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

2008

• Vayanos, Dimitri & Greenwood, Robin, 2008, "Bond Supply and Excess Bond Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 6694, Feb.
• Kollmann, Robert & Martin, Philippe & Coeurdacier, Nicolas, 2008, "International Portfolios, Capital Accumulation and Foreign Assets Dynamics," CEPR Discussion Papers, Centre for Economic Policy Research, number 6902, Jul.
• Michelacci, Claudio & Schivardi, Fabiano, 2008, "Does Idiosyncratic Business Risk Matter?," CEPR Discussion Papers, Centre for Economic Policy Research, number 6910, Jul.
• Buiter, Willem, 2008, "Housing Wealth isn't Wealth," CEPR Discussion Papers, Centre for Economic Policy Research, number 6920, Jul.
• Vayanos, Dimitri & Woolley, Paul, 2008, "An Institutional Theory of Momentum and Reversal," CEPR Discussion Papers, Centre for Economic Policy Research, number 7068, Dec.
• Gonzalo, Jesús & Olmo, José, 2008, "Testing downside risk efficiency under market distress," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we084321, Sep.
• Dufour, Jean-Marie & García, René & Taamouti, Abderrahim, 2008, "Measuring causality between volatility and returns with high-frequency data," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we084422, Sep.
• Chiarella, C. & Iori, G. & Perello, J., 2008, "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Working Papers, Department of Economics, City St George's, University of London, number 08/04.
• Gonzalo, J. & Olmo, J., 2008, "Testing Downside Risk Efficiency Under Market Distress," Working Papers, Department of Economics, City St George's, University of London, number 08/11.
• Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy, 2008, "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 43, issue 2, pages 331-353, June.
• De Jong, Frank, 2008, "Valuation of pension liabilities in incomplete markets," Journal of Pension Economics and Finance, Cambridge University Press, volume 7, issue 3, pages 277-294, November.
• J. Doyne Farmer & John Geanakoplos, 2008, "The Virtues and Vices of Equilibrium and the Future of Financial Economics," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1647, Mar.
• Batsch, Laurent (ed.), 2008, "Les déterminants du coût du capital des petites capitalisations : application aux segments B et C de la Bourse de Paris," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/121.
• Thai Ha Huy & Cuong Le Van & Manh Hung Nguyen, 2008, "No arbitrage condition and existence of equilibrium in infinite or finite dimension with expected risk averse utilities," Working Papers, Development and Policies Research Center (DEPOCEN), Vietnam, number 38, Jul.
• Poonam Gupta & Rana Hasan & Utsav Kumar, 2008, "What Constrains Indian Manufacturing?," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 22162, Jan.
• Sandrine LARDIC & Karine MICHALON & François DOSSOU, 2008, "Can earnings forecasts be improved by taking into account the forecast bias?," Economics Bulletin, AccessEcon, volume 7, issue 11, pages 1-20.
• Yu-Lieh Huang & Chia-Wen Ho, 2008, "Demarcating stable and turbulent regimes in Taiwan's stock market," Economics Bulletin, AccessEcon, volume 3, issue 35, pages 1-11.
• Gerhard Kling, 2008, "Disclosure of mergers without regulatory restrictions: Insider trading in pre-1914 Germany," Economics Bulletin, AccessEcon, volume 7, issue 2, pages 1-7.
• Sergio Da Silva & Roberto Meurer & Caio Guttler, 2008, "Is the Brazilian stockmarket efficient?," Economics Bulletin, AccessEcon, volume 7, issue 1, pages 1-16.
• Sichong Chen, 2008, "Exploring the driving force and price adjustment of the J-REIT market," Economics Bulletin, AccessEcon, volume 7, issue 4, pages 1-9.
• Shyh-Wei Chen, 2008, "Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries," Economics Bulletin, AccessEcon, volume 3, issue 11, pages 1-11.
• Tsangyao Chang & Wen-Chi Liu, 2008, "Rational Bubbles in the Korea Stock Market? Further Evidence based on Nonlinear and Nonparametric Cointegration Tests," Economics Bulletin, AccessEcon, volume 3, issue 34, pages 1-12.
• Chi-Wei Su & Ya-Wen Chang & Yahn-Shir Chen & Hsu-Ling Chang, 2008, "The Relationship between Stock Price and EPS: Evidence Based on Taiwan Panel Data," Economics Bulletin, AccessEcon, volume 3, issue 30, pages 1-12.
• Sergio Da Silva & Mauricio Nunes, 2008, "Explosive and periodically collapsing bubbles in emerging stockmarkets," Economics Bulletin, AccessEcon, volume 3, issue 46, pages 1-18.
• Andrea Morone, 2008, "Comparison of Mean-Variance Theory and Expected-Utility Theory through a Laboratory Experiment," Economics Bulletin, AccessEcon, volume 3, issue 40, pages 1-7.
• Marielle de Jong & Gilbert Cette, 2008, "The rocky ride of break-even inflation rates," Economics Bulletin, AccessEcon, volume 5, issue 31, pages 1-8.
• Duc NGUYEN, 2008, "An empirical analysis of structural changes in emerging market volatility," Economics Bulletin, AccessEcon, volume 6, issue 10, pages 1-10.
• Sergio Da Silva & Raul Matsushita & Ricardo Giglio, 2008, "The relative efficiency of stockmarkets," Economics Bulletin, AccessEcon, volume 7, issue 6, pages 1-12.
• Terence Tai-Leung Chong & Sheung Tat Chan, 2008, "Structural Change in the Efficiency of the Japanese Stock Market after the Millennium," Economics Bulletin, AccessEcon, volume 7, issue 7, pages 1-7.
• Gueorgui I. Kolev, 2008, "Forecasting aggregate stock returns using the number of initial public offerings as a predictor," Economics Bulletin, AccessEcon, volume 7, issue 13, pages 1-8.
• Shyh-Wei Chen, 2008, "Untangling the nexus of stock price and trading volume: evidence from the Chinese stock market," Economics Bulletin, AccessEcon, volume 7, issue 15, pages 1-16.
• Terence Tai-Leung Chong & Chen Li & Ho Tin Yu, 2008, "Structural Change in the Stock Market Efficiency after the Millennium: The MACD Approach," Economics Bulletin, AccessEcon, volume 7, issue 12, pages 1-6.
• William Shambora & Shamila Jayasuriya, 2008, "The world is shrinking: Evidence for stock market convergence," Economics Bulletin, AccessEcon, volume 7, issue 14, pages 1-12.
• Guglielmo Maria Caporale & Nikolaos Philippas & Fotini Economou, 2008, "Herding behaviour in extreme market conditions: the case of the Athens Stock Exchange," Economics Bulletin, AccessEcon, volume 7, issue 17, pages 1-13.
• Donati, Paola & Donati, Francesco, 2008, "Modelling and Forecasting the Yield Curve under Model uncertainty," Working Paper Series, European Central Bank, number 917, Aug.
• Bech, Morten L. & Atalay, Enghin, 2008, "The topology of the federal funds market," Working Paper Series, European Central Bank, number 986, Dec.
• Strickland, Chris M. & Martin, Gael M. & Forbes, Catherine S., 2008, "Parameterisation and efficient MCMC estimation of non-Gaussian state space models," Computational Statistics & Data Analysis, Elsevier, volume 52, issue 6, pages 2911-2930, February.
• Gradojevic, Nikola & Gencay, Ramazan, 2008, "Overnight interest rates and aggregate market expectations," Economics Letters, Elsevier, volume 100, issue 1, pages 27-30, July.
• Diebold, Francis X. & Li, Canlin & Yue, Vivian Z., 2008, "Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach," Journal of Econometrics, Elsevier, volume 146, issue 2, pages 351-363, October.
• Morana, Claudio & Beltratti, Andrea, 2008, "Comovements in international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 18, issue 1, pages 31-45, February.
• Grinblatt, Mark & Liu, Jun, 2008, "Debt policy, corporate taxes, and discount rates," Journal of Economic Theory, Elsevier, volume 141, issue 1, pages 225-254, July.
• Chen, Long & Petkova, Ralitsa & Zhang, Lu, 2008, "The expected value premium," Journal of Financial Economics, Elsevier, volume 87, issue 2, pages 269-280, February.
• Claessens, Stijn & Feijen, Erik & Laeven, Luc, 2008, "Political connections and preferential access to finance: The role of campaign contributions," Journal of Financial Economics, Elsevier, volume 88, issue 3, pages 554-580, June.
• Hong, Harrison & Scheinkman, José & Xiong, Wei, 2008, "Advisors and asset prices: A model of the origins of bubbles," Journal of Financial Economics, Elsevier, volume 89, issue 2, pages 268-287, August.
• Hoti, Suhejla & McAleer, Michael & Pauwels, Laurent L., 2008, "Multivariate volatility in environmental finance," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 78, issue 2, pages 189-199, DOI: 10.1016/j.matcom.2008.01.038.
• Magill, Michael & Quinzii, Martine, 2008, "Normative properties of stock market equilibrium with moral hazard," Journal of Mathematical Economics, Elsevier, volume 44, issue 7-8, pages 785-806, July.
• Piazzesi, Monika & Swanson, Eric T., 2008, "Futures prices as risk-adjusted forecasts of monetary policy," Journal of Monetary Economics, Elsevier, volume 55, issue 4, pages 677-691, May.
• Bianconi, Marcelo, 2008, "Heterogeneity, adverse selection and valuation with endogenous labor supply," International Review of Economics & Finance, Elsevier, volume 17, issue 1, pages 113-126.
• Leger, Lawrence & Leone, Vitor, 2008, "Changes in the risk structure of stock returns: Consumer Confidence and the dotcom bubble," Review of Financial Economics, Elsevier, volume 17, issue 3, pages 228-244, August.
• Stephen Fagan & Ramazan Gencay, 2008, "Liquidity-Induced Dynamics in Futures Markets," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2008_01, Jan.
• Mariano, Beatriz, 2008, "Do reputational concerns lead to reliable ratings?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24433, May.
• Guimaraes, Bernardo, 2008, "Optimal external debt and default," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 3604, Feb.
• Luigi Guiso & Tullio Jappelli, 2008, "Financial Literacy and Portfolio Diversification," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 0812, revised Oct 2008.
• claudio Michelacci & Fabiano Schivardi, 2008, "Does Idiosyncratic Business Risk Matter?," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 0813, revised Jul 2008.
• Dean Baker, 2008, "The Benefits of a Financial Transactions Tax," CEPR Reports and Issue Briefs, Center for Economic and Policy Research (CEPR), number 2008-35, Dec.
• Poonam Gupta, 2008, "What Constrains Indian Manufacturing," Working Papers, eSocialSciences, number id:1597.
• Giulia PICCILLO, 2008, "Asset prices and exchange rates: a time dependent approach," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number ces09.02, Dec.
• Luigi Guiso & Tullio Jappelli, 2008, "Financial Literacy and Portfolio Diversification," Economics Working Papers, European University Institute, number ECO2008/31.
• Zdenìk Zmeškal, 2008, "Application of the American Real Flexible Switch Options Methodology A Generalized Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 58, issue 05-06, pages 261-275, August.
• Güray Küçükkocaoglu, 2008, "Intra-Day Stock Returns and Close-End Price Manipulation in the Istanbul Stock Exchange," Frontiers in Finance and Economics, SKEMA Business School, volume 5, issue 1, pages 46-84, April.
• Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2008, "An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model," Working Paper Series, Federal Reserve Bank of San Francisco, number 2008-07, May, DOI: 10.24148/wp2008-07.
• Kristin J. Forbes, 2008, "Why do foreigners invest in the United States?," Working Paper Series, Federal Reserve Bank of San Francisco, number 2008-27.
• Christopher J. Mayer & Karen M. Pence, 2008, "Subprime mortgages: what, where, and to whom?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2008-29.
• Stephanie E. Curcuru & Tomas Dvorak & Francis E. Warnock, 2008, "Cross-border returns differentials," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 921.
• James J. McAndrews & Asani Sarkar & Zhenyu Wang, 2008, "The effect of the Term Auction Facility on the London inter-bank offered rate," Staff Reports, Federal Reserve Bank of New York, number 335.
• Enghin Atalay & Morten L. Bech, 2008, "The topology of the federal funds market," Staff Reports, Federal Reserve Bank of New York, number 354.
• Francis X. Diebold & Kamil Yilmaz, 2008, "Measuring financial asset return and volatility spillovers, with application to global equity markets," Working Papers, Federal Reserve Bank of Philadelphia, number 08-16.
• Dimitri Vayanos & Robin Greenwood, 2008, "Bond Supply and Excess Bond Returns," FMG Discussion Papers, Financial Markets Group, number dp607, Apr.
• Beatriz Mariano, 2008, "Do Reputational Concerns Lead to Reliable Ratings?," FMG Discussion Papers, Financial Markets Group, number dp613, Jun.
• Dimitri Vayanos & Paul Woolley, 2008, "An Institutional Theory of Momentum and Reversal," FMG Discussion Papers, Financial Markets Group, number dp621, Nov.
• Martin Evans, 2008, "Order Flows and The Exchange Rate Disconnect Puzzle," Working Papers, Georgetown University, Department of Economics, number gueconwpa~08-08-05, Aug.
• François Dossou & Sandrine Lardic & Karine Michalon, 2008, "Can earnings forecasts be improved by taking into account the forecast bias?," Post-Print, HAL, number halshs-00365972, Nov.
• Menkhoff, Lukas & Schmeling, Maik & Schmidt, Ulrich, 2008, "Are all professional investors sophisticated?," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-397, Apr.
• Szilagyi, Jan & Hilscher, Jens & Campbell, John, 2008, "In Search of Distress Risk," Scholarly Articles, Harvard University Department of Economics, number 3199070.
• Caballero, Ricardo J. & Farhi, Emmanuel & Gourinchas, Pierre-Olivier, 2008, "An Equilibrium Model of "Global Imbalances" and Low Interest Rates," Scholarly Articles, Harvard University Department of Economics, number 3229094.
• Xiaodong Du & David A. Hennessy, 2008, "Planting Real Option in Cash Rent Valuation, The," Center for Agricultural and Rural Development (CARD) Publications, Center for Agricultural and Rural Development (CARD) at Iowa State University, number 08-wp463, Feb.
• Xiaodong Du & David A. Hennessy & William M. Edwards, 2008, "Does a Rising Biofuels Tide Raise All Boats? A Study of Cash Rent Determinants for Iowa Farmland under Hay and Pasture," Center for Agricultural and Rural Development (CARD) Publications, Center for Agricultural and Rural Development (CARD) at Iowa State University, number 08-wp479, Oct.
• Derya Gültekin KARAKAŞ & Fuat ERCAN, 2008, "Türkiye’de uluslararasılaşma sürecindeki sermayenin üretken ve para sermaye arasındaki zaman yönelimli stratejik tercihi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 23, issue 262, pages 35-55.
• Mr. Hui Tong & Shang-Jin Wei, 2008, "Real Effects of the Subprime Mortgage Crisis: Is it a Demand or a Finance Shock?," IMF Working Papers, International Monetary Fund, number 2008/186, Jul.
• Du, Xiaodong & Hennessy, David A. & Edwards, William M., 2008, "Does a Rising Biofuels Tide Raise All Boats? A Study of Cash Rent Determinants for Iowa Farmland Under," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 34483, Dec.
• Sumeet Gupta & Renu Verma, 2008, "Comparative Analysis of Financial Performance of Private Sector Banks in India: Application of CAMEL Model," Journal of Global Economy, Research Centre for Social Sciences,Mumbai, India, volume 4, issue 2, pages 160-180, June.
• Rajkumar & Priyanka Sharma, 2008, "Emerging Trends of Derivative Trading In India," Journal of Global Economy, Research Centre for Social Sciences,Mumbai, India, volume 4, issue 2, pages 199-218, June.
• William Barnett, 2008, "What Broke the Bubble?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200813, Nov, revised Nov 2008.
• Stacey Schreft & Bruce Smith, 2008, "The social value of risk-free government debt," Annals of Finance, Springer, volume 4, issue 2, pages 131-155, March, DOI: 10.1007/s10436-007-0073-3.
• Thomas Bundt & Robert Murphy, 2008, "Are residual economic relationships normally distributed? Testing an assumption of neoclassical economics," The Review of Austrian Economics, Springer;Society for the Development of Austrian Economics, volume 21, issue 4, pages 329-340, December, DOI: 10.1007/s11138-008-0045-5.
• Hoje Jo & Yongtae Kim & Myung Park, 2008, "The impact of surprise offer-share adjustments on offer-day returns: evidence from seasoned equity offers," Review of Quantitative Finance and Accounting, Springer, volume 31, issue 3, pages 261-286, October, DOI: 10.1007/s11156-007-0071-6.
• Shaneera Boolell-Gunesh, 2008, "Un portrait de l?investisseur individuel français," Working Papers of LaRGE Research Center, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg, number 2008-12.
• Thai Ha Huy & Cuong Le Van & Manh Hung NGUYEN, 2008, "No arbitrage condition and existence of equilibrium in infinite or finite dimension with expected risk averse utilities," LERNA Working Papers, LERNA, University of Toulouse, number 08.27.271, Oct.
• Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & McMahon, Sébastien, 2008, "Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield," Cahiers de recherche, GREEN, number 0801.
• Philippe Bacchetta & Eric Van Wincoop, 2008, "Higher Order Expectations in Asset Pricing," Journal of Money, Credit and Banking, Blackwell Publishing, volume 40, issue 5, pages 837-866, August.
• Marcello Pericoli & Marco Taboga, 2008, "Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, volume 40, issue 7, pages 1471-1488, October.
• Glaser, Markus & Langer, Thomas & Reynders, Jens & Weber, Martin, 2008, "Scale dependence of overconfidence in stock market volatility forecasts," Papers, Sonderforschungsbreich 504, number 08-22.
• Yannick LE PEN & Benoît SEVI, 2008, "Volatility transmission and volatility impulse response functions in European electricity forward markets," Cahiers du CREDEN (CREDEN Working Papers), CREDEN (Centre de Recherche en Economie et Droit de l'Energie), Faculty of Economics, University of Montpellier 1, number 08.09.77.
• Rose-Anne Dana & Cuong Le Van, 2008, "No-arbitrage, overlapping sets of priors and the existence of efficient allocations and equilibria in the presence of risk and ambiguity," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08039, May, revised Nov 2009.
• Dorota Skała, 2008, "Overconfidence in Psychology and Finance – an Interdisciplinary Literature Review," Bank i Kredyt, Narodowy Bank Polski, volume 39, issue 4, pages 33-50.
• Sebastian Edwards & Márcio G. P. Garcia, 2008, "Financial Markets Volatility and Performance in Emerging Markets," NBER Books, National Bureau of Economic Research, Inc, number edwa05-1.
• Woochan Kim & Taeyoon Sung & Shang-Jin Wei, 2008, "How Does Corporate Governance Risk at Home Affect Investment Choices Abroad?," NBER Working Papers, National Bureau of Economic Research, Inc, number 13721, Jan.
• Stephanie E. Curcuru & Tomas Dvorak & Francis E. Warnock, 2008, "Cross-Border Returns Differentials," NBER Working Papers, National Bureau of Economic Research, Inc, number 13768, Feb.
• Lubos Pastor & Robert F. Stambaugh, 2008, "Predictive Systems: Living with Imperfect Predictors," NBER Working Papers, National Bureau of Economic Research, Inc, number 13804, Feb.
• Robin Greenwood & Dimitri Vayanos, 2008, "Bond Supply and Excess Bond Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 13806, Feb.
• Francis X. Diebold & Kamil Yilmaz, 2008, "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 13811, Feb.
• Bruce Lehmann, 2008, "Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 13848, Mar.
• Kristin J. Forbes, 2008, "Why do Foreigners Invest in the United States?," NBER Working Papers, National Bureau of Economic Research, Inc, number 13908, Apr.
• Christopher J. Mayer & Karen Pence, 2008, "Subprime Mortgages: What, Where, and to Whom?," NBER Working Papers, National Bureau of Economic Research, Inc, number 14083, Jun.
• Ian Ayres & Barry J. Nalebuff, 2008, "Life-cycle Investing and Leverage: Buying Stock on Margin Can Reduce Retirement Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 14094, Jun.
• Ricardo Lagos & Guillaume Rocheteau & Pierre-Olivier Weill, 2008, "Crashes and Recoveries in Illiquid Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 14119, Jun.
• Willem H. Buiter, 2008, "Housing Wealth Isn't Wealth," NBER Working Papers, National Bureau of Economic Research, Inc, number 14204, Jul.
• Hui Tong & Shang-Jin Wei, 2008, "Real Effects of the Subprime Mortgage Crisis: Is it a Demand or a Finance Shock?," NBER Working Papers, National Bureau of Economic Research, Inc, number 14205, Jul.
• Dwight Jaffee & Howard Kunreuther & Erwann Michel-Kerjan, 2008, "Long Term Insurance (LTI) for Addressing Catastrophe Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 14210, Aug.
• Lars Peter Hansen, 2008, "Modeling the Long Run: Valuation in Dynamic Stochastic Economies," NBER Working Papers, National Bureau of Economic Research, Inc, number 14243, Aug.
• Francis X. Diebold & Kamil Yilmaz, 2008, "Macroeconomic Volatility and Stock Market Volatility, Worldwide," NBER Working Papers, National Bureau of Economic Research, Inc, number 14269, Aug.
• Xavier Gabaix, 2008, "Power Laws in Economics and Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 14299, Sep.
• Rajnish Mehra & Facundo Piguillem & Edward C. Prescott, 2008, "Costly Financial Intermediation in Neoclassical Growth Theory," NBER Working Papers, National Bureau of Economic Research, Inc, number 14351, Sep.
• Gary B. Gorton, 2008, "The Subprime Panic," NBER Working Papers, National Bureau of Economic Research, Inc, number 14398, Oct.
• Asaf Bernstein & Eric Hughson & Marc D. Weidenmier, 2008, "Can a Lender of Last Resort Stabilize Financial Markets? Lessons from the Founding of the Fed," NBER Working Papers, National Bureau of Economic Research, Inc, number 14422, Oct.
• Jens H.E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2008, "An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 14463, Nov.
• Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2008, "Price Momentum In Stocks: Insights From Victorian Age Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 14500, Nov.
• Dimitri Vayanos & Paul Woolley, 2008, "An Institutional Theory of Momentum and Reversal," NBER Working Papers, National Bureau of Economic Research, Inc, number 14523, Dec.
• Thomas J. Brennan & Andrew W. Lo, 2008, "Impossible Frontiers," NBER Working Papers, National Bureau of Economic Research, Inc, number 14525, Dec.
• Miguel A. Ferreira & Pedro Santa-Clara, 2008, "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers, National Bureau of Economic Research, Inc, number 14571, Dec.
• Martin Summer, 2008, "The Financial Crisis in 2007 and 2008 Viewed from the Perspective of Economic Research," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 85-100.
• Cornelia Pop & Cristina Curutiu & Partenie Dumbrava, 2008, "Romanian Hotel Groups Listed at Bucharest Stock Exchange a Survey," Interdisciplinary Management Research, Josip Juraj Strossmayer University of Osijek, Faculty of Economics, Croatia, volume 4, pages 275-295, May.
• Marcel Fratzscher, 2008, "US shocks and global exchange rate configurations
  [‘Micro effects of macro announcements: Real-time price discovery in foreign exchange’]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, volume 23, issue 54, pages 364-409.
• Stephanie E. Curcuru & Tomas Dvorak & Francis E. Warnock, 2008, "Cross-Border Returns Differentials," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 123, issue 4, pages 1495-1530.
• William N. Goetzmann & Alok Kumar, 2008, "Equity Portfolio Diversification," Review of Finance, European Finance Association, volume 12, issue 3, pages 433-463.
• Ivo Welch & Amit Goyal, 2008, "A Comprehensive Look at The Empirical Performance of Equity Premium Prediction," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 4, pages 1455-1508, July.
• John H. Cochrane, 2008, "The Dog That Did Not Bark: A Defense of Return Predictability," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 4, pages 1533-1575, July.
• Martin Lettau & Stijn Van Nieuwerburgh, 2008, "Reconciling the Return Predictability Evidence," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 4, pages 1607-1652, July.
• Hanno Lustig & Stijn Van Nieuwerburgh, 2008, "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 5, pages 2097-2137, September.
• Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2008, "Unobserved Actions of Mutual Funds," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 6, pages 2379-2416, November.
• S. Sanfelici & M. E. Mancino, 2008, "Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise," Economics Department Working Papers, Department of Economics, Parma University (Italy), number 2008-ME01.
• Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2008, "An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 08-030, May.
• Francis X. Diebold & Kamil Yilmaz, 2008, "Macroeconomic Volatility and Stock Market Volatility, World-Wide," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 08-031, Aug.
• Abdul Raheman & Talat Afza & Abdul Qayyum & Mahmood Ahmed Bodla, 2008, "Estimating Total Factor Productivity and Its Components: Evidence from Major Manufacturing Industries of Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 47, issue 4, pages 677-694.
• van Lelyveld, Iman & Liedorp, Franka & Pröpper, Marc, 2008, "Stress Testing Linkages between Banks in the Netherlands," MPRA Paper, University Library of Munich, Germany, number 10092, Aug.
• Herwany, Aldrin & Febrian, Erie, 2008, "Co-integration and Causality Analysis on Developed Asian Markets For Risk Management & Portfolio Selection," MPRA Paper, University Library of Munich, Germany, number 10259, Aug.
• Caruntu, Genu Alexandru & Romanescu, Marcel Laurentiu, 2008, "Treasury cash flows in the enterprise," MPRA Paper, University Library of Munich, Germany, number 11238, Oct.
• Law, Siong Hook & Azman-Saini, W.N.W., 2008, "The Quality of Institutions and Financial Development," MPRA Paper, University Library of Munich, Germany, number 12107, Oct.
• Abdul Majid, Muhamed Zulkhibri & Sufian, Fadzlan, 2008, "Bank Efficiency and Share Prices in China: Empirical Evidence from a Three-Stage Banking Model," MPRA Paper, University Library of Munich, Germany, number 12120, Mar, revised 01 Apr 2008.
• Aysan, Ahmet Faruk & Ceyhan, Sanli Pinar, 2008, "Structural Change and the Efficiency of Banking In Turkey: Does Ownership Matter?," MPRA Paper, University Library of Munich, Germany, number 17849.
• Liew, Venus Khim-Sen & Qiao, Zhuo & Wong, Wing-Keung, 2008, "Linearity and stationarity of G7 government bond returns," MPRA Paper, University Library of Munich, Germany, number 24836, revised 08 Sep 2010.
• Ahmed, Hafeez & Javid, Attiya Yasmin, 2008, "Dynamics and determinants of dividend policy in Pakistan (evidence from Karachi stock exchange non-financial listed firms)," MPRA Paper, University Library of Munich, Germany, number 37342.
• Rossi, Francesco, 2008, "Enhancing balanced portfolios with cppi methodologies – insights from a simulation exercise," MPRA Paper, University Library of Munich, Germany, number 40183, Dec.
• Deakin, Simon & Singh, Ajit, 2008, "The stock market, the market for corporate control and the theory of the firm: legal and economic perspectives and implications for public policy," MPRA Paper, University Library of Munich, Germany, number 53792, May.
• Ahmad, Mashood & Ali, Syed Babar, 2008, "Technical Analysis in the Stock Markets of Pakistan: A Case of Commercial Banks," MPRA Paper, University Library of Munich, Germany, number 64521, Jun.
• Kitov, Ivan & Kitov, Oleg, 2008, "Long-term linear trends in consumer price indices," MPRA Paper, University Library of Munich, Germany, number 6900, Jan.
• Nwaobi, Godwin, 2008, "Modelling The World Exchange Rates:Dynamics, Volatility And Forecasting," MPRA Paper, University Library of Munich, Germany, number 6958, Feb.
• Chollete, Loran & Heinen, Andreas & Valdesogo, Alfonso, 2008, "Modeling International Financial Returns with a Multivariate Regime Switching Copula," MPRA Paper, University Library of Munich, Germany, number 8114, Feb.
• Visser, Marcel P., 2008, "Garch Parameter Estimation Using High-Frequency Data," MPRA Paper, University Library of Munich, Germany, number 9076, Jun.
• Robert Vitík, 2008, "Financial derivatives, their use and impact on firm performance and value," Ekonomika a Management, Prague University of Economics and Business, volume 2008, issue 2.
• Alessandro Roncaglia, 2008, "From BNL-QR to PSL-QR: the history (1947-2007) and prospects of a journal," PSL Quarterly Review, Economia civile, volume 61, issue 244-247, pages 3-32.
• Tim Bollerslev & Morten Ø. Nielsen & Per Houmann Frederiksen & Torben G. Andersen, 2008, "Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns," Working Paper, Economics Department, Queen's University, number 1173, Jul.
• Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2008, "The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets," Working Paper, Economics Department, Queen's University, number 1181, Oct.
• Peter Seiler & Bart Taub & Dan Bernhardt, 2008, "Speculative Dynamics," 2008 Meeting Papers, Society for Economic Dynamics, number 171.
• Kristin J. Forbes, 2008, "Why Do Foreigners Invest in the United States?," 2008 Meeting Papers, Society for Economic Dynamics, number 387.
• Mathias Trabandt & Karl Walentin & Lawrence J. Christiano, 2008, "Introducing Financial Frictions and Unemployment into a Small Open Economy Model," 2008 Meeting Papers, Society for Economic Dynamics, number 423.
• Eric Girard & Amit Sinha, 2008, "Risk and Return in the Next Frontier," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 7, issue 1, pages 43-80, January, DOI: 10.1177/097265270700700103.
• Paolo Foschi & Andrea Pascucci, 2008, "Path dependent volatility," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 31, issue 1, pages 13-32, May, DOI: 10.1007/s10203-007-0076-6.
• Claudio Morana, 2008, "International stock markets comovements: the role of economic and financial integration," Empirical Economics, Springer, volume 35, issue 2, pages 333-359, September, DOI: 10.1007/s00181-007-0161-2.
• Alvaro Escribano & Roberto Pascual, 2008, "Asymmetries in bid and ask responses to innovations in the trading process," Studies in Empirical Economics, Springer, in: Luc Bauwens & Winfried Pohlmeier & David Veredas, "High Frequency Financial Econometrics", DOI: 10.1007/978-3-7908-1992-2_4.
• John M Maheu & Thomas H McCurdy, 2008, "Do high-frequency measures of volatility improve forecasts of return distributions?," Working Papers, University of Toronto, Department of Economics, number tecipa-324, Aug.
• Laivi Laidroo, 2008, "Measuring Public Announcementsí Disclosure Quality on Tallinn, Riga and Vilnius Stock Exchanges," Working Papers, Tallinn School of Economics and Business Administration, Tallinn University of Technology, number 181.
• Lars Peter Hansen & John C. Heaton & Nan Li, 2008, "Consumption Strikes Back? Measuring Long-Run Risk," Journal of Political Economy, University of Chicago Press, volume 116, issue 2, pages 260-302, April, DOI: 10.1086/588200.
• Ivan O. Kitov & Oleg I. Kitov, 2008, "Long-Term Linear Trends In Consumer Price Indices," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 3, issue 2(4)_Summ.
• Fulvio Corsi & Davide Pirino & Roberto Renò, 2008, "Volatility forecasting: the jumps do matter," Department of Economics University of Siena, Department of Economics, University of Siena, number 534, Jun.
• Dimitris Christelis & Tullio Jappelli & Mario Padula, 2008, "Cognitive Abilities and Portfolio Choice," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2008_19.
• Douglas Gale & Piero Gottardi, 2008, "Illiquidity and Under-Valuation of Firms," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2008_36.
• Carol Osler & Tanseli Savaser, 2008, "Extreme Returns without News: A Microstructural Explanation," Department of Economics Working Papers, Department of Economics, Williams College, number 2008-02, Feb.
• Philip Bond & Ashok Rai, 2008, "Borrower Runs," Department of Economics Working Papers, Department of Economics, Williams College, number 2008-03, May.
• Andrea Coppola, 2008, "Forecasting oil price movements: Exploiting the information in the futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 28, issue 1, pages 34-56, January.
• Philippe Bacchetta & Eric Van Wincoop, 2008, "Higher Order Expectations in Asset Pricing," Journal of Money, Credit and Banking, Blackwell Publishing, volume 40, issue 5, pages 837-866, August, DOI: 10.1111/j.1538-4616.2008.00139.x.
• Marcello Pericoli & Marco Taboga, 2008, "Canonical Term‐Structure Models with Observable Factors and the Dynamics of Bond Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, volume 40, issue 7, pages 1471-1488, October, DOI: 10.1111/j.1538-4616.2008.00167.x.
• Lawrence Leger & Vitor Leone, 2008, "Changes in the risk structure of stock returns: Consumer Confidence and the dotcom bubble," Review of Financial Economics, John Wiley & Sons, volume 17, issue 3, pages 228-244, August, DOI: 10.1016/j.rfe.2007.08.001.

2007

• Drobyshevsky Sergey & Polevoy D., 2007, "Financial aspects of currency integration in CIS," Research Paper Series, Gaidar Institute for Economic Policy, issue 109P.
• Rose-Anne Dana & Cuong Le Van, 2007, "Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00188761, Jul.
• Chi-sang Tam & Ip-wing Yu, 2007, "Modelling Sovereign Bond Yield Curves of the US, Japan and Germany," Working Papers, Hong Kong Monetary Authority, number 0709, Jun.
• Campbell, John & Cocco, Joao, 2007, "How Do House Prices Affect Consumption? Evidence from Micro Data," Scholarly Articles, Harvard University Department of Economics, number 3122600.
• Nosbusch, Yves & Campbell, John, 2007, "Intergenerational Risksharing and Equilibrium Asset Prices," Scholarly Articles, Harvard University Department of Economics, number 3196340.
• Xiaodong Du & David A. Hennessy & William M. Edwards, 2007, "Determinants of Iowa Cropland Cash Rental Rates: Testing Ricardian Rent Theory," Center for Agricultural and Rural Development (CARD) Publications, Center for Agricultural and Rural Development (CARD) at Iowa State University, number 07-wp454, Oct.
• Richard T. Baillie & Claudio Morana, 2007, "Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 11-2007, Mar.
• Biais, Bruno & Green, Richard, 2007, "The Microstructure of the Bond Market in the 20th Century," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 482, Aug.
• Cüneyt AKAR, 2007, "İktisadi krizlerin ve takvimsel faktörlerin bireysel hisse senetlerinin getirisi ve volatilitesi üzerindeki etkileri," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 22, issue 253, pages 115-132.
• Tanya Araujo & Francisco Louçã, 2007, "The Seismography of Crashes in Financial Markets," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2007/05, Mar.
• Agustín Saade & Daniel Osorio & Dairo Estrada, 2007, "An equilibrium approach to financial stability analysis: the Colombian case," Annals of Finance, Springer, volume 3, issue 1, pages 75-105, January, DOI: 10.1007/s10436-006-0058-7.
• Stefano Athanasoulis & Oren Sussman, 2007, "Habit formation and the equity–premium puzzle: a skeptical view," Annals of Finance, Springer, volume 3, issue 2, pages 193-212, March, DOI: 10.1007/s10436-006-0041-3.
• Markus Glaser & Martin Weber, 2007, "Overconfidence and trading volume," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), volume 32, issue 1, pages 1-36, June, DOI: 10.1007/s10713-007-0003-3.
• Dennis Coates & Bonnie Wilson, 2007, "Interest group activity and long-run stock market performance," Public Choice, Springer, volume 133, issue 3, pages 343-358, December, DOI: 10.1007/s11127-007-9191-8.
• Dennis Coates & Jac Heckelman & Bonnie Wilson, 2007, "Determinants of interest group formation," Public Choice, Springer, volume 133, issue 3, pages 377-391, December, DOI: 10.1007/s11127-007-9195-4.
• Francis X. Diebold & Kamil Yılmaz, 2007, "Macroeconomic Volatility and Stock Market Volatility,World-Wide," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 0711, Nov.
• Christian Hopp & Axel Dreher, 2007, "Do Differences in Institutional and Legal Environments Explain Cross-Country Variations in IPO Underpricing?," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 07-172, Aug, DOI: 10.3929/ethz-a-005430983.
• Philippe BACCHETTA & Eric VAN WINCOOP, 2007, "Random Walk Expectations and the Forward Discount Puzzle," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 07.01, Jan.
• Lawrence A. Leger & Vitor Leone, 2007, "Changes in the risk structure of stock returns. Consumer Confidence and the Dotcom Bubble," Discussion Paper Series, Department of Economics, Loughborough University, number 2007_15, Jun, revised Jun 2007.
• Vitor Leone & Lawrence A. Leger, 2007, "Generating Innovations in Economic Variables," Discussion Paper Series, Department of Economics, Loughborough University, number 2007_19, Jul, revised Jul 2007.