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

2003

• 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.

2002

• Neven Valev & Felix Rioja, 2002, "Finance and the Sources of Growth at Various Stages of Economic Development," International Center for Public Policy Working Paper Series, at AYSPS, GSU, International Center for Public Policy, Andrew Young School of Policy Studies, Georgia State University, number paper0217, Sep.
• Stefan Petranov, 2002, "The capital market in Bulgaria," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 23-40.
• Zhiwei Zhang, 2002, "Corporate Bond Spreads and the Business Cycle," Staff Working Papers, Bank of Canada, number 02-15, DOI: 10.34989/swp-2002-15.
• Younes Bensalah, 2002, "Asset Allocation Using Extreme Value Theory," Staff Working Papers, Bank of Canada, number 02-2, DOI: 10.34989/swp-2002-2.
• David Bolder & Scott Gusba, 2002, "Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada," Staff Working Papers, Bank of Canada, number 02-29, DOI: 10.34989/swp-2002-29.
• Daniella Acker & Mathew Stalker & Ian Tonks, 2002, "Daily Closing Inside Spreads and Trading Volumes Around Earnings Announcements," Journal of Business Finance & Accounting, Wiley Blackwell, volume 29, issue 9‐10, pages 1149-1179, DOI: 10.1111/1468-5957.00465.
• George M. Constantinides, 2002, "Rational Asset Prices," Journal of Finance, American Finance Association, volume 57, issue 4, pages 1567-1591, August, DOI: 10.1111/1540-6261.00471.
• Matteo Iacoviello & Francois Ortalo-Magne, 2002, "Hedging Housing Risk in London," Boston College Working Papers in Economics, Boston College Department of Economics, number 539, Oct.
• A. Kontonikas & A. Montagnoli, 2002, "Has Monetary Policy Reacted To Asset Price Movements: Evidence From The Uk," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 02-11, Apr.
• A. Kontonikas & A. Montagnoli, 2002, "Has Monetary Policy Reacted To Asset Price Movements: Evidence From The Uk," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 02-11, Apr.
• Bernardo, Antonio E. & Welch, Ivo, 2002, "Financial Market Runs," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt0zd313hf, Nov.
• Grinblatt, Mark & Liu, Jun, 2002, "Debt Policy, Corporate Taxes, and Discount Rates," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt7dx622kj, Nov.
• Eugene Durenard & David Veredas, 2002, "Macro Surprises And Short-Term Behaviour In Bond Futures," CIRANO Working Papers, CIRANO, number 2002s-03, Jan.
• Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2002, "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach," CIRANO Working Papers, CIRANO, number 2002s-85, Nov.
• Blake, David & Timmermann, Allan, 2002, "International Asset Allocation with Time-Varying Investment Opportunities," CEPR Discussion Papers, Centre for Economic Policy Research, number 3464, Jul.
• Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul, 2002, "Modeling and Forecasting Realized Volatility," Working Papers, Duke University, Department of Economics, number 02-12.
• Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002, "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers, Duke University, Department of Economics, number 02-16.
• Sathye, M, 2002, "The Impact of Foreign Banks on Market Concentration: The Case of India," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 2, issue 1.
• Escudero, E., 2002, "Modelizacion econometrica de la rentabilidad en los mercados de valores," Economic Development, University of Santiago de Compostela. Faculty of Economics and Business. Econometrics., number 58.
• Sergio Da Silva & Raul Matsushita & Iram Gleria, 2002, "Scaling power laws in the Sao Paulo Stock Exchange," Economics Bulletin, AccessEcon, volume 7, issue 3, pages 1-12.
• Eschenbach, Felix & Schuknecht, Ludger, 2002, "Asset prices and fiscal balances," Working Paper Series, European Central Bank, number 141, May.
• Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002, "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 02-1, Apr.
• Egbert Dierker & Hildegard Dierker & Birgit Grodal, 2002, "Nonexistence of Constrained Efficient Equilibria When Markets are Incomplete," Econometrica, Econometric Society, volume 70, issue 3, pages 1245-1251, May.
• Gong, Liutang & Zou, Heng-fu, 2002, "Direct preferences for wealth, the risk premium puzzle, growth, and policy effectiveness," Journal of Economic Dynamics and Control, Elsevier, volume 26, issue 2, pages 247-270, February.
• Harvey, Campbell R. & Huang, Roger D., 2002, "The impact of the Federal Reserve Bank's open market operations," Journal of Financial Markets, Elsevier, volume 5, issue 2, pages 223-257, April.
• Audretsch, David B. & Elston, Julie Ann, 2002, "Does firm size matter? Evidence on the impact of liquidity constraints on firm investment behavior in Germany," International Journal of Industrial Organization, Elsevier, volume 20, issue 1, pages 1-17, January.
• Tadesse, Solomon, 2002, "Financial Architecture and Economic Performance: International Evidence," Journal of Financial Intermediation, Elsevier, volume 11, issue 4, pages 429-454, October.
• Bekaert, G. & Harvey, C. R. & Lumsdaine, R. L., 2002, "The dynamics of emerging market equity flows," Journal of International Money and Finance, Elsevier, volume 21, issue 3, pages 295-350, June.
• Acker, Daniella & Stalker, Mathew & Tonks, Ian, 2002, "Daily closing inside spreads and trading volumes around earnings announcements," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24908, Feb.
• Carsten Schmidt & Axel Werwatz, 2002, "How accurate do markets predict the outcome of an event? The Euro 2000 soccer championships experiment," Papers on Strategic Interaction, Max Planck Institute of Economics, Strategic Interaction Group, number 2002-09, Mar.
• Jiøí Hlaváèek & Michal Hlaváèek, 2002, "Porovnání pøežívajících a zanikajících podnikù v èeské ekonomice na konci 90. let," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 52, issue 9, pages 502-514, September.
• Ian Tonks & Daniella Acker & Matthew Stalker, 2002, "Daily Closing Inside Spreads and Trading Volumes around Earnings Announcements," FMG Discussion Papers, Financial Markets Group, number dp404, Feb.
• Matteo Iacoviello, 2002, "Hedging Housing Risk in London," FMG Discussion Papers, Financial Markets Group, number dp415, Jun.
• Jonathan Parker & Markus K Brunnermeier, 2002, "Optimal Expectations," FMG Discussion Papers, Financial Markets Group, number dp434, Dec.
• John Y. Campbell & Joao F. Cocco, 2002, "Household Risk Management and Optimal Mortgage Choice," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1946.
• John Y. Campbell & Motohiro Yogo, 2002, "Efficient Tests of Stock Return Predictability," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1972.
• Karine Michalon, 2002, "Impact des interruptions de cotation sur la microstructure du marché boursier français," Post-Print, HAL, number halshs-00142776.
• Jean-Paul Decamps & Stefano Lovo, 2002, "Risk Aversion and Herd Behavior in Financial Markets," Working Papers, HAL, number hal-00593657, May.
• Kitamura, Yukinobu & 北村, 行伸 & キタムラ, ユキノブ & Suto, Megumi & 首藤, 惠 & ストウ, メグミ & Teranishi, Juro & 寺西, 重郎, 2002, "Reflections on New Financial System in Japan: Participation Costs, Wealth Distribution,and Security Market-Based Intermediation," CEI Working Paper Series, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University, number 2001-25, Jul.
• Nuria Alcalde Fradejas & Jaime Vall s Gim nez, 2002, "El mercado financiero y el racionamiento del cr dito. Estudio del caso de los gobiernos regionales en Espa a," Hacienda Pública Española / Review of Public Economics, IEF, volume 160, issue 1, pages 77-102, march.
• José Carlos Ramírez & Rogelio Sandoval-Saavedra, 2002, "¿Existen Componentes Pronosticables En Las Series De Los Rendimientos De Las Acciones?," 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 1, issue 1, pages 39-58, Marzo 200.
• Monique Jeanblanc & Wojciech Szatzschneider, 2002, "Environment And Finance: Why We Should Make The Environment A Part Of The Financial Markets," 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 1, issue 2, pages 131-142, Junio 200.
• Lapan, Harvey E. & Hennessy, David A., 2002, "Symmetry and Order in the Portfolio Allocation Problem," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 5106, Jun.
• Kosfeld Reinhold, 2002, "Asset Price Channel and Financial Markets / Vermögenstheoretischer Transmissionsmechanismus und Finanzmärkte," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 222, issue 4, pages 440-462, August, DOI: 10.1515/jbnst-2002-0404.
• Egbert Dierker & Hildegard Dierker & Birgit Grodal, 2002, "Are Incomplete Markets Able to Achieve Minimal Efficiency?," Discussion Papers, University of Copenhagen. Department of Economics, number 03-09, Nov.
• BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda., 2002, "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2002-17.
• Marie-Claude BEAULIEU & Jean-Marie DUFOUR & Lynda KHALAF, 2002, "Testing Mean-Variance Efficiency In Capm With Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 17-2002.
• Michael Magill & Martine Quinzii, 2002, "Theory of Incomplete Markets, Volume 1," MIT Press Books, The MIT Press, number 0262632543, edition 1, ISBN: ARRAY(0x688723c8), December.
• Sebastian Edwards & Roberto Rigobon, 2002, "Inter-American Seminar on Economics (IASE) 2000," NBER Books, National Bureau of Economic Research, Inc, number edwa02-1.
• Mark Grinblatt & Bing Han, 2002, "The Disposition Effect and Momentum," NBER Working Papers, National Bureau of Economic Research, Inc, number 8734, Jan.
• Mark Grinblatt & Tobias J. Moskowitz, 2002, "What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8744, Jan.
• Mark Grinblatt & Matti Keloharju, 2002, "Tax-Loss Trading and Wash Sales," NBER Working Papers, National Bureau of Economic Research, Inc, number 8745, Jan.
• Bhagwan Chowdhry & Mark Grinblatt & David Levine, 2002, "Information Aggregation, Security Design and Currency Swaps," NBER Working Papers, National Bureau of Economic Research, Inc, number 8746, Jan.
• Hans-Werner Sinn, 2002, "The New Systems Competition," NBER Working Papers, National Bureau of Economic Research, Inc, number 8747, Jan.
• George M. Constantinides, 2002, "Rational Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 8826, Mar.
• Annette Vissing-Jorgensen, 2002, "Limited Asset Market Participation and the Elasticity of Intertemporal Substitution," NBER Working Papers, National Bureau of Economic Research, Inc, number 8896, Apr.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002, "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," NBER Working Papers, National Bureau of Economic Research, Inc, number 8959, May.
• John H. Cochrane, 2002, "Stocks as Money: Convenience Yield and the Tech-Stock Bubble," NBER Working Papers, National Bureau of Economic Research, Inc, number 8987, Jun.
• Rajeev Dehejia & Roberta Gatti, 2002, "Child Labor: The Role of Income Variability and Access to Credit Across Countries," NBER Working Papers, National Bureau of Economic Research, Inc, number 9018, Jun.
• Jun Liu & Francis A. Longstaff & Jun Pan, 2002, "Dynamic Asset Allocation With Event Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 9103, Aug.
• William Goetzmann & Jonathan Ingersoll & Matthew I. Spiegel & Ivo Welch, 2002, "Sharpening Sharpe Ratios," NBER Working Papers, National Bureau of Economic Research, Inc, number 9116, Aug.
• John H. Cochrane & Monika Piazzesi, 2002, "Bond Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 9178, Sep.
• Lior Menzly & Tano Santos & Pietro Veronesi, 2002, "The Time Series of the Cross Section of Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 9217, Sep.
• Antonio E. Bernardo & Ivo Welch, 2002, "Financial Market Runs," NBER Working Papers, National Bureau of Economic Research, Inc, number 9251, Oct.
• Clemens Sialm, 2002, "Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium," NBER Working Papers, National Bureau of Economic Research, Inc, number 9301, Nov.
• Mark Grinblatt & Jun Liu, 2002, "Debt Policy, Corporate Taxes, and Discount Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 9353, Nov.
• Randolph Cohen & Joshua Coval & Lubos Pastor, 2002, "Judging Fund Managers by the Company They Keep," NBER Working Papers, National Bureau of Economic Research, Inc, number 9359, Dec.
• Luc Renneboog, 2002, "The monetary appreciation of paintings: from realism to Magritte," Cambridge Journal of Economics, Cambridge Political Economy Society, volume 26, issue 3, pages 331-358, May.
• Guillermo Llorente & Roni Michaely & Gideon Saar & Jiang Wang, 2002, "Dynamic Volume-Return Relation of Individual Stocks," The Review of Financial Studies, Society for Financial Studies, volume 15, issue 4, pages 1005-1047.
• Augusto Rodríguez & Julio Villavicencio, 2002, "La formación de la curva de rendimientos en nuevos soles en el Peru," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, issue 50, pages 173-204.
• Alasrag, Hussien, 2002, "دور سوق الأوراق المالية فى تنمية الادخار فى مصر
  [Role of the Egyptian securities market on saving development]," MPRA Paper, University Library of Munich, Germany, number 2317, Mar, revised Mar 2007.
• Senn, Myriam, 2002, "SuperMontage in the American Securities Markets Context," MPRA Paper, University Library of Munich, Germany, number 9818, Aug.
• Alexis Penot, 2002, "Appréciations et conséquences possibles de l'hétérogénéité structurelle de la zone euro," Revue d'Économie Financière, Programme National Persée, volume 65, issue 1, pages 153-175, DOI: 10.3406/ecofi.2002.3772.
• Michel Delapierre & Bernadette Madeuf & Charles-Albert Michalet & Christian Milelli, 2002, "La présence des investisseurs institutionnels étrangers dans les grandes entreprises françaises : logique financière ou logique industrielle ?," Revue d'Économie Financière, Programme National Persée, volume 67, issue 3, pages 277-282, DOI: 10.3406/ecofi.2002.3590.
• Antonio Borges & Francesco Giavazzi, 2002, "Une monnaie saine et des marchés développés : l’Europe après l’euro," Revue d'Économie Financière, Programme National Persée, volume 68, issue 4, pages 307-320, DOI: 10.3406/ecofi.2002.4787.
• Sergio Parrinello, 2002, "The myth of the service economy," Working Papers in Public Economics, Department of Economics and Law, Sapienza University of Rome, number 55, Feb.
• Andrea Morone, 2002, "Financial Market in the Laboratory," Computing in Economics and Finance 2002, Society for Computational Economics, number 151, Jul.
• Nuno Almeida & Pedro Valls Pereira, 2002, "Switching Regime Models: applications to trading rules," Computing in Economics and Finance 2002, Society for Computational Economics, number 175, Jul.
• Manfred Gilli & Nicolas Roth, 2002, "A Heuristic Technique for Model Selection Problems," Computing in Economics and Finance 2002, Society for Computational Economics, number 365, Jul.
• Giulia Iori & Carl Chiarella, 2002, "A simple microstructure model of double auction markets," Computing in Economics and Finance 2002, Society for Computational Economics, number 44, Jul.
• Benoit Pochard & Jean-Philippe Bouchaud, 2002, "The skewed multifractal random walk with applications to option smiles," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 0204047, Apr.
• Laurent Laloux & Marc Potters & Jean-Pierre Aguilar & Jean-Philippe Bouchaud, 2002, "Reply to Johansen's comment," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 0206368, Jun.
• Jean-Philippe Bouchaud, 2002, "An introduction to statistical finance," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 313238, Jan.
• Simon van Norden & Huntley Schaller, 2002, "Fads or bubbles?," Empirical Economics, Springer, volume 27, issue 2, pages 335-362.
• Stanley Block & Dan French, 2002, "The effect of portfolio weighting on investment performance evaluation: The case of actively managed mutual funds," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 26, issue 1, pages 16-30, March, DOI: 10.1007/BF02744449.
• Harvey E. Lapan & David A. Hennessy, 2002, "Symmetry and order in the portfolio allocation problem," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 19, issue 4, pages 747-772.
• Bhagwan Chowdhry & Mark Grinblatt & David Levine, 2002, "Information Aggregation, Security Design, and Currency Swaps," Journal of Political Economy, University of Chicago Press, volume 110, issue 3, pages 609-633, June, DOI: 10.1086/339717.
• Annette Vissing-Jorgensen, 2002, "Limited Asset Market Participation and the Elasticity of Intertemporal Substitution," Journal of Political Economy, University of Chicago Press, volume 110, issue 4, pages 825-853, August, DOI: 10.1086/340782.
• Yongil Jeon & Stephen M. Miller, 2002, "The Effect of the Asian Financial Crisis on the Performance of Korean Nationwide Banks," Working papers, University of Connecticut, Department of Economics, number 2002-32, May.
• Romain Rancière, 2002, "Credit derivatives in emerging markets," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 856, Apr.
• Egbert Dierker & Hildegard Dierker & Birgit Grodal, 2002, "Are Incomplete Markets Able to Achieve Minimal Efficiency?," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0212, Nov.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002, "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 02-23, Apr.
• Francis X. Diebold & Canlin Li, 2002, "Forecasting the Term Structure of Government Bond Yields," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 02-34, Aug.
• Sean D. Campbell & Francis X. Diebold, 2002, "Weather Forecasting for Weather Derivatives," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 02-42, Dec.
• Alex Strashny, 2002, "Trading system evaluation based on past performance: Random Signals Test," Finance, University Library of Munich, Germany, number 0205003, May, revised 10 Jun 2002.
• Daniel Capocci, 2002, "An Analysis of Hedge Fund Performance," Finance, University Library of Munich, Germany, number 0210001, Oct.
• Dmitry Baryshevsky, 2002, "How to work in the uncertain market conditions," Finance, University Library of Munich, Germany, number 0211007, Nov, revised 22 Nov 2002.
• Cheng-Ping Lin, 2002, "The Application of Cobb-Douglas Production Cost Functions to Construction Firms in Japan and Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 01, pages 111-128, DOI: 10.1142/S0219091502000663.
• Kuang-Ping Ku & William T. Lin, 2002, "Important Factors of Estimated Return and Risk: The Taiwan Evidence," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 01, pages 71-92, DOI: 10.1142/S0219091502000675.
• Yu-Jane Liu & Chih-Hsien Yu, 2002, "On the Effect of Stock Stabilization Fund: A Case of Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 01, pages 93-109, DOI: 10.1142/S0219091502000687.
• Benjamin Adam Abugri & Gökçe A. Soydemir, 2002, "The U.S. Productivity Figures and Foreign Direct Investment in Japan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 01, pages 53-69, DOI: 10.1142/S0219091502000699.
• Guan Hua Lim, 2002, "Going from Regulation to Supervision: Support for Paradigm Shift from an Efficiency Study of the Merchant Banking Industry In Singapore," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 01, pages 31-51, DOI: 10.1142/S0219091502000705.
• Hilton L. Root & Mark Andrew Abdollahian & Jacek Kugler, 2002, "In Korea, the Thirst for Funds Drives Change," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 01, pages 1-30, DOI: 10.1142/S0219091502000717.
• Byung-Ju Kim & Richard J. Kish & Geraldo M. Vasconcellos, 2002, "The Korean IPO Market: Initial Returns," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 02, pages 219-253, DOI: 10.1142/S0219091502000730.
• Sunti Tirapat, 2002, "Risk-Based Deposit Insurance: An Application to Thailand," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 02, pages 149-179, DOI: 10.1142/S0219091502000742.
• Mao-Wei Hung & Yin-Ching Jan, 2002, "Use of Deviations of Purchasing Power Parity and Interest Rate Parity to Clarify the 1997 Asian Financial Crisis," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 02, pages 195-218, DOI: 10.1142/S0219091502000754.
• H. Peter Gray, 2002, "The Quality of Financial Infrastructure and Financial Resilience: Contrasting Taiwan and Thailand," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 02, pages 181-194, DOI: 10.1142/S0219091502000778.
• Ching-Chung Lin & Shen-Yuan Chen & Dar-Yeh Hwang & Chien-Fu Lin, 2002, "Does Index Futures Dominate Index Spot? Evidence from Taiwan Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 02, pages 255-275, DOI: 10.1142/S021909150200078X.
• Shen-Yuan Chen & Ching-Chung Lin & Pin-Huang Chou & Dar-Yeh Hwang, 2002, "A Comparison of Hedge Effectiveness and Price Discovery between TAIFEX TAIEX Index Futures and SGX MSCI Taiwan Index Futures," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 02, pages 277-300, DOI: 10.1142/S0219091502000791.
• Sheng-Syan Chen & Kim Wai Ho & Cheng-Few Lee & Gillian H. H. Yeo, 2002, "Long-run Stock Performance of Equity-Issuing Firms: The Case of Private Placements in Singapore," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 03, pages 417-438, DOI: 10.1142/S0219091502000766.
• Anthony H. Tu & Shen-Yuan Chen, 2002, "Return, Volatility and Short-term Capital Inflows: A Test of "Return-Chasing" Hypothesis in Asia-Pacific Equity Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 03, pages 321-342, DOI: 10.1142/S0219091502000808.
• Miranda Lam Detzler & Susan M. Machuga, 2002, "Earnings Management Surrounding Top Executive Turnover in Japanese Firms," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 03, pages 343-371, DOI: 10.1142/S021909150200081X.
• Kian-Ping Ang & Shafiqur Rahman & Kok-Hui Tan, 2002, "Option Implied Moments: An Application to Nikkei 225 Futures Options," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 03, pages 301-320, DOI: 10.1142/S0219091502000821.
• Yasuo Hoshino & Stephen J. Turnbull, 2002, "Further Study on the Performance of Mergers among Credit Associations in Japan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 03, pages 395-416, DOI: 10.1142/S0219091502000857.
• Kelvin Wai Lung Lai & Andrew Marshall, 2002, "A Study of Mispricing and Parity in the Hang Seng Futures and Options Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 03, pages 373-394, DOI: 10.1142/S0219091502000869.
• Adela S. M. Lau, 2002, "An Integrated Trading Environment: To Improve Market Transparency and Efficiency," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 04, pages 533-549, DOI: 10.1142/S0219091502000870.
• Shi-Ming Huang & Cheng-Yuan Ku & Yuan-Te Chu & Hsiang-Yuan Hsueh, 2002, "A Study of Value Factors for Adopting Information Technology in Professional Service Industry — A Demonstrative Case of Accounting Firms in Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 04, pages 509-519, DOI: 10.1142/S0219091502000882.
• Adela S. M. Lau, 2002, "Strategies to Motivate Brokers Adopting On-line Trading in Hong Kong Financial Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 04, pages 471-489, DOI: 10.1142/S0219091502000894.
• Melody Lo, 2002, "Impacts of Intervention Incorporates with Interest Rate Policy on Taiwan's Economy in E-commerce Environment," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 04, pages 453-469, DOI: 10.1142/S0219091502000900.
• P. Pete Chong & Edward T. Chen & Jason C. H. Chen, 2002, "E-Procurement in Taiwan: Issues and Viewpoints," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 04, pages 521-531, DOI: 10.1142/S0219091502000912.
• Lee Li, 2002, "Online Trading's Impacts on Western Manufacturers' Entry Modes in China," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 04, pages 491-507, DOI: 10.1142/S0219091502000924.
• Zhiwu Chen & Werner Stanzl & Masahiro Watanabe, 2002, "Price Impact Costs and the Limit of Arbitrage," Yale School of Management Working Papers, Yale School of Management, number ysm251, Jul, revised 08 Jun 2006.
• William N. Goetzmann & Jonathan E. Ingersoll Jr. & Matthew I. Spiegel & Ivo Welch, 2002, "Sharpening Sharpe Ratios," Yale School of Management Working Papers, Yale School of Management, number ysm273, Mar.
• William N. Goetzmann & Jonathan E. Ingersoll, Jr. & Matthew I. Spiegel & Ivo Welch, 2002, "Sharpening Sharpe Ratios," Yale School of Management Working Papers, Yale School of Management, number ysm29, Feb.
• Stephen Brown & William Goetzmann & Bing Liang, 2002, "Fees on Fees in Funds of Funds," Yale School of Management Working Papers, Yale School of Management, number ysm309, Oct, revised 01 Sep 2009.
• Mark Grinblatt & Bhagwan Chowdhry & David Levine, 2002, "Information Aggregation, Security Design, and Currency Swaps," Yale School of Management Working Papers, Yale School of Management, number ysm38, Feb.
• Zhiwu Chen & Werner Stanzl & Masahiro Watanabe, 2002, "Price Impact Costs and the Limit of Arbitrage," Yale School of Management Working Papers, Yale School of Management, number ysm251, Jul, revised 08 Jun 2006.
• Mark Grinblatt & Bhagwan Chowdhry & David Levine, 2002, "Information Aggregation, Security Design, and Currency Swaps," Yale School of Management Working Papers, Yale School of Management, number ysm38, Feb.
• Kaltenhäuser, Bernd, 2002, "Return and volatility spillovers to industry returns: Does EMU play a role?," CFS Working Paper Series, Center for Financial Studies (CFS), number 2002/05.
• Schmidt, Carsten & Werwatz, Axel, 2002, "How accurate do markets predict the outcome of an event? The Euro 2000 soccer championships experiment," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,29.

2001

• Andrew Lo & Harry Mamaysky & Jiang Wang, 2001, "Asset Prices and Trading Volume Under Fixed Transactions Costs," Yale School of Management Working Papers, Yale School of Management, number ysm188, Jun, revised 01 Sep 2009.
• William Goetzmann & Lingfeng Li & K. Rouwenhorst, 2001, "Long-Term Global Market Correlations," Yale School of Management Working Papers, Yale School of Management, number ysm237, Oct, revised 01 Jan 2008.
• Andrew Lo & Harry Mamaysky & Jiang Wang, 2001, "Asset Prices and Trading Volume Under Fixed Transactions Costs," Yale School of Management Working Papers, Yale School of Management, number ysm188, Jun, revised 01 Sep 2009.
• William Goetzmann & Lingfeng Li & K. Rouwenhorst, 2001, "Long-Term Global Market Correlations," Yale School of Management Working Papers, Yale School of Management, number ysm237, Oct, revised 01 Jan 2008.
• Berlemann, Michael & Schmidt, Carsten, 2001, "Predictive accuracy of political stock markets: Empirical evidence from a European perspective," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,57.
• Hansen, Jan & Schmidt, Carsten & Strobel, Martin, 2001, "Manipulation in political stock markets: Preconditions and evidence," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,61.
• Berlemann, Michael & Schmidt, Carsten, 2001, "Predictive accuracy of political stock markets: Empirical evidence from an European perspective," Dresden Discussion Paper Series in Economics, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics, number 05/01.
• Faruk Selcuk & Ramazan Gencay, 2001, "Overnight Borrowing, Interest Rates and Extreme Value Theory," Working Papers, Department of Economics, Bilkent University, number 0103.
• Kent Daniel & Sheridan Titman & K.C. John Wei, 2001, "Explaining the Cross‐Section of Stock Returns in Japan: Factors or Characteristics?," Journal of Finance, American Finance Association, volume 56, issue 2, pages 743-766, April, DOI: 10.1111/0022-1082.00344.
• David Hirshleifer, 2001, "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, volume 56, issue 4, pages 1533-1597, August, DOI: 10.1111/0022-1082.00379.
• Grinblatt, Mark & Han, Bing, 2001, "The Disposition Effect and Momentum," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt6qg5d62p, Oct.
• Liu, Jun & Longstaff, Francis & Pan, Jun, 2001, "Dynamic Asset Allocation with Event Risk," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt9fm6t5nb, Aug.
• Case, Karl E. & Quigley, John M. & Shiller, Robert J., 2001, "Comparing Wealth Effects: The Stock Market versus The Housing Market," Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley, number qt44k6g6vx, Oct.
• René Garcia & Richard Luger & Eric Renault, 2001, "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers, CIRANO, number 2001s-01, Jan.
• René Garcia & Richard Luger & Eric Renault, 2001, "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002)," CIRANO Working Papers, CIRANO, number 2001s-02, Jan.
• Annamaria Lusardi & Pierre-Carl Michaud & Olivia S. Mitchell, 2013, "Optimal Financial Knowledge and Wealth Inequality," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 133, Mar.
• Liutang Gong & Heng-fu Zou, 2001, "Direct preferences for wealth, the risk premium puzzle, growth, and policy effectiveness," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 53.
• Karl E. Case & John M. Quigley & Robert J. Shiller, 2001, "Comparing Wealth Effects: The Stock Market versus the Housing Market," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1335, Oct.
• João Amaro de Matos & Paula Antão, 2001, "Super-replicating Bounds on European Option Prices when the Underlying Asset is Illiquid," Economics Bulletin, AccessEcon, volume 7, issue 1, pages 1-7.
• Hartmann, Philipp & Straetmans, Stefan & de Vries, Casper, 2001, "Asset market linkages in crisis periods," Working Paper Series, European Central Bank, number 71, Jul.