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

2005

• Georg Zachmann, 2005, "Convergence of Electricity Wholesale Prices in Europe?: A Kalman Filter Approach," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 512.
• Min-Hsien Chiang & Chihwa Kao, 2005, "Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Model," Economics Bulletin, AccessEcon, volume 3, issue 10, pages 1-13.
• Kian-Ping Lim & Melvin J. Hinich, 2005, "Cross-temporal universality of non-linear dependencies in Asian stock markets," Economics Bulletin, AccessEcon, volume 7, issue 1, pages 1-6.
• Kevin E. Beaubrun-Diant, 2005, "Can a Time-to-Plan Model explain the Equity Premium Puzzle," Economics Bulletin, AccessEcon, volume 7, issue 2, pages 1-8.
• Yusuke Osaki, 2005, "Dependent background risks and asset prices," Economics Bulletin, AccessEcon, volume 4, issue 8, pages 1-8.
• Manfred Stadler & Tobias Schuele, 2005, "Signalling Effects of a Large Player in a Global Game of Creditor Coordination," Economics Bulletin, AccessEcon, volume 4, issue 12, pages 1-7.
• Sergio Da Silva & Paulo Ceretta & Silvia Nunes & Newton Da Costa, Jr, 2005, "Stockmarket comovements revisited," Economics Bulletin, AccessEcon, volume 7, issue 3, pages 1-9.
• Kian-Ping Lim & Melvin J. Hinich, 2005, "Non-linear Market Behavior: Events Detection in the Malaysian Stock Market," Economics Bulletin, AccessEcon, volume 7, issue 6, pages 1-5.
• Gerhard Kling, 2005, "The impact of trading mechanisms and stock characteristics on order processing and information costs: A panel GMM approach," Economics Bulletin, AccessEcon, volume 7, issue 5, pages 1-11.
• Jean Fernand Nguema, 2005, "Stochastic dominance on optimal portfolio with one risk-less and two risky assets," Economics Bulletin, AccessEcon, volume 7, issue 7, pages 1-7.
• Sergio Da Silva & Jefferson Cunha & Newton Da Costa, Jr, 2005, "Stock selection based on cluster analysis," Economics Bulletin, AccessEcon, volume 13, issue 1, pages 1-9.
• Sergio Da Silva & Newton Da Costa, Jr & Joao Tusi & Andre Santos, 2005, "Evaluating Brazilian mutual funds with stochastic frontiers," Economics Bulletin, AccessEcon, volume 13, issue 2, pages 1-6.
• Cornelia Holthausen & Cyril Monnet, 2005, "Securities settlement and dinancial integration: Why do we care?," Research Bulletin, European Central Bank, volume 2, pages 8-9.
• Miller, Darius P. & Puthenpurackal, John J., 2005, "Security fungibility and the cost of capital: evidence from global bonds," Working Paper Series, European Central Bank, number 426, Jan.
• Zaghini, Andrea & Wilhelmsen, Björn-Roger, 2005, "Monetary policy predictability in the euro area: an international comparison," Working Paper Series, European Central Bank, number 504, Jul.
• Carey, Mark & Stulz, Rene M., 2005, "The Risks of Financial Institutions," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2005-13, Jun.
• Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2005, "Over-the-Counter Markets," Econometrica, Econometric Society, volume 73, issue 6, pages 1815-1847, November.
• Diks, Cees & van der Weide, Roy, 2005, "Herding, a-synchronous updating and heterogeneity in memory in a CBS," Journal of Economic Dynamics and Control, Elsevier, volume 29, issue 4, pages 741-763, April.
• Wachter, Jessica A., 2005, "Solving models with external habit," Finance Research Letters, Elsevier, volume 2, issue 4, pages 210-226, December.
• Feltenstein, Andrew & Lagunoff, Roger, 2005, "International versus domestic auditing of bank solvency," Journal of International Economics, Elsevier, volume 67, issue 1, pages 73-96, September.
• Matteo, T. Di & Aste, T. & Dacorogna, Michel M., 2005, "Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development," Journal of Banking & Finance, Elsevier, volume 29, issue 4, pages 827-851, April.
• Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2005, "There is a risk-return trade-off after all," Journal of Financial Economics, Elsevier, volume 76, issue 3, pages 509-548, June.
• Acharya, Viral V. & Pedersen, Lasse Heje, 2005, "Asset pricing with liquidity risk," Journal of Financial Economics, Elsevier, volume 77, issue 2, pages 375-410, August.
• Evans, Martin D.D. & Lyons, Richard K., 2005, "Do currency markets absorb news quickly?," Journal of International Money and Finance, Elsevier, volume 24, issue 2, pages 197-217, March.
• Gallmeyer, Michael F. & Hollifield, Burton & Zin, Stanley E., 2005, "Taylor rules, McCallum rules and the term structure of interest rates," Journal of Monetary Economics, Elsevier, volume 52, issue 5, pages 921-950, July.
• Nava Ashraf & Dean Karlan & Wesley Yin, 2005, "Deposit Collectors," Working Papers, Economic Growth Center, Yale University, number 930, Dec.
• Lezaun, Javier & Millo, Yuval, 2005, "Regulatory experiments: putting GM crops and financial markets on trial," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 36102, Feb.
• Schwarze, Reimund & Wein, Thomas, 2005, "Is the market classification of risk always efficient? evidence from german third party motor insurance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 36104, Feb.
• Lourdes Treviño, 2005, "Development and volume growth of organized derivatives trade in emerging markets," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, volume 0, issue 2, pages 31-82, November.
• Raghuram G. Rajan, 2005, "Has Financial Development Made the World Riskier?," Working Papers, eSocialSciences, number id:248.
• Ramiro Sosa Navarro, 2005, "Default Recovery Rates and Implied Default Probability Estimations: Evidence from the Argentinean Crisis," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 05-10.
• Stefano Bosi, 2005, "Sunspot Bubbles," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 05-25.
• Philippe Bacchetta & Eric van Wincoop, 2005, "Can Information Heterogeneity Explain the Exchange Rate Determination?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp155, Aug.
• Philippe Bacchetta & Eric van Wincoop, 2005, "Rational Inattention: A Solution to the Forward Discount Puzzle," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp156, Sep.
• Jean-Pierre DANTHINE & John B. DONALDSON & Paolo SICONOLFI, 2005, "Distribution Risk and Equity Returns," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp161, Nov.
• Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch, 2005, "Modeling Bond Yields in Finance and Macroeconomics," Working Paper Series, Federal Reserve Bank of San Francisco, number 2005-04, Jan, DOI: 10.24148/wp2005-04.
• Raghuram G. Rajan, 2005, "Has financial development made the world riskier?," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, issue Aug, pages 313-369.
• Hui Guo & Robert Whitelaw, 2005, "Uncovering the risk-return relation in the stock market," Working Papers, Federal Reserve Bank of St. Louis, number 2001-001, DOI: 10.20955/wp.2001.001.
• John Y. Campbell & Tarun Ramadorai & Tuomo O. Vuolteenaho, 2005, "Caught On Tape: Institutional Order Flow and Stock Returns," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2080.
• John Y. Campbell & Jens Hilscher & Jan Szilagyi, 2005, "In Searach of Distress Risk," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2081.
• John Y. Campbell & Joao F. Cocco, 2005, "How Do House Prices Affect Consumption? Evidence From Micro Data," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2083.
• John Y. Campbell & Samuel B. Thompson, 2005, "Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2084.

2004

• Philippe Bacchetta & Eric Van Wincoop, 2004, "A Scapegoat Model of Exchange-Rate Fluctuations," American Economic Review, American Economic Association, volume 94, issue 2, pages 114-118, May, DOI: 10.1257/0002828041301849.
• René M. Stulz, 2004, "Should We Fear Derivatives?," Journal of Economic Perspectives, American Economic Association, volume 18, issue 3, pages 173-192, Summer, DOI: 10.1257/0895330042162359.
• Isik, Murat, 2004, "Incorporating Risk Preferences Into Real Options Models," 2004 Annual meeting, August 1-4, Denver, CO, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 20027, DOI: 10.22004/ag.econ.20027.
• Lloyd-Ellis, Huw & Zhu, Xiaodong, 2004, "Using Financial Market Information to Enhance Canadian Fiscal Policy," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273511, Aug, DOI: 10.22004/ag.econ.273511.
• Manuela CROCI, 2004, "Country pair-correlations as a measure of financial integration: the case of the Euro equity markets," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 201, Jan.
• David Bolder & Grahame Johnson & Adam Metzler, 2004, "An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates," Staff Working Papers, Bank of Canada, number 04-48, DOI: 10.34989/swp-2004-48.
• Andrew Filardo, 2004, "Monetary policy and asset price bubbles: calibrating the monetary policy trade-offs," BIS Working Papers, Bank for International Settlements, number 155, Jun.
• John D. Burger, 2004, "The Policy Anticipation Hypothesis: Evidence from the Federal Funds Futures Market," Contemporary Economic Policy, Western Economic Association International, volume 22, issue 4, pages 544-554, October, DOI: 10.1093/cep/byh041.
• Hans‐Werner Sinn, 2004, "The New Systems Competition," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, volume 5, issue 1, pages 23-38, February, DOI: 10.1111/j.1468-2516.2004.00125.x.
• Matteo Iacoviello, 2004, "Consumption, House Prices and Collateral Constraints: a Structural Econometric Analysis," Boston College Working Papers in Economics, Boston College Department of Economics, number 589, Jan, revised 13 Sep 2004.
• Sophocles N. Brissimis & Nicholas S. Magginas, 2004, "Forward-Looking Information in VAR Models and the Price Puzzle," Working Papers, Bank of Greece, number 10, Feb.
• Cappuccio Nunzio & Lubian Diego & Raggi Davide, 2004, "MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-31, May, DOI: 10.2202/1558-3708.1211.
• Ney Roberto Ottoni de Brito & Alexandre Bona & Affonso Tarciro, Jr., 2004, "Estimating Risk and Return Combinations for New Derivatives Funds," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 2, pages 119-136.
• Daniella Acker & Nigel W. Duck, 2004, "Estimating Betas and Stock-Return Correlations From Monthly Data: A Warning Note," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 04/557, Jan.
• John Roberts & Paul Sanderson & John Hendry & Richard Barker, 2004, "Owners, traders and providers of capital: the multiple faces of institutional investors," Working Papers, Centre for Business Research, University of Cambridge, number wp296, Dec.
• Christopher Knittel & Jeffrey Heisler & John J. Neumann & Scott Stewart, 2004, "Why Do Institutional Plan Sponsors Hire and Fire their Investment Managers?," Working Papers, University of California, Davis, Department of Economics, number 1, Sep.
• Santa-Clara, Pedro & Yan, Shu, 2004, "Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt5dv8v999, Sep.
• Brandt, Michael W. & Santa-Clara, Pedro, 2004, "Dynamic Portfolio Selection by Augmenting the Asset Space," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt632436gt, Apr.
• Hans-Werner Sinn, 2001, "The New Systems Competition," CESifo Working Paper Series, CESifo, number 623.
• René Garcia & Eric Ghysels & Eric Renault, 2004, "The Econometrics of Option Pricing," CIRANO Working Papers, CIRANO, number 2004s-04, Jan.
• Luigi Guiso & Tullio Jappelli, 2006, "Information Acquisition and Portfolio Performance," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 52, Oct.
• Titman, Sheridan & Wei, K. C. John & Xie, Feixue, 2004, "Capital Investments and Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 39, issue 4, pages 677-700, December.
• Colasse, Bernard (ed.), 2004, "Contribution à l'étude de l'investissement socialement responsable : Les stratégies de légitimation des sociétés de gestion," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/10473.
• Nicolas Wesner, 2004, "Searching for chaos on low frequency," Economics Bulletin, AccessEcon, volume 3, issue 1, pages 1-8.
• Songul Kakilli Acaravci & Hatice Dogukanli, 2004, "The Effects Of Market And Industry Factors On The Returns Of Common Stocks Traded On The Istanbul Stock Exchange," Economics Bulletin, AccessEcon, volume 28, issue 5, pages 1.
• Vincenzo Costa, 2004, "Risk neutral valuation and uncovered interest rate parity in a stochastic two-country-economy with two goods," Economics Bulletin, AccessEcon, volume 3, issue 43, pages 1-10.
• Chongcheul Cheong, 2004, "Does the risk of exchange rate fluctuation really affect international trade flows between countries?," Economics Bulletin, AccessEcon, volume 6, issue 4, pages 1-8.
• Frank Westerhoff & Sebastiano Manzan, 2004, "Does liquidity in the FX market depend on volatility?," Economics Bulletin, AccessEcon, volume 6, issue 10, pages 1-8.
• Victor Vaugirard, 2004, "A canonical first passage time model to pricing nature-linked bonds," Economics Bulletin, AccessEcon, volume 7, issue 2, pages 1-7.
• Reint Gropp & Philipp Hartmann, 2004, "Financial Contagion: Myth or Reality?," Research Bulletin, European Central Bank, volume 1, pages 2-5.
• Griffin, John M. & Nardari, Federico & Stulz, Rene M., 2004, "Stock Market Trading and Market Conditions," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2004-13, Aug.
• Stulz, Rene M., 2004, "Should We Fear Derivatives?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2004-5, May.
• Rene Garcia & Marco Bonomo, 2004, "Optimal Rules under Adjustment Cost and Infrequent Information," Econometric Society 2004 Latin American Meetings, Econometric Society, number 135, Aug.
• Mario Zambrano, 2004, "Un Modelo Basico Crediticio: Regulacion Prudencial, Volatilidad Cambiaria y Medicion de Riesgos," Econometric Society 2004 Latin American Meetings, Econometric Society, number 164, Aug.
• Denis Pelletier, 2004, "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 230, Aug.
• Lasse H. Pedersen & Markus Brunnermeier, 2004, "Predatory Trading," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 425, Aug.
• Jonathan A. Parker & Markus K. Brunnermeier, 2004, "Optimal Expectations," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 426, Aug.
• Feng Zhao & Robert Jarrow & Haitao Li, 2004, "Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 431, Aug.
• Hyun Song Shin & Stephen Morris, 2004, "Liquidity Black Holes," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 620, Aug.
• Martin E. Ruckes & Mukarram Attari & Antonio S. Mello, 2004, "Arbitraging Arbitrageurs," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 621, Aug.
• Martin E. Ruckes & Mukarram Attari & Antonio S. Mello, 2004, "Arbitraging Arbitrageurs," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 643, Aug.
• Hyun Song Shin & Stephen Morris, 2004, "Liquidity Black Holes," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 644, Aug.
• Ramazan Gencay & Faruk Selcuk, 2004, "Asymmetry of Information Flow Between Volatilities Across Time Scales," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 90, Aug.
• Capocci, Daniel & Hubner, Georges, 2004, "Analysis of hedge fund performance," Journal of Empirical Finance, Elsevier, volume 11, issue 1, pages 55-89, January.
• Cotter, John, 2004, "International equity market integration in a small open economy: Ireland January 1990-December 2000," International Review of Financial Analysis, Elsevier, volume 13, issue 5, pages 669-685.
• Goodhart, Charles A. E. & Sunirand, Pojanart & Tsomocos, Dimitrios P., 2004, "A model to analyse financial fragility: applications," Journal of Financial Stability, Elsevier, volume 1, issue 1, pages 1-30, September.
• Kaminsky, Graciela & Lyons, Richard K. & Schmukler, Sergio L., 2004, "Managers, investors, and crises: mutual fund strategies in emerging markets," Journal of International Economics, Elsevier, volume 64, issue 1, pages 113-134, October.
• Martin, Philippe & Rey, Helene, 2004, "Financial super-markets: size matters for asset trade," Journal of International Economics, Elsevier, volume 64, issue 2, pages 335-361, December.
• Danielsson, Jon & Shin, Hyun Song & Zigrand, Jean-Pierre, 2004, "The impact of risk regulation on price dynamics," Journal of Banking & Finance, Elsevier, volume 28, issue 5, pages 1069-1087, May.
• Grinblatt, Mark & Keloharju, Matti, 2004, "Tax-loss trading and wash sales," Journal of Financial Economics, Elsevier, volume 71, issue 1, pages 51-76, January.
• Longstaff, Francis A. & Piazzesi, Monika, 2004, "Corporate earnings and the equity premium," Journal of Financial Economics, Elsevier, volume 74, issue 3, pages 401-421, December.
• Iacoviello, Matteo, 2004, "Consumption, house prices, and collateral constraints: a structural econometric analysis," Journal of Housing Economics, Elsevier, volume 13, issue 4, pages 304-320, December.
• Sotskov Alexander, 2004, "Optimal time-consistent taxes, money supply, internal and external borrowing in the Sidrausky model," EERC Working Paper Series, EERC Research Network, Russia and CIS, number 01-166e, Jul.
• Danielsson, Jon & Shin, Hyun Song & Zigrand, Jean-Pierre, 2004, "The impact of risk regulation on price dynamics," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 16628, May.
• Goodhart, Charles & Sunirand, Pojanart & Tsomocos, Dimitrios P., 2004, "A model to analyse financial fragility: applications," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24680, Feb.
• Ellul, Andrew & Shin, Hyun Song & Tonks, Ian, 2004, "Opening and closing the market: evidence from the London Stock Exchange," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24753, Jul.
• Vayanos, Dimitri & Wang, Tan, 2004, "Search and endogenous concentration of liquidity in asset markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 455, Aug.
• Alexandros Kontonikas & Alberto Montagnoli, 2004, "Has Monetary Policy Reacted to Asset Price Movements? Evidence from the UK," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 7, issue 1, pages 18-33, Summer.
• T. Mandalis & S. I. Spyrou, 2004, "Return Predictability, Contrarian & Momentum Profits:The Case of the Athens Stock Exchange," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 7, issue 1, pages 56-72, Summer.
• G. A. Karathanassis & S. N. Spilioti, 2004, "An Empirical Examination of Traditional Equity Valuation Models: The case of the Athens Stock Exchange," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1-2, pages 133-142.
• Jürgen Huber & Matthias Sutter & Michael Kirchler, 2004, "Is more information always better? Experimental financial markets with asymmetric information," Papers on Strategic Interaction, Max Planck Institute of Economics, Strategic Interaction Group, number 2005-13, Dec.
• Leonid Kogan & Stephan Ross & Jiang Wang & Mark Westerfield, 2004, "Price Impact and Survival of Irrational Traders," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp116, Oct.
• Matthias HAGMANN & Carlos LENZ, 2004, "Real Asset Returns and Components of Inflation: A Structural VAR Analysis," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp118, Oct.
• Jan Hansen & Carsten Schmidt & Martin Strobel, 2004, "Manipulation in political stock markets - preconditions and evidence," Natural Field Experiments, The Field Experiments Website, number 00265.
• Monika Piazzesi & Eric T. Swanson, 2004, "Future prices as risk-adjusted forecasts of monetary policy," Proceedings, Federal Reserve Bank of San Francisco, issue mar.
• Hyun Song Shin & Ian Tonks & Andrew Ellul, 2004, "Opening and Closing the Market: Evidence from the London Stock Exchange," FMG Discussion Papers, Financial Markets Group, number dp506, Jul.
• John Y. Campbell & Joao F. Cocco, 2004, "How Do House Prices Affect Consumption? Evidence From Micro F. Data," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2045.
• Chung H. Lee, 2004, "Economic Development in China and Its Implications for East Asia," Working Papers, University of Hawaii at Manoa, Department of Economics, number 200412.
• Philippe Martin & Helene Rey, 2004, "Financial Super-Markets: Size Matters for Asset Trade," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00176904, DOI: 10.1016/j.jinteco.2003.12.001.
• Ahuja, Rajeev, 2004, "Health insurance for the poor in India," Indian Council for Research on International Economic Relations, New Delhi Working Papers, Indian Council for Research on International Economic Relations, New Delhi, India, number 123, Mar.
• Stephen Morris & Hyun Song Shin, 2004, "Liquidity Black Holes," Review of Finance, Springer, volume 8, issue 1, pages 1-18.
• Eugene N. White, 2004, "Bubbles and Busts: The 1990s in the Mirror of the 1920s," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2004/09, Mar.
• Philippe BACCHETTA & Eric VAN WINCOOP, 2004, "A Scapegoat Model of Exchange Rate Fluctuations," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 04.01, Jan.
• Sinn, Hans-Werner, 2004, "The new systems competition," Munich Reprints in Economics, University of Munich, Department of Economics, number 19608.
• Alfonso Mendoza, 2004, "Modelling long memory and risk premia in Latin American sovereign bond markets," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 65, Sep, revised 13 Oct 2004.
• Söehnke Bartram & Stephen Taylor & Yaw-Huei Wang, 2004, "The Euro and European Financial Market Integration," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 49, Sep, revised 13 Oct 2004.
• Alexandros Kontikas & Alberto Montagnoli, 2004, "Optimal Monetary Policy and Asset Price Misalignments," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 80, Sep.
• Eduardo S. Schwartz & Lenos Trigeorgis (ed.), 2004, "Real Options and Investment under Uncertainty: Classical Readings and Recent Contributions," MIT Press Books, The MIT Press, number 0262693186, edition 1, ISBN: ARRAY(0x6d095a90), December.
• Chen Chien-Hsun & Shih Hui-Tzu, 2004, "Initial Public Offering and Corporate Governance in China's Transitional Economy," NBER Chapters, National Bureau of Economic Research, Inc, "Governance, Regulation, and Privatization in the Asia-Pacific Region".
• James J. Choi & David Laibson & Brigitte Madrian & Andrew Metrick, 2004, "Employees' Investment Decisions about Company Stock," NBER Working Papers, National Bureau of Economic Research, Inc, number 10228, Jan.
• Philippe Bacchetta & Eric van Wincoop, 2004, "A Scapegoat Model of Exchange Rate Fluctuations," NBER Working Papers, National Bureau of Economic Research, Inc, number 10245, Jan.
• Josef Lakonishok & Inmoo Lee & Allen M. Poteshman, 2004, "Investor Behavior in the Option Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 10264, Feb.
• Dimitri Vayanos, 2004, "Flight to Quality, Flight to Liquidity, and the Pricing of Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 10327, Feb.
• Michael W. Brandt & Pedro Santa-Clara, 2004, "Dynamic Portfolio Selection by Augmenting the Asset Space," NBER Working Papers, National Bureau of Economic Research, Inc, number 10372, Mar.
• Francis A. Longstaff, 2004, "Financial Claustrophobia: Asset Pricing in Illiquid Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 10411, Apr.
• Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2004, "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 10418, Apr.
• Francis A. Longstaff, 2004, "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," NBER Working Papers, National Bureau of Economic Research, Inc, number 10422, Apr.
• James J. Choi & David Laibson & Brigitte C. Madrian & Andrew Metrick, 2004, "Consumption-Wealth Comovement of the Wrong Sign," NBER Working Papers, National Bureau of Economic Research, Inc, number 10454, Apr.
• Xiaohong Chen & Sydney C. Ludvigson, 2004, "Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior," NBER Working Papers, National Bureau of Economic Research, Inc, number 10503, May.
• Monika Piazzesi & Eric Swanson, 2004, "Futures Prices as Risk-adjusted Forecasts of Monetary Policy," NBER Working Papers, National Bureau of Economic Research, Inc, number 10547, Jun.
• Rene M. Stulz, 2004, "Should We Fear Derivatives?," NBER Working Papers, National Bureau of Economic Research, Inc, number 10574, Jun.
• Lubos Pastor & Pietro Veronesi, 2004, "Was There a Nasdaq Bubble in the Late 1990s?," NBER Working Papers, National Bureau of Economic Research, Inc, number 10581, Jun.
• Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba, 2004, "The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 10616, Jul.
• Robert C. Merton & Zvi Bodie, 2004, "The Design of Financial Systems: Towards a Synthesis of Function and Structure," NBER Working Papers, National Bureau of Economic Research, Inc, number 10620, Jul.
• Jacob Boudoukh & Roni Michaely & Matthew Richardson & Michael Roberts, 2004, "On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 10651, Jul.
• Wayne E. Ferson & Andrea Heuson & Tie Su, 2004, "Weak and Semi-Strong Form Stock Return Predictability, Revisited," NBER Working Papers, National Bureau of Economic Research, Inc, number 10689, Aug.
• John M. Griffin & Federico Nardari & Rene M. Stulz, 2004, "Stock Market Trading and Market Conditions," NBER Working Papers, National Bureau of Economic Research, Inc, number 10719, Sep.
• Markus K. Brunnermeier & Lasse Heje Pedersen, 2004, "Predatory Trading," NBER Working Papers, National Bureau of Economic Research, Inc, number 10755, Sep.
• Pierre Collin-Dufresne & Christopher S. Jones & Robert S. Goldstein, 2004, "Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 10756, Sep.
• Viral V. Acharya & Lasse Heje Pedersen, 2004, "Asset Pricing with Liquidity Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 10814, Oct.
• Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2004, "Over-the-Counter Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 10816, Oct.
• Pedro Santa-Clara & Shu Yan, 2004, "Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 10912, Nov.
• Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004, "There is a Risk-Return Tradeoff After All," NBER Working Papers, National Bureau of Economic Research, Inc, number 10913, Nov.
• Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004, "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," NBER Working Papers, National Bureau of Economic Research, Inc, number 10914, Nov.
• Jun Pan & Allen Poteshman, 2004, "The Information of Option Volume for Future Stock Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 10925, Nov.
• Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan Storud, 2004, "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," NBER Working Papers, National Bureau of Economic Research, Inc, number 10934, Nov.
• Mihir A. Desai & Alexander Dyck & Luigi Zingales, 2004, "Theft and Taxes," NBER Working Papers, National Bureau of Economic Research, Inc, number 10978, Dec.
• Michael W. Brandt & Pedro Santa-Clara & Rossen Valkanov, 2004, "Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 10996, Dec.
• David J. Brophy & Paige P. Ouimet & Clemens Sialm, 2004, "PIPE Dreams? The Performance of Companies Issuing Equity Privately," NBER Working Papers, National Bureau of Economic Research, Inc, number 11011, Dec.
• George-Marios Angeletos & Ivan Werning, 2004, "Crises and Prices: Information Aggregation, Multiplicity and Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 11015, Dec.
• Jeremy Large, 2004, "Cancellation and Uncertainty Aversion on Limit Order Books," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W05, Feb.
• Johann Scharler, 2004, "Understanding the Stock Market’s Response to Monetary Policy Shocks," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 93, Dec.
• Felix Rioja & Neven Valev, 2004, "Finance and the Sources of Growth at Various Stages of Economic Development," Economic Inquiry, Western Economic Association International, volume 42, issue 1, pages 127-140, January.
• Stephen Morris & Hyun Song Shin, 2004, "Liquidity Black Holes," Review of Finance, European Finance Association, volume 8, issue 1, pages 1-18.
• Jeremy Large, 2004, "Cancellation and uncertainty aversion on limit order books," Economics Series Working Papers, University of Oxford, Department of Economics, number 2004-FE-04, Feb.
• Dimitrios P Tsomocos & Charles A.E. Goodhart & Pojanart Sunirand, 2004, "A Model to Analyse Financial Fragility: Applications," Economics Series Working Papers, University of Oxford, Department of Economics, number 2004-FE-05, Feb.
• Oren Sussman & Stefano G. Athanasoulis, 2004, "Habit Formation and the Equity-Premium Puzzle: a Skeptical View," Economics Series Working Papers, University of Oxford, Department of Economics, number 2004-FE-12, Jun.
• Attaullah Shah & Tahir Hijazi, 2004, "The Determinants of Capital Structure of Stock Exchange-listed Non-financial Firms in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 43, issue 4, pages 605-618.
• Mohammed Nishat & Rozina Shaheen, 2004, "Macroeconomic Factors and Pakistani Equity Market," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 43, issue 4, pages 619-637.
• Bacha, Obiyathulla I., 2004, "The Market for Financial Derivatives: Removing Impediments to Growth," MPRA Paper, University Library of Munich, Germany, number 13074, Dec.
• Cotter, John, 2004, "Absolute Return Volatility," MPRA Paper, University Library of Munich, Germany, number 3529, revised 2005.
• Cotter, John, 2004, "Downside Risk for European Equity Markets," MPRA Paper, University Library of Munich, Germany, number 3537.
• Cotter, John, 2004, "International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000," MPRA Paper, University Library of Munich, Germany, number 3538.
• Grammig, Joachin & Heinen, Andreas & Rengifo, Erick, 2004, "Trading activity and liquidity supply in a pure limit order book market: An empirical analysis using a multivariate count data model," MPRA Paper, University Library of Munich, Germany, number 8115, Aug.
• Esther Jeffers & Damien Moyé, 2004, "Dow Jones, CAC 40, SBF 120 : comment expliquer que le CAC 40 est le plus volatil ?," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 203-218, DOI: 10.3406/ecofi.2004.5039.
• Bruno Séjourné, 2004, "Volatilité des marchés boursiers et comportement des épargnants français," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 219-230, DOI: 10.3406/ecofi.2004.5040.
• Jean Saint Geours, 2004, "La crise d’aujourd’hui est une rechute des maux du système financier international," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 333-346, DOI: 10.3406/ecofi.2004.5048.
• Bruno Cabrillac & Jean-Patrick Yanitch, 2004, "Les marchés financiers chinois," Revue d'Économie Financière, Programme National Persée, volume 77, issue 4, pages 275-297, DOI: 10.3406/ecofi.2004.4187.
• Huw Lloyd-Ellis & Xiaodong Zhu, 2004, "Using Financial Market Information To Enhance Canadian Fiscal Policy," Working Paper, Economics Department, Queen's University, number 1041, Aug.
• Matteo Iacoviello, 2004, "Consumption, House Prices and Collateral Constraints: a Structural Econometric Analysis," 2004 Meeting Papers, Society for Economic Dynamics, number 201.
• Iacoviello, Matteo, 2004, "Consumption, House Prices and Collateral Constraints: A Structural Econometric Analysis," 2004 Meeting Papers, Society for Economic Dynamics, number 207b.
• Harold Cole & Andrew Atkeson, 2004, "A Dynamic Theory of Optimal Capital Structure and Executive Compensation," 2004 Meeting Papers, Society for Economic Dynamics, number 267.
• John Campbell & Joao Cocco, 2004, "How Do House Prices Affect Consumption? Evidence from Micro Data," 2004 Meeting Papers, Society for Economic Dynamics, number 357a.
• Antonio Moreno & Geert Bekaert & Seonghoon Cho, 2004, "New-Keynesian Macroeconomics and the Term Structure," 2004 Meeting Papers, Society for Economic Dynamics, number 388.
• Finn Kydland & Irasema Alonso, 2004, "Betting against your neighbor: a quantitative investigation," 2004 Meeting Papers, Society for Economic Dynamics, number 443.
• Aleh Tsyvinski & Christian Hellwig & Arihit Mukherji, 2004, "Coordination Failures and Asset Prices," 2004 Meeting Papers, Society for Economic Dynamics, number 72.
• Ronald L. Goettler & Christine A. Parlour, 2004, "Equilibrium in a Dynamic Limit Order Market," 2004 Meeting Papers, Society for Economic Dynamics, number 757.
• John Cotter, 2004, "Varying the VaR for unconditional and conditional environments," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1138.
• John Cotter, 2004, "Absolute return volatility," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1139.
• Donal Bredin & Caroline Gavin & Gerard O'Reilly, 2004, "International policy rate changes and Dublin interbank offer rates," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1163.
• John Cotter, 2004, "Modelling financial crises of global equity markets," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1181.
• Michael R. Wickens & Chiona Balfoussia, 2004, "Macroeconomic Sources of Risk in the Term Structure," CEIS Research Paper, Tor Vergata University, CEIS, number 61, Nov.
• Jeremy Large, 2004, "Cancellation and uncertainty aversion on limit order books," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004fe04.
• Charles A.E. Goodhart & Pojanart Sunirand & Dimitrios P. Tsomocos, 2004, "A Model to Analyse Financial Fragility: Applications," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004fe05.