Research classified by Journal of Economic Literature (JEL) codes

2011

• Corina SBUGHEA, 2011, "The Origins of the Global Financial Crisis and Its Impact on Romanian Economy," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 1, pages 107-112.
• Christos Kollias & Catherine Kyrtsou & Stephanos Papadamou, 2011, "The Effects of Terrorism and War on the Oil and Prices Stock Indices Relationship," Economics of Security Working Paper Series, DIW Berlin, German Institute for Economic Research, number 57.
• Mechthild Schrooten, 2011, "Risiken im Bankensektor weiter hoch: Regulierung muss gestärkt werden," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 78, issue 9, pages 2-8.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011, "Fractional Integration and Cointegration in US Financial Time Series Data," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1116.
• Guglielmo Maria Caporale & Alessandro Girardi, 2011, "Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1139.
• Narayan, Paresh Kumar & Zhang, Zhichao & Zheng, Xinwei, 2011, "Some hypothesis on commonality in liquidity: new evidence from the Chinese stock market," Working Papers, Deakin University, Department of Economics, number fe_2011_11, Jan, DOI: 10.1080/1540496X.2015.1061799.
• Charles Yuji Horioka & Akiko Terada-Hagiwara, 2011, "The Determinants and Long-term Projections of Saving Rates in Developing Asia," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 0821, Oct.
• Nicky J. Ferguson & Jie Michael Guo & Nicky Herbert Y.T. Lam & Dennis Philip, 2011, "Media Sentiment and UK Stock Returns," Department of Economics Working Papers, Durham University, Department of Economics, number 2011_06, Jan.
• Jack W. Hou, 2011, "Impact of the Global Economic Crisis on Taipei,China’s Industrial Structure and Firm Activity," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 23213, Nov.
• Jack W. Hou, 2011, "Impact of the Global Economic Crisis on Taipei,China’s Industrial Structure and Firm Activity," Microeconomics Working Papers, East Asian Bureau of Economic Research, number 23213, Nov.
• Jack W. Hou, 2011, "Impact of the Global Economic Crisis on Taipei,China’s Industrial Structure and Firm Activity," Trade Working Papers, East Asian Bureau of Economic Research, number 23213, Nov.
• Cespa, Giovanni & Vives, Xavier, 2011, "Higher order expectations, illiquidity, and short-term trading," IESE Research Papers, IESE Business School, number D/915, Jul.
• Marc Hallin & Charles Mathias & Hugues Pirotte & David Veredas, 2011, "Market liquidity as dynamic factors," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 163, 42-50.
• Agarwal, Sumit & Amromin, Gene & Ben-David, Itzhak & Chomsisengphet, Souphala & Evanoff, Douglas D., 2011, "The Role of Securitization in Mortgage Renegotiation," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2011-2, Jan.
• Allen, Franklin & Gu, Xian & Kowalewski, Oskar, 2011, "Financial Crisis, Structure and Reform," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 11-37, Apr.
• He, Jie & Qian, Jun & Strahan, Philip E., 2011, "Are All Ratings Created Equal? The Impact of Issuer Size on the Pricing of Mortgage-Backed Securities," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 11-61, Oct.
• Andreas Park & Hamid Sabourian, 2011, "Herding and Contrarian Behavior in Financial Markets," Econometrica, Econometric Society, volume 79, issue 4, pages 973-1026, July.
• Tim Bollerslev & Viktor Todorov, 2011, "Estimation of Jump Tails," Econometrica, Econometric Society, volume 79, issue 6, pages 1727-1783, November, DOI: ECTA9240.
• Andreas Georgantopoulos & Anastasios Tsamis, 2011, "Investigating Seasonal Patterns in Developing Countries: The Case of FYROM Stock Market," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 1, issue 4, pages 211-219.
• Cerrato, Mario & Crosby, John & Kaleem, Muhammad, 2011, "Measuring the Economic Significance of Structural Exchange Rate Models," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-62.
• Papanastasopoulos, Georgios & Thomakos, Dimitrios & Wang, Tao, 2011, "Accruals and the performance of stock returns following external financing activities," The British Accounting Review, Elsevier, volume 43, issue 3, pages 214-229, DOI: 10.1016/j.bar.2011.06.007.
• Demir, FIrat & Dahi, Omar S., 2011, "Asymmetric effects of financial development on South-South and South-North trade: Panel data evidence from emerging markets," Journal of Development Economics, Elsevier, volume 94, issue 1, pages 139-149, January.
• Lee, Yuan-Ming & Wang, Kuan-Min, 2011, "The effectiveness of the sunshine effect in Taiwan's stock market before and after the 1997 financial crisis," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 710-727, January.
• Lee, Yuan-Ming & Wang, Kuan-Min, 2011, "The effectiveness of the sunshine effect in Taiwan's stock market before and after the 1997 financial crisis," Economic Modelling, Elsevier, volume 28, issue 1, pages 710-727, DOI: 10.1016/j.econmod.2010.05.008.
• Hallin, Marc & Mathias, Charles & Pirotte, Hugues & Veredas, David, 2011, "Market liquidity as dynamic factors," Journal of Econometrics, Elsevier, volume 163, issue 1, pages 42-50, July.
• Schmeling, Maik & Schrimpf, Andreas, 2011, "Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?," European Economic Review, Elsevier, volume 55, issue 5, pages 702-719, June.
• Moreno, Manuel & Serrano, Pedro & Stute, Winfried, 2011, "Statistical properties and economic implications of jump-diffusion processes with shot-noise effects," European Journal of Operational Research, Elsevier, volume 214, issue 3, pages 656-664, November.
• Li, Yan & Yang, Liyan, 2011, "Testing conditional factor models: A nonparametric approach," Journal of Empirical Finance, Elsevier, volume 18, issue 5, pages 972-992, DOI: 10.1016/j.jempfin.2011.07.004.
• Mansor, Ibrahim H., 2011, "Financial Market Risk and Gold Investment in an Emerging Market: The Case of Malaysia," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 79-89, December.
• Paul Zarembka and Radhika Desai (ed.), 2011, "Revitalizing Marxist Theory For Today'S Capitalism," RESEARCH IN POLITICAL ECONOMY, Paul Zarembka, number volm27a, ISBN: ARRAY(0x8cf17ff8).
• Silvia Gabrieli, 2011, "The microstructure of the money market before and after the financial crisis: a network perspective," CEIS Research Paper, Tor Vergata University, CEIS, number 181, Jan, revised 19 Jan 2011.
• Joanna B³ach, 2011, "Financial Innovations and Their Role in the Modern Financial System – Identification and Systematization of the Problem," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 7, issue 3, pages 13-26, November.
• Ray Barrell & Tatiana Fic & John Fitz Gerald, 2011, "The Banking Sector And Recovery In The Eu Economy," National Institute Economic Review, National Institute of Economic and Social Research, volume 216, issue 1, pages 41-52, April.
• Giovanni Cespa & Xavier Vives, 2011, "Higher Order Expectations, Illiquidity, and Short-term Trading," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 276, Mar.
• Giovanni Cespa & Thierry Focault, 2011, "Learning from Prices, Liquidity Spillovers, and Market Segmentation," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 284, Apr.
• Sarah Draus, 2011, "Does Inter-Market Competition Lead to Less Regulation?," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 296, Nov.
• Sarah Draus, 2011, "The Certification Role of Listings," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 297, Nov.
• 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.
• Dreger, Christian & Wolters, Jürgen, 2011, "Liquidity and Asset Prices: How Strong Are the Linkages?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 1, pages 43-52.
• Aloud, Monira & Tsang, Edward & Olsen, Richard & Dupuis, Alexandre, 2011, "A directional-change events approach for studying financial time series," Economics Discussion Papers, Kiel Institute for the World Economy, number 2011-28.
• Bibinger, Markus, 2011, "Asymptotics of asynchronicity," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-033.
• Bibinger, Markus, 2011, "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-034.
• Moreno-Bromberg, Santiago & Pirvu, Traian A. & Réveillac, Anthony, 2011, "CRRA utility maximization under risk constraints," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-043.
• Song, Song & Bickel, Peter J., 2011, "Large vector auto regressions," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-048.
• Bibinger, Markus & Reiß, Markus, 2011, "Spectral estimation of covolatility from noisy observations using local weights," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-086.
• Dimpfl, Thomas & Jank, Stephan, 2011, "Can Internet search queries help to predict stock market volatility?," University of Tübingen Working Papers in Business and Economics, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics, number 18.
• Ben Sita, Bernard & Westerholm, P. Joakim, 2011, "The role of trading intensity estimating the implicit bid–ask spread and determining transitory effects," International Review of Financial Analysis, Elsevier, volume 20, issue 5, pages 306-310, DOI: 10.1016/j.irfa.2011.06.002.
• İnaltekin, Hazer & Jarrow, Robert A. & Sağlam, Mehmet & Yıldırım, Yıldıray, 2011, "Housing prices and the optimal time-on-the-market decision," Finance Research Letters, Elsevier, volume 8, issue 4, pages 171-179, DOI: 10.1016/j.frl.2011.06.001.
• Szyszka, Adam, 2011, "The genesis of the 2008 global financial crisis and challenges to the neoclassical paradigm of finance," Global Finance Journal, Elsevier, volume 22, issue 3, pages 211-216, DOI: 10.1016/j.gfj.2011.10.011.
• Long, Cheryl & Zhang, Xiaobo, 2011, "Cluster-based industrialization in China: Financing and performance," Journal of International Economics, Elsevier, volume 84, issue 1, pages 112-123, May.
• Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2011, "Worst case risk measurement: Back to the future?," Insurance: Mathematics and Economics, Elsevier, volume 49, issue 3, pages 380-392, DOI: 10.1016/j.insmatheco.2011.06.001.
• Florackis, Chris & Gregoriou, Andros & Kostakis, Alexandros, 2011, "Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3335-3350, DOI: 10.1016/j.jbankfin.2011.05.014.
• Cerrato, Mario & Sarantis, Nicholas & Saunders, Alex, 2011, "An investigation of customer order flow in the foreign exchange market," Journal of Banking & Finance, Elsevier, volume 35, issue 8, pages 1892-1906, August.
• Tsai, Chun-Li, 2011, "The reaction of stock returns to unexpected increases in the federal funds rate target," Journal of Economics and Business, Elsevier, volume 63, issue 2, pages 121-138, DOI: 10.1016/j.jeconbus.2010.11.006.
• Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2011, "Spot and forward volatility in foreign exchange," Journal of Financial Economics, Elsevier, volume 100, issue 3, pages 496-513, June.
• Greenwood, Robin & Thesmar, David, 2011, "Stock price fragility," Journal of Financial Economics, Elsevier, volume 102, issue 3, pages 471-490, DOI: 10.1016/j.jfineco.2011.06.003.
• Kim, Heeho, 2011, "The risk adjusted uncovered equity parity," Journal of International Money and Finance, Elsevier, volume 30, issue 7, pages 1491-1505, DOI: 10.1016/j.jimonfin.2011.06.020.
• Volosovych, Vadym, 2011, "Measuring financial market integration over the long run: Is there a U-shape?," Journal of International Money and Finance, Elsevier, volume 30, issue 7, pages 1535-1561, DOI: 10.1016/j.jimonfin.2011.07.011.
• Hsu, Kuang-Chung & Chiang, Hui-Chu, 2011, "Nonlinear effects of monetary policy on stock returns in a smooth transition autoregressive model," The Quarterly Review of Economics and Finance, Elsevier, volume 51, issue 4, pages 339-349, DOI: 10.1016/j.qref.2011.08.003.
• Tervala, Juha, 2011, "Export pricing and the cross-country correlation of stock prices," Review of Financial Economics, Elsevier, volume 20, issue 2, pages 74-83, May.
• Keef, Stephen P. & Khaled, Mohammed S., 2011, "A review of the seasonal affective disorder hypothesis," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 40, issue 6, pages 959-967, DOI: 10.1016/j.socec.2011.08.012.
• Igor P. Rivera & Enzo D'Antonio di Vito & Andrés Fundia, 2011, "Valuación de Swaptions Bermuda basada en el modelo LIBOR adaptado a vectores frontera," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 5, issue 1, pages 77-92.
• Cohen, Lauren & Lou, Dong, 2011, "Complicated firms," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119066, Jun.
• Kaminska, Iryna & Vayanos, Dimitri & Zinna, Gabriele, 2011, "Preferred-habitat investors and the US term structure of real rates," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119074, Mar.
• Vayanos, Dimitri & Woolley, Paul, 2011, "Fund flows and asset prices: a baseline model," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 29784, Jan.
• Gerard Caprio, 2011, "Safe and Sound Banking: A Role for Countercyclical Regulatory Requirements?," Chapters, Edward Elgar Publishing, chapter 14, in: Sylvester Eijffinger & Donato Masciandaro, "Handbook of Central Banking, Financial Regulation and Supervision".
• Yu‐Shan Wang & Chung‐Gee Lin & Shih‐Chieh Shih, 2011, "The dynamic relationship between agricultural futures and agriculture index in China," China Agricultural Economic Review, Emerald Group Publishing Limited, volume 3, issue 3, pages 369-382, September, DOI: 10.1108/17561371111165798.
• Sameeksha Desai & Johan Eklund & Andreas Högberg, 2011, "Pro‐market reforms and allocation of capital in India," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 3, issue 2, pages 123-139, May, DOI: 10.1108/17576381111133606.
• Philipp Koenig, 2011, "Modelling Correlation in Carbon and Energy Markets," Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge, number EPRG 1107, Feb.
• Ernest Gnan, & Ryszard Kokoszczynski & Tomasz Lyziak & Robert McCauley (ed.), 2011, "Monetary Policy after the Crisis," SUERF Studies, SUERF - The European Money and Finance Forum, number 2011/3, ISBN: ARRAY(0x7570b078), October.
• Jens Forssbæck, 2011, "Divergence of risk indicators and the conditions for market discipline in banking," SUERF Studies, SUERF - The European Money and Finance Forum, number 2011/4, ISBN: ARRAY(0x759c81b8), October.
• Eleftherios J. Thalassinos & Evagelos D. Politis, 2011, "International Stock Markets: A Co-integration Analysis," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 113-130.
• Borys, Magdalena Morgese Borys, 2011, "Testing Multi-Factor Asset Pricing Models in the Visegrad Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 2, pages 118-139, June.
• Jean Paul Fitoussi & Joseph Stiglitz, 2011, "On the measurement of social progress and well being: some further thoughts," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2011-19, Oct.
• Beatriz Vaz de Melo Mendes, Silvia Regina Costa Lopes, 2011, "Dynamic Copulas and Long Range Dependence," Frontiers in Finance and Economics, SKEMA Business School, volume 8, issue 2, pages 89-111, October.
• Turan G. Bali & Hao Zhou, 2011, "Risk, uncertainty, and expected returns," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2011-45.
• Sumit Agarwal & Gene Amromin & Itzhak Ben-David & Souphala Chomsisengphet & Douglas D. Evanoff, 2011, "The role of securitization in mortgage renegotiation," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2011-02.
• Sumit Agarwal & Gene Amromin & Itzhak Ben-David & Souphala Chomsisengphet & Douglas D. Evanoff, 2011, "Market-based loss mitigation practices for troubled mortgages following the financial crisis," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2011-03.
• Maria Kasch & Asani Sarkar, 2011, "Is there an S&P 500 index effect?," Staff Reports, Federal Reserve Bank of New York, number 484.
• Tobias Adrian & Richard K. Crump & Emanuel Moench, 2011, "Regression-based estimation of dynamic asset pricing models," Staff Reports, Federal Reserve Bank of New York, number 493.
• Tobias Adrian & Paolo Colla & Hyun Song Shin, 2011, "Which financial frictions? Parsing the evidence from the financial crisis of 2007-09," Staff Reports, Federal Reserve Bank of New York, number 528.
• Dimitri Vayanos & Paul Woolley, 2011, "Fund Flows and Asset Prices: A Baseline Model," FMG Discussion Papers, Financial Markets Group, number dp667, Jan.
• Iryna Kaminska & Dimitri Vayanos & Gabriele Zinna, 2011, "Preferred-Habitat Investors and the US Term Structure of Real Rates," FMG Discussion Papers, Financial Markets Group, number dp674, Mar.
• Mikhail Chernov & Alexander S.Gorbenko & Igor Makarov, 2011, "CDS Auctions," FMG Discussion Papers, Financial Markets Group, number dp688, Jul.
• Yuliya S. Evlakhova, 2011, "Financial Market Concept within the Modern Finance Theory Framework," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 81-92, July.
• Pedro Gete and Paolo Porchia, 2011, "Fertility and Consumption when Having a Child is a Risky Investment," Working Papers, Georgetown University, Department of Economics, number gueconwpa~11-11-03, Jan.
• Mario Cerrato & Chia Chun Lo & Konstantinos Skindilias, 2011, "Adaptive continuous time Markov chain approximation model to general jump-diffusions," Working Papers, Business School - Economics, University of Glasgow, number 2011_16, Jun.
• Mario Cerrato & John Crosby & Muhammad Kaleem, 2011, "Measuring the economic significance of structural exchange rate models," Working Papers, Business School - Economics, University of Glasgow, number 2011_17, Jun.
• Parmendra Sharma & Eduardo Roca, 2011, "Reâ Designing Financial Systems: A Review of the Role of Stock Markets in Developing Economies," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201120.
• Robin Greenwood & David Thesmar, 2011, "Stock price fragility," Post-Print, HAL, number hal-00635979, Dec, DOI: 10.1016/j.jfineco.2011.06.003.
• Nadia Loukil & Ouidad Yousfi, 2011, "Firm's Information Environment and Stock Liquidity : Evidence from Tunisian Context," Post-Print, HAL, number hal-00813921, DOI: 10.1108/20421161211196111.
• Etienne Farvaque & Catherine Refait-Alexandre & Dhafer Saïdane, 2011, "Corporate Disclosure: A Review Of Its (Direct And Indirect) Benefits And Costs," Post-Print, HAL, number hal-03126778.
• Daniel Cohen, 2011, "La crise grecque. Leçons pour l'Europe," Post-Print, HAL, number halshs-00754539, Jun, DOI: 10.3917/reco.623.0383.
• Daniel Cohen, 2011, "La crise grecque. Leçons pour l'Europe," PSE-Ecole d'économie de Paris (Postprint), HAL, number halshs-00754539, Jun, DOI: 10.3917/reco.623.0383.
• Thierry Foucault & Giovanni Cespa, 2011, "Insiders-Outsiders, Transparency and the Value of the Ticker," Working Papers, HAL, number hal-00580153, Mar.
• Thierry Foucault & Sophie Moinas & Erik Theissen, 2011, "Does anonymity matter in electronic limit order markets ?," Working Papers, HAL, number hal-00592031, May.
• Thierry Foucault & Laurence Lescourret, 2011, "Information Sharing, Liquidity and Transaction Costs in Floor-based Trading Systems," Working Papers, HAL, number hal-00597189, May.
• Thierry Foucault & Ohad Kadan & Eugene Kandel, 2011, "Limit Order Book as a Market for Liquidity," Working Papers, HAL, number hal-00597190, May.
• Thierry Foucault & Marianne Demarchi, 2011, "Equity Trading Systems in Europe - A Survey of Recent Changes," Working Papers, HAL, number hal-00599910, Jun.
• Thierry Foucault & Christine A. Parlour, 2011, "Competition for Listings," Working Papers, HAL, number hal-00599911, Jun.
• Thierry Foucault & Tito Cordella, 2011, "Minimum Price Variations, Time Priority and Quote Dynamics," Working Papers, HAL, number hal-00600249, Jun.
• Thierry Foucault & Ailsa Roell & Patrik Sandas, 2011, "Imperfect Market Monitoring and SOES Trading," Working Papers, HAL, number hal-00607040, Jul.
• Peter Csoka & Miklos Pinter, 2011, "On the Impossibility of Fair Risk Allocation," KRTK-KTI WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 1117, Apr.
• Blix Grimaldi, Marianna, 2011, "Up for count? Central bank words and financial stress," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 252, Apr.
• Valseth, Siri, 2011, "Price discovery in government bond markets," UiS Working Papers in Economics and Finance, University of Stavanger, number 2011/3, Apr.
• Osmundsen, Petter, 2011, "Colloboration in Norway's offshore sector. Contracts and incentives," UiS Working Papers in Economics and Finance, University of Stavanger, number 2011/4, May.