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

• 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

• 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.
• Muhammad Arshad Khan & Sajawal Khan, 2007, "Financial Sector Restructuring in Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 12, issue Special E, pages 98-125, September.
• André Lemelin, 2007, "Bond Indebtedness in a Recursive Dynamic CGE Model," Cahiers de recherche, CIRPEE, number 0710.
• Hiona Balfoussia & Mike Wickens, 2007, "Macroeconomic Sources of Risk in the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, volume 39, issue 1, pages 205-236, February.
• Haitham A. Al-Zoubi & Aktham Maghyereh, 2007, "Stationary Component in Stock Prices: A Reappraisal of Empirical Findings," Multinational Finance Journal, Multinational Finance Journal, volume 11, issue 3-4, pages 287-322, September.
• Eichberger, Jürgen & Spanjers, Willy, 2007, "Liquidity and ambiguity : banks or asset markets?," Papers, Sonderforschungsbreich 504, number 07-18.
• Paiella, Monica & Pozzolo, Alberto Franco, 2007, "Choosing Between Fixed and Adjustable Rate Mortgages," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp07033, Apr.
• Rose-Anne Dana & Cuong Le Van, 2007, "Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b07068, Jul, DOI: 10.1111/j.1467-9965.2010.00402.x.
• Mark Carey & René M. Stulz, 2007, "The Risks of Financial Institutions," NBER Books, National Bureau of Economic Research, Inc, number care06-1, December.
• Sebastian Edwards, 2007, "Capital Controls and Capital Flows in Emerging Economies: Policies, Practices, and Consequences," NBER Books, National Bureau of Economic Research, Inc, number edwa06-1, December.
• Kristin J. Forbes, 2007, "The Microeconomic Evidence on Capital Controls: No Free Lunch," NBER Chapters, National Bureau of Economic Research, Inc, "Capital Controls and Capital Flows in Emerging Economies: Policies, Practices, and Consequences".
• Torben G. Andersen & Tim Bollerslev & Peter Christoffersen & Francis X. Diebold, 2007, "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Chapters, National Bureau of Economic Research, Inc, "The Risks of Financial Institutions".
• Lubos Pastor & Robert F. Stambaugh, 2007, "Predictive Systems: Living with Imperfect Predictors," NBER Working Papers, National Bureau of Economic Research, Inc, number 12814, Jan.
• Mark Mitchell & Lasse Heje Pedersen & Todd Pulvino, 2007, "Slow Moving Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 12877, Jan.
• Ricardo J. Caballero & Arvind Krishnamurthy, 2007, "Collective Risk Management in a Flight to Quality Episode," NBER Working Papers, National Bureau of Economic Research, Inc, number 12896, Feb.
• Lars Peter Hansen, 2007, "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 12948, Mar.
• Monika Piazzesi & Martin Schneider, 2007, "Inflation Illusion, Credit, and Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 12957, Mar.
• Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007, "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 13107, May.
• Ravi Bansal & Robert Dittmar & Dana Kiku, 2007, "Cointegration and Consumption Risks in Asset Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 13108, May.
• Ravi Bansal, 2007, "Long-Run Risks and Financial Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 13196, Jun.
• Michael F. Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley E. Zin, 2007, "Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 13245, Jul.
• Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst, 2007, "The Fundamentals of Commodity Futures Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 13249, Jul.
• Rui Albuquerque & Neng Wang, 2007, "Agency Conflicts, Investment, and Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 13251, Jul.
• Stefano DellaVigna, 2007, "Psychology and Economics: Evidence from the Field," NBER Working Papers, National Bureau of Economic Research, Inc, number 13420, Sep.
• Michael Greenstone, 2007, "Is the "Surge" Working? Some New Facts," NBER Working Papers, National Bureau of Economic Research, Inc, number 13458, Oct.
• George-Marios Angeletos & Guido Lorenzoni & Alessandro Pavan, 2007, "Wall Street and Silicon Valley: A Delicate Interaction," NBER Working Papers, National Bureau of Economic Research, Inc, number 13475, Oct.
• Harrison Hong & Jose A. Scheinkman & Wei Xiong, 2007, "Advisors and Asset Prices: A Model of the Origins of Bubbles," NBER Working Papers, National Bureau of Economic Research, Inc, number 13504, Oct.
• Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007, "The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 13611, Nov.
• Zhi Da & Pengjie Gao & Ravi Jagannathan, 2007, "When Does a Mutual Fund's Trade Reveal its Skill?," NBER Working Papers, National Bureau of Economic Research, Inc, number 13625, Nov.
• John A. Tatom, 2007, "Why Is the Foreclosure Rate So High in Indiana?," NFI Reports, Indiana State University, Scott College of Business, Networks Financial Institute, number 2007-NFI-04, Aug.
• Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007, "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," The Review of Economic Studies, Review of Economic Studies Ltd, volume 74, issue 4, pages 1005-1033.
• Josef Lakonishok & Inmoo Lee & Neil D. Pearson & Allen M. Poteshman, 2007, "Option Market Activity," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 3, pages 813-857.
• Darrell Duffie & Nicolae Gârleanu & Lasse Heje Pedersen, 2007, "Valuation in Over-the-Counter Markets," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 6, pages 1865-1900, November.
• Monica Paiella & Alberto Franco Pozzolo, 2007, "Choosing between Fixed- and Adjustable-Rate Mortgages," Palgrave Macmillan Books, Palgrave Macmillan, chapter 0, in: Sumit Agarwal & Brent W. Ambrose, "Household Credit Usage", DOI: 10.1057/9780230608917_13.
• Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007, "The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 07-029, Sep.
• Francis X. Diebold & Canlin Li & Vivian Z. Yue, 2007, "Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 07-030, May.
• Singh, Bhupal, 2007, "Corporate choice for overseas borrowings: The Indian evidence," MPRA Paper, University Library of Munich, Germany, number 13220.
• Cifter, Atilla & Ozun, Alper, 2007, "Multiscale Systematic Risk: An Application on ISE-30," MPRA Paper, University Library of Munich, Germany, number 2484, Mar.
• Ozun, Alper & Cifter, Atilla, 2007, "Portfolio Value-at-Risk with Time-Varying Copula: Evidence from the Americas," MPRA Paper, University Library of Munich, Germany, number 2711, Apr.
• Siddiqi, Hammad, 2007, "Rational Interacting Agents and Volatility Clustering: A New Approach," MPRA Paper, University Library of Munich, Germany, number 2984, Apr.
• Cotter, John & Dowd, Kevin, 2007, "Intra-Day Seasonality in Foreign Exchange Market Transactions," MPRA Paper, University Library of Munich, Germany, number 3502.
• Cotter, John, 2007, "Extreme risk in Asian equity markets," MPRA Paper, University Library of Munich, Germany, number 3536.
• Khan, Muhammad Arshad & khan, Sajawal, 2007, "Financial Sector Restructuring in Pakistan," MPRA Paper, University Library of Munich, Germany, number 4141, Aug.
• Tatom, John, 2007, "Why is the foreclosure rate so high in Indiana?," MPRA Paper, University Library of Munich, Germany, number 4674, Aug.
• de Vilder, Robin G. & Visser, Marcel P., 2007, "Volatility Proxies for Discrete Time Models," MPRA Paper, University Library of Munich, Germany, number 4917, Sep.
• Tuysuz, Sukriye, 2007, "The asymmetric impact of macroeconomic announcements on U.S. Government bond rate level and volatility," MPRA Paper, University Library of Munich, Germany, number 5381, Sep.
• Dionne, Georges & Harchaoui, Tarek, 2007, "Bank Capital, Securitization and Credit Risk: an Empirical Evidence," MPRA Paper, University Library of Munich, Germany, number 56693, revised 2007.
• McCauley, Joseph L., 2007, "Ito Processes with Finitely Many States of Memory," MPRA Paper, University Library of Munich, Germany, number 5811, Nov.
• Horobet, Alexandra & Ilie, Livia, 2007, "Regulation versus Competition on European Financial Markets," MPRA Paper, University Library of Munich, Germany, number 6133, Dec.
• Siddiqi, Hammad, 2007, "Stock Price Manipulation: The Role of Intermediaries," MPRA Paper, University Library of Munich, Germany, number 6374, Dec.
• Febrian, Erie & Herwany, Aldrin, 2007, "Co-integration and Causality Among Jakarta Stock Exchange, Singapore Stock Exchange, and Kuala Lumpur Stock Exchange," MPRA Paper, University Library of Munich, Germany, number 9632, Oct.
• Hans-Helmut Kotz & Reinhard H. Schmidt, 2007, "Les capitales financières : la place de Francfort et ses perspectives," Revue d'Économie Financière, Programme National Persée, volume 90, issue 4, pages 157-175, DOI: 10.3406/ecofi.2007.4408.
• Arnaud de Bresson, 2007, "Le pôle de compétitivité Finance Innovation : à la conquête de nouveaux « talents »," Revue d'Économie Financière, Programme National Persée, volume 90, issue 4, pages 177-183, DOI: 10.3406/ecofi.2007.4409.
• Giuseppe Bertola, 2007, "Finance and Welfare States in Globalising Markets," RBA Annual Conference Volume (Discontinued), Reserve Bank of Australia, in: Christopher Kent & Jeremy Lawson, "The Structure and Resilience of the Financial System".
• Bernardo Guimaraes, 2007, "Optimal external debt and default," 2007 Meeting Papers, Society for Economic Dynamics, number 104.
• Urban Jermann & Vincenzo Quadrini, 2007, "Financial Innovations and Macroeconomic Volatility," 2007 Meeting Papers, Society for Economic Dynamics, number 50.
• Pierre-Olivier Weill & Guillaume Rocheteau & Ricardo Lagos, 2007, "Crashes and Recoveries in Illiquid Markets," 2007 Meeting Papers, Society for Economic Dynamics, number 981.
• John Cotter & Kevin Dowd, 2007, "The tail risks of FX return distributions : a comparison of the returns associated with limit orders and market orders," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1151, May.
• John Cotter & Kevin Dowd, 2007, "Intra-day seasonality in foreign exchange market transactions," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1161, May.
• Andrea Coppola, 2007, "Forecasting Oil Price Movements: Exploiting the Information in the Future Market," CEIS Research Paper, Tor Vergata University, CEIS, number 100, Mar.
• Bonnie Wilson & Dennis Coates, 2007, "Interest Group Activity and Long-Run Stock Market Performance," Working Papers, Saint Louis University, Department of Economics, number 2007-02, Apr.
• Bonnie Wilson & Dennis Coates & Jac Heckelman, 2007, "Determinants of Interest Group Formation," Working Papers, Saint Louis University, Department of Economics, number 2007-03, Jun.
• Andreas Ziegler & Michael Schröder & Anja Schulz & Richard Stehle, 2007, "Multifaktormodelle zur Erklärung deutscher Aktienrenditen: Eine empirische Analyse," Schmalenbach Journal of Business Research, Springer, volume 59, issue 3, pages 355-389, May, DOI: 10.1007/BF03371701.
• Philippe Bacchetta & Eric van Wincoop, 2007, "Random Walk Expectations and the Forward Discount Puzzle," Working Papers, Swiss National Bank, Study Center Gerzensee, number 07.01, Jan.
• Tanya Araujo & Francisco Louca, 2007, "The geometry of crashes. A measure of the dynamics of stock market crises," Quantitative Finance, Taylor & Francis Journals, volume 7, issue 1, pages 63-74, DOI: 10.1080/14697680601019530.
• John M Maheu & Thomas H McCurdy, 2007, "Modeling foreign exchange rates with jumps," Working Papers, University of Toronto, Department of Economics, number tecipa-279, Feb.
• Jeff Dominitz & Charles F. Manski, 2007, "Expected Equity Returns and Portfolio Choice: Evidence from the Health and Retirement Study," Journal of the European Economic Association, MIT Press, volume 5, issue 2-3, pages 369-379, 04-05.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007, "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, volume 89, issue 4, pages 701-720, November.
• Juan Pablo Domínguez H., 2007, "Cost of Equity Capital and Country Risk: An econometric analysis of the expected rate of return for four Latin American countries," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, volume 32, issue 23, pages 63-90, january-j.
• David Veredas, 2007, "Macro Surprises and short-term behavior in bond futures," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/136236.
• Guang Bi & David E. Giles, 2007, "An Application of Extreme Value Theory to U.S. Movie Box Office Returns," Econometrics Working Papers, Department of Economics, University of Victoria, number 0705, Jul.
• Antonella Basso & Stefania Funari, 2007, "DEA models for ethical and non ethical mutual funds with negative data," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 153, Jun.
• Solomon Tadesse, 2007, "Innovation, Information and Financial Architecture," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp877, Jun.
• Solomon Tadesse, 2007, "Financial Development and Technology," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp879, Jun.
• Hiona Balfoussia & Mike Wickens, 2007, "Macroeconomic Sources of Risk in the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, volume 39, issue 1, pages 205-236, February, DOI: 10.1111/j.0022-2879.2007.00009.x.
• Sethapong Watanapalachaikul & Sardar M. N. Islam, 2007, "Rational Speculative Bubbles in the Thai Stock Market: Econometric Tests and Implications," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 01, pages 1-13, DOI: 10.1142/S0219091507000921.
• Hooi Hooi Lean & Russell Smyth, 2007, "Do Asian Stock Markets Follow a Random Walk? Evidence from LM Unit Root Tests with One and Two Structural Breaks," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 01, pages 15-31, DOI: 10.1142/S0219091507000933.
• Lanfeng Kao, 2007, "Does Investors' Sophistication Affect Persistence and Pricing of Discretionary Accruals?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 01, pages 33-50, DOI: 10.1142/S0219091507000945.
• Aktham I. Maghyereh & Haitham A. Al Zoubi & Haitham Nobanee, 2007, "Price Limit and Volatility in Taiwan Stock Exchange: Some Additional Evidence from the Extreme Value Approach," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 01, pages 51-61, DOI: 10.1142/S0219091507000957.
• Garry Hobbes & Frewen Lam & Geoffrey F. Loudon, 2007, "Regime Shifts in the Stock–Bond Relation in Australia," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 01, pages 81-99, DOI: 10.1142/S0219091507000969.
• Hidenobu Okuda & Suvadee Rungsomboon, 2007, "The Effects of Foreign Bank Entry on the Thai Banking Market: Empirical Analysis from 1990 to 2002," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 01, pages 101-126, DOI: 10.1142/S0219091507000970.
• Priscilla Liang, 2007, "Explaining the Risk/Return Mismatch of the MSCI China Index: A Systematic Risk Analysis," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 01, pages 63-80, DOI: 10.1142/S0219091507000982.
• Cheng-Few Lee, 2007, "Recap of The Joint 14th Annual PBFEA and 2006 Annual Financial Engineering Association of Taiwan Conference," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 01, pages 127-155, DOI: 10.1142/S0219091507000994.
• Anlin Chen & Lanfeng Kao & Yi-Kai Chen, 2007, "Agency Costs of Controlling Shareholders' Share Collateral with Taiwan Evidence," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 02, pages 173-191, DOI: 10.1142/S021909150700101X.
• Ying Huang & Feng Guo, 2007, "Asymmetric Effects on East Asian Financial Integration: Is There "Japanese Dominance"?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 02, pages 193-214, DOI: 10.1142/S0219091507001021.
• John A. Anderson & Steven Li, 2007, "Calendar Spread Trading and the Efficiency of Australian Bank Accepted Bill Futures Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 02, pages 157-172, DOI: 10.1142/S0219091507001033.
• Mei-Maun Hseu & Huimin Chung & Erh-Yin Sun, 2007, "Price Discovery across the Stock Index Futures and the ETF Markets: Intra-Day Evidence from the S&P 500, Nasdaq-100 and DJIA Indices," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 02, pages 215-236, DOI: 10.1142/S0219091507001045.
• Ahmad Zubaidi Baharumshah & Hooy Chee Wooi, 2007, "Exchange Rate Volatility and the Asian Financial Crisis: Evidence from South Korea and ASEAN-5," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 02, pages 237-264, DOI: 10.1142/S0219091507001057.
• Jow-Ran Chang & Mao-Wei Hung & Cheng-Few Lee & Hsin-Min Lu, 2007, "The Jump Behavior of Foreign Exchange Market: Analysis of Thai Baht," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 02, pages 265-288, DOI: 10.1142/S0219091507001069.
• Michael E. Drew & Alastair Marsden & Madhu Veeraraghavan, 2007, "Does Idiosyncratic Volatility Matter? New Zealand Evidence," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 03, pages 289-308, DOI: 10.1142/S0219091507001070.
• Changjiang Lu & Kemin Wang & Haiwei Chen & James Chong, 2007, "Integrating A- and B-Share Markets in China: The Effects of Regulatory Policy Changes on Market Efficiency," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 03, pages 309-328, DOI: 10.1142/S0219091507001082.
• Yu Hsing, 2007, "Tests of the Functional Form, the Wealth Effect, Currency Substitution, and Capital Mobility for Taiwan's Money Demand Function," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 03, pages 329-339, DOI: 10.1142/S0219091507001094.
• Marc Jegers & Kooyul Jung & Byungmo Kim, 2007, "The Difference Between Measuring Internal Funds Allocations in Groups and in Diversified Firms," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 03, pages 341-347, DOI: 10.1142/S0219091507001100.
• Iqbal Mansur & Steven J. Cochran & David Shaffer, 2007, "Foreign Exchange Volatility Shifts and Futures Hedging: An ICSS-GARCH Approach," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 03, pages 349-388, DOI: 10.1142/S0219091507001112.