Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ G: Financial Economics
/ / G1: General Financial Markets
/ / / G10: General (includes Measurement and Data)
/ / / G11: Portfolio Choice; Investment Decisions
/ / / G12: Asset Pricing; Trading Volume; Bond Interest Rates
/ / / G13: Contingent Pricing; Futures Pricing
/ / / G14: Information and Market Efficiency; Event Studies; Insider Trading
/ / / G15: International Financial Markets
/ / / G17: Financial Forecasting and Simulation
/ / / G18: Government Policy and Regulation
/ / / G19: Other

2013

• Degiannakis, Stavros & Filis, George & Floros, Christos, 2013, "Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 26, issue C, pages 175-191, DOI: 10.1016/j.intfin.2013.05.007.
• Chen, Haojun & Maher, Daniela, 2013, "On the predictive role of large futures trades for S&P500 index returns: An analysis of COT data as an informative trading signal," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 27, issue C, pages 177-201, DOI: 10.1016/j.intfin.2013.09.004.
• Awartani, Basel & Maghyereh, Aktham I. & Shiab, Mohammad Al, 2013, "Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 27, issue C, pages 224-242, DOI: 10.1016/j.intfin.2013.08.002.
• Roychowdhury, Sugata & Martin, Xiumin, 2013, "Understanding discretion in conservatism: An alternative viewpoint," Journal of Accounting and Economics, Elsevier, volume 56, issue 2, pages 134-146, DOI: 10.1016/j.jacceco.2013.11.001.
• Dimitriou, Dimitrios & Simos, Theodore, 2013, "Testing purchasing power parity for Japan and the US: A structural-break approach," Japan and the World Economy, Elsevier, volume 28, issue C, pages 53-59, DOI: 10.1016/j.japwor.2013.07.001.
• Borensztein, Eduardo & Cowan, Kevin & Valenzuela, Patricio, 2013, "Sovereign ceilings “lite”? The impact of sovereign ratings on corporate ratings," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4014-4024, DOI: 10.1016/j.jbankfin.2013.07.006.
• Chou, Pin-Huang & Huang, Tsung-Yu & Yang, Hung-Jeh, 2013, "Arbitrage risk and the turnover anomaly," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4172-4182, DOI: 10.1016/j.jbankfin.2013.07.011.
• Qin, Zhenjiang, 2013, "Speculations in option markets enhance allocation efficiency with heterogeneous beliefs and learning," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 4675-4694, DOI: 10.1016/j.jbankfin.2013.07.045.
• Bregantini, Daniele, 2013, "Moment-based estimation of stochastic volatility," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 4755-4764, DOI: 10.1016/j.jbankfin.2013.08.008.
• Gradojevic, Nikola & Gençay, Ramazan, 2013, "Fuzzy logic, trading uncertainty and technical trading," Journal of Banking & Finance, Elsevier, volume 37, issue 2, pages 578-586, DOI: 10.1016/j.jbankfin.2012.09.012.
• Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2013, "Estimating non-linear serial and cross-interdependence between financial assets," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 837-846, DOI: 10.1016/j.jbankfin.2012.10.016.
• Ramiah, Vikash & Martin, Belinda & Moosa, Imad, 2013, "How does the stock market react to the announcement of green policies?," Journal of Banking & Finance, Elsevier, volume 37, issue 5, pages 1747-1758, DOI: 10.1016/j.jbankfin.2013.01.012.
• Jain, Bharat A. & Li, Joanne & Shao, Yingying, 2013, "Governance, product market competition and cash management in IPO firms," Journal of Banking & Finance, Elsevier, volume 37, issue 6, pages 2052-2068, DOI: 10.1016/j.jbankfin.2013.01.032.
• Reboredo, Juan C., 2013, "Is gold a safe haven or a hedge for the US dollar? Implications for risk management," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 2665-2676, DOI: 10.1016/j.jbankfin.2013.03.020.
• Jappelli, Tullio & Padula, Mario, 2013, "Investment in financial literacy and saving decisions," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 2779-2792, DOI: 10.1016/j.jbankfin.2013.03.019.
• Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013, "ETF arbitrage: Intraday evidence," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3486-3498, DOI: 10.1016/j.jbankfin.2013.05.014.
• Deck, Cary & Lin, Shengle & Porter, David, 2013, "Affecting policy by manipulating prediction markets: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, volume 85, issue C, pages 48-62, DOI: 10.1016/j.jebo.2012.10.017.
• Menkhoff, Lukas & Schmeling, Maik & Schmidt, Ulrich, 2013, "Overconfidence, experience, and professionalism: An experimental study," Journal of Economic Behavior & Organization, Elsevier, volume 86, issue C, pages 92-101, DOI: 10.1016/j.jebo.2012.12.022.
• Krieger, Kevin & Fodor, Andy, 2013, "Price movements and the prevalence of informed traders: The case of line movement in college basketball," Journal of Economics and Business, Elsevier, volume 68, issue C, pages 70-82, DOI: 10.1016/j.jeconbus.2013.04.002.
• Scheuer, Florian, 2013, "Adverse selection in credit markets and regressive profit taxation," Journal of Economic Theory, Elsevier, volume 148, issue 4, pages 1333-1360, DOI: 10.1016/j.jet.2013.04.010.
• Spiegel, Matthew & Zhang, Hong, 2013, "Mutual fund risk and market share-adjusted fund flows," Journal of Financial Economics, Elsevier, volume 108, issue 2, pages 506-528, DOI: 10.1016/j.jfineco.2012.05.018.
• Massa, Massimo & Yasuda, Ayako & Zhang, Lei, 2013, "Supply uncertainty of the bond investor base and the leverage of the firm," Journal of Financial Economics, Elsevier, volume 110, issue 1, pages 185-214, DOI: 10.1016/j.jfineco.2013.04.011.
• Akkoyun, H. Cagri & Arslan, Yavuz & Kanik, Birol, 2013, "Housing prices and transaction volume," Journal of Housing Economics, Elsevier, volume 22, issue 2, pages 119-134, DOI: 10.1016/j.jhe.2013.02.001.
• Reboredo, Juan C., 2013, "Is gold a hedge or safe haven against oil price movements?," Resources Policy, Elsevier, volume 38, issue 2, pages 130-137, DOI: 10.1016/j.resourpol.2013.02.003.
• Paciorek, Andrew, 2013, "Supply constraints and housing market dynamics," Journal of Urban Economics, Elsevier, volume 77, issue C, pages 11-26, DOI: 10.1016/j.jue.2013.04.001.
• Fan, Joseph P.H. & Gillan, Stuart L. & Yu, Xin, 2013, "Innovation or imitation?," Journal of Multinational Financial Management, Elsevier, volume 23, issue 3, pages 208-234, DOI: 10.1016/j.mulfin.2013.03.001.
• Ewing, Bradley T. & Malik, Farooq, 2013, "Volatility transmission between gold and oil futures under structural breaks," International Review of Economics & Finance, Elsevier, volume 25, issue C, pages 113-121, DOI: 10.1016/j.iref.2012.06.008.
• He, Yan & Wang, Junbo & Wu, Chunchi, 2013, "Domestic versus foreign equity shares: Which are more costly to trade in the Chinese market?," International Review of Economics & Finance, Elsevier, volume 27, issue C, pages 465-481, DOI: 10.1016/j.iref.2013.01.002.
• Hood, Matthew & Malik, Farooq, 2013, "Is gold the best hedge and a safe haven under changing stock market volatility?," Review of Financial Economics, Elsevier, volume 22, issue 2, pages 47-52, DOI: 10.1016/j.rfe.2013.03.001.
• Karmakar, Madhusudan, 2013, "Estimation of tail-related risk measures in the Indian stock market: An extreme value approach," Review of Financial Economics, Elsevier, volume 22, issue 3, pages 79-85, DOI: 10.1016/j.rfe.2013.05.001.
• Arturo Lorenzo Valdés & Ricardo Massa Roldán, 2013, "Measuring dependence in financial crisis: A copula approach for Mexico and Brazil," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, volume 0, issue 2, pages 341-355, July-Dece.
• Rangan Gupta & Monique Reid, 2013, "Macroeconomic surprises and stock returns in South Africa," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 30, issue 3, pages 266-282, July, DOI: 10.1108/SEF-Apr-2012-0049.
• Morten Balling & Peter Egger & Ernest Gnan (ed.), 2013, "States, Banks, and the Financing of the Economy: Fiscal Policy and Sovereign Risk Perspectives," SUERF Studies, SUERF - The European Money and Finance Forum, number 2013/2, ISBN: ARRAY(0xa8858b10), May.
• Debabrata Mukhopadhyay & Nityananda Sarkar, 2013, "Stock Returns Under Alternative Volatility and Distributional Assumptions: The Case for India," International Econometric Review (IER), Economic Research Association, volume 5, issue 1, pages 1-19, April.
• Dawa Sherpa, 2013, "Critical Evaluation of Basel III as Prudential Regulation and its Consequences in Developing Countries’ Credit Needs," EY International Congress on Economics I (EYC2013), October 24-25, 2013, Ankara, Turkey, Ekonomik Yaklasim Association, number 253.
• Andrew Foerster & Juan Rubio-Ramirez & Dan Waggoner & Ta Zha, 2013, "Perturbation Methods for Markov-Switching DSGE Models," Working Papers, FEDEA, number 2013-22, Dec.
• Giorgos Argitis & Stella Michopoulou, 2013, "Studies in Financial Systems No 4 Financialization and the Greek Financial System," FESSUD studies, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project, number fstudy04, Apr.
• Tobias Adrian & Michael J. Fleming & Jonathan Goldberg & Morgan Lewis & Fabio M. Natalucci & Jason J. Wu, 2013, "Dealer Balance Sheet Capacity and Market Liquidity during the 2013 Selloff in Fixed Income Markets," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2013-10-16, Oct, DOI: 10.17016/2380-7172.0004.
• Stefania D'Amico & Roger Fan & Yuriy Kitsul, 2013, "The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2013-22, Nov.
• Dan Bernhardt & Ed Nosal, 2013, "Gambling for Dollars: Strategic Hedge Fund Manager Investment," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2013-23, Nov.
• Andrew T. Foerster & Juan F. Rubio-Ramirez & Daniel F. Waggoner & Tao Zha, 2013, "Perturbation methods for Markov-switching DSGE model," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 13-01.
• Joseph P. Hughes & Loretta J. Mester, 2013, "Measuring the performance of banks: theory, practice, evidence, and some policy implications," Working Papers, Federal Reserve Bank of Philadelphia, number 13-31.
• Grigore BELOSTECINIC, 2013, "Through Financial Stability To Sustainable Economic Growth," Review of General Management, Spiru Haret University, Faculty of Management Brasov, volume 18, issue 2, pages 20-37, November.
• Nikita Andrievskiy & Elizaveta Khudko, 2013, "Financial Markets in Russia in March 2013," Russian Economic Development, Gaidar Institute for Economic Policy, issue 4, pages 12-16, April.
• Nikita Andrievskiy & Elizaveta Khudko, 2013, "Financial Markets in Russia in April 2013," Russian Economic Development, Gaidar Institute for Economic Policy, issue 5, pages 12-16, May.
• Nikita Andrievskiy & Elizaveta Khudko, 2013, "Financial Markets in Russia in May 2013," Russian Economic Development, Gaidar Institute for Economic Policy, issue 6, pages 14-18, June.
• Nikita Andrievskiy & Elizaveta Khudko, 2013, "Russian Financial Markets In June 2013," Russian Economic Development, Gaidar Institute for Economic Policy, issue 7, pages 11-14, July.
• Nikita Andrievskiy & Elizaveta Khudko, 2013, "Russia’S Financial Markets In July 2013," Russian Economic Development, Gaidar Institute for Economic Policy, issue 8, pages 11-14, August.
• Nikita Andrievskiy & Elizaveta Khudko, 2013, "Financial Market In August 2013," Russian Economic Development, Gaidar Institute for Economic Policy, issue 9, pages 8-11, September.
• Nikita Andrievskiy & Elizaveta Khudko, 2013, "FINANCIAL MARKET IN September 2013," Russian Economic Development, Gaidar Institute for Economic Policy, issue 10, pages 15-17, October.
• Nataliya Polezhaeva, 2013, "The Prospects For Self??Regulation Of Financial Markets: The State Regulator’S Influence In On The Increase," Russian Economic Development, Gaidar Institute for Economic Policy, issue 11, pages 37-40, November.
• Nikita Andrievskiy & Elizaveta Khudko, 2013, "FINANCIAL MARKET IN October 2013," Russian Economic Development, Gaidar Institute for Economic Policy, issue 11, pages 8-11, November.
• Nikita Andrievskiy & Elizaveta Khudko, 2013, "Financial Market In November 2013," Russian Economic Development, Gaidar Institute for Economic Policy, issue 12, pages 12-14, December.
• Natalia Burkova & Elizaveta Khudko, 2013, "Financial Markets," Russian Economic Development, Gaidar Institute for Economic Policy, issue 1, pages 17-24, January.
• Nikita Andrievskiy & Elizaveta Khudko, 2013, "Financial Markets," Russian Economic Development, Gaidar Institute for Economic Policy, issue 2, pages 16-22, February.
• Nikita Andrievskiy & Elizaveta Khudko, 2013, "Financial Markets in February 2013," Russian Economic Development, Gaidar Institute for Economic Policy, issue 3, pages 13-17, March.
• Nikita Andrievskiy & Elizaveta Khudko, 2013, "Финансовые Рынки," Russian Economic Development (in Russian), Gaidar Institute for Economic Policy, issue 12, pages 10-13, декабрь.

2012

• Annastiina Silvennoinen & Timo Teräsvirta, 2012, "Modelling conditional correlations of asset returns: A smooth transition approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-09, 02.
• Almut E. D. Veraart & Luitgard A. M. Veraart, 2012, "Modelling electricity day–ahead prices by multivariate Lévy semistationary processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-13, Mar.
• Peter O. Christensen & Zhenjiang Qin, 2012, "Information and Heterogeneous Beliefs: Cost of Capital, Trading Volume, and Investor Welfare," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-22, 04.
• Zhenjiang Qin, 2012, "Heterogeneous Beliefs, Public Information, and Option Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-23, 04.
• Zhenjiang Qin, 2012, "Continuous Trading Dynamically Effectively Complete Market with Heterogeneous Beliefs," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-24, 04.
• Lasse Bork & Stig V. Møller, 2012, "Housing price forecastability: A factor analysis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-27, May.
• Eric Hillebrand & Tae-Hwy Lee & Marcelo C. Medeiros, 2012, "Let's Do It Again: Bagging Equity Premium Predictors," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-41, Sep.
• Jean Tirole, 2012, "Overcoming Adverse Selection: How Public Intervention Can Restore Market Functioning," American Economic Review, American Economic Association, volume 102, issue 1, pages 29-59, February.
• Zhiguo He & Wei Xiong, 2012, "Debt Financing in Asset Markets," American Economic Review, American Economic Association, volume 102, issue 3, pages 88-94, May.
• Veronica Guerrieri & Peter Kondor, 2012, "Fund Managers, Career Concerns, and Asset Price Volatility," American Economic Review, American Economic Association, volume 102, issue 5, pages 1986-2017, August.
• Arne Breuer & Oliver Sauter, 2012, "The Impact of a Sovereign Default within the Euro Zone on the Exchange Rate," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, volume 58, issue 1, pages 1-18, DOI: 10.3790/aeq.58.1.1.
• Brorsen, B. Wade, 2012, "Discussion: Agricultural Commodities and Agribusiness Stocks as Financial Assets," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 44, issue 3, pages 1-3, August, DOI: 10.22004/ag.econ.130282.
• Beteto, Danilo Lopomo, , "Government Intervention and Financial Fragility," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 156477, DOI: 10.22004/ag.econ.156477.
• Dorel Berceanu & Nicolae Sichigea & Daniel Militaru, 2012, "Study On The Dividend Policy Analysis At Financial Invesment Companies," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 3, issue 40, pages 55-66.
• Taamouti, Abderrahim & Bouezmarni, Taoufik & El Ghouch, Anouar, 2012, "Nonparametric Estimation and Inference for Granger Causality Measures," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2012009, Jan.
• Rajnish Mehra, 2012, "Consumption-Based Asset Pricing Models," Annual Review of Financial Economics, Annual Reviews, volume 4, issue 1, pages 385-409, October.
• Robert J. Barro & José F. Ursúa, 2012, "Rare Macroeconomic Disasters," Annual Review of Economics, Annual Reviews, volume 4, issue 1, pages 83-109, July.
• Xisong Jin & Francisco Nadal De Simone, 2012, "An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal," BCL working papers, Central Bank of Luxembourg, number 75, Jul.
• Delamarre, F., 2012, "Les crédits nouveaux à l’habitat des ménages : tendances récentes," Bulletin de la Banque de France, Banque de France, issue 189, pages 37-46.
• F. Delamarre., 2012, "New housing loans to households: recent trends," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 27, pages 41-56, Autumn.
• Laivi Laidroo & Zana Grigaliuniene, 2012, "Testing for asymmetries in price reactions to quarterly earnings announcements on Tallinn, Riga and Vilnius Stock Exchanges during 2000-2009," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, volume 12, issue 1, pages 61-86, July.
• Davide Furceri & Aleksandra Zdzienicka, 2012, "The Consequences of Banking Crises for Public Debt," International Finance, Wiley Blackwell, volume 15, issue 3, pages 289-307, December, DOI: 10.1111/j.1468-2362.2013.12003.x.
• Rasim Ozcan, 2012, "An Analysis of Manipulation Strategies in Stock Markets," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, volume 13, issue 49, pages 19-37.
• Pradosh Simlai, 2012, "Endogenous Information, Risk Characterization, and the Predictability of Average Stock Returns," Brazilian Review of Finance, Brazilian Society of Finance, volume 10, issue 3, pages 291-315.
• David Le Bris, 2012, "La volatilité des actions françaises sur le long terme," Revue économique, Presses de Sciences-Po, volume 63, issue 3, pages 569-580.
• André Grjebine, 2012, "L'Eurosystème : un mécanisme de transferts en faveur des pays déficitaires ?. Le débat," Revue de l'OFCE, Presses de Sciences-Po, volume 0, issue 7, pages 269-298.
• Liu, Chunping & Minford, Patrick, 2012, "How important is the credit channel? An empirical study of the US banking crisis," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2012/22, Aug, revised Dec 2013.
• Paul Jenkins & Gordon Thiessen, 2012, "Reducing the Potential for Future Financial Crises: A Framework for Macro-Prudential Policy in Canada," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 351, May.
• Case, Karl E. & Quigley, John M. & Shiller, Robert J., 2012, "Comparing Wealth Effects: The Stock Market versus The Housing Market," Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley, number qt6px1d1sc, Jan.
• Claudio Raddatz & Sergio L. Schmukler, 2012, "On the International Transmission of Shocks: Micro – Evidence From Mutual Fund Portfolios," Working Papers Central Bank of Chile, Central Bank of Chile, number 668, Jun.
• Thai-Ha Le & Youngho Chang, 2012, "Oil Price Shocks and Gold Returns," International Economics, CEPII research center, issue 131, pages 71-104.
• Markus K. Brunnermeier & Thomas M. Eisenbach & Yuliy Sannikov, 2012, "Macroeconomics with Financial Frictions: A Survey," Levine's Working Paper Archive, David K. Levine, number 786969000000000384, Feb.
• Raicu Gabriel & Stanca Costel & Raicu Alexandra, 2012, "Business cycles and economic distortions," Constanta Maritime University Annals, Constanta Maritime University, volume 17, issue 1, pages 295-298.
• Dragan Cristian, 2012, "Quality strategies in the market process," Constanta Maritime University Annals, Constanta Maritime University, volume 18, issue 2, pages 271-274.
• Mery Cecilia GUZMAN DELGADO, 2012, "Pricing An Explicit Guarantee:Implications of Passive Association in Transfer Pricing Rules," Archivos de Economía, Departamento Nacional de Planeación, number 9905, Aug.
• Andrés Ramírez Hassan & Maribel Serna Rodriguez, 2012, "Validación empírica del modelo CAPM para Colombia 2003-2010," Revista Ecos de Economía, Universidad EAFIT.
• Jhon Jair González Pulgarín & Juan Pablo Henao Guzmán, 2012, "Una nueva forma de concentración de la tierra en Colombia:la ley 1448 de 2011," Revista Ecos de Economía, Universidad EAFIT.
• Jose Julián Cao Alvira & Lorena Andrea Palacios Chacón, 2012, "Evidencia empírica de la curva S en las balanzas comerciales bilaterales de Colombia," Revista Ecos de Economía, Universidad EAFIT.
• Yessica González Londono & Mauricio Zuluaga Carmona & Cecilia Maya Ochoa, 2012, "Enfoque de opciones reales para la valoración financiera de marcas," Revista Ad-Minister, Universidad EAFIT.
• Fratzscher, Marcel & Forbes, Kristin & Straub, Roland, 2012, "Bubble Thy Neighbor: Portfolio Effects and Externalities from Capital Controls," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8979, May.
• Schmukler, Sergio & Raddatz, Claudio, 2012, "On the International Transmission of Shocks: Micro-Evidence From Mutual Fund Portfolios," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9070, Aug.
• Minford, Patrick & Liu, Chunping, 2012, "How important is the credit channel? An empirical study of the US banking crisis," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9142, Sep.
• Wolff, Christian & Lehnert, Thorsten & Jin, Xisong & Bekkour, Lamia & Rasmouki, Fanou, 2012, "Euro at Risk: The Impact of Member Countries? Credit Risk on the Stability of the Common Currency," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9229, Nov.
• Taamouti, Abderrahim & Bouezmarni, Taoufik & El Ghouch, Anouar, 2012, "Nonparametric estimation and inference for Granger causality measures," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 14150, Mar.
• Bouezmarni, Taoufik & Taamouti, Abderrahim, 2012, "Nonparametric tests for conditional independence using conditional distributions," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1217, Jan.
• Brorsen, B. Wade, 2012, "Discussion: Agricultural Commodities and Agribusiness Stocks as Financial Assets," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 44, issue 3, pages 397-399, August.
• Karl E. Case & John M. Quigley & Robert J. Shiller, 2012, "Wealth Effects Revisited 1975-2012," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1884, Dec.
• Batsch, Laurent (ed.), 2012, "Caractéristiques statistiques et dynamique de prix des produits dérivés immobiliers," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/10918.
• Christos Kollias & Stephanos Papadamou & Costas Siriopoulos, 2012, "Terrorism Induced Cross-Market Transmission of Shocks: A Case Study Using Intraday Data," Economics of Security Working Paper Series, DIW Berlin, German Institute for Economic Research, number 66.
• Christos Kollias & Stephanos Papadamou, 2012, "Rogue State Behavior and Markets: The Financial Fallout of North Korean Nuclear Tests," Economics of Security Working Paper Series, DIW Berlin, German Institute for Economic Research, number 67.
• Annabel Oelmann & Ralf Scherfling, 2012, "Riester-Rente - Reformen und ein staatliches Basisprodukt sind dringend erforderlich," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 81, issue 2, pages 245-253, DOI: 10.3790/vjh.81.2.245.
• Westerlund, Joakim & Narayan, Paresh, 2012, "Does the choice of estimator matter when forecasting returns?," Working Papers, Deakin University, Department of Economics, number fe_2012_01, Jan, DOI: 10.1016/j.jbankfin.2012.06.005.
• Sharma, Susan & Thuraisamy, Sivananthan, 2012, "Oil Price Uncertainty and Sovereign Risk: Evidence from Asian Economies," Working Papers, Deakin University, Department of Economics, number fe_2012_02, Dec, DOI: 10.1016/j.asieco.2013.06.001.
• Suresh K. G. & Aviral Kumar Tiwari & Anto Joseph, 2012, "Are the emerging bric stock markets efficient?," Economics Bulletin, AccessEcon, volume 32, issue 2, pages 1261-1271.
• Jean-michel Sahut & Medhi Mili & Frédéric Teulon, 2012, "What is the linkage between real growth in the Euro area and global financial market conditions?," Economics Bulletin, AccessEcon, volume 32, issue 3, pages 2464-2480.
• David G McMillan, 2012, "Long-run stock price-house price relation: evidence from an ESTR model," Economics Bulletin, AccessEcon, volume 32, issue 2, pages 1737-1746.
• Jaqueson K. Galimberti & Sergio da Silva, 2012, "An empirical case against the use of genetic-based learning classifier systems as forecasting devices," Economics Bulletin, AccessEcon, volume 32, issue 1, pages 354-369.
• Kuang-Liang Chang, 2012, "Stock return predictability and stationarity of dividend yield," Economics Bulletin, AccessEcon, volume 32, issue 1, pages 715-729.
• Shaheen Seedat & Alexander Zimper, 2012, "Existence of speculative bubbles when time-horizons are finite," Economics Bulletin, AccessEcon, volume 32, issue 1, pages 251-259.
• Makram El-Shagi, 2012, "Protect and survive? Did capital controls help shield emerging markets from the crisis?," Economics Bulletin, AccessEcon, volume 32, issue 1, pages 1-6.
• Takashi Miyazaki & Yuki Toyoshima & Shigeyuki Hamori, 2012, "Exploring the dynamic interdependence between gold and other financial markets," Economics Bulletin, AccessEcon, volume 32, issue 1, pages 37-50.
• Elena D'alfonso & Luigi Moretti, 2012, "The finance-growth nexus in ceec: new evidence from a survey-based indicator of external financial dependence," Economics Bulletin, AccessEcon, volume 32, issue 3, pages 2688-2699.
• Benoît Sévi & César Baena, 2012, "A reassessment of the risk-return tradeoff at the daily horizon," Economics Bulletin, AccessEcon, volume 32, issue 1, pages 190-203.
• Fabio Pizzutilo, 2012, "Use of the Pearson System of Frequency Curves for the Analysis of Stock Return Distributions: Evidence and Implications for the Italian Market," Economics Bulletin, AccessEcon, volume 32, issue 1, pages 272-281.
• Hans Bystrom, 2012, "Executive compensation based on asset values," Economics Bulletin, AccessEcon, volume 32, issue 2, pages 1504-1508.
• Yunmi Kim, 2012, "Autoregressive conditional beta," Economics Bulletin, AccessEcon, volume 32, issue 2, pages 1489-1494.
• Raphaëlle Bellando, 2012, "The bias in a standard measure of herding," Economics Bulletin, AccessEcon, volume 32, issue 2, pages 1537-1544.
• Walid Chkili, 2012, "Is currency risk priced for emerging stock markets?," Economics Bulletin, AccessEcon, volume 32, issue 3, pages 2267-2280.
• Robert Czudaj & Joscha Beckmann, 2012, "Spot and futures commodity markets and the unbiasedness hypothesis - evidence from a novel panel unit root test," Economics Bulletin, AccessEcon, volume 32, issue 2, pages 1695-1707.
• Xuelong Wang, 2012, "Financial Development and Rural-Urban Inequality: Evidence from China," Economics Bulletin, AccessEcon, volume 32, issue 2, pages 1625-1639.
• Mahalia Jackman, 2012, "Foreign exchange intervention in a small open economy with a long term peg," Economics Bulletin, AccessEcon, volume 32, issue 3, pages 2207-2219.
• Aymen Belgacem & Amine Lahiani, 2012, "More on the impact of US macroeconomic announcements: Evidence from French and German stock markets' volatility," Economics Bulletin, AccessEcon, volume 32, issue 2, pages 1509-1526.
• João Caldeira & Guilherme Moura & André A.P. Santos, 2012, "Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market," Economics Bulletin, AccessEcon, volume 32, issue 3, pages 1848-1857.
• Stoyu I. Ivanov, 2012, "Analysis of Firm Risk around S&P 500 Index Changes," Economics Bulletin, AccessEcon, volume 32, issue 2, pages 1576-1589.
• Hideaki Sakawa & Masato Ubukata, 2012, "Does Pre-trade Transparency Affect Market Quality in the Tokyo Stock Exchange?," Economics Bulletin, AccessEcon, volume 32, issue 3, pages 2103-2112.
• Faisal Nawaz & Abdul Qayyum, 2012, "Estimation of value at risk for financial returns of pakistan using archimedean copula," Economics Bulletin, AccessEcon, volume 32, issue 3, pages 1-26.
• Carmine Trecroci, 2012, "Uncertainty and the Dynamics of Multifactor Loadings and Pricing Errors," Economics Bulletin, AccessEcon, volume 32, issue 3, pages 2453-2463.
• Marcelo Brutti Righi & Paulo Sergio Ceretta, 2012, "Copula based Dynamic Hedging Strategy with Futures," Economics Bulletin, AccessEcon, volume 32, issue 4, pages 3394-3400.
• Ali Mirzaei & Guy Liu & John Beirne, 2012, "Market Structure and Bank Profitability: Emerging versus Advanced Economies," Economics Bulletin, AccessEcon, volume 32, issue 4, pages 3166-3173.
• Renato Bruni & Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2012, "A new stochastic dominance approach to enhanced index tracking problems," Economics Bulletin, AccessEcon, volume 32, issue 4, pages 3460-3470.
• Shue-Jen Wu & Wei-Ming Lee, 2012, "Predicting the U.S. bear stock market using the consumption-wealth ratio," Economics Bulletin, AccessEcon, volume 32, issue 4, pages 3174-3181.
• Francisco Covas & Wouter J. Den Haan, 2012, "The Role of Debt and Equity Finance Over the Business Cycle," Economic Journal, Royal Economic Society, volume 122, issue 565, pages 1262-1286, December, DOI: j.1468-0297.2012.02528.x.
• Alexander, Carol & Cordeiro, Gauss M. & Ortega, Edwin M.M. & Sarabia, José María, 2012, "Generalized beta-generated distributions," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 6, pages 1880-1897, DOI: 10.1016/j.csda.2011.11.015.
• Tuckett, David, 2012, "Financial markets are markets in stories: Some possible advantages of using interviews to supplement existing economic data sources," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 8, pages 1077-1087, DOI: 10.1016/j.jedc.2012.03.013.
• Hyung, Namwon & de Vries, Casper G., 2012, "Simulating and calibrating diversification against black swans," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 8, pages 1162-1175, DOI: 10.1016/j.jedc.2012.03.007.
• Rushdi, Mustabshira & Kim, Jae H. & Silvapulle, Param, 2012, "ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia," Economic Modelling, Elsevier, volume 29, issue 3, pages 535-543, DOI: 10.1016/j.econmod.2011.12.017.
• Chen, Nan-Kuang & Cheng, Han-Liang & Mao, Ching-Sheng, 2012, "House price, mortgage premium, and business fluctuations," Economic Modelling, Elsevier, volume 29, issue 4, pages 1388-1398, DOI: 10.1016/j.econmod.2012.02.019.
• Acaravci, Ali & Ozturk, Ilhan & Kandir, Serkan Yilmaz, 2012, "Natural gas prices and stock prices: Evidence from EU-15 countries," Economic Modelling, Elsevier, volume 29, issue 5, pages 1646-1654, DOI: 10.1016/j.econmod.2012.05.006.
• Bouchouicha, Ranoua & Ftiti, Zied, 2012, "Real estate markets and the macroeconomy: A dynamic coherence framework," Economic Modelling, Elsevier, volume 29, issue 5, pages 1820-1829, DOI: 10.1016/j.econmod.2012.05.034.
• Beg, A.B.M. Rabiul Alam & Anwar, Sajid, 2012, "Sources of volatility persistence: A case study of the U.K. pound/U.S. dollar exchange rate returns," The North American Journal of Economics and Finance, Elsevier, volume 23, issue 2, pages 165-184, DOI: 10.1016/j.najef.2012.02.001.
• Huisman, Ronald & van der Sar, Nico L. & Zwinkels, Remco C.J., 2012, "A new measurement method of investor overconfidence," Economics Letters, Elsevier, volume 114, issue 1, pages 69-71, DOI: 10.1016/j.econlet.2011.09.022.
• Bruce, A.C. & Johnson, J.E.V. & Peirson, J., 2012, "Recreational versus professional bettors: Performance differences and efficiency implications," Economics Letters, Elsevier, volume 114, issue 2, pages 172-174, DOI: 10.1016/j.econlet.2011.10.014.
• Beladi, Hamid & Oladi, Reza & Tay, Nicholas S.P., 2012, "On competition for listings," Economics Letters, Elsevier, volume 114, issue 3, pages 315-318, DOI: 10.1016/j.econlet.2011.09.006.
• Gradojevic, Nikola, 2012, "Frequency domain analysis of foreign exchange order flows," Economics Letters, Elsevier, volume 115, issue 1, pages 73-76, DOI: 10.1016/j.econlet.2011.11.045.
• Förch, Thomas & Sunde, Uwe, 2012, "Central bank independence and stock market returns in emerging economies," Economics Letters, Elsevier, volume 115, issue 1, pages 77-80, DOI: 10.1016/j.econlet.2011.11.030.
• Caporale, Tony, 2012, "Time varying CAPM betas and banking sector risk," Economics Letters, Elsevier, volume 115, issue 2, pages 293-295, DOI: 10.1016/j.econlet.2011.12.056.
• Andrada-Félix, Julián & Fernández-Rodríguez, Fernando & Sosvilla-Rivero, Simón, 2012, "Historical financial analogies of the current crisis," Economics Letters, Elsevier, volume 116, issue 2, pages 190-192, DOI: 10.1016/j.econlet.2012.02.015.
• Lin, Jianhao & Wang, Meijin & Cai, Lingfeng, 2012, "Are the Fama–French factors good proxies for latent risk factors? Evidence from the data of SHSE in China," Economics Letters, Elsevier, volume 116, issue 2, pages 265-268, DOI: 10.1016/j.econlet.2012.02.026.
• Oxman, Jeffrey, 2012, "Price inflation and stock returns," Economics Letters, Elsevier, volume 116, issue 3, pages 385-388, DOI: 10.1016/j.econlet.2012.04.024.
• Miyanishi, Masako, 2012, "Testing the single-factor model in the presence of persistent regressors," Economics Letters, Elsevier, volume 116, issue 3, pages 634-636, DOI: 10.1016/j.econlet.2012.07.006.
• Goddard, John & Onali, Enrico, 2012, "Short and long memory in stock returns data," Economics Letters, Elsevier, volume 117, issue 1, pages 253-255, DOI: 10.1016/j.econlet.2012.05.016.
• Kolev, Gueorgui I., 2012, "Underperformance by female CEOs: A more powerful test," Economics Letters, Elsevier, volume 117, issue 2, pages 436-440, DOI: 10.1016/j.econlet.2012.06.028.
• Aleskerov, Fuad & Egorova, Lyudmila, 2012, "Is it so bad that we cannot recognize black swans?," Economics Letters, Elsevier, volume 117, issue 3, pages 563-565, DOI: 10.1016/j.econlet.2012.04.078.
• Taylor, Nicholas, 2012, "Measuring the economic value of loan advice," Economics Letters, Elsevier, volume 117, issue 3, pages 615-618, DOI: 10.1016/j.econlet.2012.08.006.
• Almeida, Caio & Garcia, René, 2012, "Assessing misspecified asset pricing models with empirical likelihood estimators," Journal of Econometrics, Elsevier, volume 170, issue 2, pages 519-537, DOI: 10.1016/j.jeconom.2012.05.020.
• Wang, Zhenyu & Zhang, Xiaoyan, 2012, "Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims," Journal of Empirical Finance, Elsevier, volume 19, issue 1, pages 65-78, DOI: 10.1016/j.jempfin.2011.11.001.
• Ferreira Filipe, Sara, 2012, "Equity order flow and exchange rate dynamics," Journal of Empirical Finance, Elsevier, volume 19, issue 3, pages 359-381, DOI: 10.1016/j.jempfin.2012.03.002.
• Fang, Yi, 2012, "Aggregate investor preferences and beliefs in stock market: A stochastic dominance analysis," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 528-547, DOI: 10.1016/j.jempfin.2012.04.008.
• Chung, Dennis Y. & Hrazdil, Karel, 2012, "Speed of convergence to market efficiency: The role of ECNs," Journal of Empirical Finance, Elsevier, volume 19, issue 5, pages 702-720, DOI: 10.1016/j.jempfin.2012.08.006.
• Lindström, Erik & Regland, Fredrik, 2012, "Modeling extreme dependence between European electricity markets," Energy Economics, Elsevier, volume 34, issue 4, pages 899-904, DOI: 10.1016/j.eneco.2012.04.006.
• Demirer, Rıza & Kutan, Ali M. & Shen, Fanglin, 2012, "The effect of ethanol listing on corn prices: Evidence from spot and futures markets," Energy Economics, Elsevier, volume 34, issue 5, pages 1400-1406, DOI: 10.1016/j.eneco.2012.06.018.
• Silvério, Renan & Szklo, Alexandre, 2012, "The effect of the financial sector on the evolution of oil prices: Analysis of the contribution of the futures market to the price discovery process in the WTI spot market," Energy Economics, Elsevier, volume 34, issue 6, pages 1799-1808, DOI: 10.1016/j.eneco.2012.07.014.
• Chevallier, Julien & Sévi, Benoît, 2012, "On the volatility–volume relationship in energy futures markets using intraday data," Energy Economics, Elsevier, volume 34, issue 6, pages 1896-1909, DOI: 10.1016/j.eneco.2012.08.024.
• Nepal, Rabindra & Jamasb, Tooraj, 2012, "Interconnections and market integration in the Irish Single Electricity Market," Energy Policy, Elsevier, volume 51, issue C, pages 425-434, DOI: 10.1016/j.enpol.2012.08.047.
• Alsakka, Rasha & ap Gwilym, Owain, 2012, "Rating agencies' credit signals: An analysis of sovereign watch and outlook," International Review of Financial Analysis, Elsevier, volume 21, issue C, pages 45-55, DOI: 10.1016/j.irfa.2011.10.002.
• Kourtis, Apostolos & Markellos, Raphael N. & Psychoyios, Dimitris, 2012, "Wine price risk management: International diversification and derivative instruments," International Review of Financial Analysis, Elsevier, volume 22, issue C, pages 30-37, DOI: 10.1016/j.irfa.2012.02.001.
• Murphy, Austin, 2012, "Biology-induced effects on investor psychology and behavior," International Review of Financial Analysis, Elsevier, volume 24, issue C, pages 20-25, DOI: 10.1016/j.irfa.2012.07.001.
• Piccioni, Joao Luiz & Sheng, Hsia Hua & Lora, Mayra Ivanoff, 2012, "Mutual fund managers stock preferences in Latin America," International Review of Financial Analysis, Elsevier, volume 24, issue C, pages 38-47, DOI: 10.1016/j.irfa.2012.07.003.
• Choudhry, Taufiq & Jayasekera, Ranadeva, 2012, "Comparison of efficiency characteristics between the banking sectors of US and UK during the global financial crisis of 2007–2011," International Review of Financial Analysis, Elsevier, volume 25, issue C, pages 106-116, DOI: 10.1016/j.irfa.2012.09.002.
• Hjalmarsson, Erik, 2012, "Some curious power properties of long-horizon tests," Finance Research Letters, Elsevier, volume 9, issue 2, pages 81-91, DOI: 10.1016/j.frl.2011.10.001.
• Fang, Yan & Ielpo, Florian & Sévi, Benoît, 2012, "Empirical bias in intraday volatility measures," Finance Research Letters, Elsevier, volume 9, issue 4, pages 231-237, DOI: 10.1016/j.frl.2012.08.001.
• Krainer, Robert E., 2012, "Regulating Wall Street: The Dodd–Frank Act and the New Architecture of Global Finance, a review," Journal of Financial Stability, Elsevier, volume 8, issue 2, pages 121-133, DOI: 10.1016/j.jfs.2011.05.001.
• Vazquez, Francisco & Tabak, Benjamin M. & Souto, Marcos, 2012, "A macro stress test model of credit risk for the Brazilian banking sector," Journal of Financial Stability, Elsevier, volume 8, issue 2, pages 69-83, DOI: 10.1016/j.jfs.2011.05.002.
• Al-Khasawneh, Jamal Ali & Essaddam, Naceur, 2012, "Market reaction to the merger announcements of US banks: A non-parametric X-efficiency framework," Global Finance Journal, Elsevier, volume 23, issue 3, pages 167-183, DOI: 10.1016/j.gfj.2012.10.003.
• Bertaut, Carol & DeMarco, Laurie Pounder & Kamin, Steven & Tryon, Ralph, 2012, "ABS inflows to the United States and the global financial crisis," Journal of International Economics, Elsevier, volume 88, issue 2, pages 219-234, DOI: 10.1016/j.jinteco.2012.04.001.
• Wang, Ping & Moore, Tomoe, 2012, "The integration of the credit default swap markets during the US subprime crisis: Dynamic correlation analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 1, pages 1-15, DOI: 10.1016/j.intfin.2011.07.001.
• Badreddine, Sina & Galariotis, Emilios C. & Holmes, Phil, 2012, "The relevance of information and trading costs in explaining momentum profits: Evidence from optioned and non-optioned stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 3, pages 589-608, DOI: 10.1016/j.intfin.2012.03.001.
• Diebold, Francis X. & Yilmaz, Kamil, 2012, "Better to give than to receive: Predictive directional measurement of volatility spillovers," International Journal of Forecasting, Elsevier, volume 28, issue 1, pages 57-66, DOI: 10.1016/j.ijforecast.2011.02.006.
• Bilinski, Pawel & Liu, Weimin & Strong, Norman, 2012, "Does liquidity risk explain low firm performance following seasoned equity offerings?," Journal of Banking & Finance, Elsevier, volume 36, issue 10, pages 2770-2785, DOI: 10.1016/j.jbankfin.2012.07.009.
• Hautsch, Nikolaus & Ou, Yangguoyi, 2012, "Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 2988-3007, DOI: 10.1016/j.jbankfin.2012.06.020.
• Hackethal, Andreas & Haliassos, Michael & Jappelli, Tullio, 2012, "Financial advisors: A case of babysitters?," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 509-524, DOI: 10.1016/j.jbankfin.2011.08.008.