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

2004

• C. F. Lee & Ta-Peng Wu & Ren-Raw Chen, 2004, "The Constant Elasticity of Variance Models: New Evidence from S&P 500 Index Options," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 02, pages 173-190, DOI: 10.1142/S021909150400010X.
• Yu-Li Liang & Ching-Hai Jiang & Yen-Sheng Huang, 2004, "Bid-Ask Bounce and the Intraday Performance of Limit Orders: Evidence from the Taiwan Stock Exchange," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 02, pages 191-211, DOI: 10.1142/S0219091504000111.
• Chaoshin Chiao & Ko-I Lin, 2004, "The Informative Content of the Net-Buy Information of Institutional Investors: Evidence from the Taiwan Stock Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 02, pages 259-288, DOI: 10.1142/S0219091504000123.
• Poh Har Neo & Seow Eng Ong, 2004, "Risk Sharing in Mortgage Loan Agreements," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 02, pages 233-258, DOI: 10.1142/S0219091504000135.
• Miawjane Chen & Chao-Liang Chen & Wan-Hsiu Cheng, 2004, "The Announcement Effects of Restricted Open Market Share Repurchases: Experience from Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 03, pages 335-354, DOI: 10.1142/S0219091504000147.
• Wei-Chiao Huang & Yuanlei Zhu, 2004, "Are Shocks Asymmetric to Volatility of Chinese Stock Markets?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 03, pages 379-395, DOI: 10.1142/S0219091504000159.
• Donald Lien & Li Yang, 2004, "Return Autocorrelations on Individual Stocks and Corresponding Futures: Evidence from Australian, Hong Kong, and United Kingdom Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 03, pages 397-422, DOI: 10.1142/S0219091504000160.
• Alastair Marsden & Russell Poskitt, 2004, "The Pricing of Instalments Receipts: New Zealand Evidence," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 03, pages 423-449, DOI: 10.1142/S0219091504000172.
• Ya-Hui Wang & Chien-Tai Wu, 2004, "The Share Price Responses and Determinants of Strategic Alliances in Taiwan's High-Tech Industry: A Quantile Regression Approach," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 03, pages 355-378, DOI: 10.1142/S0219091504000184.
• Zhaohui Zhang & Khondkar E. Karim, 2004, "Is Too-Big-To-Fail Policy Effective for US Banks in an International Currency Crisis?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 03, pages 311-333, DOI: 10.1142/S0219091504000196.
• D. K. Malhotra & R. Martin & V. Marisetty, 2004, "An Empirical Analysis of Australian Superannuation Fund Expenses," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 04, pages 451-469, DOI: 10.1142/S0219091504000202.
• Shiu-Wan Hung & Chyan Yang & Cheng-Few Lee, 2004, "The Vertical Disintegration of Taiwan's Semiconductor Industries: Price and Non-Price Factors," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 04, pages 547-569, DOI: 10.1142/S0219091504000214.
• Edward B. Douthett & Kooyul Jung & YoungKyu Park, 2004, "KeiretsuAffiliation and Equity Values in Japan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 04, pages 525-545, DOI: 10.1142/S0219091504000226.
• Li-Chin Jennifer Ho & Jeffrey Tsay, 2004, "Analysts' Forecasts of Taiwanese Firms' Earnings: Some Empirical Evidence," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 04, pages 571-597, DOI: 10.1142/S0219091504000238.
• Pei-Gi Shu & Yin-Hua Yeh & Yu-Chen Huang, 2004, "Stock Price and Trading Volume Effects Associated with Changes in the MSCI Free Indices: Evidence from Taiwanese Firms Added to and Deleted from the Indices," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 04, pages 471-491, DOI: 10.1142/S021909150400024X.
• Dick Davies & David Hillier & Andrew Marshall & King Fui Cheah, 2004, "Pricing Interest Rate Swaps in Malaysia," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 04, pages 493-507, DOI: 10.1142/S0219091504000251.
• Wen-Hsiu Kuo & Hsinan Hsu & Chwan-Yi Chiang, 2004, "Trading Volume and Cross-Autocorrelations of Stock Returns in Emerging Markets: Evidence from the Taiwan Stock Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 04, pages 509-524, DOI: 10.1142/S0219091504000263.
• William N. Goetzmann & Massimo Massa, 2004, "Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias," Yale School of Management Working Papers, Yale School of Management, number ysm331, Jul.
• William N. Goetzmann & ROGER G. IBBOTSON & LIANG PENG, 2004, "A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability," Yale School of Management Working Papers, Yale School of Management, number ysm5, Jan.
• Amit Goyal & Ivo Welch, 2004, "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," Yale School of Management Working Papers, Yale School of Management, number amz2412, Apr, revised 01 Jan 2006.
• Brandt, Michael W. & Diebold, Francis X., 2004, "A no-arbitrage approach to range-based estimation of return covariances and correlations," CFS Working Paper Series, Center for Financial Studies (CFS), number 2004/07.
• Campbell, Sean D. & Diebold, Francis X., 2004, "Weather forecasting for weather derivatives," CFS Working Paper Series, Center for Financial Studies (CFS), number 2004/10.
• Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin, 2004, "Realized beta: Persistence and predictability," CFS Working Paper Series, Center for Financial Studies (CFS), number 2004/16.
• Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2004, "Real-time price discovery in stock, bond and foreign exchange markets," CFS Working Paper Series, Center for Financial Studies (CFS), number 2004/19.
• Nell, Martin & Richter, Andreas, 2004, "Catastrophic events as threats to society: Private and public risk management strategies," Working Papers on Risk and Insurance, University of Hamburg, Institute for Risk and Insurance, number 12.
• 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.

2003

• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003, "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, American Economic Association, volume 93, issue 1, pages 38-62, March, DOI: 10.1257/000282803321455151.
• Diks, C.G.H. & Weide, R. van der, 2003, "Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 03-06.
• Grahame Johnson, 2003, "Measuring Interest Rate Expectations in Canada," Staff Working Papers, Bank of Canada, number 03-26, DOI: 10.34989/swp-2003-26.
• David Hirshleifer & Siew Hong Teoh, 2003, "Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis," European Financial Management, European Financial Management Association, volume 9, issue 1, pages 25-66, March, DOI: 10.1111/1468-036X.00207.
• Jun Liu & Francis A. Longstaff & Jun Pan, 2003, "Dynamic Asset Allocation with Event Risk," Journal of Finance, American Finance Association, volume 58, issue 1, pages 231-259, February, DOI: 10.1111/1540-6261.00523.
• Jean‐Marie Dufour & Lynda Khalaf & Marie‐Claude Beaulieu, 2003, "Exact Skewness–Kurtosis Tests for Multivariate Normality and Goodness‐of‐Fit in Multivariate Regressions with Application to Asset Pricing Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue s1, pages 891-906, December, DOI: 10.1046/j.0305-9049.2003.00085.x.
• Dimitrios P Tsomocos, 2003, "Equilibrium analysis, banking, contagion and financial fragility," Bank of England working papers, Bank of England, number 175, Feb.
• Andrea Terzi, 2003, "Is a transactions tax an effective means to stabilize the foreign exchange market?," Working Papers (-2012), University of Bergamo, Department of Economics, number 0303.
• David Demery & Nigel Duck, 2003, "Demographic Change and the UK Savings Rate," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 03/550, Feb.
• Alexandros Kontonikas & Alberto Montagnoli, 2003, "Optimal Monetary Policy and Asset Price Misalignments," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 03-22, Nov.
• Alexandros Kontonikas & Alberto Montagnoli, 2003, "Optimal Monetary Policy and Asset Price Misalignments," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 03-22, Nov.
• Bredin, Don & Gavin, Caroline & O'Reilly, Gerard, 2003, "International Policy Rate Changes and Dublin Interbank Offer Rates," Research Technical Papers, Central Bank of Ireland, number 8/RT/03, Dec.
• Bredin, Don & Gavin, Caroline & O'Reilly, Gerard, 2003, "The Influence of Domestic and International Interest Rates on the ISEQ," Research Technical Papers, Central Bank of Ireland, number 9/RT/03, Dec.
• Drehmann, Mathias & Oechssler, Joerg & Roider, Andreas, 2003, "Herding and Contrarian Behavior in Financial Markets: An Internet Experiment," University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara, number qt6zf5469f, Apr.
• Fernando Tenjo & Enrique Lopez, 2003, "Credit bubble and stagnation in Colombia, 1990-2001," Colombian Economic Journal, Academia Colombiana de Ciencias Economicas, Colegio Mayor de Nuestra Senora del Rosario, Pontificia Universidad Javeriana, Universidad de Antioquia, Universidad de los Andes, Universidad del Valle, Universidad Externado de Colombia, Universidad Nacional de Colombia, volume 1, issue 1, pages 151-191, December.
• Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003, "Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models," CIRANO Working Papers, CIRANO, number 2003s-33, Mar.
• Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003, "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," CIRANO Working Papers, CIRANO, number 2003s-34, Apr.
• Glenn Ellison & Drew Fudenberg, 2003, "Knife-Edge or Plateau: When do Market Models Tip?," Levine's Working Paper Archive, David K. Levine, number 506439000000000098, Jan.
• Fernando Tenjo & Enrique López, 2003, "Credit bubble and stagnation in Colombia, 1990-2001," Colombian Economic Journal, Universidad Nacional de Colombia, FCE, CID.
• HEINEN, Andréas, 2003, "Modelling time series count data: an autoregressive conditional Poisson model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003062, Sep.
• Gregory C. Chow & Caroline C. Lawler, 2003, "A Time Series Analysis of the Shanghai and New York Stock Price Indices," Annals of Economics and Finance, Society for AEF, volume 4, issue 1, pages 17-35, May.
• Ramazan Gencay & Aslihan Salih, 2003, "Degree of Mispricing with the Black-Scholes Model and Nonparametric Cures," Annals of Economics and Finance, Society for AEF, volume 4, issue 1, pages 73-101, May.
• Liutang Gong & Heng-fu Zou, 2003, "Fiscal Federalism, Public Capital Formation, and Endogenous Growth," Annals of Economics and Finance, Society for AEF, volume 4, issue 2, pages 471-490, November.
• Martin Shubik, 2003, "A Double Auction Market: Teaching, Experiment and Theory," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1443, Oct.
• Zbigniew Kominek, 2003, "Stock markets and industry growth: an eastern European perspective," Working Papers, European Bank for Reconstruction and Development, Office of the Chief Economist, number 81, Oct.
• Miroslav Misina, 2003, "What does the risk-appetite index measure?," Economics Bulletin, AccessEcon, volume 28, issue 6, pages 1-6.
• Jussi Tolvi, 2003, "Long memory in a small stock market," Economics Bulletin, AccessEcon, volume 7, issue 3, pages 1-13.
• Cappiello, Lorenzo & Engle, Robert F. & Sheppard, Kevin, 2003, "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series, European Central Bank, number 204, Jan.
• Grinblatt, Mark & Han, Bing, 2003, "The Disposition Effect and Momentum," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2004-3, Dec.
• Leigh, Andrew & Wolfers, Justin & Zitzewitz, Eric, 2003, "What do Financial Markets Think of War in Iraq?," Research Papers, Stanford University, Graduate School of Business, number 1785, Mar.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003, "Modeling and Forecasting Realized Volatility," Econometrica, Econometric Society, volume 71, issue 2, pages 579-625, March.
• Black, Angela & Fraser, Patricia & Groenewold, Nicolaas, 2003, "How big is the speculative component in Australian share prices?," Journal of Economics and Business, Elsevier, volume 55, issue 2, pages 177-195.
• Tsomocos, Dimitrios P., 2003, "Equilibrium analysis, banking and financial instability," Journal of Mathematical Economics, Elsevier, volume 39, issue 5-6, pages 619-655, July.
• Xu, Zhaoxia & Gençay, Ramazan, 2003, "Scaling, self-similarity and multifractality in FX markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 323, issue C, pages 578-590, DOI: 10.1016/S0378-4371(03)00030-X.
• Black, Angela & Fraser, Patricia & Groenewold, Nicolaas, 2003, "U.S. stock prices and macroeconomic fundamentals," International Review of Economics & Finance, Elsevier, volume 12, issue 3, pages 345-367.
• Tsomocos, Dimitrios P., 2003, "Equilibrium analysis, banking, contagion and financial fragility," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24826, May.
• Danielsson, Jon & Saltoglu, Burak, 2003, "Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24855, Jun.
• Driesprong, G. & Jacobsen, B. & Maat, B., 2003, "Striking Oil: Another Puzzle," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2003-082-F&A, Nov.
• Sarah Parlane, 2003, "Procurement Contracts under Limited Liability," The Economic and Social Review, Economic and Social Studies, volume 34, issue 1, pages 1-21.
• Don Bredin & Caroline Gavin & Gerard O Reilly, 2003, "The Influence of Domestic and International Interest Rates on the ISEQ," The Economic and Social Review, Economic and Social Studies, volume 34, issue 3, pages 249-265.
• Sébastien WÄLTI, 2003, "Testing for Contagion in International Financial Markets: Which Way to Go?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp92, Aug.
• S. Boragan Aruoba & Francis X. Diebold & Glenn D. Rudebusch, 2004, "The Macroeconomy and the Yield Curve: A Nonstructural Analysis," Working Paper Series, Federal Reserve Bank of San Francisco, number 2003-18, May, DOI: 10.24148/wp2003-18.
• Stacey L. Schreft & Bruce Smith, 2003, "The social value of risk-free government debt," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 03-02.
• Markus K Brunnermeier & Lasse Heje Pederson, 2003, "Predatory Trading," FMG Discussion Papers, Financial Markets Group, number dp441, Mar.
• Dimitrios Tsomocos, 2003, "Equilibrium analysis, banking, contagion and financial fragility," FMG Discussion Papers, Financial Markets Group, number dp450, May.
• Burak Saltoglu & Jon Danielsson, 2003, "Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis," FMG Discussion Papers, Financial Markets Group, number dp456, Jun.
• Andrew Feltenstein & Roger Lagunoff, 2003, "International versus Domestic Auditing of Bank Solvency," Working Papers, Georgetown University, Department of Economics, number gueconwpa~03-03-08, Mar.
• Sébastien Wälti, 2003, "Testing for contagion in international financial markets: which way to go?," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 04-2003, Aug.
• K. Dimitrova & Nikolay Nenovsky, 2003, "Deposits insurance during EU accession," Post-Print, HAL, number halshs-00259788.
• K. Dimitrova & Nikolay Nenovsky, 2003, "Deposits insurance during EU accession," Post-Print, HAL, number halshs-00259793.
• Jean-Paul Decamps & Stefano Lovo, 2003, "Market Informational Inefficiency, Risk Aversion and Quantity Grid," Working Papers, HAL, number hal-00592016, Jan.
• Campbell, John & Cocco, Joao, 2003, "Household Risk Management and Optimal Mortgage Choice," Scholarly Articles, Harvard University Department of Economics, number 3157876.
• Fudenberg, Drew & Ellison, Glenn, 2003, "Knife-Edge or Plateau: When Do Market Models Tip?," Scholarly Articles, Harvard University Department of Economics, number 3160493.
• Jonathan Conning & Sergio Navajas & Claudio Gonzalez-Vega, 2003, "Lending Technologies, Competition, and Consolidation in the Market for Microfinance in Bolivia," Economics Working Paper Archive at Hunter College, Hunter College Department of Economics, number 213, Apr.
• Goldstein Rossotto, Karen & Peterson, Robert J. & Masci, Pietro & Giorgio, Luis Alberto & García, Valeriano F. & West, Derek & Lee, Ruben & Agatiello, Osvaldo R. & Hook, Andrew & Dowers, Kenroy & Soto, 2003, "Focus on Capital: New Approaches to Developing Latin American Capital Markets," IDB Publications (Books), Inter-American Development Bank, number 196, ISBN: ARRAY(0x6699fdc0), November.
• Biais, Bruno & Bisière, Christophe & Spatt, Chester, 2003, "Imperfect Competition in Financial Markets: ISLAND versus NASDAQ," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 220, revised Dec 2006.
• Décamps, Jean-Paul & Lovo, Stefano, 2003, "Market Informational Inefficiency, Risk Aversion and Quantity Grid," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 177.
• Décamps, Jean-Paul & Lovo, Stefano, 2003, "Risk Aversion and Herd Behavior in Financial Markets," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 246.
• Abd. Ghafar Ismail and Mohd. Saharudin Shakrani, 2003, "The Conditional Capm And Cross-Sectional Evidence Of Return And Beta For Islamic Unit Trusts In Malaysia," IIUM Journal of Economics and Management, IIUM Journal of Economis and Management, volume 11, issue 1, pages 1-20, June.
• Mr. Andrew Feltenstein & Roger Dean Lagunoff, 2003, "International Versus Domestic Auditing of Bank Solvency," IMF Working Papers, International Monetary Fund, number 2003/190, Sep.
• Felipe Zurita, 2003, "Liquidity and Financial Markets - Introduction," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 40, issue 121, pages 725-727.
• Iacoviello, Matteo & Ortalo-Magne, Francois, 2003, "Hedging Housing Risk in London," The Journal of Real Estate Finance and Economics, Springer, volume 27, issue 2, pages 191-209, September.
• Kam Fong Chan & Christopher Gan & Patricia A. McGraw, 2003, "A Hedging Strategy for New Zealand’s Exporters in Transaction Exposure to Currency Risk," Multinational Finance Journal, Multinational Finance Journal, volume 7, issue 1-2, pages 25-54, March-Jun.
• Jean-Yves Datey & Genevieve Gauthier & Jean-Guy Simonato, 2003, "The Performance of Analytical Approximations for the Computation of Asian Quanto-Basket Option Prices," Multinational Finance Journal, Multinational Finance Journal, volume 7, issue 1-2, pages 55-82, March-Jun.
• Paolo Girardello & Orietta Nicolis & Giovanni Tondini, 2003, "Comparing Conditional Variance Models: Theory and Empirical Evidence," Multinational Finance Journal, Multinational Finance Journal, volume 7, issue 3-4, pages 177-206, September.
• Kogan, Leonid & Ross, Stephen & Wang, Jiang & Westerfield, Mark, 2003, "The Price Impact and Survival of Irrational Traders," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management, number 4293-03, Mar.
• Glaser, Markus, 2003, "Online broker investors : demographic information, investment strategy, portfolio positions, and trading activity," Papers, Sonderforschungsbreich 504, number 03-18.
• Glaser, Markus & Weber, Martin, 2003, "Overconfidence and trading volume," Papers, Sonderforschungsbreich 504, number 03-07.
• DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003, "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-08.
• DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003, "Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-09.
• DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003, "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 06-2003.
• DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003, "Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 07-2003.
• Peter F. Christoffersen & Francis X. Diebold, 2003, "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," NBER Working Papers, National Bureau of Economic Research, Inc, number 10009, Oct.
• John Y. Campbell & Motohiro Yogo, 2003, "Efficient Tests of Stock Return Predictability," NBER Working Papers, National Bureau of Economic Research, Inc, number 10026, Oct.
• Francis X. Diebold & Canlin Li, 2003, "Forecasting the Term Structure of Government Bond Yields," NBER Working Papers, National Bureau of Economic Research, Inc, number 10048, Oct.
• Francis Longstaff & Monika Piazzesi, 2003, "Corporate Earnings and the Equity Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 10054, Oct.
• Antonios Sangvinatsos & Jessica A. Wachter, 2003, "Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors," NBER Working Papers, National Bureau of Economic Research, Inc, number 10086, Nov.
• Bryan R. Routledge & Stanley E. Zin, 2003, "Generalized Disappointment Aversion and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 10107, Nov.
• Sean D. Campbell & Francis X. Diebold, 2003, "Weather Forecasting for Weather Derivatives," NBER Working Papers, National Bureau of Economic Research, Inc, number 10141, Dec.
• Leonid Kogan & Stephen Ross & Jiang Wang & Mark Westerfield, 2003, "The Price Impact and Survival of Irrational Traders," NBER Working Papers, National Bureau of Economic Research, Inc, number 9434, Jan.
• Bruce N. Lehmann & David M. Modest, 2003, "Diversification and the Optimal Construction of Basis Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 9461, Jan.
• Stephen J. Brown & William N. Goetzmann & Bing Liang, 2003, "Fees on Fees in Funds of Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 9464, Feb.
• William N. Goetzmann & Massimo Massa, 2003, "Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias," NBER Working Papers, National Bureau of Economic Research, Inc, number 9499, Feb.
• Jacob Boudoukh & Matthew Richardson & YuQing Shen & Robert F. Whitelaw, 2003, "Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the OJ Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 9515, Feb.
• Glenn Ellison & Drew Fudenberg, 2003, "Knife Edge of Plateau: When Do Market Models Tip?," NBER Working Papers, National Bureau of Economic Research, Inc, number 9528, Mar.
• Chen-Chien Hsun & Shih Hui-Tzu, 2003, "Initial Public Offering and Corporate Governance in China's Transitional Economy," NBER Working Papers, National Bureau of Economic Research, Inc, number 9574, Mar.
• Andrew Leigh & Justin Wolfers & Eric Zitzewitz, 2003, "What Do Financial Markets Think of War in Iraq?," NBER Working Papers, National Bureau of Economic Research, Inc, number 9587, Mar.
• Michael W. Brandt & Francis X. Diebold, 2003, "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," NBER Working Papers, National Bureau of Economic Research, Inc, number 9664, May.