Research classified by Journal of Economic Literature (JEL) codes

2009

• Daniella Acker & Nigel W. Duck, 2009, "The Effect of Extreme Markets on the Benefits of International Portfolio Diversification," Multinational Finance Journal, Multinational Finance Journal, volume 13, issue 3-4, pages 155-188, September.
• Paiardini, Paola, 2009, "Informed Trading in Parallel Bond Markets," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp09053, Sep.
• Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009, "Volatility Models: from GARCH to Multi-Horizon Cascades," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 09036, May.
• Bertrand Maillet & Jean-Philippe Médecin & Thierry Michel, 2009, "High Watermarks of Market Risks," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 09054, Aug.
• J. Vermeulen & A. Waterkeyn, 2009, "The Belgian migration to SEPA (Single Euro Payments Area)," Economic Review, National Bank of Belgium, issue ii, pages 69-84, June.
• Ivo Maes, 2009, "On the origins of the BIS macro-prudential approach to financial stability: Alexandre Lamfalussy and financial fragility," Working Paper Research, National Bank of Belgium, number 176, Oct.
• John Y. Campbell & Adi Sunderam & Luis M. Viceira, 2009, "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 14701, Feb.
• Jung-Wook Kim & Jason Lee & Randall Morck, 2009, "Characteristics of Observed Limit Order Demand and Supply Schedules for Individual Stocks," NBER Working Papers, National Bureau of Economic Research, Inc, number 14733, Feb.
• Geert Bekaert & Eric Engstrom, 2009, "Asset Return Dynamics under Bad Environment Good Environment Fundamentals," NBER Working Papers, National Bureau of Economic Research, Inc, number 15222, Aug.
• Urban Jermann & Vincenzo Quadrini, 2009, "Macroeconomic Effects of Financial Shocks," NBER Working Papers, National Bureau of Economic Research, Inc, number 15338, Sep.
• Nicolae Gârleanu & Leonid Kogan & Stavros Panageas, 2009, "The Demographics of Innovation and Asset Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 15457, Oct.
• Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009, "Jump-Robust Volatility Estimation using Nearest Neighbor Truncation," NBER Working Papers, National Bureau of Economic Research, Inc, number 15533, Nov.
• Alexander David & Pietro Veronesi, 2009, "What Ties Return Volatilities to Price Valuations and Fundamentals?," NBER Working Papers, National Bureau of Economic Research, Inc, number 15563, Dec.
• Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2009, "Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 15591, Dec.
• Ricardo M. Sousa & António Afonso, 2009, "The Macroeconomic Effects of Fiscal Policy in Portugal: a Bayesian SVAR Analysis," NIPE Working Papers, NIPE - Universidade do Minho, number 3/2009.
• Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2009, "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working Papers, University of Nevada, Las Vegas , Department of Economics, number 0905, Jan.
• Giuseppe Bruno & Riccardo De Bonis, 2009, "Do Financial Systems Converge?: New Evidence from Household Financial Assets in Selected OECD Countries," OECD Statistics Working Papers, OECD Publishing, number 2009/1, Feb, DOI: 10.1787/224175173554.
• Firtescu Bogdan, 2009, "European Economic Integration – Challenges And Consequences On Romanian Financial System Soundness," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 3, issue 1, pages 201-207, May.
• Terci Nicolae, 2009, "Budget Retrenchment In The Public Sector - Challenges Against The Background Of The Financial Crisis," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 3, issue 1, pages 388-394, May.
• Bogdan Victoria & Pop Cosmina Madalina & Popa Dorina Nicoleta, 2009, "Voluntary Internet Financial Reporting And Disclosure – A New Challenge For Romanian Companies," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 3, issue 1, pages 770-778, May.
• Moldovan Darie & Silaghi Gheorghe Cosmin, 2009, "A Clustering Of Dja Stocks - The Application In Finance Of A Method First Used In Gene Trajectory Study," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 4, issue 1, pages 1006-1011, May.
• Annastiina Silvennoinen & Timo Teräsvirta, 2009, "Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," Journal of Financial Econometrics, Oxford University Press, volume 7, issue 4, pages 373-411, Fall.
• Lorán Chollete & Andréas Heinen & Alfonso Valdesogo, 2009, "Modeling International Financial Returns with a Multivariate Regime-switching Copula," Journal of Financial Econometrics, Oxford University Press, volume 7, issue 4, pages 437-480, Fall.
• Sydney C. Ludvigson & Serena Ng, 2009, "Macro Factors in Bond Risk Premia," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 12, pages 5027-5067, December.
• Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2009, "Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 3, pages 925-957, March.
• Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2009, "Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 3, pages 925-957.
• Andrew J. Patton, 2009, "Are "Market Neutral" Hedge Funds Really Market Neutral?," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 7, pages 2295-2330, July.
• Annabelle Mourougane & Lukas Vogel, 2009, "Speed of Adjustment to Selected Labour Market and Tax Reforms," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, volume 51, issue 4, pages 500-519, December.
• Valls Pereira, Pedro L. & Chicaroli, Rodrigo, 2009, "Predictability of Equity Models," MPRA Paper, University Library of Munich, Germany, number 10955, Jan.
• Andriansyah, Andriansyah, 2009, "The Static Trade-Off against the Pecking Order Hypotheses of Firms’ Capital Structure in Indonesia's Financial Market," MPRA Paper, University Library of Munich, Germany, number 124206.
• Schouten, Michael C., 2009, "The Case for Mandatory Ownership Disclosure," MPRA Paper, University Library of Munich, Germany, number 12800, Mar.
• Siddiqi, Hammad, 2009, "Ambiguity, Infra-Marginal Investors, and Market Prices," MPRA Paper, University Library of Munich, Germany, number 13514, Jan.
• Kitov, Ivan, 2009, "What is the best firm size to invest?," MPRA Paper, University Library of Munich, Germany, number 13721, Mar.
• Schouten, Michael C., 2009, "The Case for Mandatory Ownership Disclosure," MPRA Paper, University Library of Munich, Germany, number 14139, Mar, revised 13 Mar 2009.
• Fernandez, Pablo, 2009, "Prima de Riesgo del Mercado: Histórica, Esperada, Exigida e Implícita
  [Equity Risk Premium: Historic, Expected, Required and Implied]," MPRA Paper, University Library of Munich, Germany, number 14221, Mar.
• Galimberti, Jaqueson Kingeski & Cupertino, César Medeiros, 2009, "Explaining earnings persistence: a threshold autoregressive panel unit root approach," MPRA Paper, University Library of Munich, Germany, number 14237, Mar.
• Artzrouni, Marc, 2009, "The mathematics of Ponzi schemes," MPRA Paper, University Library of Munich, Germany, number 14420, Apr.
• Mahmud, Muhammad & Herani, Gobind M. & Rajar, A.W. & Farooqi, Wahid, 2009, "Economic Factors Influencing Corporate Capital Structure in Three Asian Countries: Evidence from Japan, Malaysia and Pakistan," MPRA Paper, University Library of Munich, Germany, number 15003, Apr.
• Caiado, Jorge & Crato, Nuno, 2009, "Identifying common dynamic features in stock returns," MPRA Paper, University Library of Munich, Germany, number 15241, Apr.
• Siddiqi, Hammad, 2009, "Information Transmission and Micro-structure rents in Emerging Markets," MPRA Paper, University Library of Munich, Germany, number 15452, Feb.
• Berdugo, Binyamin & Hadad, Sharon, 2009, "How does Investors' Legal Protection affect Productivity and Growth?," MPRA Paper, University Library of Munich, Germany, number 15496, May.
• Gan, Jumwu, 2009, "Burnout from pools to loans: Modeling refinancing prepayments as a self-selection process," MPRA Paper, University Library of Munich, Germany, number 15596, May.
• Tokel, Omer Emre & Yucel, Eray M., 2009, "Does Internet access to official data display any regularity: case of the Electronic Data Delivery System of the Central Bank of Turkey," MPRA Paper, University Library of Munich, Germany, number 15704, Jun.
• Fry, J. M., 2009, "Statistical modelling of financial crashes: Rapid growth, illusion of certainty and contagion," MPRA Paper, University Library of Munich, Germany, number 16027.
• Kristoufek, Ladislav, 2009, "Distinguishing between short and long range dependence: Finite sample properties of rescaled range and modified rescaled range," MPRA Paper, University Library of Munich, Germany, number 16424, Jul.
• Kristoufek, Ladislav, 2009, "Procesy s dlouhou pamětí a jejich vývoj ve výnosech indexu PX v letech 1999 – 2009
  [Long-term memory and its evolution in returns of PX between 1999 and 2009]," MPRA Paper, University Library of Munich, Germany, number 16435, Jul.
• Kaizoji, Taisei, 2009, "Root Causes of The Housing Bubble," MPRA Paper, University Library of Munich, Germany, number 16808, Aug.
• Tokel, O. Emre & Yucel, M. Eray, 2009, "Click to download data: an event study of Internet access to economic statistics," MPRA Paper, University Library of Munich, Germany, number 16833, Aug.
• Keel, Simon & Ardia, David, 2009, "Generalized Marginal Risk," MPRA Paper, University Library of Munich, Germany, number 17258, Sep.
• Maku, Olukayode E. & Atanda, Akinwande A., 2009, "Does Macroeconomic Indicators exert shock on the Nigerian Capital Market?," MPRA Paper, University Library of Munich, Germany, number 17917, Sep.
• Demir, Firat & Dahi, Omar S., 2009, "Asymmetric Effects of Financial Development on South-South and South-North Trade: Panel Data Evidence from Emerging Markets," MPRA Paper, University Library of Munich, Germany, number 19177, Nov.
• Kucuk, Ugur N., 2009, "Dynamic Sources of Sovereign Bond Market Liquidity," MPRA Paper, University Library of Munich, Germany, number 19677, Dec.
• Bennani, Norddine & Maetz, Jerome, 2009, "A Spot Stochastic Recovery Extension of the Gaussian Copula," MPRA Paper, University Library of Munich, Germany, number 19736, Jul.
• Corduneanu, Carmen & Milos, Laura Raisa, 2009, "An empirical analysis on the impact of the development of the financial system upon the economic growth. The case of Romania and of the other states members of the European Union," MPRA Paper, University Library of Munich, Germany, number 19877, May.
• Pirtea, Marilen & Dima, Bogdan & Milos, Laura Raisa, 2009, "An empirical analysis of the interlinkages between financial sector and economic growth," MPRA Paper, University Library of Munich, Germany, number 20085, Nov.
• Dima, Bogdan & Murgea, Aurora & Cristea, Stefana, 2009, "The pattern of Euronext volatility in the crisis period: an intrinsic volatility analysis," MPRA Paper, University Library of Munich, Germany, number 20145, Dec.
• Chang, Kuang-Liang & Chen, Nan-Kuang & Leung, Charles Ka Yui, 2009, "Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock," MPRA Paper, University Library of Munich, Germany, number 23514, Sep.
• Chin-Hong, Puah & Muzafar Shah, Habibullah & Venus Khim-Sen, Liew, 2009, "Is Money Neutral In Stock Market? The Case of Malaysia," MPRA Paper, University Library of Munich, Germany, number 24017, revised 2010.
• Petrushchak, Bohdan, 2009, "Вплив Екзогенних Чинників На Розвиток Українського Фондового Ринку
  [The Influence of the Exogenous Factors on the Development of Ukrainian Stock Market]," MPRA Paper, University Library of Munich, Germany, number 28284, May.
• Erdemlioglu, Deniz, 2009, "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper, University Library of Munich, Germany, number 28895.
• Köksal, Bülent, 2009, "A Comparison of Conditional Volatility Estimators for the ISE National 100 Index Returns," MPRA Paper, University Library of Munich, Germany, number 30510.
• Nistor, Costel & Stefanescu, Razvan & Dumitriu, Ramona, 2009, "The impact of the US stock market on the Romanian stock market in the context of the financial crisis," MPRA Paper, University Library of Munich, Germany, number 36862, Nov, revised 22 Feb 2012.
• Santillán Salgado, Roberto & Hibert Sánchez, Abel, 2009, "A dominant firm’s strategy and its effect on the capital structure of non‐dominant firms in the self‐service discount stores industry," MPRA Paper, University Library of Munich, Germany, number 56020.
• Camilleri, Silvio John & Green, Christopher J., 2009, "The impact of the suspension of opening and closing call auctions: Evidence from the National Stock Exchange of India," MPRA Paper, University Library of Munich, Germany, number 95300.
• Degiannakis, Stavros & Giannopoulos, George, 2009, "Is PEAD a consequence of the presence of the cognitive bias of self-attribution in investors’ expectations regarding permanent earnings? Evidence from Athens Stock Exchange," MPRA Paper, University Library of Munich, Germany, number 96305.
• Burton G. Malkiel & Atanu Saha & Alex Grecu, 2009, "The Clustering of Extreme Movements: Stock Prices and the Weather," Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies., number 1162, Feb.
• Burton G. Malkiel & Derek Jun, 2009, "The Value Effect and the Market For Chinese Stocks," Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies., number 1177, Jul.
• Ghassen Bouslama, 2009, "La finance islamique : une récente histoire avec la France, une longue histoire avec ses banques," Revue d'Économie Financière, Programme National Persée, volume 95, issue 2, pages 325-350, DOI: 10.3406/ecofi.2009.5361.
• María de Lourdes Cárcamo Solís & María del Pilar Ester Arroyo López, 2009, "La Crisis Hipotecaria De Estados Unidos Y Sus Repercusiones En México," Economia y Sociedad., Universidad Michoacana de San Nicolas de Hidalgo, Facultad de Economia, issue 24, pages 93-104, Julio-Dic.
• Yann Algan & Olivier Allais & Eva Carceles-Poveda, 2009, "Code files for "Macroeconomic Effects of Financial Policy"," Computer Codes, Review of Economic Dynamics, number 06-51, revised .
• Bryan Routledge & Stanley Zin, 2009, "Code files for "Model Uncertainty and Liquidity"," Computer Codes, Review of Economic Dynamics, number 08-143, revised .
• Yann Algan & Olivier Allais & Eva Carceles-Poveda, 2009, "Macroeconomic Effects of Financial Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 12, issue 4, pages 678-696, October, DOI: 10.1016/j.red.2009.02.001.
• Martin Lettau & Sydney Ludvigson, 2009, "Euler Equation Errors," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 12, issue 2, pages 255-283, April, DOI: 10.1016/j.red.2008.11.004.
• Bryan Routledge & Stanley Zin, 2009, "Model Uncertainty and Liquidity," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 12, issue 4, pages 543-566, October, DOI: 10.1016/j.red.2008.10.002.
• Stavros Panageas & Leonid Kogan & Nicolae Garleanu, 2009, "The Demographics of Innovation and Asset Returns," 2009 Meeting Papers, Society for Economic Dynamics, number 140.
• Piero Gottardi & Douglas Gale, 2009, "Illiquidity and Under-Valuation of Firms," 2009 Meeting Papers, Society for Economic Dynamics, number 751.
• Dejan Eric & Goran Andjelic & Srdjan Redzepagic, 2009, "Application of MACD and RVI indicators as functions of investment strategy optimization on the financial market," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, volume 27, issue 1, pages 171-196.
• Yi Xue & Ramazan Gencay, 2009, "Hierarchical Information and the Rate of Information Diffusion," Working Paper series, Rimini Centre for Economic Analysis, number 29_09, Jan.
• Yi Xue & Ramazan Gencay, 2009, "Trading Frequency and Volatility Clustering," Working Paper series, Rimini Centre for Economic Analysis, number 31_09, Jan.
• Valentina Galvani & Vladimir Troitsky, 2009, "Options and Efficiency in Spaces of Bounded Claims," Working Papers, University of Alberta, Department of Economics, number 2009-04, Jan.
• Valentina Galvani & Andre Plourde, 2009, "Spanning with Zero-Price Investment Assets," Working Papers, University of Alberta, Department of Economics, number 2009-05, Jan.
• Georges Dionne & Geneviève Gauthier & Nadia Ouertani, 2009, "Basket options on heterogeneous underlying assets," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 09-3, May.
• Yu-Hua An, 2009, "The Role of Cross-border Mergers and Acquisitions in Foreign Direct Investment: Evidence from the Chinese Stock Market," East Asian Economic Review, Korea Institute for International Economic Policy, volume 13, issue 2, pages 39-84, DOI: 10.11644/KIEP.JEAI.2009.13.2.201.
• Dimitris Kenourgios & Aristeidis Samitas, 2009, "Financial Market Dynamics in an Enlarged European Union," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 24, pages 197-221.
• Sarat Dhal, 2009, "Global Crisis and the Integration of India’s Stock Market," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 24, pages 778-805.
• Wenjiang Jiang & Zhenyu Wu, 2009, "Financial risk and political risk in mature and emerging financial markets," Journal of Financial Transformation, Capco Institute, volume 25, pages 15-18.
• Elizabeth Sheedy, 2009, "Can risk modeling work?," Journal of Financial Transformation, Capco Institute, volume 27, pages 82-87.
• Jakub Seidler & Roman Horvath & Petr Jakubík, 2009, "Estimating expected loss given default in an emerging market: the case of Czech Republic," Journal of Financial Transformation, Capco Institute, volume 27, pages 103-107.
• Hameed Ullah Khan & Zahid Ullah & Maqsood Mahmud, 2009, "Currencies Analysis Based on Stability: Using Apriori-Algorithm," Papers, Osterreichish-Rumanischer Akademischer Verein, number 2009/10, Jun.
• Necula, Ciprian, 2009, "Modeling Heavy-Tailed Stock Index Returns Using the Generalized Hyperbolic Distribution," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 6, issue 2, pages 118-131, June.
• John Cotter & Jim Hanly, 2009, "Hedging : scaling and the investor horizon," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/2597, Aug.
• John Cotter & Jim Hanly, 2009, "Time varying risk aversion : an application to energy hedging," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/2599, Aug.
• Paul Alagidede & Theodore Panagiotidis, 2009, "Calendar Anomalies in the Ghana Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 8, issue 1, pages 1-23, April, DOI: 10.1177/097265270900800101.
• Shamila Jayasuriya & William Shambora & Rosemary Rossiter, 2009, "Asymmetric Volatility in Emerging and Mature Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 8, issue 1, pages 25-43, April, DOI: 10.1177/097265270900800102.
• George Filis, 2009, "An Analysis between Implied and Realised Volatility in the Greek Derivative Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 8, issue 3, pages 251-263, September, DOI: 10.1177/097265270900800301.
• Imen Kouki & Mahfuzul Haque, 2009, "Tunisian Dealer Behaviour in FX Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 8, issue 3, pages 265-287, September, DOI: 10.1177/097265270900800302.
• Alagidede, Paul & Panagiotidis, Theodore, 2009, "Modelling stock returns in Africa's emerging equity markets," International Review of Financial Analysis, Elsevier, volume 18, issue 1-2, pages 1-11, March.
• Ødegaard, Bernt Arne, 2009, "The diversification cost of large, concentrated equity stakes. How big is it? Is it justified?," Finance Research Letters, Elsevier, volume 6, issue 2, pages 56-72, June.
• Glaser, Markus & Weber, Martin, 2009, "Which past returns affect trading volume?," Journal of Financial Markets, Elsevier, volume 12, issue 1, pages 1-31, February.
• Csóka, Péter & Herings, P. Jean-Jacques & Kóczy, László Á., 2009, "Stable allocations of risk," Games and Economic Behavior, Elsevier, volume 67, issue 1, pages 266-276, September.
• Ranaldo, Angelo, 2009, "Segmentation and time-of-day patterns in foreign exchange markets," Journal of Banking & Finance, Elsevier, volume 33, issue 12, pages 2199-2206, December.
• Chen, Shiu-Sheng, 2009, "Predicting the bear stock market: Macroeconomic variables as leading indicators," Journal of Banking & Finance, Elsevier, volume 33, issue 2, pages 211-223, February.
• Menkhoff, Lukas & Nikiforow, Marina, 2009, "Professionals' endorsement of behavioral finance: Does it impact their perception of markets and themselves?," Journal of Economic Behavior & Organization, Elsevier, volume 71, issue 2, pages 318-329, August.
• Martin, Alberto, 2009, "A model of collateral, investment, and adverse selection," Journal of Economic Theory, Elsevier, volume 144, issue 4, pages 1572-1588, July.
• Degryse, Hans & Van Achter, Mark & Wuyts, Gunther, 2009, "Dynamic order submission strategies with competition between a dealer market and a crossing network," Journal of Financial Economics, Elsevier, volume 91, issue 3, pages 319-338, March.
• Artzrouni, Marc, 2009, "The mathematics of Ponzi schemes," Mathematical Social Sciences, Elsevier, volume 58, issue 2, pages 190-201, September.
• Roine, Jesper & Vlachos, Jonas & Waldenström, Daniel, 2009, "The long-run determinants of inequality: What can we learn from top income data?," Journal of Public Economics, Elsevier, volume 93, issue 7-8, pages 974-988, August.
• Brammer, Stephen & Brooks, Chris & Pavelin, Stephen, 2009, "The stock performance of America's 100 Best Corporate Citizens," The Quarterly Review of Economics and Finance, Elsevier, volume 49, issue 3, pages 1065-1080, August.
• John M. Fry, 2009, "Statistical modelling of financial crashes: Rapid growth, illusion of certainty and contagion," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2009_10, Oct.
• Rahi, Rohit & Zigrand, Jean-Pierre, 2009, "Endogenous liquidity and contagion," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 29300, Aug.
• Chen, Runquan, 2009, "Regime switching in volatilities and correlation between stock and bond markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 29306, Sep.
• Lou, Dong, 2009, "A flow-based explanation for return predictability," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 29310, Nov.
• Hakim, M.S. & McAleer, M.J., 2009, "Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-33, Nov.
• Hammoudeh, S.M. & Yuan, Y. & McAleer, M.J. & Thompson, M.A., 2009, "Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-38, Nov.
• Günster, N.K. & Kole, H.J.W.G. & Jacobsen, B., 2009, "Riding Bubbles," 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-2009-058-F&A, Dec.
• Vladimir Parail, 2009, "Can Merchant Interconnectors Deliver Lower and More Stable Prices? The Case of NorNed," Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge, number EPRG 0926, Nov.
• Nikolaos L. Hourvouliades, 2009, "International Portfolio Diversification: Evidence from European Emerging Markets," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 55-78.
• Oreste Napolitano, 2009, "Is the impact of the ECB Monetary Policy on EMU stock market returns asymmetric?," STUDI ECONOMICI, FrancoAngeli Editore, volume 0, issue 97, pages 145-180.
• Mitja Stefancic, 2009, "Lessons from the 2007-2008 Crisis: The Benefits from a "Soft" Methodological Pluralism in the Analysis of Financial Markets," STUDI ECONOMICI, FrancoAngeli Editore, volume 0, issue 98, pages 125-134.
• Ladislav Kristoufek, 2009, "Classical and modified rescaled range analysis: Sampling properties under heavy tails," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2009/26, Nov, revised Nov 2009.
• Simone Borghesi & Angelo Antoci & Marcello Galeotti, 2009, "Environmental Options and Technological Innovation: An Evolutionary Game Model," Working Papers, Fondazione Eni Enrico Mattei, number 2009.90, Oct.
• Pereira, Pedro L. Valls, 2009, "Predictability of equity models," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 176, Jan.
• Asani Sarkar, 2009, "Liquidity risk, credit risk, and the Federal Reserve's responses to the crisis," Staff Reports, Federal Reserve Bank of New York, number 389.
• Erkko Etula, 2009, "Broker-dealer risk appetite and commodity returns," Staff Reports, Federal Reserve Bank of New York, number 406, Nov.
• Jean-Pierre Zigrand & Rohit Rahi, 2009, "Endogenous Liquidity and Contagion," FMG Discussion Papers, Financial Markets Group, number dp637, Aug.
• Long, Cheryl & Zhang, Xiaobo, 2009, "Cluster-based industrialization in China: Financing and performance," IFPRI discussion papers, International Food Policy Research Institute (IFPRI), number 937.
• Maria Grazia Romano, 2009, "Informational Cascades in Financial Economics: A Review," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, volume 68, issue 1, pages 81-109, March.
• Mario Cerrato & Nicholas Sarantis & Alex Saunders, 2009, "An investigation of customer order flow in the foreign exchange market," Working Papers, Business School - Economics, University of Glasgow, number 2009_25, Jul, revised Feb 2010.
• Mario Cerrato & Abdollah Abbasyan, 2009, "Optimal martingales and American option pricing," Working Papers, Business School - Economics, University of Glasgow, number 2009_27, Jul.
• Bertrand Maillet & Jean-Philippe Médecin & Thierry Michel, 2009, "High Watermarks of Market Risks," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00425585, Aug.
• Augustin Landier & D. Sraer & David Thesmar, 2009, "Financial Risk Management: When Does Independence Fail?," Post-Print, HAL, number hal-00461112, May, DOI: 10.1257/aer.99.2.454.
• Stefano Lovo, 2009, "Preopening and equilibrium selection," Post-Print, HAL, number hal-00495940, Jun.
• David Thesmar, 2009, "Stock Price Fragility," Post-Print, HAL, number hal-00496062.
• Lukas Menkhoff & Marina Nikiforow, 2009, "Professionals' endorsement of behavioral finance: Does it impact their perception of markets and themselves?," Post-Print, HAL, number hal-00690277, Apr, DOI: 10.1016/j.jebo.2009.04.004.
• Fabienne Bonetto & Srdjan Redzepagic & Anna Tykhonenko, 2009, "Balkan countries: Catching up and their integration in the European financial system," Post-Print, HAL, number hal-02392654, DOI: 10.2298/PAN0904475B.
• Anna Tykhonenko & F. Bonetto & Srdjan Redžepagić, 2009, "" Balkan Countries: Catching Up and their Integration in the European Financial System," Post-Print, HAL, number halshs-00726317, Nov.
• Mélise Jaud & Madina Kukenova & Martin Strieborny, 2009, "Financial dependence and intensive margin of trade," PSE Working Papers, HAL, number halshs-00575005, Aug.
• Mélise Jaud & Madina Kukenova & Martin Strieborny, 2009, "Financial dependence and intensive margin of trade," Working Papers, HAL, number halshs-00575005, Aug.
• Nikiforow, Marina, 2009, "Does training on behavioral finance influence fund managers' perception and behavior?," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-419, Jun.
• Hirak Ray & Malay Kanti Ray & Joydeep Biswas, 2009, "Bank, Market and Economic Growth," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, volume 10, issue 2, pages 403-428, July, DOI: 10.1177/139156140901000206.
• Peter C.B. PHILIPS & Yangru WU & Jun YU, 2009, "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers, Singapore Management University, School of Economics, number 19-2009, Nov.
• Peter C.B.Phillips & Yangru Wu & Jun Yu, 2009, "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-03-2008, Apr.
• Tran Tri Dung & Quan-Hoang Vuong, 2009, "A Note on Studies of Monetary Policy and Implementation in Vietnam," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 09-024.RS.
• Igor Evstigneev & Dhruv Kapoor, 2009, "Arbitrage in stationary markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 32, issue 1, pages 5-12, May, DOI: 10.1007/s10203-008-0083-2.
• D. Vallière & E. Denis & Y. Kabanov, 2009, "Hedging of American options under transaction costs," Finance and Stochastics, Springer, volume 13, issue 1, pages 105-119, January, DOI: 10.1007/s00780-008-0076-6.
• Alexander Schied & Torsten Schöneborn, 2009, "Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets," Finance and Stochastics, Springer, volume 13, issue 2, pages 181-204, April, DOI: 10.1007/s00780-008-0082-8.
• Oleg Kudryavtsev & Sergei Levendorskiǐ, 2009, "Fast and accurate pricing of barrier options under Lévy processes," Finance and Stochastics, Springer, volume 13, issue 4, pages 531-562, September, DOI: 10.1007/s00780-009-0103-2.
• Damien Lamberton & Mohammed Mikou, 2013, "Exercise boundary of the American put near maturity in an exponential Lévy model," Finance and Stochastics, Springer, volume 17, issue 2, pages 355-394, April, DOI: 10.1007/s00780-012-0194-z.
• Gianandrea Goisis, 2009, "Micro and macroeconomic effects of financial innovation in a domestic and international perspective," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), volume 56, issue 3, pages 205-214, September, DOI: 10.1007/s12232-009-0071-z.
• Gianandrea Goisis & Maria Giorgetti & Paola Parravicini & Francesco Salsano & Giovanna Tagliabue, 2009, "Economies of scale and scope in the European banking sector," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), volume 56, issue 3, pages 227-242, September, DOI: 10.1007/s12232-009-0073-x.
• Steven Jones & Kevin Banning, 2009, "US elections and monthly stock market returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 33, issue 3, pages 273-287, July, DOI: 10.1007/s12197-008-9059-x.
• André Schöne, 2009, "Zur Handelbarkeit der Volatilitätsindizes VDAX und VDAX-New der Deutsche Börse AG," Schmalenbach Journal of Business Research, Springer, volume 61, issue 8, pages 881-910, December, DOI: 10.1007/BF03373672.
• Nikolaj Malchow-Møller & Jakob Munch & Sanne Schroll & Jan Skaksen, 2009, "Explaining Cross-Country Differences in Attitudes Towards Immigration in the EU-15," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, volume 91, issue 3, pages 371-390, May, DOI: 10.1007/s11205-008-9341-5.
• Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2009, "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Spanish Economic Review, Springer;Spanish Economic Association, volume 11, issue 2, pages 141-164, June, DOI: 10.1007/s10108-008-9049-3.
• Arvid Raknerud & Øivind Skare, 2009, "Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes," Discussion Papers, Statistics Norway, Research Department, number 601, Dec.
• Alagidede, Paul & Panagiotidis, Theodore, 2009, "Modelling stock returns in Africa's emerging equity markets," Stirling Economics Discussion Papers, University of Stirling, Division of Economics, number 2009-04, Jan.
• Kurt Jornsten & Jan Ubøe, 2009, "Strategic Pricing of Commodities," Applied Mathematical Finance, Taylor & Francis Journals, volume 16, issue 5, pages 385-399, DOI: 10.1080/13504860802639261.
• O. Emre Tokel & M. Eray Yucel, 2009, "Click to Download Data : An Event Study of Internet Access to Economic Statistics," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 9, issue 2, pages 1-22.
• Boris Molochny, 2009, "Essay on International Financial Crisis and Endogenous Growth Theory," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 2, issue 1, pages 7-15, June.
• Charles S. Bos & Pawel Janus & Siem Jan Koopman, 2009, "Spot Variance Path Estimation and its Application to High Frequency Jump Testing," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-110/4, Dec.
• Abdul Hakim & Michael McAleer, 2009, "Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-677, Oct.
• Shawkat Hammoudeh & Yuan Yuan & Michael McAleer & Mark A. Thompson, 2009, "Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-684, Oct.
• Katya Malinova & Andreas Park, 2009, "Trading Volume in Dealer Markets," Working Papers, University of Toronto, Department of Economics, number tecipa-357, May.
• Katya Malinova & Andreas Park, 2009, "Liquidity, Volume, and Price Behavior: The Impact of Order vs. Quote Based Trading," Working Papers, University of Toronto, Department of Economics, number tecipa-358, May.
• John M Maheu & Thomas H McCurdy & Yong Song, 2009, "Extracting bull and bear markets from stock returns," Working Papers, University of Toronto, Department of Economics, number tecipa-369, Aug.
• Lucio Sarno & Giorgio Valente, 2009, "Exchange Rates and Fundamentals: Footloose or Evolving Relationship?," Journal of the European Economic Association, MIT Press, volume 7, issue 4, pages 786-830, June.
• Rebecca Brown & Tue Gørgens, 2009, "Corporate governance and financial performance in an Australian context," Treasury Working Papers, The Treasury, Australian Government, number 2009-02, Mar, revised Mar 2009.
• Kwamie Dunbar, 2009, "The Effects of Credit Risk on Dynamic Portfolio Management: A New Computational Approach," Working papers, University of Connecticut, Department of Economics, number 2009-03, Jan, revised Feb 2009.
• Kwamie Dunbar, 2009, "Solving the Non-Linear Dynamic Asset Allocation Problem: Effects of Arbitrary Stochastic Processes and Unsystematic Risk on the Super Efficient Portfolio Space," Working papers, University of Connecticut, Department of Economics, number 2009-04, Jan.
• James Crotty, 2009, "The Bonus-Driven “Rainmaker” Financial Firm: How These Firms Enrich Top Employees, Destroy Shareholder Value and Create Systemic Financial Instability," UMASS Amherst Economics Working Papers, University of Massachusetts Amherst, Department of Economics, number 2009-13, Oct.
• Alberto Martin, 2009, "A model of collateral, investment and adverse selection," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1136, Jan.
• James P. Gander, 2009, "Extreme Value Theory and the Financial Crisis of 2008," Working Paper Series, Department of Economics, University of Utah, University of Utah, Department of Economics, number 2009_03.
• Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl, 2009, "Alternative Defaultable Term Structure Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 242, Jan.
• Eckhard Platen & Willi Semmler, 2009, "Asset Markets and Monetary Policy," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 247, Apr.
• Eckhard Platen, 2009, "A Benchmark Approach to Investing and Pricing," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 253, Aug.
• Peter L. Rousseau & Paul Wachtel, 2009, "What is Happening to the Impact of Financial Deepening on Economic Growth?," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0915, Sep.
• Fabienne Bonetto & Srdjan Redžepagić & Anna Tykhonenko, 2009, "Balkan Countries: Catching Up and their Integration in the European Financial System," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 56, issue 4, pages 475-489.
• Mondher Bellalah, 2009, "Derivatives, Risk Management & Value," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7175, ISBN: ARRAY(0x6c87f230).
• Bogdan DIMA & Mircea Mihai ROB, 2009, "Remarks on Romanian Capital Market Volatility in the Framework of an Power ARCH (PARCH) Model," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, volume 2, issue 2(6), pages 77-82.
• Pütz, Alexander & Ruenzi, Stefan, 2009, "Overconfidence among professional investors: Evidence from mutual fund managers," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 08-08.
• Beltran-Lopez, Héléna & Giot, Pierre & Grammig, Joachim G., 2009, "Commonalities in the order book," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-05.