"
Yale School of Management Working Papers
ysm181, Yale School of Management.
- Malcolm Baker & Jeffrey Wurgler, 2002. "Market Timing and Capital Structure," Journal of Finance, American Finance Association, vol. 57(1), pages 1-32, February.
- Bernhard Paasche & Stanley E. Zin, 2001. "Competition and Intervention in Sovereign Debt Markets," NBER Working Papers 8679, National Bureau of Economic Research, Inc.
- Bryan R. Routledge & Stanley E. Zin, 2001.
"Model Uncertainty and Liquidity,"
NBER Working Papers
8683, National Bureau of Economic Research, Inc.
- Bryan Routledge & Stanley Zin, 2009. "Model Uncertainty and Liquidity," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(4), pages 543-566, October.
- Bryan R. Routledge & Stanley E. Zin, 2000. "Model Uncertainty and Liquidity," Econometric Society World Congress 2000 Contributed Papers 1617, Econometric Society.
- Bryan R. Routledge, Stanley E. Zin, 2000. "Model Uncertainity And Liquidity," Computing in Economics and Finance 2000 368, Society for Computational Economics.
- Bryan Routledge & Stanley Zin, "undated". "Model Uncertainty and Liquidity," GSIA Working Papers 2001-E17, Carnegie Mellon University, Tepper School of Business.
- Alexander Ljungqvist & Tim Jenkinson & William Wilhelm, 2001.
"Global Integration in Primary Equity Markets: The Role of U.S. Banks and U.S. Investors,"
OFRC Working Papers Series
2001fe06, Oxford Financial Research Centre.
- Alexander P. Ljungqvist & Tim Jenkinson & William J. Wilhelm, Jr., 2003. "Global Integration in Primary Equity Markets: The Role of U.S. Banks and U.S. Investors," Review of Financial Studies, Society for Financial Studies, vol. 16(1), pages 63-99.
- William Wilhelm & Alexander Ljungqvist, 2001.
"IPO Allocations: Discriminatory or Discretionary?,"
OFRC Working Papers Series
2001fe08, Oxford Financial Research Centre.
- Ljungqvist, Alexander P. & Wilhelm, William Jr., 2002. "IPO allocations: discriminatory or discretionary?," Journal of Financial Economics, Elsevier, vol. 65(2), pages 167-201, August.
- Ljungqvist, Alexander P. & Wilhelm Jr, William J, 2001. "IPO Allocations: Discriminatory or Discretionary?," CEPR Discussion Papers 2855, C.E.P.R. Discussion Papers.
- Ljungqvist, Alexander P. & Nanda, Vikram & Singh, Rajdeep, 2001.
"Hot Markets, Investor Sentiment and IPO Pricing,"
CEPR Discussion Papers
3053, C.E.P.R. Discussion Papers.
- Alexander Ljungqvist & Vikram Nanda & Rajdeep Singh, 2006. "Hot Markets, Investor Sentiment, and IPO Pricing," The Journal of Business, University of Chicago Press, vol. 79(4), pages 1667-1702, July.
- Thomas Philippon & Jeronimo Zettelmeyer & Eduardo Borensztein, 2001. "Monetary Independence in Emerging Markets; Does the Exchange Rate Regime Make a Difference?," IMF Working Papers 01/1, International Monetary Fund.
2000
- Robert Engle & Simone Manganelli, 2000.
"CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles,"
Econometric Society World Congress 2000 Contributed Papers
0841, Econometric Society.
- Robert F. Engle & Simone Manganelli, 2004. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 367-381, October.
- Engle, Robert F & Manganelli, Simone, 1999. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," University of California at San Diego, Economics Working Paper Series qt06m3d6nv, Department of Economics, UC San Diego.
- Joshua Rosenberg & Robert F. Engle, 2000.
"Empirical Pricing Kernels,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
99-014, New York University, Leonard N. Stern School of Business-.
- Rosenberg, Joshua V. & Engle, Robert F., 2002. "Empirical pricing kernels," Journal of Financial Economics, Elsevier, vol. 64(3), pages 341-372, June.
- Alfonso Dufour & Robert F Engle, 2000. "The ACD Model: Predictability of the Time Between Concecutive Trades," ICMA Centre Discussion Papers in Finance icma-dp2000-05, Henley Business School, Reading University.
- Engle, Robert F, 2000. "Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models," University of California at San Diego, Economics Working Paper Series qt56j4143f, Department of Economics, UC San Diego.
- Engle, Robert F & Patton, Andrew J, 2000.
"Impacts of Trades in an Error-Correction Model of Quote Prices,"
University of California at San Diego, Economics Working Paper Series
qt6dm6093f, Department of Economics, UC San Diego.
- Engle, Robert F. & Patton, Andrew J., 2004. "Impacts of trades in an error-correction model of quote prices," Journal of Financial Markets, Elsevier, vol. 7(1), pages 1-25, January.
- Jeffrey Wurgler & Ekaterina Zhuravskaya, 2000.
"Does Arbitrage Flatten Demand Curves for Stocks?,"
Yale School of Management Working Papers
ysm152, Yale School of Management, revised 01 Nov 2001.
- Jeffrey Wurgler & Ekaterina Zhuravskaya, 2002. "Does Arbitrage Flatten Demand Curves for Stocks?," The Journal of Business, University of Chicago Press, vol. 75(4), pages 583-608, October.
- V. Acharya & J. Huang & Marti G. Subrahmanyam & R. Sundaram, 2000. "Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-048, New York University, Leonard N. Stern School of Business-.
- Stanley A. Zin, Bryan Routledge, 2000. "Solution Algorithms For Dynamic Choquet Expected Utility," Computing in Economics and Finance 2000 119, Society for Computational Economics.
- Michel Habib & Alexander Ljungqvist, 2000.
"Firm Value and Managerial Incentives: A Stochastic Frontier Approach,"
OFRC Working Papers Series
2000fe03, Oxford Financial Research Centre.
- Michel A. Habib & Alexander Ljungqvist, 2005. "Firm Value and Managerial Incentives: A Stochastic Frontier Approach," The Journal of Business, University of Chicago Press, vol. 78(6), pages 2053-2094, November.
- Habib, Michel Antoine & Ljungqvist, Alexander P., 2000. "Firm Value and Managerial Incentives: A Stochastic Frontier Approach," CEPR Discussion Papers 2564, C.E.P.R. Discussion Papers.
- Tim Jenkinson & William Wilhelm & Alexander Ljungqvist, 2000.
"Has the introduction of bookbuilding increased the efficiency of international IPOs?,"
OFRC Working Papers Series
2000fe04, Oxford Financial Research Centre.
- Jenkinson, Tim & Ljungqvist, Alexander P. & Wilhelm Jr, William J, 2000. "Has the Introduction of Bookbuilding Increased the Efficiency of International IPOs?," CEPR Discussion Papers 2484, C.E.P.R. Discussion Papers.
- Kramarz, Francis & Philippon, Thomas, 2000.
"The Impact of Differential Payroll Tax Subsidies on Minimum Wage Employment,"
IZA Discussion Papers
219, Institute for the Study of Labor (IZA).
- Kramarz, Francis & Philippon, Thomas, 2001. "The impact of differential payroll tax subsidies on minimum wage employment," Journal of Public Economics, Elsevier, vol. 82(1), pages 115-146, October.
- Francis Kramarz & Thomas Philippon, 2000. "The Impact of Differenctial Payroll Tax Subsidies on Minimum Wage Employment," Working Papers 2000-10, Center for Research in Economics and Statistics.
- Abowd, John M. & Kramarz, Francis & Margolis, David N. & Philippon, Thomas, 2000. "The Tail of Two Countries: Minimum Wages and Employment in France and the United States," IZA Discussion Papers 203, Institute for the Study of Labor (IZA).
1999
- Young-Hye Cho & Robert F. Engle, 1999. "Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks," NBER Working Papers 7330, National Bureau of Economic Research, Inc.
- Young-Hye Cho & Robert F. Engle, 1999.
"Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market,"
NBER Working Papers
7331, National Bureau of Economic Research, Inc.
- Engle, Robert F, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," University of California at San Diego, Economics Working Paper Series qt6rp7g17q, Department of Economics, UC San Diego.
- Robert F. Engle & Simone Manganelli, 1999. "CAViaR: Conditional Value at Risk by Quantile Regression," NBER Working Papers 7341, National Bureau of Economic Research, Inc.
- Simone Manganelli & Robert F. Engle, 1999. "Modeling a Time-Varying Order Statistic," Computing in Economics and Finance 1999 952, Society for Computational Economics.
- Dufour, Alfonso & Engle, Robert F, 1999.
"Time and the Price Impact of a Trade,"
University of California at San Diego, Economics Working Paper Series
qt62c0h04j, Department of Economics, UC San Diego.
- Alfonso Dufour & Robert F. Engle, 2000. "Time and the Price Impact of a Trade," Journal of Finance, American Finance Association, vol. 55(6), pages 2467-2498, December.
- Jeffrey Wurgler, 1999.
"Financial Markets And The Allocation Of Capital,"
Yale School of Management Working Papers
ysm123, Yale School of Management, revised 01 Mar 2001.
- Wurgler, Jeffrey, 2000. "Financial markets and the allocation of capital," Journal of Financial Economics, Elsevier, vol. 58(1-2), pages 187-214.
- Malcolm Baker & Jeffrey Wurgler, 1999.
"The Equity Share in New Issues and Aggregate Stock Returns,"
Yale School of Management Working Papers
ysm124, Yale School of Management, revised 01 Jan 2009.
- Malcolm Baker & Jeffrey Wurgler, 2000. "The Equity Share in New Issues and Aggregate Stock Returns," Journal of Finance, American Finance Association, vol. 55(5), pages 2219-2257, October.
- Viral Acharya & Kose John & Rangarajan K. Sundaram, 1999.
"On the Optimality of Resetting Executive Stock Options,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
99-087, New York University, Leonard N. Stern School of Business-.
- Acharya, Viral V. & John, Kose & Sundaram, Rangarajan K., 2000. "On the optimality of resetting executive stock options," Journal of Financial Economics, Elsevier, vol. 57(1), pages 65-101, July.
- Matthew Clayton & David Yermack, 1999. "Major League Baseball Player Contracts: An Investigation of the Empirical Properties of Real Options," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-051, New York University, Leonard N. Stern School of Business-.
- Sandeep Dahiya & David Yermack, 1999. "Wealth Creation and Destruction from Brooke Group's Tobacco Litigation Strategy," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-050, New York University, Leonard N. Stern School of Business-.
- Alexander Ljungqvist, 1999. "IPO Underpricing, Wealth Losses and the Curious Role of Venture Capitalists in the Creation of Public Companies," OFRC Working Papers Series 1999fe04, Oxford Financial Research Centre.
- Michel Habib & Alexander Ljungqvist, 1999.
"Underpricing and Entrepreneurial Wealth Losses in IPOs: Theory and Evidence,"
OFRC Working Papers Series
1999fe03, Oxford Financial Research Centre.
- Habib, Michel A & Ljungqvist, Alexander P, 2001. "Underpricing and Entrepreneurial Wealth Losses in IPOs: Theory and Evidence," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 433-458.
- Alexander P. Ljungqvist & William J. Wilhelm, 1999.
"The Seven Percent Solution? An International Perspective on Underwriting Spreads,"
OFRC Working Papers Series
1999fe11, Oxford Financial Research Centre.
- Ljungqvist, Alexander P. & Wilhelm Jr, William J, 2001. "The Seven Percent Solution? An International Perspective On Underwriting Spreads," CEPR Discussion Papers 2736, C.E.P.R. Discussion Papers.
- Tim Jenkinson & Alexander Ljungqvist, 1999.
"The Role of Hostile Stakes in German Corporate Governance,"
OFRC Working Papers Series
1999fe02, Oxford Financial Research Centre.
- Jenkinson, Tim & Ljungqvist, Alexander, 2001. "The role of hostile stakes in German corporate governance," Journal of Corporate Finance, Elsevier, vol. 7(4), pages 397-446, December.
- John M. Abowd & Francis Kramarz & David Margolis & Thomas Philippon, 1999.
"Minimum Wages and Employment in France and the United States,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
halshs-00370392, HAL.
- Abowd, John M & Kramarz, Francis & Margolis, David N, 1999. "Minimum Wages and Employment in France and the United States," CEPR Discussion Papers 2159, C.E.P.R. Discussion Papers.
- John M. Abowd & Francis Kramarz & David N. Margolis, 1999. "Minimum Wages and Employment in France and the United States," NBER Working Papers 6996, National Bureau of Economic Research, Inc.
- Abowd, J.M. & Kramarz, F. & Margolis, D.N., 1998. "Minimum Wages and Employment in France and the United States," Papiers du Laboratoire de Microéconomie Appliquée 1998-12, Université Panthéon-Sorbonne (Paris 1).
- Philip H. Dybvig & Heber K. Farnsworth & Jennifer Carpenter, 1999.
"Portfolio Performance and Agency,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
99-046, New York University, Leonard N. Stern School of Business-.
- Philip H. Dybvig & Heber K. Farnsworth & Jennifer N. Carpenter, 2010. "Portfolio Performance and Agency," Review of Financial Studies, Society for Financial Studies, vol. 23(1), pages 1-23, January.
- Jennifer Carpenter, 1999. "Does Option Compensation Increase Managerial Risk Appetite?," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-076, New York University, Leonard N. Stern School of Business-.
1998
- Jeffrey R. Russell & Robert F. Engle, 1998.
"Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model,"
CRSP working papers
470, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Russell, Jeffrey & Engle, Robert F, 1998. "Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model," University of California at San Diego, Economics Working Paper Series qt00m2c5hk, Department of Economics, UC San Diego.
- Engle, Robert F & Smith, Aaron, 1998.
"Stochastic Permanent Breaks,"
University of California at San Diego, Economics Working Paper Series
qt99v0s0zx, Department of Economics, UC San Diego.
- Robert F. Engle & Aaron D. Smith, 1999. "Stochastic Permanent Breaks," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 553-574, November.
- Engle, Robert F, 1998. "Macroeconomic Announcements and Volatility of Treasury Futures," University of California at San Diego, Economics Working Paper Series qt7rd4g3bk, Department of Economics, UC San Diego.
- Engle, Robert F & Lunde, Asger, 1998.
"Trades and Quotes: A Bivariate Point Process,"
University of California at San Diego, Economics Working Paper Series
qt8bh079sq, Department of Economics, UC San Diego.
- Robert F. Engle & Asger Lunde, 2003. "Trades and Quotes: A Bivariate Point Process," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(2), pages 159-188.
- Viral V. Acharya & Kose John & Rangarajan K. Sundaram, 1998. "Contract Renegotiation and the Optimality of resetting Executive Stock Options," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-088, New York University, Leonard N. Stern School of Business-.
- Menachem Brenner & Rangarajan K. Sundaram & David Yermack, 1998.
"Altering the Terms of Executive Stock Options,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
98-010, New York University, Leonard N. Stern School of Business-.
- Brenner, Menachem & Sundaram, Rangarajan K. & Yermack, David, 2000. "Altering the terms of executive stock options," Journal of Financial Economics, Elsevier, vol. 57(1), pages 103-128, July.
- Anil Shivdasani & David Yermack, 1998.
"CEO Involvement in the Selection of New Board Members: An Empirical Analysis,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
98-059, New York University, Leonard N. Stern School of Business-.
- Anil Shivdasani & David Yermack, 1999. "CEO Involvement in the Selection of New Board Members: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 54(5), pages 1829-1853, October.
- Habib, Michel Antoine & Ljungqvist, Alexander P., 1998. "Headline Underpricing and Entrepreneurial Wealth Losses in IPOs: Theory and Evidence," CEPR Discussion Papers 1873, C.E.P.R. Discussion Papers.
- Jennifer Carpenter & Anthony Lynch, 1998.
"Survivorship Bias and Attrition Effects in Measures of Performance Persistence,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
98-077, New York University, Leonard N. Stern School of Business-.
- Carpenter, Jennifer N. & Lynch, Anthony W., 1999. "Survivorship bias and attrition effects in measures of performance persistence," Journal of Financial Economics, Elsevier, vol. 54(3), pages 337-374, December.
1997
- Robert F. Engle & Joe Lange, 1997. "Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market," NBER Working Papers 6129, National Bureau of Economic Research, Inc.
- Joshua V. Rosenberg & Robert F. Engle, 1997. "Option Hedging Using Empirical Pricing Kernels," NBER Working Papers 6222, National Bureau of Economic Research, Inc.
- Gregor W. Smith & Stanley E. Zin, 1997.
"Real Business Cycle Realizations,"
Working Papers
1253, Queen's University, Department of Economics.
- Smith, Gregor W. & Zin, Stanley E., 1997. "Real business-cycle realizations," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 243-280, December.
- Hamid Mehran & David Yermack, 1997. "Compensation and Top Management Turnover," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-051, New York University, Leonard N. Stern School of Business-.
- Eli Ofek & David Yermack, 1997. "Does Equity-Based Compensation Increase Managers' Ownership?," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-052, New York University, Leonard N. Stern School of Business-.
- Jenkinson, Tim & Ljungqvist, Alexander P., 1997. "Hostile Stakes and the Role of Banks in German Corporate Governance," CEPR Discussion Papers 1695, C.E.P.R. Discussion Papers.
- Jennifer Carpenter, 1997. "The Optimal Dynamic Investment Policy for a Fund Manager Compensated with an Incentive Fee," New York University, Leonard N. Stern School Finance Department Working Paper Seires 97-11, New York University, Leonard N. Stern School of Business-.
- Jennifer Carpenter, 1997.
"The Exercise and Valuation of Executive Stock Options,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
97-10, New York University, Leonard N. Stern School of Business-.
- Carpenter, Jennifer N., 1998. "The exercise and valuation of executive stock options," Journal of Financial Economics, Elsevier, vol. 48(2), pages 127-158, May.
1996
- Robert F. Engle, 1996.
"The Econometrics of Ultra-High Frequency Data,"
NBER Working Papers
5816, National Bureau of Economic Research, Inc.
- Robert F. Engle, 2000. "The Econometrics of Ultra-High Frequency Data," Econometrica, Econometric Society, vol. 68(1), pages 1-22, January.
- Philip E. Berger & Eli Ofek & David Yermack, 1996.
"Managerial Entrenchment and Capital Structure Decisions,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
96-14, New York University, Leonard N. Stern School of Business-.
- Berger, Philip G & Ofek, Eli & Yermack, David L, 1997. " Managerial Entrenchment and Capital Structure Decisions," Journal of Finance, American Finance Association, vol. 52(4), pages 1411-1438, September.
- Marcel Kahan & David Yermack, 1996.
"Investment Opportunities and the Design of Debt Securities,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
96-31, New York University, Leonard N. Stern School of Business-.
- Kahan, Marcel & Yermack, David, 1998. "Investment Opportunities and the Design of Debt Securities," Journal of Law, Economics, and Organization, Oxford University Press, vol. 14(1), pages 136-151, April.
- Hamid Mehran & David Yermack, 1996. "Stock-Based Compensation and Top Management Turnover," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-35, New York University, Leonard N. Stern School of Business-.
- David Yermack, 1996.
"Good Timing: CEO Stock Option Awards and Company News Announcements,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
96-41, New York University, Leonard N. Stern School of Business-.
- Yermack, David, 1997. " Good Timing: CEO Stock Option Awards and Company News Announcements," Journal of Finance, American Finance Association, vol. 52(2), pages 449-476, June.
- David Yermack, 1996.
"Companies' Modest Claims About the Value of CEO Stock Option Awards,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
96-42, New York University, Leonard N. Stern School of Business-.
- Yermack, David, 1998. "Companies' Modest Claims about the Value of CEO Stock Option Awards," Review of Quantitative Finance and Accounting, Springer, vol. 10(2), pages 207-226, March.
- Yakov Amihud & Haim Mendelson & Beni Lauterbach, 1996.
"Market Microstructure and Securities Values: Evidence From the Tel Aviv Stock Exchange,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
96-7, New York University, Leonard N. Stern School of Business-.
- Amihud, Yakov & Mendelson, Haim & Lauterbach, Beni, 1997. "Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange," Journal of Financial Economics, Elsevier, vol. 45(3), pages 365-390, September.
- Yakov Amihud & Haim Mendelson & Beni Lauterbach, 1997. "Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-004, New York University, Leonard N. Stern School of Business-.
1995
- Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc.
1994
- Robert F. Engle & Joshua Rosenberg, 1994. "Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models," NBER Working Papers 4958, National Bureau of Economic Research, Inc.
- Robert F. Engle & Jeffrey R. Russell, 1994. "Forecasting Transaction Rates: The Autoregressive Conditional Duration Model," NBER Working Papers 4966, National Bureau of Economic Research, Inc.
- David K. Backus & Stanley E. Zin, 1994.
"Reverse Engineering the Yield Curve,"
Working Papers
94-09, New York University, Leonard N. Stern School of Business, Department of Economics.
- David K. Backus & Stanley E. Zin, 1994. "Reverse Engineering the Yield Curve," NBER Working Papers 4676, National Bureau of Economic Research, Inc.
- David K. Backus & Silverio Foresi & Stanley E. Zin, 1994.
"Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing,"
Working Papers
94-28, New York University, Leonard N. Stern School of Business, Department of Economics.
- Backus, David & Foresi, Silverio & Zin, Stanley, 1998. "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(1), pages 13-26, January.
- David Backus & Silverio Foresi & Stanley Zin, 1996. "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," NBER Working Papers 5638, National Bureau of Economic Research, Inc.
- Backus, D.K. & Foresi, S. & Zin, S.E., 1994. "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," Papers 95-02, Columbia - Graduate School of Business.
- David Backus & Silverio Foresi & Stanley Zin, 1996. "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-8, New York University, Leonard N. Stern School of Business-.
1993
- Robert F. Engle & Alex Kane & Jaesun Noh, 1993. "Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts," NBER Working Papers 4519, National Bureau of Economic Research, Inc.
- Jaesun Noh & Robert F. Engle & Alex Kane, 1993. "A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts," NBER Working Papers 4520, National Bureau of Economic Research, Inc.
- Robert F. Engle & Joao Victor Issler, 1993.
"Estimating Sectoral Cycles Using Cointegration and Common Features,"
NBER Working Papers
4529, National Bureau of Economic Research, Inc.
- Engle, Robert F. & Issler, João Victor, 1994. "Estimating sectoral cycles using cointegration and common features," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 232, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- David K. Backus & Stanley E. Zin, 1993.
"Long-memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates,"
NBER Technical Working Papers
0133, National Bureau of Economic Research, Inc.
- David K. Backus & Stanley E. Zin, 1993. "Long-memory inflation uncertainty: evidence from the term structure of interest rates," Proceedings, Federal Reserve Bank of Cleveland, pages 681-708.
- Backus, David K & Zin, Stanley E, 1993. "Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(3), pages 681-700, August.
- David K. Backus, 1993. "Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates," Working Papers 93-04, New York University, Leonard N. Stern School of Business, Department of Economics.
1991
- Lin, W.L. & Engle, R.F. & Ito, T., 1991.
"Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns,"
Working papers
9121, Wisconsin Madison - Social Systems.
- Wen-Ling Lin & Robert F. Engle & Takatoshi Ito, 1992. "Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns," Discussion Paper Series a253, Institute of Economic Research, Hitotsubashi University.
- Wen-Ling Lin & Robert F. Engle & Takatoshi Ito, 1991. "Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns," NBER Working Papers 3911, National Bureau of Economic Research, Inc.
- Ray Chou & Robert F. Engle & Alex Kane, 1991. "Measuring Risk Aversion From Excess Returns on a Stock Index," NBER Working Papers 3643, National Bureau of Economic Research, Inc.
- Robert F. Engle & Victor K. Ng, 1991.
"Measuring and Testing the Impact of News on Volatility,"
NBER Working Papers
3681, National Bureau of Economic Research, Inc.
- Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-1778, December.
- Robert F. Engle & Victor K. Ng, 1991.
"Time-Varying Volatility and the Dynamic Behavior of the Term Structure,"
NBER Working Papers
3682, National Bureau of Economic Research, Inc.
- Engle, Robert F & Ng, Victor K, 1993. "Time-Varying Volatility and the Dynamic Behavior of the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(3), pages 336-349, August.
- Larry G. Epstein & Stanley E. Zin, 1991.
"The Independence Axiom and Asset Returns,"
NBER Technical Working Papers
0109, National Bureau of Economic Research, Inc.
- Epstein, Larry G. & Zin, Stanley E., 2001. "The independence axiom and asset returns," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 537-572, December.
1990
- Robert F. Engle & Sharon Kozicki, 1990.
"Testing For Common Features,"
NBER Technical Working Papers
0091, National Bureau of Economic Research, Inc.
- Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 369-380, October.
- Scott J. Brown & N. Edward Coulson & Robert F. Engle, 1990. "Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share," NBER Working Papers 3291, National Bureau of Economic Research, Inc.
- Robert F. Engle & Che-Hsiung Hong & Alex Kane, 1990. "Valuation of Variance Forecast with Simulated Option Markets," NBER Working Papers 3350, National Bureau of Economic Research, Inc.
- Takatoshi Ito & Robert F. Engle & Wen-Ling Lin, 1990.
"Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination,"
NBER Working Papers
3504, National Bureau of Economic Research, Inc.
- Ito, Takatoshi & Engle, Robert F. & Lin, Wen-Ling, 1992. "Where does the meteor shower come from? : The role of stochastic policy coordination," Journal of International Economics, Elsevier, vol. 32(3-4), pages 221-240, May.
- Engle, R. & Hendry, D., 1990.
"Testing Super Exogeneity And Invariance In Regression Models,"
Economics Series Working Papers
99100, University of Oxford, Department of Economics.
- Engle, Robert F. & Hendry, David F., 1993. "Testing superexogeneity and invariance in regression models," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 119-139, March.
1989
- Engle, R.F. & Yoo, B.S., 1989. "Cointegrated Economic Time Series: A Survey With New Results," Papers 8-89-13, Pennsylvania State - Department of Economics.
1988
- Engel, R.F. & Ito, T. & Lin, W-L., 1988. "Meteor Showers Or Heat Wages? Heteroskedastic Intra-Daily Volatility In A The Foreign Exchange Market," Papers 246, Minnesota - Center for Economic Research.
- Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988.
"Seasonal Integration And Cointegration,"
Papers
0-88-2, Pennsylvania State - Department of Economics.
- Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
- Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
- Robert F. Engle & Victor Ng & Michael Rothschild, 1988.
"Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills,"
NBER Technical Working Papers
0065, National Bureau of Economic Research, Inc.
- Engle, Robert F. & Ng, Victor K. & Rothschild, Michael, 1990. "Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 213-237.
- Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1988.
"Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market,"
NBER Working Papers
2609, National Bureau of Economic Research, Inc.
- Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990. "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 58(3), pages 525-542, May.
1987
- Gregor W. Smith & Stanley E. Zin, 1987. "Testing a Government's Present-Value Borrowing Constraint," Working Papers 695, Queen's University, Department of Economics.
- Stanley E. Zin, 1987. "Intertemporal Substitution, Risk and the Time Series Behaviour of Consumption and Asset Returns," Working Papers 694, Queen's University, Department of Economics.
- Larry G. Epstein & Stanley E. Zin, 1987. "Substitution, Risk Aversion and the Temporal Behaviour of Consumption and Asset Returns I: A Theoretical Framework," Working Papers 699, Queen's University, Department of Economics.
- Larry G. Epstein & Stanley E. Zin, 1987. "Substitution, Risk Aversion and the Temporal Behaviour of Consumption and Asset Returns II: An Empirical Analysis," Working Papers 698, Queen's University, Department of Economics.
- Stanley E. Zin, 1987. "Aggregate Consumption Behaviour in a Life Cycle Model with Non-Additive Recursive Utility," Working Papers 693, Queen's University, Department of Economics.
1986
- David K. Backus & Allan W. Gregory & Stanley E. Zin, 1986.
"Risk Premiums in the Term Structure : Evidence from Artificial Economies,"
Working Papers
665, Queen's University, Department of Economics.
- Backus, David K. & Gregory, Allan W. & Zin, Stanley E., 1989. "Risk premiums in the term structure : Evidence from artificial economies," Journal of Monetary Economics, Elsevier, vol. 24(3), pages 371-399, November.
1979
- Engle, Robert F, 1979. "A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle," The Warwick Economics Research Paper Series (TWERPS) 156, University of Warwick, Department of Economics.
- Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1979.
"Exogeneity,"
The Warwick Economics Research Paper Series (TWERPS)
162, University of Warwick, Department of Economics.
- Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1983. "Exogeneity," Econometrica, Econometric Society, vol. 51(2), pages 277-304, March.
- ENGLE, Robert F. & HENDRY, David F. & RICHARD, Jean-François, 1983. "Exogeneity," CORE Discussion Papers RP 516, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
1975
- K. Bradbury & R. Engle et al., 1975. "Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area," Working papers 160, Massachusetts Institute of Technology (MIT), Department of Economics.
- R. F. Engle, 1975.
"Estimation of the Price Elasticity of Demand Facing Metropolitan Producers,"
Working papers
162, Massachusetts Institute of Technology (MIT), Department of Economics.
- Engle, Robert F., 1979. "Estimation of the price elasticity of demand facing metropolitan producers," Journal of Urban Economics, Elsevier, vol. 6(1), pages 42-64, January.
1974
- R. F. Engle, 1974. "Testing Price Equations for Stability Across Frequencies," Working papers 144, Massachusetts Institute of Technology (MIT), Department of Economics.
- Robert F. Engle, 1974.
"Interpreting Spectral Analyses in Terms of Time-Domain Models,"
NBER Working Papers
0037, National Bureau of Economic Research, Inc.
- Robert F. Engle, 1976. "Interpreting Spectral Analyses in Terms of Time-Domain Models," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 5, number 1, pages 89-109 National Bureau of Economic Research, Inc.
1973
- R. F. Engle, 1973. "De Facto Discrimination in Residential Assessments: Boston," Working papers 119, Massachusetts Institute of Technology (MIT), Department of Economics.
- R. F. Engle, 1973.
"Issues in the Specification of an Econometric Model of Metropolitan Growth,"
Working papers
120, Massachusetts Institute of Technology (MIT), Department of Economics.
- Engle, Robert F., 1974. "Issues in the specification of an econometric model of metropolitan growth," Journal of Urban Economics, Elsevier, vol. 1(2), pages 250-267, April.
- R. F. Engle, 1973. "A Disequilibrium Model of Regional Investment," Working papers 121, Massachusetts Institute of Technology (MIT), Department of Economics.
- R. F. Engle & R. Gardner, 1973.
"Some Finite Sample Properties of Spectral Estimators of a Linear Regression,"
Working papers
122, Massachusetts Institute of Technology (MIT), Department of Economics.
- Engle, Robert F & Gardner, Roy, 1976. "Some Finite Sample Properties of Spectral Estimators of a Linear Regression," Econometrica, Econometric Society, vol. 44(1), pages 149-165, January.
1972
- R. Engle & D. Foley, 1972. "A Supply Function Model of Aggregate Investment," Working papers 89, Massachusetts Institute of Technology (MIT), Department of Economics.
- R. F. Engle, 1972.
"Band Spectrum Regressions,"
Working papers
96, Massachusetts Institute of Technology (MIT), Department of Economics.
- Engle, Robert F, 1974. "Band Spectrum Regression," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 1-11, February.
1971
- R. F. Engle, 1971. "The Specification of the Disturbance for Efficient Estimation," Working papers 76, Massachusetts Institute of Technology (MIT), Department of Economics.
1970
- R. E. Engle, 1970. "The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation," Working papers 63, Massachusetts Institute of Technology (MIT), Department of Economics.
1966
- Robert F. Engle & Joshua Rosenberg, 1966.
"Testing the Volatility Term Structure Using Option Hedging Criteria,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
96-24, New York University, Leonard N. Stern School of Business-.
- Robert F. Engle & Joshua Rosenberg, 1998. "Testing the Volatility Term Structure using Option Hedging Criteria," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-031, New York University, Leonard N. Stern School of Business-.
Undated
- Robert F. Engle & Eric Jondeau & Michael Rockinger, "undated".
"Systemic Risk in Europe,"
Swiss Finance Institute Research Paper Series
12-45, Swiss Finance Institute.
- Eric Jondeau & Michael Rockinger, 2014. "Systemic Risk in Europe," World Scientific Book Chapters,in: Global Credit Review, chapter 1, pages 1-6 World Scientific Publishing Co. Pte. Ltd..
- Robert Engle & Eric Jondeau & Michael Rockinger, 2015. "Systemic Risk in Europe," Review of Finance, European Finance Association, vol. 19(1), pages 145-190.
- Eric Jondeau & Michael Rockinger, 2013. "Systemic Risk in Europe," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-6.
- Chris Telmer & Stanley E. Zin, "undated". "The yield curve: terms of endearment or terms of endowment?," GSIA Working Papers 231, Carnegie Mellon University, Tepper School of Business.
- Michael Trick & Stanley Zin, "undated". "Adaptive Spline Generation: A New Algorithm for Solving Stochastic Dynamic Programs," GSIA Working Papers 16, Carnegie Mellon University, Tepper School of Business.
- Michael Trick & Stanley Zin, "undated". "A Linear Programming Approach to Solving Stochastic Dynamic Programming," GSIA Working Papers 4, Carnegie Mellon University, Tepper School of Business.
- Tony Smith & Fallaw Sowell & Stanley Zin, "undated".
"Fractional integration with Drift: Estimation in Small Samples,"
GSIA Working Papers
22, Carnegie Mellon University, Tepper School of Business.
- Smith, Anthony A, Jr & Sowell, Fallaw & Zin, Stanley E, 1997. "Fractional Integration with Drift: Estimation in Small Samples," Empirical Economics, Springer, vol. 22(1), pages 103-116.
Journal articles
Undated material is listed at the end2017
- Christian Brownlees & Robert F. Engle, 2017.
"SRISK: A Conditional Capital Shortfall Measure of Systemic Risk,"
Review of Financial Studies,
Society for Financial Studies, vol. 30(1), pages 48-79.
- Brownlees, Christian & Engle, Robert F., 2017. "SRISK: a conditional capital shortfall measure of systemic risk," ESRB Working Paper Series 37, European Systemic Risk Board.
- Alexander Ljungqvist & Liandong Zhang & Luo Zuo, 2017.
"Sharing Risk with the Government: How Taxes Affect Corporate Risk Taking,"
Journal of Accounting Research,
Wiley Blackwell, vol. 55(3), pages 669-707, June.
- Alexander Ljungqvist & Liandong Zhang & Luo Zuo, 2015. "Sharing Risk with the Government: How Taxes Affect Corporate Risk Taking," NBER Working Papers 21834, National Bureau of Economic Research, Inc.
- Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2017.
"The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium,"
Journal of Political Economy,
University of Chicago Press, vol. 125(1), pages 140-223.
- Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2010. "The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium," NBER Working Papers 15988, National Bureau of Economic Research, Inc.
- Sydney Ludvigson & Stijn Van Nieuwerburgh & Jack Favilukis, 2010. "The Macroeconomic E¤ects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium," 2010 Meeting Papers 733, Society for Economic Dynamics.
- Koijen, Ralph S.J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017.
"The cross-section and time series of stock and bond returns,"
Journal of Monetary Economics,
Elsevier, vol. 88(C), pages 50-69.
- Koijen, Ralph S. J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017. "The Cross-Section and Time Series of Stock and Bond Returns," Research Papers 3518, Stanford University, Graduate School of Business.
- Ralph S.J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh, 2010. "The Cross-Section and Time-Series of Stock and Bond Returns," NBER Working Papers 15688, National Bureau of Economic Research, Inc.
- Koijen, Ralph & Lustig, Hanno & van Nieuwerburgh, Stijn, 2012. "The Cross-Section and Time-Series of Stock and Bond Returns," CEPR Discussion Papers 9024, C.E.P.R. Discussion Papers.
- Markus K. Brunnermeier & Sam Langfield & Marco Pagano & Ricardo Reis & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2017.
"ESBies: safety in the tranches,"
Economic Policy,
CEPR;CES;MSH, vol. 32(90), pages 175-219.
- Markus K. Brunnermeier & Sam Langfield & Marco Pagano & Ricardo Reis & Stijn Van Nieuwerburgh Author Email: svnieuwe@stern.nyu.edu & Dimitri Vayanos Author Email: d.vayanos@lse.ac.uk, 2016. "ESBies: Safety in the Tranches," CSEF Working Papers 453, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Markus K. Brunnermeier & Sam Langfield & Marco Pagano & Ricardo Reis & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016. "ESBies: Safety in the tranches," ESRB Working Paper Series 21, European Systemic Risk Board.
- Brunnermeier, Markus K. & Langfield, Sam & Pagano, Marco & Reis, Ricardo & Nieuwerburgh, Stijn Van & Vayanos, Dimitri, 2016. "ESBies: safety in the tranches," LSE Research Online Documents on Economics 86221, London School of Economics and Political Science, LSE Library.
- Markus K. Brunnermeier & Sam Langfield & Marco Pagano & Ricardo Reis & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016. "ESBies: Safety in the tranches," Discussion Papers 1627, Centre for Macroeconomics (CFM).
- Brunnermeier, Markus K & Langfield, Sam & Pagano, Marco & Reis, Ricardo & van Nieuwerburgh, Stijn & Vayanos, Dimitri, 2016. "ESBies: Safety in the Tranches," CEPR Discussion Papers 11537, C.E.P.R. Discussion Papers.
- Brunnermeier, Markus Konrad & Langfield, Sam & Pagano, Marco & Reis, Ricardo & van Nieuwerburgh, Stijn & Vayanos, Dimitri, 2016. "ESBies: Safety in the tranches," CFS Working Paper Series 537, Center for Financial Studies (CFS).
- Marcus K. Brunnermeier & Sam Langfield & Marco Pagano & Ricardo Reis & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016. "ESBies - Safety in the tranches," EIEF Working Papers Series 1614, Einaudi Institute for Economics and Finance (EIEF), revised Sep 2016.
- Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2017.
"Staying at zero with affine processes : an application to term structure modelling,"
Rue de la Banque,
Banque de France, issue 52, november.
- Monfort, Alain & Pegoraro, Fulvio & Renne, Jean-Paul & Roussellet, Guillaume, 2017. "Staying at zero with affine processes: An application to term structure modelling," Journal of Econometrics, Elsevier, vol. 201(2), pages 348-366.
- A. Monfort & F. Pegoraro & J.-P. Renne & G. Roussellet, 2015. "Staying at Zero with Affine Processes: An Application to Term Structure Modelling," Working papers 558, Banque de France.
- Engle, Robert & Roussellet, Guillaume & Siriwardane, Emil, 2017. "Scenario generation for long run interest rate risk assessment," Journal of Econometrics, Elsevier, vol. 201(2), pages 333-347.
- Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2017.
"The Deposits Channel of Monetary Policy,"
The Quarterly Journal of Economics,
Oxford University Press, vol. 132(4), pages 1819-1876.
- Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2016. "The Deposits Channel of Monetary Policy," NBER Working Papers 22152, National Bureau of Economic Research, Inc.
- Amihud, Yakov & Stoyanov, Stoyan, 2017. "Do staggered boards harm shareholders?," Journal of Financial Economics, Elsevier, vol. 123(2), pages 432-439.
- Emily Breza & Andres Liberman, 2017. "Financial Contracting and Organizational Form: Evidence from the Regulation of Trade Credit," Journal of Finance, American Finance Association, vol. 72(1), pages 291-324, February.
2016
- Robert F. Engle, 2016. "Dynamic Conditional Beta," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(4), pages 643-667.
- Acharya, Viral V. & Mehran, Hamid & Sundaram, Rangarajan K., 2016. "Cash holdings and bank compensation," Economic Policy Review, Federal Reserve Bank of New York, issue Aug, pages 77-83.
- Gârleanu, Nicolae & Pedersen, Lasse Heje, 2016. "Dynamic portfolio choice with frictions," Journal of Economic Theory, Elsevier, vol. 165(C), pages 487-516.
- Jensen, Mads Vestergaard & Pedersen, Lasse Heje, 2016.
"Early option exercise: Never say never,"
Journal of Financial Economics,
Elsevier, vol. 121(2), pages 278-299.
- Pedersen, Lasse Heje & Vestergaard Jensen, Mads, 2015. "Early Option Exercise: Never Say Never," CEPR Discussion Papers 11019, C.E.P.R. Discussion Papers.
- Joan Farre-Mensa & Alexander Ljungqvist, 2016.
"Do Measures of Financial Constraints Measure Financial Constraints?,"
Review of Financial Studies,
Society for Financial Studies, vol. 29(2), pages 271-308.
- Farre-Mensa, Joan & Ljungqvist, Alexander P., 2015. "Do Measures of Financial Constraints Measure Financial Constraints?," CEPR Discussion Papers 10326, C.E.P.R. Discussion Papers.
- Joan Farre-Mensa & Alexander Ljungqvist, 2013. "Do Measures of Financial Constraints Measure Financial Constraints?," NBER Working Papers 19551, National Bureau of Economic Research, Inc.
- Alexander Ljungqvist & Wenlan Qian, 2016. "How Constraining Are Limits to Arbitrage?," Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 1975-2028.
- Herskovic, Bernard & Kelly, Bryan & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2016.
"The common factor in idiosyncratic volatility: Quantitative asset pricing implications,"
Journal of Financial Economics,
Elsevier, vol. 119(2), pages 249-283.
- Bernard Herskovic & Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2014. "The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications," NBER Working Papers 20076, National Bureau of Economic Research, Inc.
- Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2016.
"Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees,"
American Economic Review,
American Economic Association, vol. 106(6), pages 1278-1319, June.
- Kelly, Bryan & Lustig, Hanno & van Nieuwerburgh, Stijn, 2012. "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," CEPR Discussion Papers 9023, C.E.P.R. Discussion Papers.
- Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2011. "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," NBER Working Papers 17149, National Bureau of Economic Research, Inc.
- Stijn Van Nieuwerburgh & Hanno Lustig & Bryan Kelly, 2011. "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," 2011 Meeting Papers 1285, Society for Economic Dynamics.
- Markus K. Brunnermeier & Luis Garicano & Philip R. Lane & Marco Pagano & Ricardo Reis & Tano Santos & David Thesmar & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016.
"The Sovereign-Bank Diabolic Loop and ESBies,"
American Economic Review,
American Economic Association, vol. 106(5), pages 508-512, May.
- Markus K. Brunnermeier & Luis Garicano & Philip R. Lane & Marco Pagano & Ricardo Reis & Tano Santos & David Thesmar & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016. "The Sovereign-Bank Diabolic Loop and ESBies," CSEF Working Papers 427, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 18 Jun 2016.
- Brunnermeier, Markus K & Garicano, Luis & Lane, Philip R. & Pagano, Marco & Reis, Ricardo & Santos, Tano & Thesmar, David & van Nieuwerburgh, Stijn & Vayanos, Dimitri, 2016. "The Sovereign-Bank Diabolic Loop and ESBies," CEPR Discussion Papers 11317, C.E.P.R. Discussion Papers.
- Markus K. Brunnermeier & Luis Garicano & Philip Lane & Marco Pagano & Ricardo Reis & Tano Santos & David Thesmar & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016. "The Sovereign-Bank Diabolic Loop and ESBies," NBER Working Papers 21993, National Bureau of Economic Research, Inc.
- Thesmar, David & Brunnermeier , Markus K & Garicano , Luis & Lane, Philip R & Pagano , Marco & Reis, Ricardo & Santos , Tano & Van Nieuwerburgh , Stijn & Vayanos , Dimitri, 2016. "The Sovereign-Bank Diabolic Loop and Esbies," Les Cahiers de Recherche 1133, HEC Paris.
- Brunnermeier, Markus K. & Garicano, Luis & Lane, Philip R. & Pagano, Marco & Reis, Ricardo & Santos, Tano & Thesmar, David & Nieuwerburgh, Stijn Van & Vayanos, Dimitri, 2016. "The sovereign-bank diabolic loop and ESBies," LSE Research Online Documents on Economics 66429, London School of Economics and Political Science, LSE Library.
- Marcus K. Brunnermeier & Luis Garicano & Philip R. Lane & Marco Pagano & Ricardo Reis & Tano Santos & David Thesmar & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016. "The Sovereign-Bank Diabolic Loop and ESBies," EIEF Working Papers Series 1603, Einaudi Institute for Economics and Finance (EIEF), revised May 2016.
- Brunnermeier, Markus K & Garicano, Luis & Lane, Philip R. & Pagano, Marco & Reis, Ricardo & Santos, Tano & Thesmar, David & Van Nieuwerburgh, Stijn & Vayanos, Dimitri, 2016. "The sovereign-bank diabolic loop and ESBies," LSE Research Online Documents on Economics 86230, London School of Economics and Political Science, LSE Library.
- Markus K. Brunnermeier & Luis Garicano & Philip R. Lane & Marco Pagano & Ricardo Reis & Tano Santos & David Thesmar & Stijn Van Nieuwerburgh & Dimitri Vayanosy, 2016. "The Sovereign-Bank Diabolic Loop and ESBies," Discussion Papers 1617, Centre for Macroeconomics (CFM).
- Markus K. Brunnermeier & Luis Garicano & Philip R. Lane & Marco Pagano & Ricardo Reis & Tano Santos & David Thesmar & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016. "The Sovereign-Bank Diabolic Loop and ESBies," CEP Discussion Papers dp1414, Centre for Economic Performance, LSE.
- Brunnermeier, Markus K. & Garicano, Luis & Lane, Philip R. & Pagano, Marco & Reis, Ricardo & Santos, Tano & Thesmar, David & Van Nieuwerberg, Stijn & Vayanos, Dimitri, 2016. "The sovereign-bank diabolic loop and ESBies," LSE Research Online Documents on Economics 65863, London School of Economics and Political Science, LSE Library.
- Marcin Kacperczyk & Stijn Van Nieuwerburgh & Laura Veldkamp, 2016. "A Rational Theory of Mutual Funds' Attention Allocation," Econometrica, Econometric Society, vol. 84, pages 571-626, March.
- Elenev, Vadim & Landvoigt, Tim & Van Nieuwerburgh, Stijn, 2016.
"Phasing out the GSEs,"
Journal of Monetary Economics,
Elsevier, vol. 81(C), pages 111-132.
- Vadim Elenev & Tim Landvoigt & Stijn Van Nieuwerburgh, 2015. "Phasing Out the GSEs," NBER Working Papers 21626, National Bureau of Economic Research, Inc.
- Tim Landvoigt & Stijn Van Nieuwerburgh & Vadim Elenev, 2015. "Phasing out the GSEs," 2015 Meeting Papers 977, Society for Economic Dynamics.
- Bai, Jennie & Philippon, Thomas & Savov, Alexi, 2016.
"Have financial markets become more informative?,"
Journal of Financial Economics,
Elsevier, vol. 122(3), pages 625-654.
- Jennie Bai & Thomas Philippon & Alexi Savov, 2012. "Have financial markets become more informative?," Staff Reports 578, Federal Reserve Bank of New York.
- Jennie Bai & Thomas Philippon & Alexi Savov, 2013. "Have Financial Markets Become More Informative?," NBER Working Papers 19728, National Bureau of Economic Research, Inc.
- Dubecq, Simon & Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2016.
"Credit and liquidity in interbank rates: A quadratic approach,"
Journal of Banking & Finance,
Elsevier, vol. 68(C), pages 29-46.
- Dubecq, S. & Monfort, A. & Renne, J-P. & Roussellet, G., 2013. "Credit and Liquidity in Interbank Rates: a Quadratic Approach," Working papers 446, Banque de France.
- Liberman, Andres, 2016. "The value of a good credit reputation: Evidence from credit card renegotiations," Journal of Financial Economics, Elsevier, vol. 120(3), pages 644-660.
2015
- Robert Engle & Eric Jondeau & Michael Rockinger, 2015.
"Systemic Risk in Europe,"
Review of Finance,
European Finance Association, vol. 19(1), pages 145-190.
- Eric Jondeau & Michael Rockinger, 2014. "Systemic Risk in Europe," World Scientific Book Chapters,in: Global Credit Review, chapter 1, pages 1-6 World Scientific Publishing Co. Pte. Ltd..
- Eric Jondeau & Michael Rockinger, 2013. "Systemic Risk in Europe," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-6.
- Robert F. Engle & Eric Jondeau & Michael Rockinger, "undated". "Systemic Risk in Europe," Swiss Finance Institute Research Paper Series 12-45, Swiss Finance Institute.
- Robert Engle & Stephen Figlewski, 2015. "Modeling the Dynamics of Correlations among Implied Volatilities," Review of Finance, European Finance Association, vol. 19(3), pages 991-1018.
- Heider, Florian & Ljungqvist, Alexander, 2015.
"As certain as debt and taxes: Estimating the tax sensitivity of leverage from state tax changes,"
Journal of Financial Economics,
Elsevier, vol. 118(3), pages 684-712.
- Florian Heider & Alexander Ljungqvist, 2013. "As Certain as Debt and Taxes: Estimating the Tax Sensitivity of Leverage from State Tax Changes," NBER Chapters,in: New Perspectives on Corporate Capital Structure National Bureau of Economic Research, Inc.
- John Asker & Joan Farre-Mensa & Alexander Ljungqvist, 2015. "Corporate Investment and Stock Market Listing: A Puzzle?," Review of Financial Studies, Society for Financial Studies, vol. 28(2), pages 342-390.
- Thomas Philippon, 2015.
"Has the US Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation,"
American Economic Review,
American Economic Association, vol. 105(4), pages 1408-1438, April.
- Philippon, Thomas, 2014. "Has the U.S. Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation," CEPR Discussion Papers 9792, C.E.P.R. Discussion Papers.
- Thomas Philippon, 2012. "Has the U.S. Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation," NBER Working Papers 18077, National Bureau of Economic Research, Inc.
- Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2015.
"A Quadratic Kalman Filter,"
Journal of Econometrics,
Elsevier, vol. 187(1), pages 43-56.
- Monfort, A. & Renne, J.-P. & Roussellet, G., 2014. "A Quadratic Kalman Filter," Working papers 486, Banque de France.
- Renne, J.-P. & Rousselet, G., 2015. "Disentangling Credit and Liquidity Risks from Interbank Spreads," Rue de la Banque, Banque de France, issue 03, February..
- Yakov Amihud & Haim Mendelson, 2015. "The Pricing of Illiquidity as a Characteristic and as Risk," Multinational Finance Journal, Multinational Finance Journal, vol. 19(3), pages 149-168, September.
- Amihud, Yakov & Hameed, Allaudeen & Kang, Wenjin & Zhang, Huiping, 2015. "The illiquidity premium: International evidence," Journal of Financial Economics, Elsevier, vol. 117(2), pages 350-368.
- Yakov Amihud & Allaudeen Hameed & Wenjin Kang & Huiping Zhang, 2015. "Stock Liquidity and the Cost of Equity Capital in Global Markets," Journal of Applied Corporate Finance, Morgan Stanley, vol. 27(4), pages 68-74, December.
2014
- Engle, Robert & Mistry, Abhishek, 2014. "Priced risk and asymmetric volatility in the cross section of skewness," Journal of Econometrics, Elsevier, vol. 182(1), pages 135-144.
- Acharya, Viral & Engle, Robert & Pierret, Diane, 2014.
"Testing macroprudential stress tests: The risk of regulatory risk weights,"
Journal of Monetary Economics,
Elsevier, vol. 65(C), pages 36-53.
- Viral V. Acharya & Robert Engle & Diane Pierret, 2013. "Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights," NBER Working Papers 18968, National Bureau of Economic Research, Inc.
- Acharya, Viral V & Engle III, Robert F & Pierret, Diane, 2013. "Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights," CEPR Discussion Papers 9431, C.E.P.R. Discussion Papers.
- Acharya, Viral V & Engle III, Robert F & Pierret, Diane, 2014. "Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights," CEPR Discussion Papers 9800, C.E.P.R. Discussion Papers.
- Frazzini, Andrea & Pedersen, Lasse Heje, 2014.
"Betting against beta,"
Journal of Financial Economics,
Elsevier, vol. 111(1), pages 1-25.
- Andrea Frazzini & Lasse H. Pedersen, 2010. "Betting Against Beta," NBER Working Papers 16601, National Bureau of Economic Research, Inc.
- Andrea Frazzini & Lasse Heje Pedersen, "undated". "Betting Against Beta," Swiss Finance Institute Research Paper Series 12-17, Swiss Finance Institute.
- David Backus & Mikhail Chernov & Stanley Zin, 2014.
"Sources of Entropy in Representative Agent Models,"
Journal of Finance,
American Finance Association, vol. 69(1), pages 51-99, February.
- David Backus & Mikhail Chernov & Stanley E. Zin, 2011. "Sources of Entropy in Representative Agent Models," NBER Working Papers 17219, National Bureau of Economic Research, Inc.
- David Backus & Mikhail Chernov & Stanley Zin, 2011. "Sources of Entropy in Representative Agent Models," Working Papers 11-21, New York University, Leonard N. Stern School of Business, Department of Economics.
- Backus, David & Chernov, Mikhail & Zin, Stanley E., 2011. "Sources of entropy in representative agent models," CEPR Discussion Papers 8488, C.E.P.R. Discussion Papers.
- Yael V. Hochberg & Alexander Ljungqvist & Annette Vissing-Jørgensen, 2014. "Informational Holdup and Performance Persistence in Venture Capital," Review of Financial Studies, Society for Financial Studies, vol. 27(1), pages 102-152, January.
- Karthik Balakrishnan & Mary Brooke Billings & Bryan Kelly & Alexander Ljungqvist, 2014.
"Shaping Liquidity: On the Causal Effects of Voluntary Disclosure,"
Journal of Finance,
American Finance Association, vol. 69(5), pages 2237-2278, October.
- Karthik Balakrishnan & Mary B. Billings & Bryan T. Kelly & Alexander Ljungqvist, 2013. "Shaping Liquidity: On the Causal Effects of Voluntary Disclosure," NBER Working Papers 18984, National Bureau of Economic Research, Inc.
- Marcin Kacperczyk & Stijn Van Nieuwerburgh & Laura Veldkamp, 2014.
"Time-Varying Fund Manager Skill,"
Journal of Finance,
American Finance Association, vol. 69(4), pages 1455-1484, August.
- Kacperczyk, Marcin & van Nieuwerburgh, Stijn & Veldkamp, Laura, 2012. "Time-Varying Fund Manager Skill," CEPR Discussion Papers 9025, C.E.P.R. Discussion Papers.
- Laura Veldkamp, 2012. "Time-varying fund manager skill," 2012 Meeting Papers 68, Society for Economic Dynamics.
- Marcin Kacperczyk & Stijn Van Nieuwerburgh & Laura Veldkamp, 2011. "Time-Varying Fund Manager Skill," NBER Working Papers 17615, National Bureau of Economic Research, Inc.
- Thomas Philippon, 2014. "Efficiency and Benefit-Cost Analysis of the Financial System," The Journal of Legal Studies, University of Chicago Press, vol. 43(S2), pages 107-120.
- Agnès Bénassy-Quéré & Guillaume Roussellet, 2014.
"Fiscal sustainability in the presence of systemic banks: the case of EU countries,"
International Tax and Public Finance,
Springer;International Institute of Public Finance, vol. 21(3), pages 436-467, June.
- Agnès Bénassy-Quéré & Guillaume Roussellet, 2014. "Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU countries," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00825256, HAL.
- Agnès Bénassy-Quéré & Guillaume Roussellet, 2012. "Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries," PSE - G-MOND WORKING PAPERS hal-00962455, HAL.
- Agnes Benassy-Quere & Guillaume Roussellet, 2012. "Fiscal Sustainability in the Presence of Systemic Banks: The Case of EU Countries," CESifo Working Paper Series 3975, CESifo Group Munich.
- Agnès Bénassy-Quéré & Guillaume Roussellet, 2012. "Fiscal sustainability in the presence of systemic banks: the case of EU countries," Working Papers 2012-05, CEPII research center.
- Agnès Bénassy-Quéré & Guillaume Roussellet, 2012. "Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00755705, HAL.
- Bénassy-quéré, A. & Roussellet, A., 2013. "Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries," Working papers 428, Banque de France.
- Agnès Bénassy-Quéré & Guillaume Roussellet, 2012. "Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries," Documents de travail du Centre d'Economie de la Sorbonne 12077, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Savov, Alexi, 2014. "The price of skill: Performance evaluation by households," Journal of Financial Economics, Elsevier, vol. 112(2), pages 213-231.
2013
- Robert F. Engle & Eric Ghysels & Bumjean Sohn, 2013. "Stock Market Volatility and Macroeconomic Fundamentals," The Review of Economics and Statistics, MIT Press, vol. 95(3), pages 776-797, July.
- Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2013.
"Semiparametric Vector Mem,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 28(7), pages 1067-1086, November.
- Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2009. "Semiparametric vector MEM," Econometrics Working Papers Archive wp2009_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Clifford S. Asness & Tobias J. Moskowitz & Lasse Heje Pedersen, 2013. "Value and Momentum Everywhere," Journal of Finance, American Finance Association, vol. 68(3), pages 929-985, June.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2013.
"Dynamic Trading with Predictable Returns and Transaction Costs,"
Journal of Finance,
American Finance Association, vol. 68(6), pages 2309-2340, December.
- Nicolae B. Garleanu & Lasse H. Pedersen, 2009. "Dynamic Trading with Predictable Returns and Transaction Costs," NBER Working Papers 15205, National Bureau of Economic Research, Inc.
- Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje, 2009. "Dynamic Trading with Predictable Returns and Transaction Costs," CEPR Discussion Papers 7392, C.E.P.R. Discussion Papers.
- Francesca Cornelli & Zbigniew Kominek & Alexander Ljungqvist, 2013.
"Monitoring Managers: Does It Matter?,"
Journal of Finance,
American Finance Association, vol. 68(2), pages 431-481, April.
- Cornelli, Francesca & Kominek, Zbigniew & Ljungqvist, Alexander P., 2009. "Monitoring Managers: Does it Matter?," CEPR Discussion Papers 7571, C.E.P.R. Discussion Papers.
- Francesca Cornelli & Zbigniew Kominek & Alexander Ljungqvist, 2010. "Monitoring Managers: Does it Matter?," Working Papers 2010.30, Fondazione Eni Enrico Mattei.
- Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2013.
"The Wealth-Consumption Ratio,"
Review of Asset Pricing Studies,
Oxford University Press, vol. 3(1), pages 38-94.
- Lustig, Hanno & van Nieuwerburgh, Stijn & Verdelhan, Adrien, 2012. "The Wealth-Consumption Ratio," CEPR Discussion Papers 9022, C.E.P.R. Discussion Papers.
- Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc.
- Thomas Philippon & Ariell Reshef, 2013. "An International Look at the Growth of Modern Finance," Journal of Economic Perspectives, American Economic Association, vol. 27(2), pages 73-96, Spring.
- Thomas Philippon & Philipp Schnabl, 2013.
"Efficient Recapitalization,"
Journal of Finance,
American Finance Association, vol. 68(1), pages 1-42, February.
- Philippon, Thomas & Schnabl, Philipp, 2009. "Efficient Recapitalization," CEPR Discussion Papers 7516, C.E.P.R. Discussion Papers.
- Thomas Philippon & Philipp Schnabl, 2009. "Efficient Recapitalization," NBER Working Papers 14929, National Bureau of Economic Research, Inc.
- George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov, 2013.
"The Puzzle of Index Option Returns,"
Review of Asset Pricing Studies,
Oxford University Press, vol. 3(2), pages 229-257.
- George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov, 2011. "The Puzzle of Index Option Returns," Working Paper Series of the Department of Economics, University of Konstanz 2011-17, Department of Economics, University of Konstanz.
- George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov, 2012. "The Puzzle of Index Option Returns," Working Paper Series of the Department of Economics, University of Konstanz 2012-35, Department of Economics, University of Konstanz.
- Yakov Amihud & Ruslan Goyenko, 2013. "Mutual Fund's R-super-2 as Predictor of Performance," Review of Financial Studies, Society for Financial Studies, vol. 26(3), pages 667-694.
- Acharya, Viral V. & Amihud, Yakov & Bharath, Sreedhar T., 2013.
"Liquidity risk of corporate bond returns: conditional approach,"
Journal of Financial Economics,
Elsevier, vol. 110(2), pages 358-386.
- Viral V. Acharya & Yakov Amihud & Sreedhar T. Bharath, 2010. "Liquidity Risk of Corporate Bond Returns: A Conditional Approach," NBER Working Papers 16394, National Bureau of Economic Research, Inc.
2012
- Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2012. "Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 222-223, February.
- Viral Acharya & Robert Engle & Matthew Richardson, 2012. "Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks," American Economic Review, American Economic Association, vol. 102(3), pages 59-64, May.
- Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012.
"Global, local, and contagious investor sentiment,"
Journal of Financial Economics,
Elsevier, vol. 104(2), pages 272-287.
- Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2009. "Global, local, and contagious investor sentiment," Globalization and Monetary Policy Institute Working Paper 37, Federal Reserve Bank of Dallas.
- Baker, Malcolm & Pan, Xin & Wurgler, Jeffrey, 2012. "The effect of reference point prices on mergers and acquisitions," Journal of Financial Economics, Elsevier, vol. 106(1), pages 49-71.
- Viral V. Acharya & Hamid Mehran & Til Schuermann & Anjan V. Thakor, 2012.
"Robust capital regulation,"
Current Issues in Economics and Finance,
Federal Reserve Bank of New York, vol. 18(May).
- Viral V. Acharya & Hamid Mehran & Til Schuermann & Anjan V. Thakor, 2011. "Robust capital regulation," Staff Reports 490, Federal Reserve Bank of New York.
- Acharya, Viral V & Mehran, Hamid & Schuermann, Til & Thakor, Anjan, 2012. "Robust Capital Regulation," CEPR Discussion Papers 8792, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Nirupama Kulkarni, 2012. "What Saved the Indian Banking System: State Ownership or State Guarantees?," The World Economy, Wiley Blackwell, vol. 35(1), pages 19-31, January.
- Viral V. Acharya & Denis Gromb & Tanju Yorulmazer, 2012.
"Imperfect Competition in the Interbank Market for Liquidity as a Rationale for Central Banking,"
American Economic Journal: Macroeconomics,
American Economic Association, vol. 4(2), pages 184-217, April.
- Acharya, Viral V & Gromb, Denis & Yorulmazer, Tanju, 2008. "Imperfect Competition in the Inter-Bank Market for Liquidity as a Rationale for Central Banking," CEPR Discussion Papers 6984, C.E.P.R. Discussion Papers.
- AcharYa, V. V. & Drechsler, I. & Schnabl, P., 2012. "A tale of two overhangs:the nexus of fi nancial sector and sovereign credit risks," Financial Stability Review, Banque de France, issue 16, pages 51-56, April.
- Moskowitz, Tobias J. & Ooi, Yao Hua & Pedersen, Lasse Heje, 2012. "Time series momentum," Journal of Financial Economics, Elsevier, vol. 104(2), pages 228-250.
- Bryan Kelly & Alexander Ljungqvist, 2012.
"Testing Asymmetric-Information Asset Pricing Models,"
Review of Financial Studies,
Society for Financial Studies, vol. 25(5), pages 1366-1413.
- Kelly, Bryan & Ljungqvist, Alexander P., 2009. "Testing Asymmetric-Information Asset Pricing Models," CEPR Discussion Papers 7180, C.E.P.R. Discussion Papers.
- Stijn Van Nieuwerburgh, 2012. "The Research Agenda: Stijn Van Nieuwerburgh on Housing and the Macroeconomy," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 13(2), April.
- Thomas Philippon & Vasiliki Skreta, 2012.
"Optimal Interventions in Markets with Adverse Selection,"
American Economic Review,
American Economic Association, vol. 102(1), pages 1-28, February.
- Vasiliki Skreta & Thomas Philippon, 2010. "Optimal Interventions in Markets with Adverse Selection," 2010 Meeting Papers 1333, Society for Economic Dynamics.
- Philippon, Thomas & Skreta, Vasiliki, 2010. "Optimal Interventions in Markets with Adverse Selection," CEPR Discussion Papers 7737, C.E.P.R. Discussion Papers.
- Thomas Philippon & Vasiliki Skreta, 2010. "Optimal Interventions in Markets with Adverse Selection," NBER Working Papers 15785, National Bureau of Economic Research, Inc.
- Thomas Philippon & Vasiliki Skreta, 2011. "Optimal Interventions in Markets with Adverse Selection," Working Papers 11-11, New York University, Leonard N. Stern School of Business, Department of Economics.
- Thomas Philippon & Ariell Reshef, 2012. "Wages and Human Capital in the U.S. Finance Industry: 1909--2006," The Quarterly Journal of Economics, Oxford University Press, vol. 127(4), pages 1551-1609.
2011
- Robert F. Engle, 2011. "Long-Term Skewness and Systemic Risk," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(3), pages 437-468, Summer.
- Colacito, Riccardo & Engle, Robert F. & Ghysels, Eric, 2011. "A component model for dynamic correlations," Journal of Econometrics, Elsevier, vol. 164(1), pages 45-59, September.
- José Gonzalo Rangel & Robert F. Engle, 2011.
"The Factor--Spline--GARCH Model for High and Low Frequency Correlations,"
Journal of Business & Economic Statistics,
Taylor & Francis Journals, vol. 30(1), pages 109-124, May.
- Jose Gonzalo Rangel & Robert F. Engle, 2009. "The Factor-Spline-GARCH Model for High and Low Frequency Correlations," Working Papers 2009-03, Banco de México.
- Robert Engle & Bryan Kelly, 2011. "Dynamic Equicorrelation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 212-228, July.
- Viral V. Acharya & Douglas Gale & Tanju Yorulmazer, 2011.
"Rollover Risk and Market Freezes,"
Journal of Finance,
American Finance Association, vol. 66(4), pages 1177-1209, August.
- Acharya, Viral V & Gale, Douglas M & Yorulmazer, Tanju, 2009. "Rollover Risk and Market Freezes," CEPR Discussion Papers 7122, C.E.P.R. Discussion Papers.
- Acharya, Viral & Gale, Douglas & Yorulmazer, Tanju, 2010. "Rollover Risk and Market Freezes," Working Papers 11-11, University of Pennsylvania, Wharton School, Weiss Center.
- Viral V. Acharya & Douglas Gale & Tanju Yorulmazer, 2010. "Rollover Risk and Market Freezes," NBER Working Papers 15674, National Bureau of Economic Research, Inc.
- Viral V. Acharya & Stewart C. Myers & Raghuram G. Rajan, 2011.
"The Internal Governance of Firms,"
Journal of Finance,
American Finance Association, vol. 66(3), pages 689-720, June.
- Acharya, Viral V & Myers, Stewart C & Rajan, Raghuram G, 2009. "The Internal Governance of Firms," CEPR Discussion Papers 7210, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Stewart C. Myers & Raghuram Rajan, 2009. "The Internal Governance of Firms," NBER Working Papers 15568, National Bureau of Economic Research, Inc.
- Viral V. Acharya & S. Viswanathan, 2011.
"Leverage, Moral Hazard, and Liquidity,"
Journal of Finance,
American Finance Association, vol. 66(1), pages 99-138, February.
- Viral V. Acharya & S. Viswanathan, 2010. "Leverage, Moral Hazard and Liquidity," NBER Working Papers 15837, National Bureau of Economic Research, Inc.
- Viral V. Acharya & Jean Imbs & Jason Sturgess, 2011.
"Finance and Efficiency: Do Bank Branching Regulations Matter?,"
Review of Finance,
European Finance Association, vol. 15(1), pages 135-172.
- Acharya, Viral V & Imbs, Jean & Sturgess, Jason, 2007. "Finance and Efficiency: Do Bank Branching Regulations Matter?," CEPR Discussion Papers 6029, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Jean Imbs & Jason Sturgess, 2006. "Finance and Efficiency: Do Bank Branching Regulations Matter?," Swiss Finance Institute Research Paper Series 06-36, Swiss Finance Institute.
- Acharya, Viral V & Imbs, Jean & Sturgess, Jason, 2007. "Finance and Efficiency: Do Bank Branching Regulations Matter?," CEPR Discussion Papers 6202, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Thomas Cooley & Matthew Richardson & Richard Sylla & Ingo Walter, 2011. "The Dodd‐Frank Wall Street Reform and Consumer Protection Act: Accomplishments and Limitations," Journal of Applied Corporate Finance, Morgan Stanley, vol. 23(1), pages 43-56, January.
- Viral V. Acharya & Peter DeMarzo & Ilan Kremer, 2011.
"Endogenous Information Flows and the Clustering of Announcements,"
American Economic Review,
American Economic Association, vol. 101(7), pages 2955-2979, December.
- Viral V. Acharya & Peter M. DeMarzo & Ilan Kremer, 2010. "Endogenous Information Flows and the Clustering of Announcements," NBER Working Papers 16485, National Bureau of Economic Research, Inc.
- Acharya, Viral V & DeMarzo, Peter & Kremer, Ilan, 2011. "Endogenous Information Flows and the Clustering of Announcements," CEPR Discussion Papers 8680, C.E.P.R. Discussion Papers.
- Acharya, Viral V & DeMarzo, Peter & Kremer, Ilan, 2008. "Endogenous Information Flows and the Clustering of Announcements," CEPR Discussion Papers 6985, C.E.P.R. Discussion Papers.
- Acharya, Viral V. & Amihud, Yakov & Litov, Lubomir, 2011.
"Creditor rights and corporate risk-taking,"
Journal of Financial Economics,
Elsevier, vol. 102(1), pages 150-166, October.
- Viral V. Acharya & Yakov Amihud & Lubomir Litov, 2009. "Creditor rights and corporate risk-taking," NBER Working Papers 15569, National Bureau of Economic Research, Inc.
- Acharya, Viral V & Amihud, Yakov & Litov, Lubomir P., 2008. "Creditor Rights and Corporate Risk-taking," CEPR Discussion Papers 6697, C.E.P.R. Discussion Papers.
- Acharya, Viral V. & Sundaram, Rangarajan K. & John, Kose, 2011.
"Cross-country variations in capital structures: The role of bankruptcy codes,"
Journal of Financial Intermediation,
Elsevier, vol. 20(1), pages 25-54, January.
- Acharya, Viral V & John, Kose & Sundaram, Rangarajan K, 2005. "Cross-Country Variations in Capital Structures: The Role of Bankruptcy Codes," CEPR Discussion Papers 4916, C.E.P.R. Discussion Papers.
- Acharya, Viral V. & Skeie, David, 2011.
"A model of liquidity hoarding and term premia in inter-bank markets,"
Journal of Monetary Economics,
Elsevier, vol. 58(5), pages 436-447.
- Viral V. Acharya & David R. Skeie, 2011. "A model of liquidity hoarding and term premia in inter-bank markets," Staff Reports 498, Federal Reserve Bank of New York.
- Acharya, Viral V & Skeie, David, 2011. "A Model of Liquidity Hoarding and Term Premia in Inter-Bank Markets," CEPR Discussion Papers 8705, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Hyun Song Shin & Tanju Yorulmazer, 2011.
"Crisis Resolution and Bank Liquidity,"
Review of Financial Studies,
Society for Financial Studies, vol. 24(6), pages 2166-2205.
- Viral V. Acharya & Hyun Song Shin & Tanju Yorulmazer, 2009. "Crisis Resolution and Bank Liquidity," NBER Working Papers 15567, National Bureau of Economic Research, Inc.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2011.
"How Sovereign Is Sovereign Credit Risk?,"
American Economic Journal: Macroeconomics,
American Economic Association, vol. 3(2), pages 75-103, April.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2007. "How Sovereign is Sovereign Credit Risk?," NBER Working Papers 13658, National Bureau of Economic Research, Inc.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2011.
"Margin-based Asset Pricing and Deviations from the Law of One Price,"
Review of Financial Studies,
Society for Financial Studies, vol. 24(6), pages 1980-2022.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2011. "Margin-Based Asset Pricing and Deviations from the Law of One Price," NBER Working Papers 16777, National Bureau of Economic Research, Inc.
- Lustig, Hanno & Syverson, Chad & Van Nieuwerburgh, Stijn, 2011.
"Technological change and the growing inequality in managerial compensation,"
Journal of Financial Economics,
Elsevier, vol. 99(3), pages 601-627, March.
- Hanno Lustig & Chad Syverson & Stijn Van Nieuwerburgh, 2009. "Technological Change and the Growing Inequality in Managerial Compensation," NBER Working Papers 14661, National Bureau of Economic Research, Inc.
- John Ameriks & Andrew Caplin & Steven Laufer & Stijn Van Nieuwerburgh, 2011. "The Joy of Giving or Assisted Living? Using Strategic Surveys to Separate Public Care Aversion from Bequest Motives," Journal of Finance, American Finance Association, vol. 66(2), pages 519-561, April.
- Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2011.
"Predictability of Returns and Cash Flows,"
Annual Review of Financial Economics,
Annual Reviews, vol. 3(1), pages 467-491, December.
- Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2010. "Predictability of Returns and Cash Flows," NBER Working Papers 16648, National Bureau of Economic Research, Inc.
- Holger M. Mueller & Thomas Philippon, 2011. "Family Firms and Labor Relations," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 218-245, April.
- Alexi Savov, 2011. "Asset Pricing with Garbage," Journal of Finance, American Finance Association, vol. 66(1), pages 177-201, February.
2010
- Robert F. Engle, 2010. "Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(2), pages 158-159, spring.
- Bali, Turan G. & Engle, Robert F., 2010. "The intertemporal capital asset pricing model with dynamic conditional correlations," Journal of Monetary Economics, Elsevier, vol. 57(4), pages 377-390, May.
- Baker, Malcolm & Litov, Lubomir & Wachter, Jessica A. & Wurgler, Jeffrey, 2010.
"Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements,"
Journal of Financial and Quantitative Analysis,
Cambridge University Press, vol. 45(05), pages 1111-1131, October.
- Malcolm Baker & Lubomir Litov & Jessica A. Wachter & Jeffrey Wurgler, 2004. "Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements," NBER Working Papers 10685, National Bureau of Economic Research, Inc.
- Viral V Acharya & Philipp Schnabl, 2010. "Do Global Banks Spread Global Imbalances? Asset-Backed Commercial Paper during the Financial Crisis of 2007–09," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 58(1), pages 37-73, August.
- Acharya, Viral, 2010. "Comment on "The Macroeconomics of Money Market Freezes" by Max Bruche and Javier Suarez," Journal of Monetary Economics, Elsevier, vol. 57(1), pages 62-63, January.
- Viral V. Acharya & João A. C. Santos & Tanju Yorulmazer, 2010. "Systemic risk and deposit insurance premiums," Economic Policy Review, Federal Reserve Bank of New York, issue Aug, pages 89-99.
- Viral V. Acharya & Paolo F. Volpin, 2010.
"Corporate Governance Externalities,"
Review of Finance,
European Finance Association, vol. 14(1), pages 1-33.
- Acharya, Viral V & Volpin, Paolo, 2008. "Corporate Governance Externalities," CEPR Discussion Papers 6627, C.E.P.R. Discussion Papers.
- Acharya, Viral V. & Johnson, Timothy C., 2010.
"More insiders, more insider trading: Evidence from private-equity buyouts,"
Journal of Financial Economics,
Elsevier, vol. 98(3), pages 500-523, December.
- Acharya, Viral V & Johnson, Tim, 2007. "More Insiders, More Insider Trading: Evidence from Private Equity Buyouts," CEPR Discussion Papers 6622, C.E.P.R. Discussion Papers.
- Bryan R. Routledge & Stanley E. Zin, 2010.
"Generalized Disappointment Aversion and Asset Prices,"
Journal of Finance,
American Finance Association, vol. 65(4), pages 1303-1332, August.
- Bryan R. Routledge & Stanley E. Zin, 2003. "Generalized Disappointment Aversion and Asset Prices," NBER Working Papers 10107, National Bureau of Economic Research, Inc.
- Yael V. Hochberg & Alexander Ljungqvist & Yang Lu, 2010. "Networking as a Barrier to Entry and the Competitive Supply of Venture Capital," Journal of Finance, American Finance Association, vol. 65(3), pages 829-859, June.
- John Asker & Alexander Ljungqvist, 2010. "Competition and the Structure of Vertical Relationships in Capital Markets," Journal of Political Economy, University of Chicago Press, vol. 118(3), pages 599-647, June.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2010.
"How Much Does Household Collateral Constrain Regional Risk Sharing?,"
Review of Economic Dynamics,
Elsevier for the Society for Economic Dynamics, vol. 13(2), pages 265-294, April.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2009. "Code and data files for "How Much Does Housing Collateral Constrain Regional Risk Sharing?"," Computer Codes 06-187, Review of Economic Dynamics.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2004. "How Much Does Household Collateral Constrain Regional Risk Sharing?," NBER Working Papers 10505, National Bureau of Economic Research, Inc.
- Ralph S. J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2010. "Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk," American Economic Review, American Economic Association, vol. 100(2), pages 552-556, May.
- Stijn Van Nieuwerburgh & Pierre-Olivier Weill, 2010.
"Why Has House Price Dispersion Gone Up?,"
Review of Economic Studies,
Oxford University Press, vol. 77(4), pages 1567-1606.
- Stijn Van Nieuwerburgh & Pierre-Olivier Weill, 2006. "Why Has House Price Dispersion Gone Up?," NBER Working Papers 12538, National Bureau of Economic Research, Inc.
- Stijn Van Nieuwerburgh & Laura Veldkamp, 2010.
"Information Acquisition and Under-Diversification,"
Review of Economic Studies,
Oxford University Press, vol. 77(2), pages 779-805.
- Stijn Van Nieuwerburgh & Laura Veldkamp, 2008. "Information Acquisition and Under-Diversification," NBER Working Papers 13904, National Bureau of Economic Research, Inc.
- Laura Veldkamp & Stijn Van Nieuwerburgh, 2008. "Information Acquisition and Under-Diversification," Working Papers 08-21, New York University, Leonard N. Stern School of Business, Department of Economics.
- Thomas Philippon, 2010. "Financiers versus Engineers: Should the Financial Sector Be Taxed or Subsidized?," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(3), pages 158-182, July.
- Thomas Philippon, 2010. "Debt Overhang and Recapitalization in Closed and Open Economies," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 58(1), pages 157-178, August.
- Carpenter, Jennifer N. & Stanton, Richard & Wallace, Nancy, 2010. "Optimal exercise of executive stock options and implications for firm cost," Journal of Financial Economics, Elsevier, vol. 98(2), pages 315-337, November.
- Amihud, Yakov & Hurvich, Clifford M. & Wang, Yi, 2010. "Predictive regression with order-p autoregressive predictors," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 513-525, June.
2009
- Malcolm Baker & C. Fritz Foley & Jeffrey Wurgler, 2009. "Multinationals as Arbitrageurs: The Effect of Stock Market Valuations on Foreign Direct Investment," Review of Financial Studies, Society for Financial Studies, vol. 22(1), pages 337-369, January.
- Malcolm Baker & Robin Greenwood & Jeffrey Wurgler, 2009.
"Catering through Nominal Share Prices,"
Journal of Finance,
American Finance Association, vol. 64(6), pages 2559-2590, December.
- Malcolm Baker & Robin Greenwood & Jeffrey Wurgler, 2008. "Catering Through Nominal Share Prices," NBER Working Papers 13762, National Bureau of Economic Research, Inc.
- Viral V. Acharya & Alberto Bisin, 2009. "Managerial hedging, equity ownership, and firm value," RAND Journal of Economics, RAND Corporation, vol. 40(1), pages 47-77.
- Viral V. Acharya & Conor Kehoe & Michael Reyner, 2009. "Private Equity vs. PLC Boards in the U.K.: A Comparison of Practices and Effectiveness," Journal of Applied Corporate Finance, Morgan Stanley, vol. 21(1), pages 45-56.
- Acharya, Viral V., 2009.
"A theory of systemic risk and design of prudential bank regulation,"
Journal of Financial Stability,
Elsevier, vol. 5(3), pages 224-255, September.
- Acharya, Viral V, 2009. "A Theory of Systemic Risk and Design of Prudential Bank Regulation," CEPR Discussion Papers 7164, C.E.P.R. Discussion Papers.
- Richardson Matthew & Acharya Viral V, 2009. "Government Guarantees: Why the Genie Needs to Be Put Back in the Bottle," The Economists' Voice, De Gruyter, vol. 6(11), pages 1-5, November.
- Viral V. Acharya & Krishnamurthy V. Subramanian, 2009.
"Bankruptcy Codes and Innovation,"
Review of Financial Studies,
Society for Financial Studies, vol. 22(12), pages 4949-4988, December.
- Acharya, Viral V & Subramanian, Krishnamurthy, 2007. "Bankruptcy Codes and Innovation," CEPR Discussion Papers 6307, C.E.P.R. Discussion Papers.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2009.
"Market Liquidity and Funding Liquidity,"
Review of Financial Studies,
Society for Financial Studies, vol. 22(6), pages 2201-2238, June.
- Brunnermeier, Markus K. & Pedersen, Lasse Heje, 2007. "Market liquidity and funding liquidity," LSE Research Online Documents on Economics 24478, London School of Economics and Political Science, LSE Library.
- Lasse Heje Pederson & Markus K Brunnermeier, 2007. "Market Liquidity and Funding Liquidity," FMG Discussion Papers dp580, Financial Markets Group.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2007. "Market Liquidity and Funding Liquidity," NBER Working Papers 12939, National Bureau of Economic Research, Inc.
- Brunnermeier, Markus K & Pedersen, Lasse Heje, 2007. "Market Liquidity and Funding Liquidity," CEPR Discussion Papers 6179, C.E.P.R. Discussion Papers.
- Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2009.
"Demand-Based Option Pricing,"
Review of Financial Studies,
Society for Financial Studies, vol. 22(10), pages 4259-4299, October.
- Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2005. "Demand-Based Option Pricing," NBER Working Papers 11843, National Bureau of Economic Research, Inc.
- Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje & Poteshman, Allen M, 2005. "Demand-Based Option Pricing," CEPR Discussion Papers 5420, C.E.P.R. Discussion Papers.
- Lasse Pedersen, 2009.
"When Everyone Runs for the Exit,"
International Journal of Central Banking,
International Journal of Central Banking, vol. 5(4), pages 177-199, December.
- Lasse Heje Pedersen, 2009. "When Everyone Runs for the Exit," NBER Working Papers 15297, National Bureau of Economic Research, Inc.
- Pedersen, Lasse Heje, 2009. "When Everyone Runs for the Exit," CEPR Discussion Papers 7436, C.E.P.R. Discussion Papers.
- Bryan Routledge & Stanley Zin, 2009.
"Model Uncertainty and Liquidity,"
Review of Economic Dynamics,
Elsevier for the Society for Economic Dynamics, vol. 12(4), pages 543-566, October.
- Bryan R. Routledge & Stanley E. Zin, 2000. "Model Uncertainty and Liquidity," Econometric Society World Congress 2000 Contributed Papers 1617, Econometric Society.
- Bryan R. Routledge & Stanley E. Zin, 2001. "Model Uncertainty and Liquidity," NBER Working Papers 8683, National Bureau of Economic Research, Inc.
- Bryan Routledge & Stanley Zin, 2009. "Code files for "Model Uncertainty and Liquidity"," Computer Codes 08-143, Review of Economic Dynamics.
- Bryan R. Routledge, Stanley E. Zin, 2000. "Model Uncertainity And Liquidity," Computing in Economics and Finance 2000 368, Society for Computational Economics.
- Bryan Routledge & Stanley Zin, "undated". "Model Uncertainty and Liquidity," GSIA Working Papers 2001-E17, Carnegie Mellon University, Tepper School of Business.
- Alexander Ljungqvist & Christopher Malloy & Felicia Marston, 2009. "Rewriting History," Journal of Finance, American Finance Association, vol. 64(4), pages 1935-1960, August.
- Alexander Ljungqvist & Felicia Marston & William J. Wilhelm, 2009. "Scaling the Hierarchy: How and Why Investment Banks Compete for Syndicate Co-management Appointments," Review of Financial Studies, Society for Financial Studies, vol. 22(10), pages 3977-4007, October.
- Stijn Van Nieuwerburgh & Laura Veldkamp, 2009.
"Information Immobility and the Home Bias Puzzle,"
Journal of Finance,
American Finance Association, vol. 64(3), pages 1187-1215, June.
- Laura Veldkamp & Stijn Van Nieuwerburgh, 2005. "Information Immobility and the Home Bias Puzzle," 2005 Meeting Papers 78, Society for Economic Dynamics.
- Laura Veldkamp & Stijn Van Nieuwerburgh, 2004. "Information Immobility and the Home Bias Puzzle," Working Papers 04-32, New York University, Leonard N. Stern School of Business, Department of Economics.
- Stijn Van Nieuwerburgh & Laura Veldkamp, 2007. "Information Immobility and the Home Bias Puzzle," NBER Working Papers 13366, National Bureau of Economic Research, Inc.
- Koijen, Ralph S.J. & Hemert, Otto Van & Nieuwerburgh, Stijn Van, 2009.
"Mortgage timing,"
Journal of Financial Economics,
Elsevier, vol. 93(2), pages 292-324, August.
- Ralph S.J. Koijen & Otto Van Hemert & Stijn Van Nieuwerburgh, 2007. "Mortgage Timing," NBER Working Papers 13361, National Bureau of Economic Research, Inc.
- Simi Kedia & Thomas Philippon, 2009.
"The Economics of Fraudulent Accounting,"
Review of Financial Studies,
Society for Financial Studies, vol. 22(6), pages 2169-2199, June.
- Simi Kedia & Thomas Philippon, 2005. "The Economics of Fraudulent Accounting," NBER Working Papers 11573, National Bureau of Economic Research, Inc.
- Thomas Philippon, 2009.
"The Bond Market's q,"
The Quarterly Journal of Economics,
Oxford University Press, vol. 124(3), pages 1011-1056.
- Thomas Philippon, 2006. "The Bond Market's q," NBER Working Papers 12462, National Bureau of Economic Research, Inc.
- Yakov Amihud & Clifford M. Hurvich & Yi Wang, 2009. "Multiple-Predictor Regressions: Hypothesis Testing," Review of Financial Studies, Society for Financial Studies, vol. 22(1), pages 413-434, January.
2008
- Giovanni Barone-Adesi & Robert F. Engle & Loriano Mancini, 2008. "A GARCH Option Pricing Model with Filtered Historical Simulation," Review of Financial Studies, Society for Financial Studies, vol. 21(3), pages 1223-1258, May.
- Robert F. Engle & Jose Gonzalo Rangel, 2008. "The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes," Review of Financial Studies, Society for Financial Studies, vol. 21(3), pages 1187-1222, May.
- David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2008.
"Time-Varying Arrival Rates of Informed and Uninformed Trades,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 6(2), pages 171-207, Spring.
- David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2002. "Time-Varying Arrival Rates of Informed and Uninformed Trades," Finance 0207017, EconWPA.
- Viral V. Acharya & Tanju Yorulmazer, 2008. "Information Contagion and Bank Herding," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(1), pages 215-231, February.
- Viral V. Acharya & Tanju Yorulmazer, 2008.
"Cash-in-the-Market Pricing and Optimal Resolution of Bank Failures,"
Review of Financial Studies,
Society for Financial Studies, vol. 21(6), pages 2705-2742, November.
- Viral Acharya & Tanju Yorulmazer, 2007. "Cash-in-the-market pricing and optimal resolution of bank failures," Bank of England working papers 328, Bank of England.
- Thierry Post & Martijn J. van den Assem & Guido Baltussen & Richard H. Thaler, 2008. "Deal or No Deal? Decision Making under Risk in a Large-Payoff Game Show," American Economic Review, American Economic Association, vol. 98(1), pages 38-71, March.
- Martin Lettau & Stijn Van Nieuwerburgh, 2008.
"Reconciling the Return Predictability Evidence,"
Review of Financial Studies,
Society for Financial Studies, vol. 21(4), pages 1607-1652, July.
- Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," 2006 Meeting Papers 29, Society for Economic Dynamics.
- Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," NBER Working Papers 12109, National Bureau of Economic Research, Inc.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2008.
"The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street,"
Review of Financial Studies,
Society for Financial Studies, vol. 21(5), pages 2097-2137, September.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2005. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street," NBER Working Papers 11564, National Bureau of Economic Research, Inc.
- Heitor Almeida & Thomas Philippon, 2008. "Estimating Risk-Adjusted Costs of Financial Distress," Journal of Applied Corporate Finance, Morgan Stanley, vol. 20(4), pages 105-109.
- Yakov Amihud & Haim Mendelson, 2008.
"Liquidity, the Value of the Firm, and Corporate Finance,"
Journal of Applied Corporate Finance,
Morgan Stanley, vol. 20(2), pages 32-45.
- Yakov Amihud & Haim Mendelson, 2012. "Liquidity, the Value of the Firm, and Corporate Finance," Journal of Applied Corporate Finance, Morgan Stanley, vol. 24(1), pages 17-32, March.
2007
- Malcolm Baker & Jeffrey Wurgler, 2007.
"Investor Sentiment in the Stock Market,"
Journal of Economic Perspectives,
American Economic Association, vol. 21(2), pages 129-152, Spring.
- Malcolm Baker & Jeffrey Wurgler, 2007. "Investor Sentiment in the Stock Market," NBER Working Papers 13189, National Bureau of Economic Research, Inc.
- Malcolm Baker & Stefan Nagel & Jeffrey Wurgler, 2007.
"The Effect of Dividends on Consumption,"
Brookings Papers on Economic Activity,
Economic Studies Program, The Brookings Institution, vol. 38(1), pages 231-292.
- Malcolm Baker & Stefan Nagel & Jeffrey Wurgler, 2006. "The Effect of Dividends on Consumption," NBER Working Papers 12288, National Bureau of Economic Research, Inc.
- Acharya, Viral V. & Bharath, Sreedhar T. & Srinivasan, Anand, 2007. "Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries," Journal of Financial Economics, Elsevier, vol. 85(3), pages 787-821, September.
- Acharya, Viral V. & Johnson, Timothy C., 2007.
"Insider trading in credit derivatives,"
Journal of Financial Economics,
Elsevier, vol. 84(1), pages 110-141, April.
- Acharya, Viral V & Johnson, Tim, 2005. "Insider Trading in Credit Derivatives," CEPR Discussion Papers 5180, C.E.P.R. Discussion Papers.
- Acharya, Viral V. & Yorulmazer, Tanju, 2007.
"Too many to fail--An analysis of time-inconsistency in bank closure policies,"
Journal of Financial Intermediation,
Elsevier, vol. 16(1), pages 1-31, January.
- Acharya, Viral V & Yorulmazer, Tanju, 2004. "Too Many to Fail - An Analysis of Time Inconsistency in Bank Closure Policies," CEPR Discussion Papers 4778, C.E.P.R. Discussion Papers.
- Viral Acharya & Tanju Yorulmazer, 2007. "Too many to fail - an analysis of time-inconsistency in bank closure policies," Bank of England working papers 319, Bank of England.
- Acharya, Viral V. & Almeida, Heitor & Campello, Murillo, 2007.
"Is cash negative debt? A hedging perspective on corporate financial policies,"
Journal of Financial Intermediation,
Elsevier, vol. 16(4), pages 515-554, October.
- Viral V. Acharya & Heitor Almeida & Murillo Campello, 2005. "Is Cash Negative Debt? A Hedging Perspective on Corporate Financial Policies," NBER Working Papers 11391, National Bureau of Economic Research, Inc.
- Acharya, Viral V & Almeida, Heitor & Campello, Murillo, 2005. "Is Cash Negative Debt? A Hedging Perspective on Corporate Financial Policies," CEPR Discussion Papers 4886, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Julian Franks & Henri Servaes, 2007. "Private Equity: Boom and Bust?," Journal of Applied Corporate Finance, Morgan Stanley, vol. 19(4), pages 44-53.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2007.
"Liquidity and Risk Management,"
American Economic Review,
American Economic Association, vol. 97(2), pages 193-197, May.
- Nicolae B. Garleanu & Lasse H. Pedersen, 2007. "Liquidity and Risk Management," NBER Working Papers 12887, National Bureau of Economic Research, Inc.
- Darrell Duffie & Nicolae Gârleanu & Lasse Heje Pedersen, 2007.
"Valuation in Over-the-Counter Markets,"
Review of Financial Studies,
Society for Financial Studies, vol. 20(6), pages 1865-1900, November.
- Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2006. "Valuation in Over-the-Counter Markets," NBER Working Papers 12020, National Bureau of Economic Research, Inc.
- Duffie, Darrell & Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje, 2006. "Valuation in Over-the-Counter Markets," CEPR Discussion Papers 5491, C.E.P.R. Discussion Papers.
- Lasse Heje Pedersen & Mark Mitchell & Todd Pulvino, 2007.
"Slow Moving Capital,"
American Economic Review,
American Economic Association, vol. 97(2), pages 215-220, May.
- Mitchell, Mark & Pedersen, Lasse Heje & Pulvino, Todd, 2007. "Slow Moving Capital," CEPR Discussion Papers 6117, C.E.P.R. Discussion Papers.
- Mark Mitchell & Lasse Heje Pedersen & Todd Pulvino, 2007. "Slow Moving Capital," NBER Working Papers 12877, National Bureau of Economic Research, Inc.
- Michael F. Gallmeyer & Burton Hollifield & Francisco J. Palomino & Stanley E. Zin, 2007.
"Arbitrage-free bond pricing with dynamic macroeconomic models,"
Review,
Federal Reserve Bank of St. Louis, issue Jul, pages 305-326.
- Michael F. Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley E. Zin, 2007. "Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models," NBER Working Papers 13245, National Bureau of Economic Research, Inc.
- Ljungqvist, Alexander & Marston, Felicia & Starks, Laura T. & Wei, Kelsey D. & Yan, Hong, 2007.
"Conflicts of interest in sell-side research and the moderating role of institutional investors,"
Journal of Financial Economics,
Elsevier, vol. 85(2), pages 420-456, August.
- Ljungqvist, Alexander P. & Marston, Felicia & Starks, Laura T & Wei, Kelsey D. & Yan, Hong, 2005. "Conflicts of Interest in Sell-Side Research and the Moderating Role of Institutional Investors," CEPR Discussion Papers 5001, C.E.P.R. Discussion Papers.
- Gilles Chemla & Michel A. Habib & Alexander Ljungqvist, 2007.
"An Analysis of Shareholder Agreements,"
Journal of the European Economic Association,
MIT Press, vol. 5(1), pages 93-121, March.
- Chemla, Gilles & Habib, Michel Antoine & Ljungqvist, Alexander P., 2002. "An Analysis of Shareholder Agreements," CEPR Discussion Papers 3457, C.E.P.R. Discussion Papers.
- Yael V. Hochberg & Alexander Ljungqvist & Yang Lu, 2007. "Whom You Know Matters: Venture Capital Networks and Investment Performance," Journal of Finance, American Finance Association, vol. 62(1), pages 251-301, February.
- Heitor Almeida & Thomas Philippon, 2007.
"The Risk-Adjusted Cost of Financial Distress,"
Journal of Finance,
American Finance Association, vol. 62(6), pages 2557-2586, December.
- Heitor Almeida & Thomas Philippon, 2005. "The Risk-Adjusted Cost of Financial Distress," NBER Working Papers 11685, National Bureau of Economic Research, Inc.
- Francesco Franco & Thomas Philippon, 2007.
"Firms and Aggregate Dynamics,"
The Review of Economics and Statistics,
MIT Press, vol. 89(4), pages 587-600, November.
- Thomas Philippon & Francesco Franco, 2005. "Firms and Aggregate Dynamics," 2005 Meeting Papers 246, Society for Economic Dynamics.
2006
- Engle, Robert F. & Gallo, Giampiero M., 2006.
"A multiple indicators model for volatility using intra-daily data,"
Journal of Econometrics,
Elsevier, vol. 131(1-2), pages 3-27.
- Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model for Volatility Using Intra-Daily Data," NBER Working Papers 10117, National Bureau of Economic Research, Inc.
- Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model For Volatility Using Intra-Daily Data," Econometrics Working Papers Archive wp2003_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Diebold, F.X. & Engle, R.F. & Favero, C. & Gallo, G.M. & Schorfheide, F., 2006. "The econometrics of macroeconomics, finance, and the interface," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 1-2.
- Engle, Robert F. & Marcucci, Juri, 2006. "A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones," Journal of Econometrics, Elsevier, vol. 132(1), pages 7-42, May.
- Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006.
"Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 4(4), pages 537-572.
- Tom Doan, "undated". "RATS program to estimate various forms of DCC GARCH models," Statistical Software Components RTZ00174, Boston College Department of Economics.
- Cappiello, Lorenzo & Engle, Robert F. & Sheppard, Kevin, 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series 204, European Central Bank.
- Engle, Robert & Colacito, Riccardo, 2006. "Testing and Valuing Dynamic Correlations for Asset Allocation," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 238-253, April.
- Malcolm Baker & Jeffrey Wurgler, 2006.
"Investor Sentiment and the Cross-Section of Stock Returns,"
Journal of Finance,
American Finance Association, vol. 61(4), pages 1645-1680, August.
- Malcolm Baker & Jeffrey Wurgler, 2004. "Investor Sentiment and the Cross-Section of Stock Returns," NBER Working Papers 10449, National Bureau of Economic Research, Inc.
- Malcolm Baker & Ryan Taliaferro & Jeffrey Wurgler *, 2006. "Predicting Returns with Managerial Decision Variables: Is There a Small-Sample Bias?," Journal of Finance, American Finance Association, vol. 61(4), pages 1711-1730, August.
- Viral V. Acharya & Iftekhar Hasan & Anthony Saunders, 2006.
"Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolios,"
The Journal of Business,
University of Chicago Press, vol. 79(3), pages 1355-1412, May.
- Iftekhar Hasan & Anthony Saunders & Viral V. Acharya, 2002. "Should banks be diversified? Evidence from individual bank loan portfolios," BIS Working Papers 118, Bank for International Settlements.
- Viral Acharya & Jing-zhi Huang & Marti Subrahmanyam & Rangarajan Sundaram, 2006.
"When does Strategic Debt-service Matter?,"
Economic Theory,
Springer;Society for the Advancement of Economic Theory (SAET), vol. 29(2), pages 363-378, October.
- Acharya, Viral V & Huang, Jing-Zhi & Subrahmanyam, Marti G. & Sundaram, Rangarajan K, 2002. "When Does Strategic Debt Service Matter?," CEPR Discussion Papers 3566, C.E.P.R. Discussion Papers.
- Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje, 2006.
"Liquidity and Asset Prices,"
Foundations and Trends(R) in Finance,
now publishers, vol. 1(4), pages 269-364, February.
- Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje, 2005. "Liquidity and Asset Prices," MPRA Paper 24768, University Library of Munich, Germany.
- Yermack, David, 2006.
"Golden handshakes: Separation pay for retired and dismissed CEOs,"
Journal of Accounting and Economics,
Elsevier, vol. 41(3), pages 237-256, September.
- Yermack, David, 2006. "Golden Handshakes: Separation Pay for Retired and Dismissed CEOs," SIFR Research Report Series 41, Institute for Financial Research.
- Yermack, David, 2006. "Flights of fancy: Corporate jets, CEO perquisites, and inferior shareholder returns," Journal of Financial Economics, Elsevier, vol. 80(1), pages 211-242, April.
- Francesca Cornelli & David Goldreich & Alexander Ljungqvist, 2006. "Investor Sentiment and Pre-IPO Markets," Journal of Finance, American Finance Association, vol. 61(3), pages 1187-1216, June.
- Alexander Ljungqvist & Felicia Marston & William J. Wilhelm, 2006.
"Competing for Securities Underwriting Mandates: Banking Relationships and Analyst Recommendations,"
Journal of Finance,
American Finance Association, vol. 61(1), pages 301-340, February.
- Ljungqvist, Alexander P. & Marston, Felicia & Wilhelm Jr, William J, 2003. "Competing for Securities Underwriting Mandates: Banking Relationships and Analyst Recommendations," CEPR Discussion Papers 4162, C.E.P.R. Discussion Papers.
- Alexander Ljungqvist & Vikram Nanda & Rajdeep Singh, 2006.
"Hot Markets, Investor Sentiment, and IPO Pricing,"
The Journal of Business,
University of Chicago Press, vol. 79(4), pages 1667-1702, July.
- Ljungqvist, Alexander P. & Nanda, Vikram & Singh, Rajdeep, 2001. "Hot Markets, Investor Sentiment and IPO Pricing," CEPR Discussion Papers 3053, C.E.P.R. Discussion Papers.
- Stijn Van Nieuwerburgh & Laura Veldkamp, 2006. "Inside Information and the Own Company Stock Puzzle," Journal of the European Economic Association, MIT Press, vol. 4(2-3), pages 623-633, 04-05.
- Van Nieuwerburgh, Stijn & Veldkamp, Laura, 2006.
"Learning asymmetries in real business cycles,"
Journal of Monetary Economics,
Elsevier, vol. 53(4), pages 753-772, May.
- Laura Veldkamp, 2003. "Learning Asymmetries in Real Business Cycles," Working Papers 03-21, New York University, Leonard N. Stern School of Business, Department of Economics.
- Nieuwerburgh, Stijn Van & Buelens, Frans & Cuyvers, Ludo, 2006. "Stock market development and economic growth in Belgium," Explorations in Economic History, Elsevier, vol. 43(1), pages 13-38, January.
- Philippon, Thomas, 2006.
"Corporate governance over the business cycle,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 30(11), pages 2117-2141, November.
- Thomas Philippon, 2004. "Corporate Governance Over the Business Cycle," 2004 Meeting Papers 114, Society for Economic Dynamics.
- Bergstresser, Daniel & Philippon, Thomas, 2006.
"CEO incentives and earnings management,"
Journal of Financial Economics,
Elsevier, vol. 80(3), pages 511-529, June.
- Daniel Bergstresser & Thomas Philippon, 2003. "CEO incentives and earnings management," Proceedings 862, Federal Reserve Bank of Chicago.
- Yakov Amihud & Haim Mendelson, 2006. "Stock and Bond Liquidity and its Effect on Prices and Financial Policies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(1), pages 19-32, April.
- Amihud, Yakov & Li, Kefei, 2006. "The Declining Information Content of Dividend Announcements and the Effects of Institutional Holdings," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 41(03), pages 637-660, September.
2005
- Russell, Jeffrey R. & Engle, Robert F., 2005. "A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 166-180, April.
- Barberis, Nicholas & Shleifer, Andrei & Wurgler, Jeffrey, 2005.
"Comovement,"
Journal of Financial Economics,
Elsevier, vol. 75(2), pages 283-317, February.
- Barberis, Nicholas & Shleifer, Andrei & Wurgler, Jeffrey, 2005. "Comovement," Scholarly Articles 27867240, Harvard University Department of Economics.
- Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002. "Comovement," Harvard Institute of Economic Research Working Papers 1953, Harvard - Institute of Economic Research.
- Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002. "Comovement," NBER Working Papers 8895, National Bureau of Economic Research, Inc.
- Viral V. Acharya & Alberto Bisin, 2005.
"Optimal Financial-Market Integration and Security Design,"
The Journal of Business,
University of Chicago Press, vol. 78(6), pages 2397-2434, November.
- Acharya, Viral V & Bisin, Alberto, 2003. "Optimal Financial Market Integration and Security Design," CEPR Discussion Papers 3852, C.E.P.R. Discussion Papers.
- Acharya, Viral V. & Pedersen, Lasse Heje, 2005.
"Asset pricing with liquidity risk,"
Journal of Financial Economics,
Elsevier, vol. 77(2), pages 375-410, August.
- Acharya, Viral V & Pedersen, Lasse Heje, 2004. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 4718, C.E.P.R. Discussion Papers.
- Acharya, Viral V & Pedersen, Lasse Heje, 2003. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 3749, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Lasse Heje Pedersen, 2004. "Asset Pricing with Liquidity Risk," NBER Working Papers 10814, National Bureau of Economic Research, Inc.
- Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2005.
"Over-the-Counter Markets,"
Econometrica,
Econometric Society, vol. 73(6), pages 1815-1847, November.
- Darrell Duffie, 2012. "Over-The-Counter Markets," Introductory Chapters,in: Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets Princeton University Press.
- Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2004. "Over-the-Counter Markets," NBER Working Papers 10816, National Bureau of Economic Research, Inc.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2005.
"Predatory Trading,"
Journal of Finance,
American Finance Association, vol. 60(4), pages 1825-1863, August.
- Lasse H. Pedersen & Markus Brunnermeier, 2004. "Predatory Trading," Econometric Society 2004 North American Winter Meetings 425, Econometric Society.
- Markus K Brunnermeier & Lasse Heje Pederson, 2003. "Predatory Trading," FMG Discussion Papers dp441, Financial Markets Group.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2004. "Predatory Trading," NBER Working Papers 10755, National Bureau of Economic Research, Inc.
- Brunnermeier, Markus K. & Pederson, Lasse Heje, 2003. "Predatory trading," LSE Research Online Documents on Economics 24829, London School of Economics and Political Science, LSE Library.
- Brunnermeier, Markus K & Pedersen, Lasse Heje, 2004. "Predatory Trading," CEPR Discussion Papers 4639, C.E.P.R. Discussion Papers.
- Goodfriend, Marvin & Zin, Stanley, 2005. "Monetary Theory and Policy: Papers in Honor of Bennett T. McCallum," Journal of Monetary Economics, Elsevier, vol. 52(5), pages 853-853, July.
- Gallmeyer, Michael F. & Hollifield, Burton & Zin, Stanley E., 2005.
"Taylor rules, McCallum rules and the term structure of interest rates,"
Journal of Monetary Economics,
Elsevier, vol. 52(5), pages 921-950, July.
- Michael F. Gallmeyer & Burton Hollifield, 2005. "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," 2005 Meeting Papers 676, Society for Economic Dynamics.
- Michael Gallmeyer & Burton Hollifield & Stanley E. Zin, 2005. "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," NBER Working Papers 11276, National Bureau of Economic Research, Inc.
- Alexander Ljungqvist & William J. Wilhelm, 2005. "Does Prospect Theory Explain IPO Market Behavior?," Journal of Finance, American Finance Association, vol. 60(4), pages 1759-1790, August.
- Michel A. Habib & Alexander Ljungqvist, 2005.
"Firm Value and Managerial Incentives: A Stochastic Frontier Approach,"
The Journal of Business,
University of Chicago Press, vol. 78(6), pages 2053-2094, November.
- Michel Habib & Alexander Ljungqvist, 2000. "Firm Value and Managerial Incentives: A Stochastic Frontier Approach," OFRC Working Papers Series 2000fe03, Oxford Financial Research Centre.
- Habib, Michel Antoine & Ljungqvist, Alexander P., 2000. "Firm Value and Managerial Incentives: A Stochastic Frontier Approach," CEPR Discussion Papers 2564, C.E.P.R. Discussion Papers.
- Hanno N. Lustig & Stijn G. Van Nieuwerburgh, 2005.
"Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective,"
Journal of Finance,
American Finance Association, vol. 60(3), pages 1167-1219, June.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2003. "Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective," NBER Working Papers 9959, National Bureau of Economic Research, Inc.
- Thomas Philippon, 2005. "No-arbitrage Taylor rules - comments," Proceedings, Federal Reserve Bank of San Francisco.
2004
- Engle, Robert F. & Patton, Andrew J., 2004.
"Impacts of trades in an error-correction model of quote prices,"
Journal of Financial Markets,
Elsevier, vol. 7(1), pages 1-25, January.
- Engle, Robert F & Patton, Andrew J, 2000. "Impacts of Trades in an Error-Correction Model of Quote Prices," University of California at San Diego, Economics Working Paper Series qt6dm6093f, Department of Economics, UC San Diego.
- Robert Engle, 2004.
"Risk and Volatility: Econometric Models and Financial Practice,"
American Economic Review,
American Economic Association, vol. 94(3), pages 405-420, June.
- Engle III, Robert F., 2003. "Risk and Volatility: Econometric Models and Financial Practice," Nobel Prize in Economics documents 2003-4, Nobel Prize Committee.
- Robert F. Engle & Simone Manganelli, 2004.
"CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 22, pages 367-381, October.
- Robert Engle & Simone Manganelli, 2000. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Econometric Society World Congress 2000 Contributed Papers 0841, Econometric Society.
- Engle, Robert F & Manganelli, Simone, 1999. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," University of California at San Diego, Economics Working Paper Series qt06m3d6nv, Department of Economics, UC San Diego.
- Robert Engle, 2004. "Robert F Engle: Understanding volatility as a process," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 19-20.
- Baker, Malcolm & Wurgler, Jeffrey, 2004.
"Appearing and disappearing dividends: The link to catering incentives,"
Journal of Financial Economics,
Elsevier, vol. 73(2), pages 271-288, August.
- Malcolm Baker & Jeffrey Wurgler, 2003. "Appearing and Disappearing Dividends: The Link to Catering Incentives," NBER Working Papers 9995, National Bureau of Economic Research, Inc.
- Malcolm Baker & Jeffrey Wurgler, 2004.
"A Catering Theory of Dividends,"
Journal of Finance,
American Finance Association, vol. 59(3), pages 1125-1165, June.
- Malcolm Baker & Jeffrey Wurgler, 2003. "A Catering Theory of Dividends," NBER Working Papers 9542, National Bureau of Economic Research, Inc.
- Nicolae Gârleanu, 2004. "Adverse Selection and the Required Return," Review of Financial Studies, Society for Financial Studies, vol. 17(3), pages 643-665.
- David Yermack, 2004. "Remuneration, Retention, and Reputation Incentives for Outside Directors," Journal of Finance, American Finance Association, vol. 59(5), pages 2281-2308, October.
- Amihud, Yakov & Wohl, Avi, 2004. "Political news and stock prices: The case of Saddam Hussein contracts," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1185-1200, May.
- Amihud, Yakov & Hurvich, Clifford M., 2004.
"Predictive Regressions: A Reduced-Bias Estimation Method,"
Journal of Financial and Quantitative Analysis,
Cambridge University Press, vol. 39(04), pages 813-841, December.
- Yakov Amihud & Clifford Hurvich, 2004. "Predictive Regressions: A Reduced-Bias Estimation Method," Econometrics 0412008, EconWPA.
- Yakov Amihud & Marcel Kahan & Rangarajan K. Sundaram, 2004. "The Foundations of Freezeout Laws in Takeovers," Journal of Finance, American Finance Association, vol. 59(3), pages 1325-1344, June.
2003
- Robert F. Engle & Asger Lunde, 2003.
"Trades and Quotes: A Bivariate Point Process,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 1(2), pages 159-188.
- Engle, Robert F & Lunde, Asger, 1998. "Trades and Quotes: A Bivariate Point Process," University of California at San Diego, Economics Working Paper Series qt8bh079sq, Department of Economics, UC San Diego.
- Baker, Malcolm & Greenwood, Robin & Wurgler, Jeffrey, 2003. "The maturity of debt issues and predictable variation in bond returns," Journal of Financial Economics, Elsevier, vol. 70(2), pages 261-291, November.
- Viral V. Acharya, 2003.
"Is the International Convergence of Capital Adequacy Regulation Desirable?,"
Journal of Finance,
American Finance Association, vol. 58(6), pages 2745-2782, December.
- Acharya, Viral V, 2002. "Is the International Convergence of Capital Adequacy Regulation Desirable?," CEPR Discussion Papers 3253, C.E.P.R. Discussion Papers.
- Darrell Duffie & Lasse Heje Pedersen & Kenneth J. Singleton, 2003. "Modeling Sovereign Yield Spreads: A Case Study of Russian Debt," Journal of Finance, American Finance Association, vol. 58(1), pages 119-159, February.
- Dahiya, Sandeep & Yermack, David, 2003. "Litigation exposure, capital structure and shareholder value: the case of Brooke Group," Journal of Corporate Finance, Elsevier, vol. 9(3), pages 271-294, June.
- Alexander P. Ljungqvist & Tim Jenkinson & William J. Wilhelm, Jr., 2003.
"Global Integration in Primary Equity Markets: The Role of U.S. Banks and U.S. Investors,"
Review of Financial Studies,
Society for Financial Studies, vol. 16(1), pages 63-99.
- Alexander Ljungqvist & Tim Jenkinson & William Wilhelm, 2001. "Global Integration in Primary Equity Markets: The Role of U.S. Banks and U.S. Investors," OFRC Working Papers Series 2001fe06, Oxford Financial Research Centre.
- Lawrence M. Benveniste & Alexander Ljungqvist & William J. Wilhelm & Xiaoyun Yu, 2003.
"Evidence of Information Spillovers in the Production of Investment Banking Services,"
Journal of Finance,
American Finance Association, vol. 58(2), pages 577-608, April.
- Benveniste, Lawrence M & Ljungqvist, Alexander P. & Wilhelm Jr, William J & Yu, Xiaoyun, 2001. "Evidence of Information Spillovers in the Production of Investment Banking Services," CEPR Discussion Papers 2988, C.E.P.R. Discussion Papers.
- Lawrence M. Benveniste & Alexander Ljungqvist & William J. Wilhelm & Xiaoyun Yu, 2002. "Evidence of Information Spillovers in the Production of Investment Banking Services," OFRC Working Papers Series 2002fe06, Oxford Financial Research Centre.
- Alexander Ljungqvist & William J. Wilhelm, 2003.
"IPO Pricing in the Dot-com Bubble,"
Journal of Finance,
American Finance Association, vol. 58(2), pages 723-752, April.
- Ljungqvist, Alexander P. & Wilhelm Jr, William J, 2002. "IPO Pricing in the dot-com Bubble," CEPR Discussion Papers 3314, C.E.P.R. Discussion Papers.
- William J. Wilhelm & Alexander Ljungqvist, 2002. "IPO Pricing in the Dot-com Bubble," OFRC Working Papers Series 2002fe07, Oxford Financial Research Centre.
- Amihud, Yakov & Lauterbach, Beni & Mendelson, Haim, 2003. "The Value of Trading Consolidation: Evidence from the Exercise of Warrants," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(04), pages 829-846, December.
- Amihud, Yakov & Hauser, Shmuel & Kirsh, Amir, 2003. "Allocations, adverse selection, and cascades in IPOs: Evidence from the Tel Aviv Stock Exchange," Journal of Financial Economics, Elsevier, vol. 68(1), pages 137-158, April.
2002
- Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-350, July.
- Robert Engle, 2002. "New frontiers for arch models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 425-446.
- Rosenberg, Joshua V. & Engle, Robert F., 2002.
"Empirical pricing kernels,"
Journal of Financial Economics,
Elsevier, vol. 64(3), pages 341-372, June.
- Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-.
- Jeffrey Wurgler & Ekaterina Zhuravskaya, 2002.
"Does Arbitrage Flatten Demand Curves for Stocks?,"
The Journal of Business,
University of Chicago Press, vol. 75(4), pages 583-608, October.
- Jeffrey Wurgler & Ekaterina Zhuravskaya, 2000. "Does Arbitrage Flatten Demand Curves for Stocks?," Yale School of Management Working Papers ysm152, Yale School of Management, revised 01 Nov 2001.
- Wurgler, Jeffrey, 2002. "Comment on: Investor psychology in capital markets," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 211-214, January.
- Malcolm Baker & Jeffrey Wurgler, 2002.
"Market Timing and Capital Structure,"
Journal of Finance,
American Finance Association, vol. 57(1), pages 1-32, February.
- Jeffrey A. Wurgler & Malcolm P. Baker, 2001. "Market Timing and Capital Structure," Yale School of Management Working Papers ysm181, Yale School of Management.
- Viral V. Acharya & Jennifer N. Carpenter, 2002.
"Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy,"
Review of Financial Studies,
Society for Financial Studies, vol. 15(5), pages 1355-1383.
- Acharya, Viral V & Carpenter, Jennifer, 2002. "Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy," CEPR Discussion Papers 3328, C.E.P.R. Discussion Papers.
- Duffie, Darrell & Garleanu, Nicolae & Pedersen, Lasse Heje, 2002. "Securities lending, shorting, and pricing," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 307-339.
- Telmer, Chris I. & Zin, Stanley E., 2002. "Prices as factors: Approximate aggregation with incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1127-1157, July.
- Zin, Stanley E., 2002. "Are behavioral asset-pricing models structural?," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 215-228, January.
- Ljungqvist, Alexander P. & Wilhelm, William Jr., 2002.
"IPO allocations: discriminatory or discretionary?,"
Journal of Financial Economics,
Elsevier, vol. 65(2), pages 167-201, August.
- Ljungqvist, Alexander P. & Wilhelm Jr, William J, 2001. "IPO Allocations: Discriminatory or Discretionary?," CEPR Discussion Papers 2855, C.E.P.R. Discussion Papers.
- William Wilhelm & Alexander Ljungqvist, 2001. "IPO Allocations: Discriminatory or Discretionary?," OFRC Working Papers Series 2001fe08, Oxford Financial Research Centre.
- Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
- Amihud, Yakov & DeLong, Gayle L. & Saunders, Anthony, 2002. "The effects of cross-border bank mergers on bank risk and value," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 857-877, November.
2001
- Robert Engle, 2001. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 157-168, Fall.
- Engle, Robert F. & Lange, Joe, 2001. "Predicting VNET: A model of the dynamics of market depth," Journal of Financial Markets, Elsevier, vol. 4(2), pages 113-142, April.
- Engle, Robert, 2001. "Financial econometrics - A new discipline with new methods," Journal of Econometrics, Elsevier, vol. 100(1), pages 53-56, January.
- R. F. Engle & A. J. Patton, 2001. "What good is a volatility model?," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 237-245.
- Epstein, Larry G. & Zin, Stanley E., 2001.
"The independence axiom and asset returns,"
Journal of Empirical Finance,
Elsevier, vol. 8(5), pages 537-572, December.
- Larry G. Epstein & Stanley E. Zin, 1991. "The Independence Axiom and Asset Returns," NBER Technical Working Papers 0109, National Bureau of Economic Research, Inc.
- Jenkinson, Tim & Ljungqvist, Alexander, 2001.
"The role of hostile stakes in German corporate governance,"
Journal of Corporate Finance,
Elsevier, vol. 7(4), pages 397-446, December.
- Tim Jenkinson & Alexander Ljungqvist, 1999. "The Role of Hostile Stakes in German Corporate Governance," OFRC Working Papers Series 1999fe02, Oxford Financial Research Centre.
- Habib, Michel A & Ljungqvist, Alexander P, 2001.
"Underpricing and Entrepreneurial Wealth Losses in IPOs: Theory and Evidence,"
Review of Financial Studies,
Society for Financial Studies, vol. 14(2), pages 433-458.
- Michel Habib & Alexander Ljungqvist, 1999. "Underpricing and Entrepreneurial Wealth Losses in IPOs: Theory and Evidence," OFRC Working Papers Series 1999fe03, Oxford Financial Research Centre.
- Kramarz, Francis & Philippon, Thomas, 2001.
"The impact of differential payroll tax subsidies on minimum wage employment,"
Journal of Public Economics,
Elsevier, vol. 82(1), pages 115-146, October.
- Francis Kramarz & Thomas Philippon, 2000. "The Impact of Differenctial Payroll Tax Subsidies on Minimum Wage Employment," Working Papers 2000-10, Center for Research in Economics and Statistics.
- Kramarz, Francis & Philippon, Thomas, 2000. "The Impact of Differential Payroll Tax Subsidies on Minimum Wage Employment," IZA Discussion Papers 219, Institute for the Study of Labor (IZA).
- Carpenter, Jennifer N & Remmers, Barbara, 2001. "Executive Stock Option Exercises and Inside Information," The Journal of Business, University of Chicago Press, vol. 74(4), pages 513-534, October.
2000
- Robert F. Engle, 2000.
"The Econometrics of Ultra-High Frequency Data,"
Econometrica,
Econometric Society, vol. 68(1), pages 1-22, January.
- Robert F. Engle, 1996. "The Econometrics of Ultra-High Frequency Data," NBER Working Papers 5816, National Bureau of Economic Research, Inc.
- Alfonso Dufour & Robert F. Engle, 2000.
"Time and the Price Impact of a Trade,"
Journal of Finance,
American Finance Association, vol. 55(6), pages 2467-2498, December.
- Dufour, Alfonso & Engle, Robert F, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series qt62c0h04j, Department of Economics, UC San Diego.
- Wurgler, Jeffrey, 2000.
"Financial markets and the allocation of capital,"
Journal of Financial Economics,
Elsevier, vol. 58(1-2), pages 187-214.
- Jeffrey Wurgler, 1999. "Financial Markets And The Allocation Of Capital," Yale School of Management Working Papers ysm123, Yale School of Management, revised 01 Mar 2001.
- Malcolm Baker & Jeffrey Wurgler, 2000.
"The Equity Share in New Issues and Aggregate Stock Returns,"
Journal of Finance,
American Finance Association, vol. 55(5), pages 2219-2257, October.
- Malcolm Baker & Jeffrey Wurgler, 1999. "The Equity Share in New Issues and Aggregate Stock Returns," Yale School of Management Working Papers ysm124, Yale School of Management, revised 01 Jan 2009.
- Acharya, Viral V. & John, Kose & Sundaram, Rangarajan K., 2000.
"On the optimality of resetting executive stock options,"
Journal of Financial Economics,
Elsevier, vol. 57(1), pages 65-101, July.
- Viral Acharya & Kose John & Rangarajan K. Sundaram, 1999. "On the Optimality of Resetting Executive Stock Options," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-087, New York University, Leonard N. Stern School of Business-.
- Eli Ofek & David Yermack, 2000. "Taking Stock: Equity-Based Compensation and the Evolution of Managerial Ownership," Journal of Finance, American Finance Association, vol. 55(3), pages 1367-1384, June.
- Brenner, Menachem & Sundaram, Rangarajan K. & Yermack, David, 2000.
"Altering the terms of executive stock options,"
Journal of Financial Economics,
Elsevier, vol. 57(1), pages 103-128, July.
- Menachem Brenner & Rangarajan K. Sundaram & David Yermack, 1998. "Altering the Terms of Executive Stock Options," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-010, New York University, Leonard N. Stern School of Business-.
- Yakov Amihud & Haim Mendelson, 2000. "The Liquidity Route To A Lower Cost Of Capital," Journal of Applied Corporate Finance, Morgan Stanley, vol. 12(4), pages 8-25.
- Yakov Amihud & Kenneth Garbade & Marcel Kahan, 2000. "An Institutional Innovation To Reduce The Agency Costs Of Public Corporate Bonds," Journal of Applied Corporate Finance, Morgan Stanley, vol. 13(1), pages 114-121.
1999
- Robert F. Engle & Aaron D. Smith, 1999.
"Stochastic Permanent Breaks,"
The Review of Economics and Statistics,
MIT Press, vol. 81(4), pages 553-574, November.
- Engle, Robert F & Smith, Aaron, 1998. "Stochastic Permanent Breaks," University of California at San Diego, Economics Working Paper Series qt99v0s0zx, Department of Economics, UC San Diego.
- Hamid Mehran & Robert A. Taggart & David Yermack, 1999. "CEO Ownership, Leasing, and Debt Financing," Financial Management, Financial Management Association, vol. 28(2), Summer.
- Anil Shivdasani & David Yermack, 1999.
"CEO Involvement in the Selection of New Board Members: An Empirical Analysis,"
Journal of Finance,
American Finance Association, vol. 54(5), pages 1829-1853, October.
- Anil Shivdasani & David Yermack, 1998. "CEO Involvement in the Selection of New Board Members: An Empirical Analysis," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-059, New York University, Leonard N. Stern School of Business-.
- Carpenter, Jennifer N. & Lynch, Anthony W., 1999.
"Survivorship bias and attrition effects in measures of performance persistence,"
Journal of Financial Economics,
Elsevier, vol. 54(3), pages 337-374, December.
- Jennifer Carpenter & Anthony Lynch, 1998. "Survivorship Bias and Attrition Effects in Measures of Performance Persistence," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-077, New York University, Leonard N. Stern School of Business-.
- Yakov Amihud & Haim Mendelson & Jun Uno, 1999. "Number of Shareholders and Stock Prices: Evidence from Japan," Journal of Finance, American Finance Association, vol. 54(3), pages 1169-1184, June.
1998
- Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
- Backus, David & Foresi, Silverio & Zin, Stanley, 1998.
"Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 16(1), pages 13-26, January.
- David Backus & Silverio Foresi & Stanley Zin, 1996. "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," NBER Working Papers 5638, National Bureau of Economic Research, Inc.
- David K. Backus & Silverio Foresi & Stanley E. Zin, 1994. "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," Working Papers 94-28, New York University, Leonard N. Stern School of Business, Department of Economics.
- Backus, D.K. & Foresi, S. & Zin, S.E., 1994. "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," Papers 95-02, Columbia - Graduate School of Business.
- David Backus & Silverio Foresi & Stanley Zin, 1996. "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-8, New York University, Leonard N. Stern School of Business-.
- Kahan, Marcel & Yermack, David, 1998.
"Investment Opportunities and the Design of Debt Securities,"
Journal of Law, Economics, and Organization,
Oxford University Press, vol. 14(1), pages 136-151, April.
- Marcel Kahan & David Yermack, 1996. "Investment Opportunities and the Design of Debt Securities," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-31, New York University, Leonard N. Stern School of Business-.
- Yermack, David, 1998.
"Companies' Modest Claims about the Value of CEO Stock Option Awards,"
Review of Quantitative Finance and Accounting,
Springer, vol. 10(2), pages 207-226, March.
- David Yermack, 1996. "Companies' Modest Claims About the Value of CEO Stock Option Awards," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-42, New York University, Leonard N. Stern School of Business-.
- Habib, Michel A. & Ljungqvist, Alexander P., 1998. "Underpricing and IPO proceeds: a note," Economics Letters, Elsevier, vol. 61(3), pages 381-383, December.
- Carpenter, Jennifer N., 1998.
"The exercise and valuation of executive stock options,"
Journal of Financial Economics,
Elsevier, vol. 48(2), pages 127-158, May.
- Jennifer Carpenter, 1997. "The Exercise and Valuation of Executive Stock Options," New York University, Leonard N. Stern School Finance Department Working Paper Seires 97-10, New York University, Leonard N. Stern School of Business-.
1997
- Vahid, Farshid & Engle, Robert F., 1997. "Codependent cycles," Journal of Econometrics, Elsevier, vol. 80(2), pages 199-221, October.
- Ramanathan, Ramu & Engle, Robert & Granger, Clive W. J. & Vahid-Araghi, Farshid & Brace, Casey, 1997. "Shorte-run forecasts of electricity loads and peaks," International Journal of Forecasting, Elsevier, vol. 13(2), pages 161-174, June.
- Engle, Robert F. & Russell, Jeffrey R., 1997. "Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 187-212, June.
- Smith, Gregor W. & Zin, Stanley E., 1997.
"Real business-cycle realizations,"
Carnegie-Rochester Conference Series on Public Policy,
Elsevier, vol. 47(1), pages 243-280, December.
- Gregor W. Smith & Stanley E. Zin, 1997. "Real Business Cycle Realizations," Working Papers 1253, Queen's University, Department of Economics.
- Smith, Anthony A, Jr & Sowell, Fallaw & Zin, Stanley E, 1997.
"Fractional Integration with Drift: Estimation in Small Samples,"
Empirical Economics,
Springer, vol. 22(1), pages 103-116.
- Tony Smith & Fallaw Sowell & Stanley Zin, "undated". "Fractional integration with Drift: Estimation in Small Samples," GSIA Working Papers 22, Carnegie Mellon University, Tepper School of Business.
- Trick, Michael A. & Zin, Stanley E., 1997. "Spline Approximations To Value Functions," Macroeconomic Dynamics, Cambridge University Press, vol. 1(01), pages 255-277, January.
- Berger, Philip G & Ofek, Eli & Yermack, David L, 1997.
" Managerial Entrenchment and Capital Structure Decisions,"
Journal of Finance,
American Finance Association, vol. 52(4), pages 1411-1438, September.
- Philip E. Berger & Eli Ofek & David Yermack, 1996. "Managerial Entrenchment and Capital Structure Decisions," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-14, New York University, Leonard N. Stern School of Business-.
- Yermack, David, 1997.
" Good Timing: CEO Stock Option Awards and Company News Announcements,"
Journal of Finance,
American Finance Association, vol. 52(2), pages 449-476, June.
- David Yermack, 1996. "Good Timing: CEO Stock Option Awards and Company News Announcements," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-41, New York University, Leonard N. Stern School of Business-.
- Ljungqvist, Alexander P., 1997. "Pricing initial public offerings: Further evidence from Germany," European Economic Review, Elsevier, vol. 41(7), pages 1309-1320, July.
- Amihud, Yakov & Mendelson, Haim & Lauterbach, Beni, 1997.
"Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange,"
Journal of Financial Economics,
Elsevier, vol. 45(3), pages 365-390, September.
- Yakov Amihud & Haim Mendelson & Beni Lauterbach, 1997. "Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-004, New York University, Leonard N. Stern School of Business-.
- Yakov Amihud & Haim Mendelson & Beni Lauterbach, 1996. "Market Microstructure and Securities Values: Evidence From the Tel Aviv Stock Exchange," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-7, New York University, Leonard N. Stern School of Business-.
- Amihud, Yakov & Murgia, Maurizio, 1997. " Dividends, Taxes, and Signaling: Evidence from Germany," Journal of Finance, American Finance Association, vol. 52(1), pages 397-408, March.
1996
- Engle, Robert F & Hylleberg, Svend, 1996. "Common Seasonal Features: Global Unemployment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(4), pages 615-630, November.
- Yermack, David, 1996. "Higher market valuation of companies with a small board of directors," Journal of Financial Economics, Elsevier, vol. 40(2), pages 185-211, February.
- Amihud, Yakov, 1996. "Unexpected Inflation and Stock Returns Revisited--Evidence from Israel," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 22-33, February.
1995
- Engle, Robert F. & Issler, Joao Victor, 1995. "Estimating common sectoral cycles," Journal of Monetary Economics, Elsevier, vol. 35(1), pages 83-113, February.
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
- Zin, Stanley E., 1995. "The importance of investor heterogeneity and financial market imperfections for the behavior of asset prices : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 42(1), pages 33-38, June.
- Yermack, David, 1995. "Do corporations award CEO stock options effectively?," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 237-269.
1994
- Engle, Robert F, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 395-396, October.
- Lin, Wen-Ling & Engle, Robert F & Ito, Takatoshi, 1994. "Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 7(3), pages 507-538.
- Susmel, Raul & Engle, Robert F., 1994. "Hourly volatility spillovers between international equity markets," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 3-25, February.
1993
- Engle, Robert F & Susmel, Raul, 1993. "Common Volatility in International Equity Markets," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 167-176, April.
- Engle, Robert F & Kozicki, Sharon, 1993.
"Testing for Common Features,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 11(4), pages 369-380, October.
- Robert F. Engle & Sharon Kozicki, 1990. "Testing For Common Features," NBER Technical Working Papers 0091, National Bureau of Economic Research, Inc.
- Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-395, October.
- Bollerslev, Tim & Engle, Robert F, 1993. "Common Persistence in Conditional Variances," Econometrica, Econometric Society, vol. 61(1), pages 167-186, January.
- Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-360, Oct.-Dec..
- Engle, Robert F & Ng, Victor K, 1993.
"Time-Varying Volatility and the Dynamic Behavior of the Term Structure,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 25(3), pages 336-349, August.
- Robert F. Engle & Victor K. Ng, 1991. "Time-Varying Volatility and the Dynamic Behavior of the Term Structure," NBER Working Papers 3682, National Bureau of Economic Research, Inc.
- Engle, Robert F. & Hendry, David F., 1993.
"Testing superexogeneity and invariance in regression models,"
Journal of Econometrics,
Elsevier, vol. 56(1-2), pages 119-139, March.
- Engle, R. & Hendry, D., 1990. "Testing Super Exogeneity And Invariance In Regression Models," Economics Series Working Papers 99100, University of Oxford, Department of Economics.
- Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
- Engle, R. F. & Granger, C. W. J. & Hylleberg, S. & Lee, H. S., 1993. "The Japanese consumption function," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 275-298.
- Engle, Robert F & Ng, Victor K, 1993.
" Measuring and Testing the Impact of News on Volatility,"
Journal of Finance,
American Finance Association, vol. 48(5), pages 1749-1778, December.
- Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
- Engle, Robert F. & Issler, João Victor, 1993. "Common trends and common cycles in Latin America," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 47(2), May.
- David K. Backus & Stanley E. Zin, 1993.
"Long-memory inflation uncertainty: evidence from the term structure of interest rates,"
Proceedings,
Federal Reserve Bank of Cleveland, pages 681-708.
- Backus, David K & Zin, Stanley E, 1993. "Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(3), pages 681-700, August.
- David K. Backus, 1993. "Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates," Working Papers 93-04, New York University, Leonard N. Stern School of Business, Department of Economics.
- David K. Backus & Stanley E. Zin, 1993. "Long-memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates," NBER Technical Working Papers 0133, National Bureau of Economic Research, Inc.
1992
- Ito, Takatoshi & Engle, Robert F. & Lin, Wen-Ling, 1992.
"Where does the meteor shower come from? : The role of stochastic policy coordination,"
Journal of International Economics,
Elsevier, vol. 32(3-4), pages 221-240, May.
- Takatoshi Ito & Robert F. Engle & Wen-Ling Lin, 1990. "Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination," NBER Working Papers 3504, National Bureau of Economic Research, Inc.
- Engle, Robert F. & Mustafa, Chowdhury, 1992. "Implied ARCH models from options prices," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 289-311.
- Brown, Scott J. & Coulson, N. Edward & Engle, Robert F., 1992. "On the determination of regional base and regional base multipliers," Regional Science and Urban Economics, Elsevier, vol. 22(4), pages 619-635, November.
- Ng, Victor & Engle, Robert F. & Rothschild, Michael, 1992. "A multi-dynamic-factor model for stock returns," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 245-266.
- Engle, Robert & Navarro, Peter & Carson, Richard, 1992. "On the theory of growth controls," Journal of Urban Economics, Elsevier, vol. 32(3), pages 269-283, November.
1991
- Engle, Robert F & Gonzalez-Rivera, Gloria, 1991. "Semiparametric ARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 345-359, October.
- Smith, Gregor W & Zin, Stanley E, 1991. "Persistent Deficits and the Market Value of Government Debt," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(1), pages 31-44, Jan.-Marc.
- Epstein, Larry G & Zin, Stanley E, 1991. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 263-286, April.
- Zin, Stanley E., 1991. "Recent U.S. investment behavior and the tax reform act of 1986: A disaggregate view a comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 35(1), pages 217-220, January.
- Amihud, Yakov & Mendelson, Haim, 1991. " Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market," Journal of Finance, American Finance Association, vol. 46(5), pages 1765-1789, December.
- Amihud, Yakov & Mendelson, Haim, 1991. " Liquidity, Maturity, and the Yields on U.S. Treasury Securities," Journal of Finance, American Finance Association, vol. 46(4), pages 1411-1425, September.
- Amihud, Yakov & Mendelson, Haim, 1991. "Trading mechanisms and value-discovery: Cross-national evidence and policy implications," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 34(1), pages 105-130, January.
1990
- Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990.
"Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market,"
Econometrica,
Econometric Society, vol. 58(3), pages 525-542, May.
- Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1988. "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," NBER Working Papers 2609, National Bureau of Economic Research, Inc.
- Engle, Robert F, 1990. "Stock Volatility and the Crash of '87: Discussion," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 103-106.
- Engle, Robert F. & Ng, Victor K. & Rothschild, Michael, 1990.
"Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills,"
Journal of Econometrics,
Elsevier, vol. 45(1-2), pages 213-237.
- Robert F. Engle & Victor Ng & Michael Rothschild, 1988. "Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills," NBER Technical Working Papers 0065, National Bureau of Economic Research, Inc.
- Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990.
"Seasonal integration and cointegration,"
Journal of Econometrics,
Elsevier, vol. 44(1-2), pages 215-238.
- Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
- Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
- Epstein, Larry G. & Zin, Stanley E., 1990.
"'First-order' risk aversion and the equity premium puzzle,"
Journal of Monetary Economics,
Elsevier, vol. 26(3), pages 387-407, December.
- L. Epstein & S. Zin, 2010. "First order risk aversion and the equity premium puzzle," Levine's Working Paper Archive 1400, David K. Levine.
- Amihud, Yakov & Mendelson, Haim & Murgia, Maurizio, 1990. "Stock market microstructure and return volatility : Evidence from Italy," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 423-440, August.
- Amihud, Yakov & Lev, Baruch & Travlos, Nickolaos G, 1990. " Corporate Control and the Choice of Investment Financing: The Case of Corporate Acquisitions," Journal of Finance, American Finance Association, vol. 45(2), pages 603-616, June.
1989
- Engle, R. F. & Granger, C. W. J. & Hallman, J. J., 1989. "Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting," Journal of Econometrics, Elsevier, vol. 40(1), pages 45-62, January.
- Epstein, Larry G & Zin, Stanley E, 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, Econometric Society, vol. 57(4), pages 937-969, July.
- Backus, David K. & Gregory, Allan W. & Zin, Stanley E., 1989.
"Risk premiums in the term structure : Evidence from artificial economies,"
Journal of Monetary Economics,
Elsevier, vol. 24(3), pages 371-399, November.
- David K. Backus & Allan W. Gregory & Stanley E. Zin, 1986. "Risk Premiums in the Term Structure : Evidence from Artificial Economies," Working Papers 665, Queen's University, Department of Economics.
- Amihud, Yakov & Mendelson, Haim, 1989. "Market microstructure and price discovery on the Tokyo Stock Exchange," Japan and the World Economy, Elsevier, vol. 1(4), pages 341-370, November.
- Amihud, Yakov & Medenelson, Haim, 1989. "Inventory behaviour and market power: An empirical investigation," International Journal of Industrial Organization, Elsevier, vol. 7(2), pages 269-280, June.
- Amihud, Yakov & Mendelson, Haim, 1989. " The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns," Journal of Finance, American Finance Association, vol. 44(2), pages 479-486, June.
1988
- Engle, Robert F, 1988. "Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(3), pages 422-423, August.
- Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-131, February.
1987
- Engle, Robert F & Granger, Clive W J, 1987.
"Co-integration and Error Correction: Representation, Estimation, and Testing,"
Econometrica,
Econometric Society, vol. 55(2), pages 251-276, March.
- Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
- Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
- Coulson, N. Edward & Engle, Robert F., 1987. "Transportation costs and the rent gradient," Journal of Urban Economics, Elsevier, vol. 21(3), pages 287-297, May.
- Amihud, Yakov & Mendelson, Haim, 1987. " Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 42(3), pages 533-553, July.
1986
- Poirier, Dale J & Tello, Mario D & Zin, Stanley E, 1986. "A Diagnostic Test for Normality within the Power Exponential Family," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(3), pages 359-353, July.
- Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
1985
- Robert F. Engle & David F. Hendry & David Trumble, 1985. "Small-Sample Properties of ARCH Estimators and Tests," Canadian Journal of Economics, Canadian Economics Association, vol. 18(1), pages 66-93, February.
- Watson, Mark W & Engle, Robert F, 1985. "Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative," The Review of Economics and Statistics, MIT Press, vol. 67(2), pages 341-346, May.
- Engle, Robert F. & Lilien, David M. & Watson, Mark, 1985. "A dymimic model of housing price determination," Journal of Econometrics, Elsevier, vol. 28(3), pages 307-326, June.
1984
- Engle, Robert F. & Granger, C. W. J. & Kraft, Dennis, 1984. "Combining competing forecasts of inflation using a bivariate arch model," Journal of Economic Dynamics and Control, Elsevier, vol. 8(2), pages 151-165, November.
- Train, Kenneth & Ignelzi, Patrice & Engle, Robert & Granger, Clive & Ramanathan, Ramu, 1984. "The billing cycle and weather variables in models of electricity sales," Energy, Elsevier, vol. 9(11), pages 1041-1047.
1983
- Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1983.
"Exogeneity,"
Econometrica,
Econometric Society, vol. 51(2), pages 277-304, March.
- ENGLE, Robert F. & HENDRY, David F. & RICHARD, Jean-François, 1983. "Exogeneity," CORE Discussion Papers RP 516, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1979. "Exogeneity," The Warwick Economics Research Paper Series (TWERPS) 162, University of Warwick, Department of Economics.
- Engle, Robert F, 1983. "Estimates of the Variance of U.S. Inflation Based upon the ARCH Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(3), pages 286-301, August.
- Watson, Mark W. & Engle, Robert F., 1983. "Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models," Journal of Econometrics, Elsevier, vol. 23(3), pages 385-400, December.
- Amihud, Yakov & Mendelson, Haim, 1983. "Multiperiod sales-production decisions under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 5(1), pages 249-265, February.
- Amihud, Yakov & Kamin, Jacob Y. & Ronen, Joshua, 1983. "`Managerialism', `ownerism' and risk," Journal of Banking & Finance, Elsevier, vol. 7(2), pages 189-196, June.
- Amihud, Yakov & Kalay, Avner, 1983. "Inflation 'news' and exchange rates," Economics Letters, Elsevier, vol. 12(3-4), pages 333-338.
- Yakov Amihud & Haim Mendelson, 1983. "Price Smoothing and Inventory," Review of Economic Studies, Oxford University Press, vol. 50(1), pages 87-98.
1982
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
- Engle, Robert F., 1982. "A general approach to lagrange multiplier model diagnostics," Journal of Econometrics, Elsevier, vol. 20(1), pages 83-104, October.
- Amihud, Yakov & Mendelson, Haim, 1982. "The output-inflation relationship : An inventory-adjustment approach," Journal of Monetary Economics, Elsevier, vol. 9(2), pages 163-184.
- Haim Mendelson & Yakov Amihud, 1982. "Optimal Consumption Policy under Uncertain Income," Management Science, INFORMS, vol. 28(6), pages 683-697, June.
- Amihud, Yakov & Mendelson, Haim, 1982. "Relative Price Dispersion and Economic Shocks: An Inventory-Adjustment Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 14(3), pages 390-398, August.
- Amihud, Yakov, 1982. "Unanticipated inflation and economic activity," Economics Letters, Elsevier, vol. 9(4), pages 327-335.
1981
- Agmon, Tamir & Amihud, Yakov, 1981. "The forward exchange rate and the prediction of the future spot rate: Empirical evidence," Journal of Banking & Finance, Elsevier, vol. 5(3), pages 425-437, September.
- Yakov Amihud & Baruch Lev, 1981. "Risk Reduction as a Managerial Motive for Conglomerate Mergers," Bell Journal of Economics, The RAND Corporation, vol. 12(2), pages 605-617, Autumn.
- Amihud, Yakov, 1981. "A Possible Error in the Expectations Theory: A Rejoinder," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 13(1), pages 107-108, February.
1980
- Engle, Robert F, 1980. "Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(2), pages 391-407, June.
- Amihud, Yakov, 1980. " General Risk Aversion and Attitude towards Risk," Journal of Finance, American Finance Association, vol. 35(3), pages 685-691, June.
- Amihud, Yakov, 1980. "An empirical note on bond-yield uncertainty and the demand for money," Economics Letters, Elsevier, vol. 5(1), pages 63-69.
- Amihud, Yakov & Mendelson, Haim, 1980. "Dealership market : Market-making with inventory," Journal of Financial Economics, Elsevier, vol. 8(1), pages 31-53, March.
1979
- Granger, Clive W. J. & Engle, Robert & Ramanathan, Ramu & Andersen, Allan, 1979. "Residential load curves and time-of-day pricing : An econometric analysis," Journal of Econometrics, Elsevier, vol. 9(1-2), pages 13-32, January.
- Engle, Robert F., 1979.
"Estimation of the price elasticity of demand facing metropolitan producers,"
Journal of Urban Economics,
Elsevier, vol. 6(1), pages 42-64, January.
- R. F. Engle, 1975. "Estimation of the Price Elasticity of Demand Facing Metropolitan Producers," Working papers 162, Massachusetts Institute of Technology (MIT), Department of Economics.
- Amihud, Yakov, 1979. "A Possible Error in the Expectations Theory: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 11(2), pages 243-245, May.
1978
- Engle, Robert F, 1978. "Testing Price Equations for Stability across Spectral Frequency Bands," Econometrica, Econometric Society, vol. 46(4), pages 869-881, July.
1977
- Yakov Amihud, 1977. "The Effect of Uncertainty in Input Quantities on the Optimal Expected Input Combination," Management Science, INFORMS, vol. 23(9), pages 957-962, May.
- Amihud, Y. & Barnea, A., 1977. "A Note on Fisher Hypothesis and Price Level Uncertainty," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(03), pages 525-530, September.
- Amihud, Yakov, 1977. "A Note on Risk Aversion and Indifference Curves," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(03), pages 509-513, September.
- Yakov Amihud, 1977. "A Note on the Measurement of Technological Progress and Experience in Production," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 59(4), pages 728-730.
1976
- Engle, Robert F & Gardner, Roy, 1976.
"Some Finite Sample Properties of Spectral Estimators of a Linear Regression,"
Econometrica,
Econometric Society, vol. 44(1), pages 149-165, January.
- R. F. Engle & R. Gardner, 1973. "Some Finite Sample Properties of Spectral Estimators of a Linear Regression," Working papers 122, Massachusetts Institute of Technology (MIT), Department of Economics.
- Engle, Robert F, 1976. "Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment," Econometrica, Econometric Society, vol. 44(3), pages 617-618, May.
- Amihud, Yakov, 1976. "The Efficiency of Taxes and Subsidies in Reducing Emission by a Risk-Averse Firm," Kyklos, Wiley Blackwell, vol. 29(1), pages 113-117.
1975
- Engle, Robert F & Foley, Duncan K, 1975. "An Asset Price Model of Aggregate Investment," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 16(3), pages 625-647, October.
1974
- Engle, Robert F, 1974. "Specification of the Disturbance for Efficient Estimation," Econometrica, Econometric Society, vol. 42(1), pages 135-146, January.
- Engle, Robert F, 1974.
"Band Spectrum Regression,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 1-11, February.
- R. F. Engle, 1972. "Band Spectrum Regressions," Working papers 96, Massachusetts Institute of Technology (MIT), Department of Economics.
- Engle, Robert F., 1974.
"Issues in the specification of an econometric model of metropolitan growth,"
Journal of Urban Economics,
Elsevier, vol. 1(2), pages 250-267, April.
- R. F. Engle, 1973. "Issues in the Specification of an Econometric Model of Metropolitan Growth," Working papers 120, Massachusetts Institute of Technology (MIT), Department of Economics.
- Amihud, Y & Barnea, A, 1974. "Portfolio selection for managerial control," Omega, Elsevier, vol. 2(6), pages 775-783, December.
1972
- Engle, Robert F, III, et al, 1972. "An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government," American Economic Review, American Economic Association, vol. 62(2), pages 87-97, May.
Undated
- Robert F. Engle & Magdalena E. Sokalska, 0. "Forecasting intraday volatility in the US equity market. Multiplicative component GARCH," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(1), pages 54-83.
Books
2015
- Viral V. Acharya & Heitor Almeida & Malcolm Baker, 2015. "New Perspectives on Corporate Capital Structure," NBER Books, National Bureau of Economic Research, Inc, number acha13-1, April.
- Lasse Heje Pedersen, 2015. "Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined," Economics Books, Princeton University Press, edition 1, number 10441.
- Roussellet, Guillaume, 2015. "Non-Negativity, Zero Lower Bound and Affine Interest Rate Models," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/15295 edited by Monfort, Alain.
2013
- Amihud,Yakov & Mendelson,Haim & Pedersen,Lasse Heje, 2013.
"Market Liquidity,"
Cambridge Books,
Cambridge University Press, number 9780521139656, May.
- Amihud,Yakov & Mendelson,Haim & Pedersen,Lasse Heje, 2013. "Market Liquidity," Cambridge Books, Cambridge University Press, number 9780521191760, May.
2011
- Viral V. Acharya & Matthew Richardson & Stijn Van Nieuwerburgh & Lawrence J. White, 2011. "Guaranteed to Fail: Fannie Mae, Freddie Mac, and the Debacle of Mortgage Finance," Economics Books, Princeton University Press, edition 1, number 9400.
2001
- Jenkinson, Tim & Ljungqvist, Alexander, 2001. "Going Public: The Theory and Evidence on How Companies Raise Equity Finance," OUP Catalogue, Oxford University Press, edition 2, number 9780198295990.
1999
- Engle, Robert F. & White (the late), Halbert (ed.), 1999. "Cointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. J. Granger," OUP Catalogue, Oxford University Press, number 9780198296836.
1995
- Engle, Robert F. (ed.), 1995. "ARCH: Selected Readings," OUP Catalogue, Oxford University Press, number 9780198774327.
1991
- Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393.
1986
- R. F. Engle & D. McFadden (ed.), 1986. "Handbook of Econometrics," Handbook of Econometrics, Elsevier, edition 1, volume 4, number 4.
Chapters
2016
- Pierre-Olivier Gourinchas & Thomas Philippon & Dimitri Vayanos, 2016.
"The Analytics of the Greek Crisis,"
NBER Chapters,in: NBER Macroeconomics Annual 2016, Volume 31, pages 1-81
National Bureau of Economic Research, Inc.
- Pierre-Olivier Gourinchas & Thomas Philippon & Dimitri Vayanos, 2017. "The Analytics of the Greek Crisis," NBER Macroeconomics Annual, University of Chicago Press, vol. 31(1), pages 1-81.
- Pierre-Olivier Gourinchas & Thomas Philippon & Dimitri Vayanos, 2016. "The Analytics of the Greek Crisis," NBER Working Papers 22370, National Bureau of Economic Research, Inc.
- Pierre-Olivier Gourinchas & Thomas Philippon & Dimitri Vayanos, 2016. "The Analytics of the Greek Crisis," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 100, Hellenic Observatory, LSE.
- Gourinchas, Pierre-Olivier & Philippon, Thomas & Vayanos, Dimitri, 2016. "The Analytics of the Greek Crisis," CEPR Discussion Papers 11334, C.E.P.R. Discussion Papers.
2015
- Lasse Heje Pedersen, 2015. "Introduction," Introductory Chapters,in: Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined Princeton University Press.
- Davis, Morris A. & Van Nieuwerburgh, Stijn, 2015.
"Housing, Finance, and the Macroeconomy,"
Handbook of Regional and Urban Economics,
Elsevier.
- Morris A. Davis & Stijn Van Nieuwerburgh, 2014. "Housing, Finance and the Macroeconomy," NBER Working Papers 20287, National Bureau of Economic Research, Inc.
2014
- Ralph Koijen & Stijn Van Nieuwerburgh & Roine Vestman, 2014. "Judging the Quality of Survey Data by Comparison with "Truth" as Measured by Administrative Records: Evidence From Sweden," NBER Chapters,in: Improving the Measurement of Consumer Expenditures, pages 308-346 National Bureau of Economic Research, Inc.
2013
- Viral V. Acharya & Christian Brownlees & Robert Engle & Farhang Farazmand & Matthew Richardson, 2013. "Measuring Systemic Risk," World Scientific Book Chapters,in: Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis, chapter 3, pages 65-98 World Scientific Publishing Co. Pte. Ltd..
- Viral V. Acharya & Heitor Almeida & Malcolm Baker, 2013. "Introduction, New Perspectives on Corporate Capital Structure," NBER Chapters,in: New Perspectives on Corporate Capital Structure National Bureau of Economic Research, Inc.
- Viral V. Acharya & Lasse Pedersen & Thomas Philippon & Matthew Richardson, 2013. "Taxing Systemic Risk," World Scientific Book Chapters,in: Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis, chapter 4, pages 99-122 World Scientific Publishing Co. Pte. Ltd..
- Florian Heider & Alexander Ljungqvist, 2013.
"As Certain as Debt and Taxes: Estimating the Tax Sensitivity of Leverage from State Tax Changes,"
NBER Chapters,in: New Perspectives on Corporate Capital Structure
National Bureau of Economic Research, Inc.
- Heider, Florian & Ljungqvist, Alexander, 2015. "As certain as debt and taxes: Estimating the tax sensitivity of leverage from state tax changes," Journal of Financial Economics, Elsevier, vol. 118(3), pages 684-712.
2012
- Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2012. "How to Calculate Systemic Risk Surcharges," NBER Chapters,in: Quantifying Systemic Risk, pages 175-212 National Bureau of Economic Research, Inc.
- Viral V. Acharya, 2012.
"A Transparency Standard for Derivatives,"
NBER Chapters,in: Risk Topography: Systemic Risk and Macro Modeling, pages 83-95
National Bureau of Economic Research, Inc.
- Viral V. Acharya, 2011. "A Transparency Standard for Derivatives," NBER Working Papers 17558, National Bureau of Economic Research, Inc.
- John Geanakoplos & Lasse Heje Pedersen, 2012.
"Monitoring Leverage,"
NBER Chapters,in: Risk Topography: Systemic Risk and Macro Modeling, pages 113-127
National Bureau of Economic Research, Inc.
- John Geanakoplos & Lasse H. Pedersen, 2011. "Monitoring Leverage," Cowles Foundation Discussion Papers 1838, Cowles Foundation for Research in Economics, Yale University.
- Jack Favilukis & David Kohn & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2012.
"International Capital Flows and House Prices: Theory and Evidence,"
NBER Chapters,in: Housing and the Financial Crisis, pages 235-299
National Bureau of Economic Research, Inc.
- Jack Favilukis & David Kohn & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2012. "International Capital Flows and House Prices: Theory and Evidence," NBER Working Papers 17751, National Bureau of Economic Research, Inc.
2011
- Adam Ashcraft & Nicolae Gârleanu & Lasse Heje Pedersen, 2011.
"Two Monetary Tools: Interest Rates and Haircuts,"
NBER Chapters,in: NBER Macroeconomics Annual 2010, Volume 25, pages 143-180
National Bureau of Economic Research, Inc.
- Nicolae B. Garleanu & Lasse Heje Pedersen & Adam B. Ashcraft, 2010. "Two Monetary Tools: Interest-Rates and Haircuts," 2010 Meeting Papers 1102, Society for Economic Dynamics.
- Ashcraft, Adam & Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje, 2010. "Two Monetary Tools: Interest Rates and Haircuts," CEPR Discussion Papers 8000, C.E.P.R. Discussion Papers.
- Adam Ashcraft & Nicolae Gârleanu & Lasse Heje Pedersen, 2010. "Two Monetary Tools: Interest Rates and Haircuts," NBER Working Papers 16337, National Bureau of Economic Research, Inc.
- Viral V. Acharya & Matthew Richardson & Stijn Van Nieuwerburgh & Lawrence J. White, 2011. "Feeding the Beast," Introductory Chapters,in: Guaranteed to Fail: Fannie Mae, Freddie Mac, and the Debacle of Mortgage Finance Princeton University Press.
2009
- Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2009.
"Carry Trades and Currency Crashes,"
NBER Chapters,in: NBER Macroeconomics Annual 2008, Volume 23, pages 313-347
National Bureau of Economic Research, Inc.
- Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," NBER Working Papers 14473, National Bureau of Economic Research, Inc.
2006
- Diego A. Comin & Thomas Philippon, 2006.
"The Rise in Firm-Level Volatility: Causes and Consequences,"
NBER Chapters,in: NBER Macroeconomics Annual 2005, Volume 20, pages 167-228
National Bureau of Economic Research, Inc.
- Diego Comin & Thomas Philippon, 2005. "The Rise in Firm-Level Volatility: Causes and Consequences," NBER Working Papers 11388, National Bureau of Economic Research, Inc.
2005
- David K. Backus & Bryan R. Routledge & Stanley E. Zin, 2005.
"Exotic Preferences for Macroeconomists,"
NBER Chapters,in: NBER Macroeconomics Annual 2004, Volume 19, pages 319-414
National Bureau of Economic Research, Inc.
- David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," Working Papers 04-20, New York University, Leonard N. Stern School of Business, Department of Economics.
- David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," NBER Working Papers 10597, National Bureau of Economic Research, Inc.
1986
- Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics,in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038 Elsevier.
1984
- Engle, Robert F., 1984. "Wald, likelihood ratio, and Lagrange multiplier tests in econometrics," Handbook of Econometrics,in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 13, pages 775-826 Elsevier.
1980
- Robert F. Engle, 1980. "Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic," NBER Chapters,in: Evaluation of Econometric Models, pages 309-321 National Bureau of Economic Research, Inc.
1979
- Robert F. Engle, 1979.
"Estimating Structural Models of Seasonality,"
NBER Chapters,in: Seasonal Analysis of Economic Time Series, pages 281-308
National Bureau of Economic Research, Inc.
- Robert F. Engle, 1978. "Estimating Structural Models of Seasonality," NBER Chapters,in: Seasonal Analysis of Economic Time Series, pages 281-308 National Bureau of Economic Research, Inc.
1977
- Katharine Bradbury & Robert Engle & Owen Irvine & Jerome Rothenberg, 1977. "Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area," NBER Chapters,in: Residential Location and Urban Housing Markets, pages 51-92 National Bureau of Economic Research, Inc.
1976
- Robert F. Engle, 1976.
"Interpreting Spectral Analyses in Terms of Time-Domain Models,"
NBER Chapters,in: Annals of Economic and Social Measurement, Volume 5, number 1, pages 89-109
National Bureau of Economic Research, Inc.
- Robert F. Engle, 1974. "Interpreting Spectral Analyses in Terms of Time-Domain Models," NBER Working Papers 0037, National Bureau of Economic Research, Inc.
1972
- Robert F. Engle & Ta-Chung Liu, 1972. "Effects of Aggregation Over Time on Dynamic Characteristics of an Econometric Model," NBER Chapters,in: Econometric Models of Cyclical Behavior, Volumes 1 and 2, pages 673-737 National Bureau of Economic Research, Inc.
Software components
2009
- Bryan Routledge & Stanley Zin, 2009.
"Code files for "Model Uncertainty and Liquidity","
Computer Codes
08-143, Review of Economic Dynamics.
- Bryan Routledge & Stanley Zin, 2009. "Model Uncertainty and Liquidity," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(4), pages 543-566, October.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2009.
"Code and data files for "How Much Does Housing Collateral Constrain Regional Risk Sharing?","
Computer Codes
06-187, Review of Economic Dynamics.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2010. "How Much Does Household Collateral Constrain Regional Risk Sharing?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(2), pages 265-294, April.
2001
- Thomas Sargent & Stijn Van Nieuwerburgh, 2001. "Matlab code for the robustness in forward looking models, oligopoly example," QM&RBC Codes 32, Quantitative Macroeconomics & Real Business Cycles.