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

2007

• Mei-Ling Chen & Kai-Li Wang & Ya-Ching Sung & Fu-Lai Lin & Wei-Chuan Yang, 2007, "The Dynamic Relationship between the Investment Behavior and the Morgan Stanley Taiwan Index: Foreign Institutional Investors' Decision Process," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 03, pages 389-413, DOI: 10.1142/S0219091507001124.
• Sheng-Syan Chen & Tsai-Yen Chung & Kim Wai Ho & Cheng-Few Lee, 2007, "Intra-Industry Effects of Delayed New Product Introductions," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 03, pages 415-443, DOI: 10.1142/S0219091507001136.
• Alan T. Wang & Sheng-Yung Yang, 2007, "A Simplified Firm Value-Based Risky Discount Bond Pricing Model," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 03, pages 445-468, DOI: 10.1142/S0219091507001148.
• Anthony Yanxiang Gu & Chauchen Yang, 2007, "Short Sales Constraints and Return Volatility: Evidence from the Chinese A and H Share Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 04, pages 469-478, DOI: 10.1142/S021909150700115X.
• Jean L. Heck, 2007, "Establishing a Pecking Order for Finance Academics: Ranking of US Finance Doctoral Programs," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 04, pages 479-490, DOI: 10.1142/S0219091507001161.
• William T. Lin & David S. Sun, 2007, "Liquidity-Adjusted Benchmark Yield Curves: A Look at Trading Concentration and Information," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 04, pages 491-518, DOI: 10.1142/S0219091507001173.
• Zhaohui Zhang & Howard Nemiroff & Jiamin Wang & Khondkar Karim, 2007, "Transitory Price Changes in the Chinese Stock Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 04, pages 519-540, DOI: 10.1142/S0219091507001185.
• Kyoko Nagata & Toyohiko Hachiya, 2007, "Earnings Management and the Pricing of Initial Public Offerings," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 04, pages 541-559, DOI: 10.1142/S0219091507001197.
• Hung-Gay Fung & Qingfeng Wilson Liu & Gyoungsin Daniel Park, 2007, "Cross-Market Linkages of Taiwan Index Futures Contracts Listed on the Taiwan Futures Exchange and the Singapore Exchange," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 04, pages 561-583, DOI: 10.1142/S0219091507001203.
• Wei Li & Steven Shuye Wang, 2007, "Ownership Restriction, Information Diffusion Speed, and the Performance of Technical Trading Rules in Chinese Domestic and Foreign Shares Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 04, pages 585-617, DOI: 10.1142/S0219091507001215.
• Eichberger, Jürgen & Spanjers, Willy, 2007, "Liquidity and Ambiguity: Banks or Asset Markets?," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 07-18, Jun.
• Marsch, Katharina & Schmieder, Christian & Forster-van Aerssen, Katrin, 2007, "Banking consolidation and small businessfinance: empirical evidence for Germany," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2007,09.
• Colarossi, Silvio & Zaghini, Andrea, 2007, "Gradualism, transparency and improved operational framework: A look at the overnight volatility transmission," CFS Working Paper Series, Center for Financial Studies (CFS), number 2007/16.
• Bertola, Giuseppe, 2007, "Finance and welfare states in globalizing markets," CFS Working Paper Series, Center for Financial Studies (CFS), number 2007/31.
• Bertola, Giuseppe & Hochguertel, Stefan, 2007, "Household debt and credit: Economic issues and data problems," CFS Working Paper Series, Center for Financial Studies (CFS), number 2007/32.
• Diebold, Francis X. & Li, Canlin & Yue, Vivian Z., 2007, "Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/27.
• Rotfuß, Waldemar, 2007, "Options, Futures, and Other Derivatives in Russia: An Overview," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 07-059.
• Bruno S. Frey & Daniel Waldenstr�m, 2007, "Using Financial Markets to Analyze History: The Case of the Second World War," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 335, Oct.
• Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007, "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-09, Jun.
• Torben G. Andersen & Tim Bollerslev & Xin Huang, 2007, "A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-14, Aug.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007, "Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-18, Aug.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007, "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-20, Aug.
• Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen, 2007, "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-21, Aug.
• Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen, 2007, "A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-22, Aug.
• Lasse Heje Pedersen & Mark Mitchell & Todd Pulvino, 2007, "Slow Moving Capital," American Economic Review, American Economic Association, volume 97, issue 2, pages 215-220, May.
• Eric van Wincoop & Philippe Bacchetta, 2007, "Random Walk Expectations and the Forward Discount Puzzle," American Economic Review, American Economic Association, volume 97, issue 2, pages 346-350, May.
• Du, Xiaodong & Hennessy, David A. & Edwards, William M., 2007, "Determinants of Iowa Cropland Cash Rental Rates: Testing Ricardian Rent Theory," Hebrew University of Jerusalem Archive, Hebrew University of Jerusalem, number 7700, DOI: 10.22004/ag.econ.7700.
• Carl Chiarella & Giulia Iori & Josep Perello, 2007, "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Papers, arXiv.org, number 0711.3581, Nov.
• David Bolder & Tiago Rubin, 2007, "Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis," Staff Working Papers, Bank of Canada, number 07-13, DOI: 10.34989/swp-2007-13.
• David Bolder & Shudan Liu, 2007, "Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective," Staff Working Papers, Bank of Canada, number 07-49, DOI: 10.34989/swp-2007-49.
• Bertholon, H. & Alain Monfort & Fulvio Pegoraro, 2007, "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers, Banque de France, number 188.
• Alain Monfort & Fulvio Pegoraro, 2007, "Multi-Lag Term Structure Models with Stochastic Risk Premia," Working papers, Banque de France, number 189.
• Fam, E., 2007, "Les crédits nouveaux à l’habitat consentis aux ménages en 2006," Bulletin de la Banque de France, Banque de France, issue 162, pages 49-54.
• John Cairns & Corrinne Ho & Robert McCauley, 2007, "Exchange rates and global volatility: implications for Asia-Pacific currencies," BIS Quarterly Review, Bank for International Settlements, March.
• Giuseppe Bertola & Stefan Hochguertel, 2007, "Household Debt and Credit: Economic Issues and Data Problems," Economic Notes, Banca Monte dei Paschi di Siena SpA, volume 36, issue 2, pages 115-146, July, DOI: 10.1111/j.1468-0300.2007.00181.x.
• Martin Lettau & Jessica A. Wachter, 2007, "Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium," Journal of Finance, American Finance Association, volume 62, issue 1, pages 55-92, February, DOI: 10.1111/j.1540-6261.2007.01201.x.
• Josh Lerner & Antoinette Schoar & Wan Wongsunwai, 2007, "Smart Institutions, Foolish Choices: The Limited Partner Performance Puzzle," Journal of Finance, American Finance Association, volume 62, issue 2, pages 731-764, April, DOI: 10.1111/j.1540-6261.2007.01222.x.
• Jacob Boudoukh & Roni Michaely & Matthew Richardson & Michael R. Roberts, 2007, "On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing," Journal of Finance, American Finance Association, volume 62, issue 2, pages 877-915, April, DOI: 10.1111/j.1540-6261.2007.01226.x.
• Murray Carlson & Zeigham Khokher & Sheridan Titman, 2007, "Equilibrium Exhaustible Resource Price Dynamics," Journal of Finance, American Finance Association, volume 62, issue 4, pages 1663-1703, August, DOI: 10.1111/j.1540-6261.2007.01254.x.
• Philippe Aghion, 2007, "Croissance et finance," Revue de l'OFCE, Presses de Sciences-Po, volume 0, issue 3, pages 79-100.
• Copeland, Laurence & Zhu, Yanhui, 2007, "Rare Disasters and the Equity Premium in a Two-Country World," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2007/6, Mar.
• Roque B. Fernández & Celeste González & Sergio Pernice & Jorge M. Streb, 2007, "Loan and bond finance in Argentina, 1985-2005," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 343, Apr.
• Guimaraes, Bernardo, 2007, "Optimal external debt and default," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6035, Jan.
• Claessens, Stijn & Laeven, Luc & Feijen, Erik, 2007, "Political Connections and Preferential Access to Finance: The Role of Campaign Contributions," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6045, Jan.
• Veronesi, Pietro & Pástor, LuboÅ¡ & Taylor, Lucian, 2007, "Entrepreneurial Learning, the IPO Decision, and the Post-IPO Drop in Firm Profitability," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6061, Jan.
• Stambaugh, Robert F. & Pástor, LuboÅ¡, 2007, "Predictive Systems: Living with Imperfect Predictors," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6076, Feb.
• Vayanos, Dimitri & Rabin, Matthew, 2007, "The Gambler's and Hot-Hand Fallacies: Theory and Applications," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6081, Feb.
• Pedersen, Lasse Heje & Mitchell, Mark & Pulvino, Todd, 2007, "Slow Moving Capital," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6117, Feb.
• Bacchetta, Philippe & van Wincoop, Eric, 2007, "Random Walk Expectations and the Forward Discount Puzzle," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6122, Feb.
• Giannetti, Mariassunta & Yu, Xiaoyun, 2007, "Favouritism or Markets in Capital Allocation?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6124, Feb.
• Brunnermeier, Markus & Pedersen, Lasse Heje, 2007, "Market Liquidity and Funding Liquidity," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6179, Mar.
• Prat, Andrea & Dasgupta, Amil & Verardo, Michela, 2007, "Institutional Trade Persistence and Long-Term Equity Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6374, Jul.
• Guimaraes, Bernardo, 2007, "Currency Crisis Triggers: Sunspots or Thresholds?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6487, Sep.
• Sengmüller, Paul & Huberman, Gur & Dorn, Daniel, 2007, "Correlated Trading and Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6530, Oct.
• Bruno S. Frey & Daniel Waldenstrom, 2007, "Using Financial Markets to Analyze History: The Case of the Second World War," CREMA Working Paper Series, Center for Research in Economics, Management and the Arts (CREMA), number 2007-19, Oct.
• Gonzalo, Jesús & Olmo, José, 2007, "The impact of heavy tails and comovements in downside-risk diversification," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we20070208, Feb.
• Gonzalo, J. & Olmo, J., 2007, "The impact of heavy tails and comovements in downside-risk diversification," Working Papers, Department of Economics, City St George's, University of London, number 07/02.
• Venus Khim-Sen Liew & Wing-Keung Wong & Zhuo Qiao, 2007, "Does the US IT stock market dominate other IT stock markets: Evidence from multivariate GARCH model," Economics Bulletin, AccessEcon, volume 6, issue 27, pages 1-7.
• Quentin Wodon, 2007, "Constructing Fama-French Factors from style indexes: Japanese evidence," Economics Bulletin, AccessEcon, volume 7, issue 7, pages 1-10.
• Sergio Da Silva & Annibal Figueiredo & Iram Gleria & Raul Matsushita, 2007, "Hurst exponents, power laws, and efficiency in the Brazilian foreign exchange market," Economics Bulletin, AccessEcon, volume 7, issue 1, pages 1-11.
• Chi-Wei Su & Yahn-Shir Chen & Hsu-Ling Chang, 2007, "Stock Prices and Dividends in Taiwan Stock Market: Evidence Based on Time-Varying Present Value Model," Economics Bulletin, AccessEcon, volume 28, issue 2, pages 1.
• Yen-Hsien Lee & Chien-Liang Chiu, 2007, "The Impact of the QFIIs Deregulation on Normal and Abnormal Information Transmission Between the Stock and Exchange rates in Taiwan," Economics Bulletin, AccessEcon, volume 3, issue 22, pages 1-10.
• Tsangyao Chang & Yu-Chen Wei & Yang-Cheng Lu, 2007, "An Empirical Note on Testing the Cointegration Relationship Between the Real Estate and Stock Markets in Taiwan," Economics Bulletin, AccessEcon, volume 3, issue 45, pages 1-11.
• Keiichiro Kobayashi & Kengo Nutahara, 2007, "Collateralized capital and news-driven cycles," Economics Bulletin, AccessEcon, volume 5, issue 18, pages 1-9.
• Wen-Hsiu Kuo & Liu-Hsiang Hsu & Ching-Chung Lin, 2007, "The impact of foreign trading information on emerging futures markets: a study of Taiwan's unique data set," Economics Bulletin, AccessEcon, volume 7, issue 10, pages 1-14.
• Jose Luis de la Cruz & Elizabeth Ortega, 2007, "Continuous Time Models of Interest Rate: Testing the Mexican Data (1998-2006)," Economics Bulletin, AccessEcon, volume 7, issue 11, pages 1-9.
• Chi-Wei Su & Yahn-Shir Chen & Hsu-Ling Chang, 2007, "Stock Prices and Dividends in Taiwan's Stock Market: Evidence Based on Time-Varying Present Value Model," Economics Bulletin, AccessEcon, volume 7, issue 4, pages 1-12.
• Yuri Khoroshilov & Anna Dodonova, 2007, "Buying Winners while Holding on to Losers: an Experimental Study of Investors' Behavior," Economics Bulletin, AccessEcon, volume 7, issue 8, pages 1-8.
• Kevin Aretz & David Peel, 2007, "Some implications of a quartic loss function," Economics Bulletin, AccessEcon, volume 7, issue 13, pages 1-7.
• Tao Wang, 2007, "Financial Constraints and the Risk-Return Relation," Economics Bulletin, AccessEcon, volume 7, issue 12, pages 1-12.
• Matei Demetrescu, 2007, "Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy?," Economics Bulletin, AccessEcon, volume 7, issue 15, pages 1-8.
• Erdal Atukeren & Aylin Seçkin, 2007, "On the valuation of psychic returns to art market investments," Economics Bulletin, AccessEcon, volume 26, issue 5, pages 1-12.
• Morris, Richard & Schuknecht, Ludger, 2007, "Structural balances and revenue windfalls: the role of asset prices revisited," Working Paper Series, European Central Bank, number 737, Mar.
• Fratzscher, Marcel, 2007, "US shocks and global exchange rate configurations," Working Paper Series, European Central Bank, number 835, Nov.
• Boswijk, H. Peter & Hommes, Cars H. & Manzan, Sebastiano, 2007, "Behavioral heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 6, pages 1938-1970, June.
• Barnett, William A., 2007, "Multilateral aggregation-theoretic monetary aggregation over heterogeneous countries," Journal of Econometrics, Elsevier, volume 136, issue 2, pages 457-482, February.
• Cotter, John & Dowd, Kevin, 2007, "The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders," Finance Research Letters, Elsevier, volume 4, issue 3, pages 146-154, September.
• Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2007, "Real-time price discovery in global stock, bond and foreign exchange markets," Journal of International Economics, Elsevier, volume 73, issue 2, pages 251-277, November.
• Vayanos, Dimitri & Wang, Tan, 2007, "Search and endogenous concentration of liquidity in asset markets," Journal of Economic Theory, Elsevier, volume 136, issue 1, pages 66-104, September.
• Desai, Mihir A. & Dyck, Alexander & Zingales, Luigi, 2007, "Theft and taxes," Journal of Financial Economics, Elsevier, volume 84, issue 3, pages 591-623, June.
• Puri, Manju & Robinson, David T., 2007, "Optimism and economic choice," Journal of Financial Economics, Elsevier, volume 86, issue 1, pages 71-99, October.
• Cotter, John, 2007, "Varying the VaR for unconditional and conditional environments," Journal of International Money and Finance, Elsevier, volume 26, issue 8, pages 1338-1354, December.
• Campbell, John Y. & Cocco, Joao F., 2007, "How do house prices affect consumption? Evidence from micro data," Journal of Monetary Economics, Elsevier, volume 54, issue 3, pages 591-621, April.
• Campbell, John Y. & Nosbusch, Yves, 2007, "Intergenerational risksharing and equilibrium asset prices," Journal of Monetary Economics, Elsevier, volume 54, issue 8, pages 2251-2268, November.
• Venegas-Martínez, Francisco, 2007, "Mercados de notas estructuradas. Un análisis descriptivo y métodos de evaluación," El Trimestre Económico, Fondo de Cultura Económica, volume 74, issue 295, pages 615-661, julio-sep, DOI: http://dx.doi.org/10.20430/ete.v74i.
• Keiichiro KOBAYASHI & Kengo NUTAHARA, 2007, "Collateralized capital and News-driven cycles," Discussion papers, Research Institute of Economy, Trade and Industry (RIETI), number 07062, Dec.
• Luigi Guiso & Tullio Jappelli, 2007, "Information Acquisition and Portfolio Performance," Economics Working Papers, European University Institute, number ECO2007/45.
• Ricardo Lagos & Guillaume Rocheteau & Pierre-Olivier Weill, 2007, "Crashes and recoveries in illiquid markets," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 0708, DOI: 10.26509/frbc-wp-200708.
• Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007, "The affine arbitrage-free class of Nelson-Siegel term structure models," Working Paper Series, Federal Reserve Bank of San Francisco, number 2007-20.
• Ravi Bansal, 2007, "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, volume 89, issue Jul, pages 283-300.
• Michael F. Gallmeyer & Burton Hollifield & Francisco J. Palomino & Stanley E. Zin, 2007, "Arbitrage-free bond pricing with dynamic macroeconomic models," Review, Federal Reserve Bank of St. Louis, volume 89, issue Jul, pages 305-326.
• Massimo Guidolin & Giovanna Nicodano, 2007, "Small caps in international equity portfolios: the effects of variance risk," Working Papers, Federal Reserve Bank of St. Louis, number 2005-075, DOI: 10.20955/wp.2005.075.
• Pierre-Olivier Weill & Dimitri Vayanos, 2007, "A Search-Based Theory of the On-the-Run Phenomenon," FMG Discussion Papers, Financial Markets Group, number dp577, Jan.
• Matthew Rabin & Dimitri Vayanos, 2007, "The Gambler's and Hot-Hand Fallacies:Theory and Applications," FMG Discussion Papers, Financial Markets Group, number dp578, Jan.
• Lasse Heje Pederson & Markus K Brunnermeier, 2007, "Market Liquidity and Funding Liquidity," FMG Discussion Papers, Financial Markets Group, number dp580, Feb.
• John Y. Campbell & Yves Nosbusch, 2007, "Intergenerational Risksharing and Equilibrium Asset Prices," FMG Discussion Papers, Financial Markets Group, number dp589, Feb.
• Drobyshevsky Sergey & Polevoy D., 2007, "Financial aspects of currency integration in CIS," Research Paper Series, Gaidar Institute for Economic Policy, issue 109P.

2006

• Iván Werning & George-Marios Angeletos, 2006, "Crises and Prices: Information Aggregation, Multiplicity, and Volatility," American Economic Review, American Economic Association, volume 96, issue 5, pages 1720-1736, December, DOI: 10.1257/aer.96.5.1720.
• Hennessy, David A., 2006, "Feeding and the Equilibrium Feeder Animal Price-Weight Schedule," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, volume 31, issue 2, pages 1-23, August, DOI: 10.22004/ag.econ.8609.
• Wilson, Christine A. & Featherstone, Allen M., 2006, "Adjusting The Capm For Threshold Effects: An Application To Food And Agribusiness Stocks," Staff Papers, Purdue University, Department of Agricultural Economics, number 28619, DOI: 10.22004/ag.econ.28619.
• Busch, Thomas & Jesper Christensen, Bent & Orregaard Nielsen, Morten, 2006, "The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273665, Feb, DOI: 10.22004/ag.econ.273665.
• Stefan Simeonov, 2006, "Determining Equipoise Points and Net Positions in the Vanguard Option Strategies," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 69-93.
• Alejandro García & Ramazan Gençay, 2006, "Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events," Staff Working Papers, Bank of Canada, number 06-17, DOI: 10.34989/swp-2006-17.
• Antonio Diez de los Rios & René Garcia, 2006, "Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns," Staff Working Papers, Bank of Canada, number 06-31, DOI: 10.34989/swp-2006-31.
• Francisco Covas & Wouter den Haan, 2006, "The Role of Debt and Equity Finance over the Business Cycle," Staff Working Papers, Bank of Canada, number 06-45, DOI: 10.34989/swp-2006-45.
• David Bolder, 2006, "Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective," Staff Working Papers, Bank of Canada, number 06-48, DOI: 10.34989/swp-2006-48.
• Marcello Pericoli & Marco Taboga, 2006, "Canonical term-structure models with observable factors and the dynamics of bond risk premiums," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 580, Feb.
• Fam, E., 2006, "Les crédits nouveaux à l’habitat consentis aux ménages en 2005," Bulletin de la Banque de France, Banque de France, issue 150, pages 53-57.
• Robert McCauley, 2006, "Internationalising a currency: the case of the Australian dollar," BIS Quarterly Review, Bank for International Settlements, December.
• Ricardo J Caballero & Emmanuel Farhi & Pierre-Olivier Gourinchas, 2006, "An equilibrum model of "global imbalances" and low interest rates," BIS Working Papers, Bank for International Settlements, number 222, Dec.
• Ta‐Cheng Chang & Yung‐Ho Chiu, 2006, "Affecting Factors On Risk‐Adjusted Efficiency In Taiwan'S Banking Industry," Contemporary Economic Policy, Western Economic Association International, volume 24, issue 4, pages 634-648, October, DOI: 10.1093/cep/byl008.
• Leonid Kogan & Stephen A. Ross & Jiang Wang & Mark M. Westerfield, 2006, "The Price Impact and Survival of Irrational Traders," Journal of Finance, American Finance Association, volume 61, issue 1, pages 195-229, February, DOI: 10.1111/j.1540-6261.2006.00834.x.
• Harrison Hong & José Scheinkman & Wei Xiong, 2006, "Asset Float and Speculative Bubbles," Journal of Finance, American Finance Association, volume 61, issue 3, pages 1073-1117, June, DOI: 10.1111/j.1540-6261.2006.00867.x.
• Hui Guo & Robert F. Whitelaw, 2006, "Uncovering the Risk–Return Relation in the Stock Market," Journal of Finance, American Finance Association, volume 61, issue 3, pages 1433-1463, June, DOI: 10.1111/j.1540-6261.2006.00877.x.
• Kent Daniel & Sheridan Titman, 2006, "Market Reactions to Tangible and Intangible Information," Journal of Finance, American Finance Association, volume 61, issue 4, pages 1605-1643, August, DOI: 10.1111/j.1540-6261.2006.00884.x.
• Michael W. Brandt & Pedro Santa‐Clara, 2006, "Dynamic Portfolio Selection by Augmenting the Asset Space," Journal of Finance, American Finance Association, volume 61, issue 5, pages 2187-2217, October, DOI: 10.1111/j.1540-6261.2006.01055.x.
• Alexandros Kontonikas & Alberto Montagnoli, 2006, "Optimal Monetary Policy And Asset Price Misalignments," Scottish Journal of Political Economy, Scottish Economic Society, volume 53, issue 5, pages 636-654, November, DOI: 10.1111/j.1467-9485.2006.00398.x.
• Gunnar Bårdsen & Kjersti-Gro Lindquist & Dimitrios P. Tsomocos, 2006, "Evaluation of macroeconomic models for financial stability analysis," Working Paper, Norges Bank, number 2006/01, Feb.
• Ashraf Nava & Karlan Dean & Yin Wesley, 2006, "Deposit Collectors," The B.E. Journal of Economic Analysis & Policy, De Gruyter, volume 6, issue 2, pages 1-24, March, DOI: 10.2202/1538-0637.1483.
• Roberto Meurer, 2006, "Foreign Capital Flow and the Ibovespa Performance," Brazilian Review of Finance, Brazilian Society of Finance, volume 4, issue 1, pages 79-95.
• Jairo Laser Procianoy & Rodrigo S. Verdi, 2006, "The Market Reaction to Changes in the Brazilian Stock Exchange Indexes," Brazilian Review of Finance, Brazilian Society of Finance, volume 4, issue 2, pages 141-167.
• Jean-Luc Gaffard, 2006, "Dynamique industrielle, productivité et croissance," Revue de l'OFCE, Presses de Sciences-Po, volume 98, issue 3, pages 245-255.
• Fabio C. Bagliano & Claudio Morana, 2006, "A New Approach to Factor Vector Autoregressive Estimation with an Application to Large-Scale Macroeconometric Modelling," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 28.
• Caballero, Ricardo J & Farhi, Emmanuel & Gourinchas, Pierre-Olivier, 2006, "An Equilibrium Model of "Global Imbalances" and Low Interest Rates," Center for International and Development Economics Research, Working Paper Series, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley, number qt7xc0g8mm, Jun.
• Caballero, Ricardo J & Farhi, Emmanuel & Gourinchas, Pierre-Olivier, 2006, "An Equilibrium Model of "Global Imbalances" and Low Interest Rates," Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley, number qt7xc0g8mm, Jun.
• Francesco Caselli & Nicola Gennaioli, 2006, "Dynastic Management," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp0741, Aug.
• François-Serge Lhabitant, 2006, "Hedge Fund Indices for Retail Investors: UCITS Eligible or not Eligible?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-14, Jul.
• Andr√©s Carvajal & Alvaro Riascos, 2006, "Belief Non-Equivalence And Financial Trade: A Comment On A Result By Araujo And Sandroni," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 2062, Jul.
• Elvira Mar√≠a Restrepo & ÔøΩlvaro JosÔøΩ Moreno & Santiago Villegas, 2006, "Bogot√Å: ¬Øm√Ås Crimen? ¬Øm√Ås Miedo?," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 2066, Dec.
• PASCUAL, Roberto & VEREDAS, David, 2006, "Does the open limit order book matter in explaining long run volatility ?," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006110, Dec.
• Inderst, Roman, 2006, "Consumer Lending When Lenders are More Sophisticated Than Households," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5410, Jan.
• Pástor, LuboÅ¡ & Sinha, Meenakshi & Swaminathan, Bhaskaran, 2006, "Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5462, Jan.
• Buiter, Willem & Patel, Urjit R., 2006, "India's Public Finances: Excessive Budget Deficits, a Government-Abused Financial System and Fiscal Rules," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5502, Feb.
• Kollmann, Robert, 2006, "International Portfolio Equilibrium and the Current Account," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5512, Feb.
• Wolfers, Justin & Zitzewitz, Eric, 2006, "Five Open Questions About Prediction Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5562, Mar.
• Caballero, Ricardo & Gourinchas, Pierre-Olivier & Farhi, Emmanuel, 2006, "An Equilibrium Model of 'Global Imbalances' and Low Interest Rates," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5573, Mar.
• Quadrini, Vincenzo & Jermann, Urban, 2006, "Financial Innovations and Macroeconomic Volatility," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5727, Jun.
• Jappelli, Tullio & Padula, Mario, 2006, "Cognitive Abilities and Portfolio Choice," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5735, Jul.
• Guiso, Luigi & Jappelli, Tullio, 2006, "Information Acquisition and Portfolio Performance," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5901, Oct.
• Vayanos, Dimitri & Weill, Pierre-Olivier, 2006, "A Search-Based Theory of the On-the-Run Phenomenon," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5965, Nov.
• Agar Brugiavini & Gwenaël Piaser, 2006, "Nonexclusivity and adverse selection: An application to the annuity market," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 06-03.
• Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006, "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers, Center for Research in Economics and Statistics, number 2006-28.
• Alain Monfort & Fulvio Pegoraro, 2006, "Multi-Lag Term Structure Models with Stochastic Risk Premia," Working Papers, Center for Research in Economics and Statistics, number 2006-29.
• Sukanto Bhattacharya & Kuldeep Kumar, 2006, "A Computational Exploration of the Efficacy of Fibonacci Sequences in Technical Analysis and Trading," Annals of Economics and Finance, Society for AEF, volume 7, issue 1, pages 185-196, May.
• Tadesse, Solomon, 2006, "Innovation, Information, and Financial Architecture," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 41, issue 4, pages 753-786, December.
• Jussi Keppo & Lones Smith & Dmitry Davydov, 2006, "Optimal Electoral Timing: Exercise Wisely and You May Live Longer," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1565, May.
• Miki Kohara & Charles Yuji Horioka, 2006, "Do Borrowing Constraints Matter? An Analysis of Why the Permanent Income Hypothesis Does Not Apply in Japan," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 0663, Jun.
• Benoît Sévi, 2006, "Ederington's ratio with production flexibility," Economics Bulletin, AccessEcon, volume 7, issue 1, pages 1-8.
• Diego Nocetti, 2006, "Portfolio Selection with Endogenous Estimation Risk," Economics Bulletin, AccessEcon, volume 7, issue 6, pages 1-9.
• Tsangyao Chang & Yang-Cheng Lu, 2006, "Equity Diversification in Two Chinese Share Markets: Old Wine and New Bottle," Economics Bulletin, AccessEcon, volume 7, issue 4, pages 1-7.
• Steven Zongshin Liu & Sophia Meiying Lai & Kung-Cheng Lin, 2006, "Stock Market Interdependence and Trade Relations: A Correlation Test for the U.S. and Its Trading Partners," Economics Bulletin, AccessEcon, volume 7, issue 5, pages 1-15.
• Hideaki Sakawa & Naoki Watanabel, 2006, "A Note on Synchronization Risk and Delayed Arbitrage," Economics Bulletin, AccessEcon, volume 7, issue 7, pages 1-12.
• Erdal Atukeren & Aylin Seçkin, 2006, "Art and the Economy: A First Look at the Market for Paintings in Turkey," Economics Bulletin, AccessEcon, volume 26, issue 3, pages 1-13.
• Sialm, Clemens, 2006, "Stochastic taxation and asset pricing in dynamic general equilibrium," Journal of Economic Dynamics and Control, Elsevier, volume 30, issue 3, pages 511-540, March.
• Diebold, Francis X. & Li, Canlin, 2006, "Forecasting the term structure of government bond yields," Journal of Econometrics, Elsevier, volume 130, issue 2, pages 337-364, February.
• Diebold, Francis X. & Rudebusch, Glenn D. & Borag[caron]an Aruoba, S., 2006, "The macroeconomy and the yield curve: a dynamic latent factor approach," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 309-338.
• Pelletier, Denis, 2006, "Regime switching for dynamic correlations," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 445-473.
• Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2006, "Predicting volatility: getting the most out of return data sampled at different frequencies," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 59-95.
• Gencay, Ramazan & Selcuk, Faruk, 2006, "Overnight borrowing, interest rates and extreme value theory," European Economic Review, Elsevier, volume 50, issue 3, pages 547-563, April.
• Kohara, Miki & Horioka, Charles Yuji, 2006, "Do borrowing constraints matter? An analysis of why the permanent income hypothesis does not apply in Japan," Japan and the World Economy, Elsevier, volume 18, issue 4, pages 358-377, December.
• Peng, Lin & Xiong, Wei, 2006, "Investor attention, overconfidence and category learning," Journal of Financial Economics, Elsevier, volume 80, issue 3, pages 563-602, June.
• Campbell, John Y. & Yogo, Motohiro, 2006, "Efficient tests of stock return predictability," Journal of Financial Economics, Elsevier, volume 81, issue 1, pages 27-60, July.
• Pastor, Lubos & Veronesi, Pietro, 2006, "Was there a Nasdaq bubble in the late 1990s?," Journal of Financial Economics, Elsevier, volume 81, issue 1, pages 61-100, July.
• Brissimis, Sophocles N. & Magginas, Nicholas S., 2006, "Forward-looking information in VAR models and the price puzzle," Journal of Monetary Economics, Elsevier, volume 53, issue 6, pages 1225-1234, September.
• Beber, Alessandro & Brandt, Michael W., 2006, "The effect of macroeconomic news on beliefs and preferences: Evidence from the options market," Journal of Monetary Economics, Elsevier, volume 53, issue 8, pages 1997-2039, November.
• Caselli, Francesco & Gennaioli, Nicola, 2006, "Dynastic management," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 3558, Aug.
• Mennicken, Andrea, 2006, "Translation and standardization: audit world-building in post-Soviet Russia," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 36111, May.
• Hutter, Bridget M., 2006, "The role of non-state actors in regulation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 36118, May.
• King, Roger, 2006, "Analysing the higher education regulatory state," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 36119, May.
• Francis X. Diebold & Lei Ji & Canlin Li, 2006, "A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration," Chapters, Edward Elgar Publishing, chapter 9, in: Lawrence R. Klein, "Long-run Growth and Short-run Stabilization".
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Ginger Wu, 2006, "Realized Beta: Persistence and Predictability," Advances in Econometrics, Emerald Group Publishing Limited, "Econometric Analysis of Financial and Economic Time Series", DOI: 10.1016/S0731-9053(05)20020-8.
• Nava Ashaf & Dean Karlan & Wesley Yin, 2006, "Deposit collectors," Natural Field Experiments, The Field Experiments Website, number 00205.
• Urban J. Jermann & Vincenzo Quadrini, 2006, "Financial innovations and macroeconomic volatility," Proceedings, Federal Reserve Bank of San Francisco, issue nov.
• Justin Wolfers & Eric Zitzewitz, 2006, "Five Open Questions about Prediction Markets," Working Paper Series, Federal Reserve Bank of San Francisco, number 2006-06, Jan, DOI: 10.24148/wp2006-06.
• Monika Piazzesi & Eric T. Swanson, 2006, "Futures prices as risk-adjusted forecasts of monetary policy," Working Paper Series, Federal Reserve Bank of San Francisco, number 2006-23.