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

• 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, 2010, "The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models," Working Paper Series, Federal Reserve Bank of San Francisco, number 2007-20, Mar, DOI: 10.24148/wp2007-20.
• 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.

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, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, number 5502, Feb.
• Kollmann, Robert, 2006, "International Portfolio Equilibrium and the Current Account," CEPR Discussion Papers, Centre for Economic Policy Research, number 5512, Feb.
• Wolfers, Justin & Zitzewitz, Eric, 2006, "Five Open Questions About Prediction Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 5562, Mar.
• Caballero, Ricardo & Gourinchas, Pierre-Olivier & Farhi, Emmanuel, 2006, "An Equilibrium Model of 'Global Imbalances' and Low Interest Rates," CEPR Discussion Papers, Centre for Economic Policy Research, number 5573, Mar.
• Quadrini, Vincenzo & Jermann, Urban, 2006, "Financial Innovations and Macroeconomic Volatility," CEPR Discussion Papers, Centre for Economic Policy Research, number 5727, Jun.
• Jappelli, Tullio & Padula, Mario, 2006, "Cognitive Abilities and Portfolio Choice," CEPR Discussion Papers, Centre for Economic Policy Research, number 5735, Jul.
• Guiso, Luigi & Jappelli, Tullio, 2006, "Information Acquisition and Portfolio Performance," CEPR Discussion Papers, Centre for Economic Policy Research, number 5901, Oct.
• Vayanos, Dimitri & Weill, Pierre-Olivier, 2006, "A Search-Based Theory of the On-the-Run Phenomenon," CEPR Discussion Papers, Centre for Economic Policy Research, 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, Sep, DOI: 10.24148/wp2006-23.
• Erik Hjalmarsson, 2006, "Inference in Long-Horizon Regressions," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 853.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2006, "Real-time price discovery in global stock, bond and foreign exchange markets," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 871.
• Zeno Rotondi, 2006, "The Macroeconomy and the Yield Curve: A Review of the Literature with Some New Evidence," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, volume 65, issue 2, pages 193-224, November.
• Jean-Luc Gaffard, 2006, "Dynamique industrielle, productivité et croissance," Post-Print, HAL, number hal-03389305, Jul, DOI: 10.3917/reof.098.0245.
• Jean-Luc Gaffard, 2006, "Dynamique industrielle, productivité et croissance," Sciences Po Economics Publications (main), HAL, number hal-03389305, Jul, DOI: 10.3917/reof.098.0245.
• Campbell, John & Yogo, Motohiro, 2006, "Efficient tests of stock return predictability," Scholarly Articles, Harvard University Department of Economics, number 3122601.
• Claudio Morana, 2006, "International Stock Markets Comovements: the Role of Economic and Financial Integration," ICER Working Papers, ICER - International Centre for Economic Research, number 25-2006, Jul.
• Andrea Beltratti & Claudio Morana, 2006, "Comovements in International Stock Markets," ICER Working Papers, ICER - International Centre for Economic Research, number 3-2006, Jul.
• Cüneyt AKAR, 2006, "Finansal piyasalarda krizlerin ve takvimsel faktörlerin volatilite ve getiri üzerine etkisi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 21, issue 246, pages 41-53.
• Martin D. D. Evans & Richard K. Lyons, 2006, "Understanding order flow," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 11, issue 1, pages 3-23, DOI: 10.1002/ijfe.287.
• Mr. Ayhan Kose & Mr. Eswar S Prasad & Mr. Kenneth Rogoff & Shang-Jin Wei, 2006, "Financial Globalization: A Reappraisal," IMF Working Papers, International Monetary Fund, number 2006/189, Aug.
• Antonio Ruiz-Porras, 2006, "Financial Systems And Banking Crises: An Assessment," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 5, issue 1, pages 13-27, Marzo 200.
• Peter F. Christoffersen & Francis X. Diebold, 2006, "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," Management Science, INFORMS, volume 52, issue 8, pages 1273-1287, August, DOI: 10.1287/mnsc.1060.0520.
• Wolfers, Justin & Zitzewitz, Eric, 2006, "Five Open Questions About Prediction Markets," IZA Discussion Papers, IZA Network @ LISER, number 1975, Feb.
• William Barnett & John Keating & Unja Chae, 2006, "The Discounted Economic Stock of Money with VAR Forecasting," Annals of Finance, Springer, volume 2, issue 3, pages 229-258, July, DOI: 10.1007/s10436-006-0038-y.
• George Christodoulakis, 2006, "Generalised Rational Bias in Financial Forecasts," Annals of Finance, Springer, volume 2, issue 4, pages 397-405, October, DOI: 10.1007/s10436-006-0043-1.
• Haibin Zhu, 2006, "An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market," Journal of Financial Services Research, Springer;Western Finance Association, volume 29, issue 3, pages 211-235, June, DOI: 10.1007/s10693-006-7626-x.
• Raj Aggarwal & Aigbe Akhigbe & James McNulty, 2006, "Are Differences in Acquiring Bank Profit Efficiency Priced in Financial Markets?," Journal of Financial Services Research, Springer;Western Finance Association, volume 30, issue 3, pages 265-286, December, DOI: 10.1007/s10693-006-0419-4.
• Byoung-ky Chang & Sung-hoon Sim, 2006, "Real Estate, Stock, and Bond Market Nexus: An ARDL Bounds Testing Approach," Korean Economic Review, Korean Economic Association, volume 22, pages 153-175.
• Joachim Merz & Henning Stolze & Markus Zwick, 2006, "Wirkungen alternativer Steuerreformmodelle auf die Einkommensverteilung von Freien und anderen Berufen," FFB-Discussionpaper, Research Institute on Professions (Forschungsinstitut Freie Berufe (FFB)), LEUPHANA University Lüneburg, number 64, Jul.
• Glaser, Markus & Schmitz, Philipp, 2006, "Privatanleger am Optionsscheinmarkt," Papers, Sonderforschungsbreich 504, number 06-15.
• Schmitz, Philipp & Glaser, Markus & Weber, Martin, 2006, "Individual investor sentiment and stock returns - what do we learn from warrant traders?," Papers, Sonderforschungsbreich 504, number 06-12.
• Chris M Strickland & Gael Martin & Catherine S Forbes, 2006, "Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 22/06, Dec.
• Zhangpeng Gao & Shahidur Rahman, 2006, "A New Direction of Fund Rating Based on the Finite Normal Mixture Model," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 0603, Mar.
• Zhangpeng Gao & Shahidur Rahman, 2006, "A Comparative Simulation Study of Fund Performance Measures," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 0604, Apr.
• Takeo Hoshi & Andrew Rose & Shin-ichi Fukuda & Takatoshi Ito, 2006, "International Finance (NBER-TCER-CEPR-University of Tokyo)," NBER Books, National Bureau of Economic Research, Inc, number hosh05-1.
• Lubos Pastor & Meenakshi Sinha & Bhaskaran Swaminathan, 2006, "Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 11941, Jan.
• Ricardo J. Caballero & Emmanuel Farhi & Pierre-Olivier Gourinchas, 2006, "An Equilibrium Model of "Global Imbalances" and Low Interest Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 11996, Feb.
• Murray Carlson & Zeigham Khokher & Sheridan Titman, 2006, "Equilibrium Exhaustible Resource Price Dynamics," NBER Working Papers, National Bureau of Economic Research, Inc, number 12000, Feb.
• J. Bradford DeLong & Konstantin Magin, 2006, "A Short Note on the Size of the Dot-Com Bubble," NBER Working Papers, National Bureau of Economic Research, Inc, number 12011, Feb.
• Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2006, "Valuation in Over-the-Counter Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 12020, Feb.
• John H. Cochrane, 2006, "The Dog That Did Not Bark: A Defense of Return Predictability," NBER Working Papers, National Bureau of Economic Research, Inc, number 12026, Feb.
• Justin Wolfers & Eric Zitzewitz, 2006, "Five Open Questions About Prediction Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 12060, Feb.
• Gary Gorton & Ping He, 2006, "Agency-Based Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 12084, Mar.
• Patrick Bolton & Jose Scheinkman & Wei Xiong, 2006, "Pay for Short-Term Performance: Executive Compensation in Speculative Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 12107, Mar.
• Martin Lettau & Stijn Van Nieuwerburgh, 2006, "Reconciling the Return Predictability Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 12109, Mar.
• Eugene N. White, 2006, "Bubbles and Busts: The 1990s in the Mirror of the 1920s," NBER Working Papers, National Bureau of Economic Research, Inc, number 12138, Apr.
• Long Chen & Ralitsa Petkova & Lu Zhang, 2006, "The Expected Value Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 12183, May.
• John Y. Campbell & Yves Nosbusch, 2006, "Intergenerational Risksharing and Equilibrium Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 12204, May.
• Francis A. Longstaff & Arvind Rajan, 2006, "An Empirical Analysis of the Pricing of Collateralized Debt Obligations," NBER Working Papers, National Bureau of Economic Research, Inc, number 12210, May.
• James Dow & Gary Gorton, 2006, "Noise Traders," NBER Working Papers, National Bureau of Economic Research, Inc, number 12256, May.
• Alessandro Beber & Michael W. Brandt, 2006, "Resolving Macroeconomic Uncertainty in Stock and Bond Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 12270, Jun.
• Urban Jermann & Vincenzo Quadrini, 2006, "Financial Innovations and Macroeconomic Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 12308, Jun.
• Miki Kohara & Charles Yuji Horioka, 2006, "Do Borrowing Constraints Matter? An Analysis of Why the Permanent Income Hypothesis Does Not Apply in Japan," NBER Working Papers, National Bureau of Economic Research, Inc, number 12330, Jun.
• Zhonglan Dai & Edward Maydew & Douglas A. Shackelford & Harold H. Zhang, 2006, "Capital Gains Taxes and Asset Prices: Capitalization or Lock-In?," NBER Working Papers, National Bureau of Economic Research, Inc, number 12342, Jun.
• William O. Brown, Jr. & J. Harold Mulherin & Marc D. Weidenmier, 2006, "Competing With the NYSE," NBER Working Papers, National Bureau of Economic Research, Inc, number 12343, Jun.
• John Y. Campbell & Jens Hilscher & Jan Szilagyi, 2006, "In Search of Distress Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 12362, Jul.
• Rajnish Mehra, 2006, "The Equity Premium in India," NBER Working Papers, National Bureau of Economic Research, Inc, number 12434, Aug.
• M. Ayhan Kose & Eswar Prasad & Kenneth S. Rogoff & Shang-Jin Wei, 2006, "Financial Globalization: A Reappraisal," NBER Working Papers, National Bureau of Economic Research, Inc, number 12484, Aug.
• Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2006, "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," NBER Working Papers, National Bureau of Economic Research, Inc, number 12658, Oct.
• Dimitri Vayanos & Pierre-Olivier Weill, 2006, "A Search-Based Theory of the On-the-Run Phenomenon," NBER Working Papers, National Bureau of Economic Research, Inc, number 12670, Nov.
• Dirk Jenter & Katharina Lewellen & Jerold B. Warner, 2006, "Security Issue Timing: What Do Managers Know, and When Do They Know It?," NBER Working Papers, National Bureau of Economic Research, Inc, number 12724, Dec.
• Lubos Pastor & Lucian Taylor & Pietro Veronesi, 2006, "Entrepreneurial Learning, the IPO Decision, and the Post-IPO Drop in Firm Profitability," NBER Working Papers, National Bureau of Economic Research, Inc, number 12792, Dec.
• Gunnar Bårdsen & Kjersti-Gro Lindquist & Dimitrios P. Tsomocos, 2006, "Evaluation of macroeconomic models for financial stability analysis," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 6806, Feb.
• Hongbin Li & Lingsheng Meng & Junsen Zhang, 2006, "Why Do Entrepreneurs Enter Politics? Evidence from China," Economic Inquiry, Western Economic Association International, volume 44, issue 3, pages 559-578, July.
• Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006, "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Oxford University Press, volume 4, issue 4, pages 537-572.
• Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2006, "Institutional Investors and Stock Market Volatility," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 121, issue 2, pages 461-504.
• Andrew Ellul & Marco Pagano, 2006, "IPO Underpricing and After-Market Liquidity," The Review of Financial Studies, Society for Financial Studies, volume 19, issue 2, pages 381-421.
• Evan Gatev & William N. Goetzmann & K. Geert Rouwenhorst, 2006, "Pairs Trading: Performance of a Relative-Value Arbitrage Rule," The Review of Financial Studies, Society for Financial Studies, volume 19, issue 3, pages 797-827.
• Jun Pan & Allen M. Poteshman, 2006, "The Information in Option Volume for Future Stock Prices," The Review of Financial Studies, Society for Financial Studies, volume 19, issue 3, pages 871-908.
• Dimitrios P Tsomocos & Gunnar Bardsen & Department of Economics & NTNUKjersti-Gro Lindquist & Norges Bank, 2006, "Evaluation of macroeconomic models for financial stability analysis," Economics Series Working Papers, University of Oxford, Department of Economics, number 2006-FE-01, Feb.
• Christine Wilson & Allen Featherstone, 2006, "Adjusting the CAPM for Threshold Effects: An Application to Food and Agribusiness Stocks," Working Papers, Purdue University, College of Agriculture, Department of Agricultural Economics, number 06-08.
• Chuck C Y Kwok & Solomon Tadesse, 2006, "National culture and financial systems," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, volume 37, issue 2, pages 227-247, March.
• Francis X. Diebold & Lei Ji & Canlin Li, 2006, "A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 06-017, Mar.
• Fazal Husain & Abdul Qayyum, 2006, "Stock Market Liberalisations in the South Asian Region," PIDE-Working Papers, Pakistan Institute of Development Economics, number 2006:6.
• Abdul Qayyum & A. R. Kemal, 2006, "Volatility Spillover between the Stock Market and the Foreign Market in Pakistan," PIDE-Working Papers, Pakistan Institute of Development Economics, number 2006:7.
• Pasha, Yasir, 2006, "The Role of Privatization in Stabilizing the Economy of Pakistan and Its After-Effects," MPRA Paper, University Library of Munich, Germany, number 116388, Apr, revised 08 Jun 2022.
• Arshad, Muhammad Nadeem, 2006, "Comparison of Products & Services Offered by Local and Foreign Banks in Pakistan," MPRA Paper, University Library of Munich, Germany, number 116411, Aug, revised 03 Jan 2023.
• Bartram, Sohnke M. & Bodnar, Gordon M., 2006, "Crossing the Lines: The Conditional Relation between Exchange Rate Exposure and Stock Returns in Emerging and Developed Markets," MPRA Paper, University Library of Munich, Germany, number 13064, Jun, revised 02 Nov 2008.
• Bartram, Söhnke M. & Bodnar, Gordon M., 2006, "Crossing the Lines: The Conditional Relation between Exchange Rate Exposure and Stock Returns in Emerging and Developed Markets," MPRA Paper, University Library of Munich, Germany, number 14018, Jun, revised 02 Nov 2008.
• Feng, Yuanhua, 2006, "A local dynamic conditional correlation model," MPRA Paper, University Library of Munich, Germany, number 1592.
• Ruiz-Porras, Antonio, 2006, "Financial systems and banking crises: An assessment," MPRA Paper, University Library of Munich, Germany, number 168, Jan.
• Qayyum, Abdul & Kemal, A. R., 2006, "Volatility Spillover Between the Stock Market and the Foreign Exchange Market in Pakistan," MPRA Paper, University Library of Munich, Germany, number 1715.
• Husain, Fazal & Qayyum, Abdul, 2006, "Stock Market Liberalisations in the South Asian Region," MPRA Paper, University Library of Munich, Germany, number 1716.
• Gualandri, Elisabetta & Grasso, Alessandro Giovanni, 2006, "Towards a new Approach to Regulation and Supervision in the EU: Post-FSAP and Comitology," MPRA Paper, University Library of Munich, Germany, number 1780, Mar.
• Hossein-Yekani, Seyed-Ali & Bakhshoodeh, Mohammad, 2006, "The importance of developing future contracts: a case study of Iran Agricultural Commodity Exchanges," MPRA Paper, University Library of Munich, Germany, number 29593, Dec.
• Cotter, John & Dowd, Kevin, 2006, "Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements," MPRA Paper, University Library of Munich, Germany, number 3495.
• Husain, Fazal, 2006, "Stock Prices, Real Sector and the Causal Analysis: The Case of Pakistan," MPRA Paper, University Library of Munich, Germany, number 4162.
• Bongini, Paola & Di Battista, Maria Luisa & Zavarrone, Emma, 2006, "David and Goliath: small banks in an era of consolidation. Evidence from Italy," MPRA Paper, University Library of Munich, Germany, number 4841.
• Merz, Joachim & Stolze, Henning & Zwick, Markus, 2006, "Wirkungen alternativer Steuerreformmodelle auf die Einkommensverteilung von Freien und anderen Berufen," MPRA Paper, University Library of Munich, Germany, number 5844, Jul.
• Saidi, Youssef & Zakoian, Jean-Michel, 2006, "Stationarity and geometric ergodicity of a class of nonlinear ARCH models," MPRA Paper, University Library of Munich, Germany, number 61988, revised 2006.
• Azman-Saini, W.N.W. & Habibullah, M.S. & Law, Siong Hook & Dayang-Afizzah, A.M., 2006, "Stock prices, exchange rates and causality in Malaysia: a note," MPRA Paper, University Library of Munich, Germany, number 656, Oct.
• Siddiqi, Hammad, 2006, "Belief merging and revision under social influence: An explanation for the volatility clustering puzzle," MPRA Paper, University Library of Munich, Germany, number 657, Aug.
• Abozaid, Abdualzeem, 2006, "البعد التعبدي في ارتباط المصالح بالأحكام الشرعية
  [The devotional dimension in tnterest-oriented Shariah rulings]," MPRA Paper, University Library of Munich, Germany, number 93433.
• Pascucci, Andrea & Foschi, Paolo, 2006, "Path dependent volatility," MPRA Paper, University Library of Munich, Germany, number 973, Nov.