Research classified by Journal of Economic Literature (JEL) codes

2012

• Eichengreen, Barry & Mody, Ashoka & Nedeljkovic, Milan & Sarno, Lucio, 2012, "How the Subprime Crisis went global: Evidence from bank credit default swap spreads," Journal of International Money and Finance, Elsevier, volume 31, issue 5, pages 1299-1318, DOI: 10.1016/j.jimonfin.2012.02.002.
• Brière, Marie & Chapelle, Ariane & Szafarz, Ariane, 2012, "No contagion, only globalization and flight to quality," Journal of International Money and Finance, Elsevier, volume 31, issue 6, pages 1729-1744, DOI: 10.1016/j.jimonfin.2012.03.010.
• Liu, Li-Gang & Pauwels, Laurent L., 2012, "Do external political pressures affect the Renminbi exchange rate?," Journal of International Money and Finance, Elsevier, volume 31, issue 6, pages 1800-1818, DOI: 10.1016/j.jimonfin.2012.04.001.
• Hirose, Yasuo & Ohyama, Shinsuke & Taniguchi, Ken, 2012, "The effects of Bank of Japan’s liquidity provision on the year-end premium," Journal of the Japanese and International Economies, Elsevier, volume 26, issue 1, pages 179-185, DOI: 10.1016/j.jjie.2011.09.007.
• Bird, Ron & Yeung, Danny, 2012, "How do investors react under uncertainty?," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 2, pages 310-327, DOI: 10.1016/j.pacfin.2011.10.001.
• Liu, Chun & Maheu, John M., 2012, "Intraday dynamics of volatility and duration: Evidence from Chinese stocks," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 3, pages 329-348, DOI: 10.1016/j.pacfin.2011.11.001.
• Akoum, Ibrahim & Graham, Michael & Kivihaho, Jarno & Nikkinen, Jussi & Omran, Mohammed, 2012, "Co-movement of oil and stock prices in the GCC region: A wavelet analysis," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 4, pages 385-394, DOI: 10.1016/j.qref.2012.07.005.
• Chang, Kuang-Liang & Chen, Nan-Kuang & Leung, Charles Ka Yui, 2012, "The dynamics of housing returns in Singapore: How important are the international transmission mechanisms?," Regional Science and Urban Economics, Elsevier, volume 42, issue 3, pages 516-530, DOI: 10.1016/j.regsciurbeco.2011.03.010.
• Miralles-Marcelo, José Luis & Miralles-Quirós, María del Mar & Miralles-Quirós, José Luis, 2012, "Asset pricing with idiosyncratic risk: The Spanish case," International Review of Economics & Finance, Elsevier, volume 21, issue 1, pages 261-271, DOI: 10.1016/j.iref.2011.07.004.
• Bianconi, Marcelo & Yoshino, Joe A., 2012, "Firm Market Performance and Volatility in a National Real Estate Sector," International Review of Economics & Finance, Elsevier, volume 22, issue 1, pages 230-253, DOI: 10.1016/j.iref.2011.11.002.
• Dunbar, Kwamie & Amin, Abu S., 2012, "Credit risk dynamics in response to changes in the federal funds target: The implication for firm short-term debt," Review of Financial Economics, Elsevier, volume 21, issue 3, pages 141-152, DOI: 10.1016/j.rfe.2012.06.008.
• Pol, Eduardo, 2012, "The preponderant causes of the USA banking crisis 2007–08," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 41, issue 5, pages 519-528, DOI: 10.1016/j.socec.2012.04.019.
• Mardi Dungey & Matteo Luciani & David Veredas, 2012, "Ranking Systemically Important Financial Institutions," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-47, Nov.
• Gulfen TUNA, 2012, "Kovaryans Matrisi Tahmininin Portfoy Secimine Etkisi: IMKB’de Farkli Yatirim Ufuklari icin Uygulama," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 12, issue 3, pages 311-322.
• Kardaras, Constantinos & Robertson, Scott, 2012, "Robust maximization of asymptotic growth," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 44994, Oct.
• Rodolfo Cermeño Bazán & M. Pavel Solís Montes, 2012, "Impact of Macroeconomic Surprises from Mexico and the United States on the Mexican Stock Market," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, volume 0, issue 1, pages 35-67, January-J.
• Qin Lei & Murli Rajan & Xuewu Wang, 2012, "An empirical analysis of corporate insiders' trading performance," China Finance Review International, Emerald Group Publishing Limited, volume 2, issue 3, pages 246-264, June, DOI: 10.1108/20441391211231033.
• Qiang Chen & Daolun Chen & YuTing Gong, 2012, "An empirical analysis of dynamic relationship between stock market and bond market based on information shocks," China Finance Review International, Emerald Group Publishing Limited, volume 2, issue 3, pages 265-285, June, DOI: 10.1108/20441391211231042.
• Mansor H. Ibrahim, 2012, "Financial market risk and gold investment in an emerging market: the case of Malaysia," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, volume 5, issue 1, pages 25-34, March, DOI: 10.1108/17538391211216802.
• Simplice A. Asongu, 2012, "The 2011 Japanese earthquake, tsunami and nuclear crisis," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 4, issue 4, pages 340-353, November, DOI: 10.1108/17576381211279307.
• Clay M. Moffett & Robert Brooks & Jin Q. Jeon, 2012, "The efficacy of Regulation SHO in resolving naked shorts," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, volume 20, issue 1, pages 72-98, February, DOI: 10.1108/13581981211199434.
• Philipp Koenig, 2012, "The effect of LNG on the relationship between UK and Continental European natural gas markets," Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge, number EPRG 1225, Nov.
• Leonardo Becchetti & Nicola Ciampoli, 2012, "What is new in the finance-growth nexus: OTC derivatives, bank assets and growth," Econometica Working Papers, Econometica, number wp40, Jul.
• Ceylan Onay & Gözde Ünal, 2012, "Cointegration and Extreme Value Analyses of Bovespa and the Istanbul Stock Exchange," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 1, pages 66-90, February.
• Bahattin Büyüksahin & Michel A. Robe, 2012, "Does It Matter Who Trades Energy Derivatives?," Review of Environment, Energy and Economics - Re3, Fondazione Eni Enrico Mattei, March.
• Kuang-Liang Chang & Nan-Kuang Chen & Charles Ka Yui Leung, 2012, "In the shadow of the United States: the international transmission effect of asset returns," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 121.
• Cecilia R. Caglio & Stewart Mayhew, 2012, "Equity trading and the allocation of market data revenue," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2012-65.
• Tobias Adrian & Brian Begalle & Adam Copeland & Antoine Martin, 2012, "Repo and securities lending," Staff Reports, Federal Reserve Bank of New York, number 529, Dec.
• Marco Cipriani & Ana Fostel & Daniel Houser, 2012, "Leverage and asset prices: an experiment," Staff Reports, Federal Reserve Bank of New York, number 548.
• Gara Afonso & Ricardo Lagos, 2012, "Trade dynamics in the market for federal funds," Staff Reports, Federal Reserve Bank of New York, number 549, Feb.
• Eric Ghysels & Casidhe Horan & Emanuel Moench, 2012, "Forecasting through the rear-view mirror: data revisions and bond return predictability," Staff Reports, Federal Reserve Bank of New York, number 581.
• Rossen Trendafilov & Erick W Rengifo, 2012, "Regime Identification in Limit Order Books," Fordham Economics Discussion Paper Series, Fordham University, Department of Economics, number dp2012_04.
• Giulio Cifarelli & Paolo Paesani, 2012, "An Assessment of the Theory of Storage: Has the Relationship between Commodity Price Volatility and Market Fundamentals Changed Over Time?," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2012_12.rdf.
• Gunther Capelle-Blancard & Dramane Coulibaly, 2012, "Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00854079, DOI: 10.1016/S2110-7017(13)60036-0.
• Julien Barré & Alain Raybaut & Dominique Torre, 2012, "Banks connectivity, credit risk transfer and stability of the banking system," Post-Print, HAL, number hal-00640936.
• Gunther Capelle-Blancard & Dramane Coulibaly, 2012, "Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis," Post-Print, HAL, number hal-00854079, DOI: 10.1016/S2110-7017(13)60036-0.
• Marie Brière & Ariane Chapelle & Ariane Szafarz, 2012, "No contagion, only globalization and flight to quality," Post-Print, HAL, number hal-01494525, DOI: 10.1016/j.jimonfin.2012.03.010.
• Sanvi Avouyi-Dovi & Julien Idier, 2012, "The impact of unconventional monetary policy on the market for collateral: The case of the French bond market," Post-Print, HAL, number hal-01511935, DOI: 10.1016/j.jbankfin.2011.07.019.
• Anna Creti & Marc Joëts & Valérie Mignon, 2012, "On the links between stock and commodity markets' volatility," Working Papers, HAL, number hal-04141042.
• Holmén, Martin & Kirchler, Michael & Kleinlercher, Daniel, 2012, "Do Option-like Incentives Induce Overvaluation? Evidence from Experimental Asset Markets," Working Papers in Economics, University of Gothenburg, Department of Economics, number 540, Sep, revised 21 Nov 2012.
• Astrid Herinckx & Ariane Szafarz, 2012, "Which Short-Selling Regulation is the Least Damaging to Market Efficiency? Evidence from Europe," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 12-002, Jan.
• David Le Bris, 2012, "Stock Returns, Governments and Market Foresight in France, 1871-2008," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 12-007, Feb.
• Marie Briere & Ariane Chapelle & Ariane Szafarz, 2012, "No contagion, only globalization and flight to quality," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 12-010, Mar.
• Xavier De Scheemaekere & Kim Oosterlinck & Ariane Szafarz, 2012, "Addressing Economic Crises: The Reference-Class Problem," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 12-024, Sep.
• Bruno Cara Giovannetti & Guilherme B. Martins, 2012, "Do Margin Requirements Affect Asset Prices?," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2012_17, Sep.
• Rodrigo De-Losso & Alan De Genaro, Bruno C. Giovannetti, 2012, "Testing the Effects of Short-Selling Restrictions on Asset Prices," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2012_18, Sep.
• Nurullah Gur, 2012, "Financial Constraints, Quality of Institutions and Firm Size: What Do Perceptions Tell Us?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 2, issue 2, pages 17-36, December, DOI: 10.14208/BF03353835.
• Michał Barski & Jerzy Zabczyk, 2012, "Forward rate models with linear volatilities," Finance and Stochastics, Springer, volume 16, issue 3, pages 537-560, July, DOI: 10.1007/s00780-011-0163-y.
• Ruodu Wang & Liang Peng & Jingping Yang, 2013, "Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities," Finance and Stochastics, Springer, volume 17, issue 2, pages 395-417, April, DOI: 10.1007/s00780-012-0200-5.
• Denis Belomestny & John Schoenmakers & Fabian Dickmann, 2013, "Multilevel dual approach for pricing American style derivatives," Finance and Stochastics, Springer, volume 17, issue 4, pages 717-742, October, DOI: 10.1007/s00780-013-0208-5.
• Tomasz Wisniewski & Geoffrey Lightfoot & Simon Lilley, 2012, "Speculating on presidential success: exploring the link between the price–earnings ratio and approval ratings," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 1, pages 106-122, January, DOI: 10.1007/s12197-009-9116-0.
• M. Berument & Nukhet Dogan, 2012, "Stock market return and volatility: day-of-the-week effect," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 2, pages 282-302, April, DOI: 10.1007/s12197-009-9118-y.
• Achim Himmelmann & Dirk Schiereck & Marc Simpson & Moritz Zschoche, 2012, "Long-term reactions to large stock price declines and increases in the European stock market: a note on market efficiency," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 2, pages 400-423, April, DOI: 10.1007/s12197-010-9125-z.
• Tarek Coury & Emanuela Sciubba, 2012, "Belief heterogeneity and survival in incomplete markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 49, issue 1, pages 37-58, January, DOI: 10.1007/s00199-010-0531-4.
• Mary E. Barth & Ian D. Gow & Daniel J. Taylor, 2012, "Why do pro forma and Street earnings not reflect changes in GAAP? Evidence from SFAS 123R," Review of Accounting Studies, Springer, volume 17, issue 3, pages 526-562, September, DOI: 10.1007/s11142-012-9192-9.
• Moritz Bassemir & Günther Gebhardt & Sascha Leyh, 2012, "Der Basiszinssatz in der Praxis der Unternehmensbewertung: Quantifizierung eines systematischen Bewertungsfehlers," Schmalenbach Journal of Business Research, Springer, volume 64, issue 6, pages 655-678, September, DOI: 10.1007/BF03372869.
• Klaus Schredelseker, 2012, "Finanzkrise — Mitschuld der Theorie?," Schmalenbach Journal of Business Research, Springer, volume 64, issue 8, pages 833-845, December, DOI: 10.1007/BF03372871.
• Bernhard Pellens & Kai Lehmann, 2012, "Managementprognosen und Analystenschätzungen — Eine deskriptive Analyse auf Basis der HDAX-Unternehmen," Schmalenbach Journal of Business Research, Springer, volume 64, issue 8, pages 873-892, December, DOI: 10.1007/BF03372874.
• Lu s Pacheco, 2012, "Moody S Credit Ratings And The Stock Market Performance Of Portuguese Rated Firms," Journal of Advanced Studies in Finance, ASERS Publishing, volume 3, issue 1, pages 58-83.
• Simplice A ASONGU, 2012, "Globalization Financial Crisis And Contagion Time Dynamic Evidence From Financial Markets Of Developing Countries," Journal of Advanced Studies in Finance, ASERS Publishing, volume 3, issue 2, pages 131-139.
• Rod Cross & Victor Kozyakin, 2012, "Fact and Fiction in FX Arbitrage Processes," Working Papers, University of Strathclyde Business School, Department of Economics, number 1211, Jul.
• Jianxin Wang & Minxian Yang, 2012, "On the Risk Return Relationship," Discussion Papers, School of Economics, The University of New South Wales, number 2012-31, May.
• Abdulnasser Hatemi-J & Youssef El-Khatib, 2012, "Stochastic optimal hedge ratio: theory and evidence," Applied Economics Letters, Taylor & Francis Journals, volume 19, issue 8, pages 699-703, May, DOI: 10.1080/13504851.2011.572841.
• Gazi Mainul Hassan & Hisham M. Al refai, 2012, "Can macroeconomic factors explain equity returns in the long run? The case of Jordan," Applied Financial Economics, Taylor & Francis Journals, volume 22, issue 13, pages 1029-1041, July, DOI: 10.1080/09603107.2011.637892.
• John Cotter & Jim Hanly, 2012, "Hedging effectiveness under conditions of asymmetry," The European Journal of Finance, Taylor & Francis Journals, volume 18, issue 2, pages 135-147, February, DOI: 10.1080/1351847X.2011.574977.
• Stefano Herzel & Marco Nicolosi & Cătălin Stărică, 2012, "The cost of sustainability in optimal portfolio decisions," The European Journal of Finance, Taylor & Francis Journals, volume 18, issue 3-4, pages 333-349, May, DOI: 10.1080/1351847X.2011.587521.
• Ingmar Nolte & Valeri Voev, 2012, "Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 94-108, DOI: 10.1080/10473289.2011.637876.
• Dungey, Mardi & Luciani, Matteo & Veredas, David, 2012, "Ranking systemically important financial institutions," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 15473, Nov, revised 21 Nov 2012.
• Martin Scholtus & Dick van Dijk, 2012, "High-Frequency Technical Trading: The Importance of Speed," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-018/4, Mar.
• Mardi Dungey & Matteo Luciani & David Veredas, 2012, "Ranking Systemically Important Financial Institutions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-115/IV/DSF44, Oct.
• Martin L. Scholtus & Dick van Dijk & Bart Frijns, 2012, "Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-121/III, Nov.
• Kees E. Bouwman & Elvira Sojli & Wing Wah Tham, 2012, "Aggregate Stock Market Illiquidity and Bond Risk Premia," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-140/IV/DSF46, Dec.
• Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2012, "Sunshine Trading: Flashes of Trading Intent at the NASDAQ," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-141/IV/DSF47, Dec.
• Degryse, H.A. & van Achter, M. & Wuyts, G., 2012, "Internalization, Clearing and Settlement, and Liquidity," Discussion Paper, Tilburg University, Center for Economic Research, number 2012-002.
• Degryse, H.A. & van Achter, M. & Wuyts, G., 2012, "Internalization, Clearing and Settlement, and Liquidity," Discussion Paper, Tilburg University, Tilburg Law and Economic Center, number 2012-001.
• Degryse, H.A. & van Achter, M. & Wuyts, G., 2012, "Internalization, Clearing and Settlement, and Liquidity," Other publications TiSEM, Tilburg University, School of Economics and Management, number 26dea7a6-a424-4e88-b2e4-1.
• Degryse, H.A. & van Achter, M. & Wuyts, G., 2012, "Internalization, Clearing and Settlement, and Liquidity," Other publications TiSEM, Tilburg University, School of Economics and Management, number 3744cb8d-b4ce-47a1-9abd-f.
• Degryse, H.A. & van Achter, M. & Wuyts, G., 2012, "Internalization, Clearing and Settlement, and Liquidity," Other publications TiSEM, Tilburg University, School of Economics and Management, number 4868ad92-6fe6-42ed-8886-a.
• Marcelo Bianconi & Joe A. Yoshino, 2012, "Worldwide Commodities Sector Market-To-Book and Return on Equity Valuation," Discussion Papers Series, Department of Economics, Tufts University, Department of Economics, Tufts University, number 0772.
• John Cotter & Stuart Gabriel & Richard Roll, 2012, "Can metropolitan housing risk be diversified? A cautionary tale from the recent boom and bust," Working Papers, Geary Institute, University College Dublin, number 201217, Aug.
• Thomas Conlon & John Cotter, 2012, "Downside risk and the energy hedger's horizon," Working Papers, Geary Institute, University College Dublin, number 201219, Sep.
• Ľuboš Pástor & Robert F. Stambaugh, 2012, "On the Size of the Active Management Industry," Journal of Political Economy, University of Chicago Press, volume 120, issue 4, pages 740-781, DOI: 10.1086/667987.
• Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Charl Jooste & Stephen M. Miller & Zeynel Abidin Ozdemir, 2012, "Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience," Working papers, University of Connecticut, Department of Economics, number 2012-27, Sep.
• Marie Briere & Ariane Chapelle & Ariane Szafarz, 2012, "No Contagion, only Globalization and Flight to Quality," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/149092.
• Marie Briere & Ariane Chapelle & Ariane Szafarz, 2012, "No Contagion, only Globalization and Flight to Quality," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/239873.
• Luis A. Gil-Alana & Guglielmo Maria Caporale, 2012, "Fractional Integration and Cointegration in US Financial Time Series Data," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 12/12, Oct.
• Luis A. Gil-Alana & Juncal Cuñado & Guglielmo Maria Caporale, 2012, "Modelling Long Run Trends and Cycles in Financial Time Series Data," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 13/12, Oct.
• Óscar Arce & Sergio Mayordomo & Juan Ignacio Peña, 2012, "Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 22/12, Dec.
• David Bicchetti & Nicolas Maystre, 2012, "The Synchronized And Long-Lasting Structural Change On Commodity Markets: Evidence From High Frequency Data," UNCTAD Discussion Papers, United Nations Conference on Trade and Development, number 208.
• Ammann, Manuel & Frey, Roman & Verhofen, Michael, 2012, "Do Newspaper Articles Predict Aggregate Stock Returns?," Working Papers on Finance, University of St. Gallen, School of Finance, number 1204, Aug.
• Ke Du & Eckhard Platen & Renata Rendek, 2012, "Modeling of Oil Prices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 321, Dec.
• Eckhard Platen & Renata Rendek, 2012, "The Affine Nature of Aggregate Wealth Dynamics," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 322, Dec.
• Sébastien Laurent & Jeroen V. K. Rombouts & Francesco Violante, 2012, "On the forecasting accuracy of multivariate GARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 6, pages 934-955, September.
• Kwamie Dunbar & Abu S. Amin, 2012, "Credit risk dynamics in response to changes in the federal funds target: The implication for firm short‐term debt," Review of Financial Economics, John Wiley & Sons, volume 21, issue 3, pages 141-152, September, DOI: 10.1016/j.rfe.2012.06.008.
• Dilip B. Madan, 2012, "Execution Costs And Efficient Execution Frontiers," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 01, pages 1-18, DOI: 10.1142/S2010495212500029.
• Ioana VIASU & Constantin CHILARESCU, 2012, "Mixtures of Laws: a New Method to Estimate the Parameters," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, volume 5, issue 17, pages 5-22.
• Aurora Murgea & Robert Reisz, 2012, "Does the market make us happy? The stock market and well-being," FEAA Working Papers, West University of Timisoara, Romania, Faculty of Economics and Business Administration, number 2012.FEAA.F.03, Jul.
• Carlos Martins-Filho & Feng Yao & Maximo Torero, 2012, "Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory," Working Papers, Department of Economics, West Virginia University, number 13-05, Aug.
• Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2012, "The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation," Discussion Papers, Department of Economics, University of York, number 12/25, Sep.
• Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2012, "Trend Following, Risk Parity and Momentum in Commodity Futures," Discussion Papers, Department of Economics, University of York, number 12/28, Oct.
• Bräuning, Falk & Fecht, Falko, 2012, "Relationship lending in the interbank market and the price of liquidity," Discussion Papers, Deutsche Bundesbank, number 22/2012.
• Jank, Stephan, 2012, "Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 12-08.
• Kraemer-Eis, Helmut & Lang, Frank, 2012, "The importance of leasing for SME finance," EIF Working Paper Series, European Investment Fund (EIF), number 2012/15.
• Lee, Bong Soo & Ryu, Doojin, 2012, "Stock returns and implied volatility: A new VAR approach," Economics Discussion Papers, Kiel Institute for the World Economy, number 2012-51.
• Aloud, Monira & Tsang, Edward & Olsen, Richard & Dupuis, Alexandre, 2012, "A directional-change event approach for studying financial time series," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 6, pages 1-17, DOI: 10.5018/economics-ejournal.ja.2012-.
• Belke, Ansgar & Dreger, Christian & Ochmann, Richard, 2012, "Do Wealthier Households Save More? – The Impact of the Demographic Factor," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 338, DOI: 10.4419/86788390.
• Chao, Shih-Kang & Härdle, Wolfgang Karl & Wang, Weining, 2012, "Quantile regression in risk calibration," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-006.
• Cebiroğlu, Gökhan & Horst, Ulrich, 2012, "Hidden liquidity: Determinants and impact," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-023.

2011

• Claudia Nicoleta Guni, 2011, "The Trading System And The Trading Participants In The Bse," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 3, issue 3 (Novemb, pages 570-575.
• Quoc-Anh Do & Bang Dang Nguyen & Yen-Teik Lee & Kieu-Trang Nguyen, 2011, "Out of Sight, Out of Mind:The Value of Political Connections in Social Networks," Working Papers, Singapore Management University, School of Economics, number 19-2011, Dec.
• Almut Veraart, 2011, "How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 95, issue 3, pages 253-291, September, DOI: 10.1007/s10182-011-0158-1.
• Steven Clark & T. Coggin, 2011, "Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks," Empirical Economics, Springer, volume 40, issue 2, pages 373-391, April, DOI: 10.1007/s00181-010-0338-y.
• Chung-Hua Shen & Chien-Chiang Lee & Shyh-Wei Chen & Zixiong Xie, 2011, "Roles played by financial development in economic growth: application of the flexible regression model," Empirical Economics, Springer, volume 41, issue 1, pages 103-125, August, DOI: 10.1007/s00181-010-0353-z.
• Stefan Kassberger & Thomas Liebmann, 2011, "Minimal q-entropy martingale measures for exponential time-changed Lévy processes," Finance and Stochastics, Springer, volume 15, issue 1, pages 117-140, January, DOI: 10.1007/s00780-010-0133-9.
• Teemu Pennanen, 2011, "Arbitrage and deflators in illiquid markets," Finance and Stochastics, Springer, volume 15, issue 1, pages 57-83, January, DOI: 10.1007/s00780-009-0118-8.
• Nicholas Westray & Harry Zheng, 2011, "Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization," Finance and Stochastics, Springer, volume 15, issue 3, pages 501-512, September, DOI: 10.1007/s00780-010-0128-6.
• Denis Belomestny, 2011, "Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates," Finance and Stochastics, Springer, volume 15, issue 4, pages 655-683, December, DOI: 10.1007/s00780-010-0132-x.
• Tim Leung & Qingshuo Song & Jie Yang, 2013, "Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing," Finance and Stochastics, Springer, volume 17, issue 4, pages 839-870, October, DOI: 10.1007/s00780-013-0213-8.
• Richard DeFusco & Stoyu Ivanov & Gordon Karels, 2011, "The exchange traded funds’ pricing deviation: analysis and forecasts," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 2, pages 181-197, April, DOI: 10.1007/s12197-009-9090-6.
• Chung Baek & Jongwook Reem & Thomas Jackman, 2011, "Bank loan commitments and Material Adverse Change clause," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 3, pages 361-369, July, DOI: 10.1007/s12197-010-9134-y.
• Florian Hauser & Marco LiCalzi, 2011, "Learning to Trade in an Unbalanced Market," Lecture Notes in Economics and Mathematical Systems, Springer, in: Sjoukje Osinga & Gert Jan Hofstede & Tim Verwaart, "Emergent Results of Artificial Economics", DOI: 10.1007/978-3-642-21108-9_6.
• António Afonso & Ricardo Sousa, 2011, "The macroeconomic effects of fiscal policy in Portugal: a Bayesian SVAR analysis," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 10, issue 1, pages 61-82, April, DOI: 10.1007/s10258-011-0071-2.
• Michael S. Drake & Linda A. Myers, 2011, "Analysts’ accrual-related over-optimism: do analyst characteristics play a role?," Review of Accounting Studies, Springer, volume 16, issue 1, pages 59-88, March, DOI: 10.1007/s11142-009-9118-3.
• James M. Wahlen & Matthew M. Wieland, 2011, "Can financial statement analysis beat consensus analysts’ recommendations?," Review of Accounting Studies, Springer, volume 16, issue 1, pages 89-115, March, DOI: 10.1007/s11142-010-9124-5.
• Juan Manuel García Lara & Beatriz García Osma & Fernando Penalva, 2011, "Conditional conservatism and cost of capital," Review of Accounting Studies, Springer, volume 16, issue 2, pages 247-271, June, DOI: 10.1007/s11142-010-9133-4.
• Ana González & Gonzalo Rubio, 2011, "Portfolio choice and the effects of liquidity," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 2, issue 1, pages 53-74, March, DOI: 10.1007/s13209-010-0025-4.
• Nobuyoshi Yamori, 2011, "Commodity Etfs In The Japanese Stock Exchanges," Journal of Advanced Studies in Finance, ASERS Publishing, volume 2, issue 1, pages 47-52.
• Valerie Revest & Sandro Sapio, 2011, "An Essay on the Emergence, Organization and Performance of Financial Markets: the case of the Alternative Investment Market," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2011/15, Jun.
• Arvid Raknerud & Bjørn Helge Vatne & Ketil Rakkestad, 2011, "How do banks' funding costs affect interest margins?," Discussion Papers, Statistics Norway, Research Department, number 665, Sep.
• Nicholas Economides & Roy C. Smith, 2011, "Trichet Bonds to Resolve the European Sovereign Debt Problem," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 11-05.
• Liu, Li-Gang & Pauwels, Laurent, 2011, "Do External Political Pressures Affect the Renminbi Exchange Rate?," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 10/2011, Sep.
• Paul Alagidede & Theodore Panagiotidis & Xu Zhang, 2011, "Why a diversified portfolio should include African assets," Applied Economics Letters, Taylor & Francis Journals, volume 18, issue 14, pages 1333-1340, DOI: 10.1080/13504851.2010.537617.
• Guglielmo Maria Caporale & Alessandro Girardi, 2011, "Price formation on the EuroMTS platform," Applied Economics Letters, Taylor & Francis Journals, volume 18, issue 3, pages 229-233, DOI: 10.1080/13504850903559567.
• Shu-Ling Chen & Hyeongwoo Kim, 2011, "Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets," International Economic Journal, Taylor & Francis Journals, volume 25, issue 2, pages 239-250, DOI: 10.1080/10168737.2011.580569.
• Ingmar Nolte & Valeri Voev, 2011, "Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 94-108, April, DOI: 10.1080/10473289.2011.637876.
• Emmanuel Anoruo, 2011, "Testing for Linear and Nonlinear Causality between Crude Oil Price Changes and Stock Market Returns," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 4, issue 3, pages 75-92, December.
• Albert J. Menkveld, 2011, "High Frequency Trading and the New-Market Makers," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-076/2/DSF21, May, revised 15 Aug 2011.
• Laeven, R.J.A. & Stadje, M.A., 2011, "Entropy Coherent and Entropy Convex Measures of Risk," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-031.
• Beck, T.H.L., 2011, "Finance and Oil. Is there a Resource Curse in Financial Development?," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-017.
• Degryse, H.A. & de Jong, F.C.J.M. & van Kervel, V.L., 2011, "The Impact of Dark and Visible Fragmentation on Market Quality (Replaces CentER Discussion Paper 2011-051)," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-069.
• Laeven, R.J.A. & Stadje, M.A., 2011, "Entropy Coherent and Entropy Convex Measures of Risk," Other publications TiSEM, Tilburg University, School of Economics and Management, number 08f59c7c-7302-47f9-9a9b-b.
• Don Bredin & John Cotter, 2011, "Volatility and Irish Exports," Working Papers, Geary Institute, University College Dublin, number 200416, Jun.
• John Cotter, 2011, "Varying the VaR for Unconditional and Conditional Environments," Working Papers, Geary Institute, University College Dublin, number 200419, 07.
• John Cotter, 2011, "Modelling Catastrophic Risk in International Equity Markets: An Extreme Value Approach," Working Papers, Geary Institute, University College Dublin, number 200515, Jun.
• John Cotter & Simon Stevenson, 2011, "Multivariate Modelling of Daily REIT Volatility," Working Papers, Geary Institute, University College Dublin, number 200517, Jun.
• John Cotter & Jim Hanly, 2011, "Re-evaluating Hedging Performance," Working Papers, Geary Institute, University College Dublin, number 200518, Jun.
• John Cotter & Jim Hanly, 2011, "Hedging Effectiveness under Conditions of Asymmetry," Working Papers, Geary Institute, University College Dublin, number 200843, 07.
• John Cotter & Jim Hanly, 2011, "A Utility Based Approach to Energy Hedging," Working Papers, Geary Institute, University College Dublin, number 201106, Mar.
• John Cotter & Stuart Gabriel & Richard Roll, 2011, "Integration and Contagion in US Housing Markets," Working Papers, Geary Institute, University College Dublin, number 201131, Nov.
• Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio, 2011, "Why do variance swaps exist?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-06.
• Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio, 2011, "Variance Swaps and Intertemporal Asset Pricing," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-08.
• James Crotty, 2011, "The Realism of Assumptions Does Matter: Why Keynes-Minsky Theory Must Replace Efficient Market Theory as the Guide to Financial Regulation Policy," Working Papers, Political Economy Research Institute, University of Massachusetts at Amherst, number wp255.
• James Crotty, 2011, "The Realism of Assumptions Does Matter: Why Keynes-Minsky Theory Must Replace Efficient Market Theory as the Guide to Financial Regulation Policy," UMASS Amherst Economics Working Papers, University of Massachusetts Amherst, Department of Economics, number 2011-05, Mar.
• Jack Gray & Ron Bird, 2011, "A Brief Critical Review of Australia's Retirement Savings System," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2011-4, Jan.
• Carl Chiarella & Xue-Zhong He & Weihong Huang & Huanhuan Zheng, 2011, "Estimating Behavioural Heterogeneity Under Regime Switching," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 290, May.
• Ke Du & Eckhard Platen, 2011, "Three-Benchmarked Risk Minimization for Jump Diffusion Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 296, Aug.
• Florian Hauser & Marco LiCalzi, 2011, "Learning to trade in an unbalanced market," Working Papers, Venice School of Management - Department of Management, Università Ca' Foscari Venezia, number 2, Apr.
• Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2011, "An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 26, issue 4, pages 669-707, June.
• Martin T. Bohl & Christian A. Salm & Bernd Wilfling, 2011, "Do individual index futures investors destabilize the underlying spot market?," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 31, issue 1, pages 81-101, January.
• Fiorella De Fiore & Oreste Tristani, 2011, "Credit and the Natural Rate of Interest," Journal of Money, Credit and Banking, Blackwell Publishing, volume 43, issue 2‐3, pages 407-440, March, DOI: 10.1111/j.1538-4616.2010.00379.x.
• Eckhard Platen, 2011, "A Benchmark Approach to Investing and Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 28, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Laura Raisa MILOS & Carmen CORDUNEANU, 2011, "Pension funds – main institutional investor on the Romanian capital market?," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, volume 4, issue 2(14), pages 105-110.
• Stähler, Nikolai, 2011, "Recent developments in quantitative models of sovereign default," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2011,17.
• Agarwal, Vikas & Jiang, Wei & Tang, Yuehua & Yang, Baozhong, 2011, "Uncovering hedge fund skill from the portfolio holdings they hide," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 10-09 [rev.].
• Gomber, Peter & Schweickert, Uwe & Theissen, Erik, 2011, "Liquidity dynamics in an electronic open limit order book: An event study approach," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-14.
• Dimpfl, Thomas & Jank, Stephan, 2011, "Can internet search queries help to predict stock market volatility?," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-15.
• Grammig, Joachim G. & Theissen, Erik, 2011, "Is BEST really better? Internalization of orders in an open limit order book," CFS Working Paper Series, Center for Financial Studies (CFS), number 2011/03.
• Grammig, Joachim G. & Theissen, Erik & Wünsche, Oliver, 2011, "Time and the price impact of a trade: A structural approach," CFS Working Paper Series, Center for Financial Studies (CFS), number 2011/08.
• Rydqvist, Kristian & Spizman, Joshua & Strebulaev, Ilya, 2011, "The evolution of aggregate stock ownership," CFS Working Paper Series, Center for Financial Studies (CFS), number 2011/18.