Research classified by Journal of Economic Literature (JEL) codes

2007

• Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav, 2007, "No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications," Journal of Econometrics, Elsevier, volume 138, issue 1, pages 125-180, May.
• Bowsher, Clive G., 2007, "Modelling security market events in continuous time: Intensity based, multivariate point process models," Journal of Econometrics, Elsevier, volume 141, issue 2, pages 876-912, December.
• Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2007, "Indirect robust estimation of the short-term interest rate process," Journal of Empirical Finance, Elsevier, volume 14, issue 4, pages 546-563, September.

2006

• Stanislav Anatolyev & Dmitry Shakin, 2006, "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers, New Economic School (NES), number w0070, Aug.
• Charles Adjasi & Nicholas Biekpe, 2006, "Interest Rate and Stock Market Returns in Africa," The African Finance Journal, Africagrowth Institute, volume 8, issue 2, pages 12-30.
• Bogan, Vicki, 2006, "Stock Market Participation and the Internet," Working Papers, Cornell University, Department of Applied Economics and Management, number 127044, DOI: 10.22004/ag.econ.127044.
• Bogan, Vicki, 2006, "Bubbles or Convenience Yields? A Theoretical Explanation with Evidence from Technology Company Equity Carve-Outs," Working Papers, Cornell University, Department of Applied Economics and Management, number 127045, DOI: 10.22004/ag.econ.127045.
• Curpăn Alina Mihaela, 2006, "Estimation Of Fair Value Of Equity Instruments Granted In Share-Based Payment Transactions," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 2, issue 8, pages 1-19.
• Hada Teodor & Moraru Alin, 2006, "Fundamental Analisys, Decision For Stock Exchange Investments," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 2, issue 8, pages 1-34.
• Diks, C.G.H. & Hommes, C.H. & Panchenko, V. & Weide, R. van der, 2006, "E&F Chaos: a user friendly software package for nonlinear economic dynamics," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 06-15.
• Horst Hanusch & Andreas Pyka, 2006, "Applying a Comprehensive Neo-Schumpeterian Approach to Europe and its Lisbon Agenda," Discussion Paper Series, Universitaet Augsburg, Institute for Economics, number 286, Jul.
• Horst Hanusch & Andreas Pyka, 2006, "Manifesto for Comprehensive Neo-Schumpeterian Economics," Discussion Paper Series, Universitaet Augsburg, Institute for Economics, number 289, Dec.
• Tarek Coury & Emanuela Sciubba, 2006, "Belief Heterogeneity and Survival in Incomplete Markets," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0613, Nov.
• Alexander Melnikov & Yuliya Romanyuk, 2006, "Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets," Staff Working Papers, Bank of Canada, number 06-43, DOI: 10.34989/swp-2006-43.
• Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2006, "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Working Papers, Banco de España, number 0630, Nov.
• Fabio Panetta & Paolo Angelini & Giuseppe Grande & Aviram Levy & Roberto perli & Pinar Yesin & Stefan Gerlach & Srichander Ramaswam & Michela Scatigna, 2006, "The recent behaviour of financial market volatility," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 2, Aug.
• Benavides Guillermo, 2006, "Volatility Forecasts for the Mexican Peso - U.S. Dollar Exchange Rate: An Empirical Analysis of Garch, Option Implied and Composite Forecast Models," Working Papers, Banco de México, number 2006-04, Apr.
• Burton Hollifield & Robert A. Miller & Patrik Sandås & Joshua Slive, 2006, "Estimating the Gains from Trade in Limit‐Order Markets," Journal of Finance, American Finance Association, volume 61, issue 6, pages 2753-2804, December, DOI: 10.1111/j.1540-6261.2006.01004.x.
• Eckhard Platen, 2006, "A Benchmark Approach To Finance," Mathematical Finance, Wiley Blackwell, volume 16, issue 1, pages 131-151, January, DOI: 10.1111/j.1467-9965.2006.00265.x.
• Morten Bennedsen & Sven E. Feldmann, 2006, "Lobbying Bureaucrats," Scandinavian Journal of Economics, Wiley Blackwell, volume 108, issue 4, pages 643-668, December, DOI: 10.1111/j.1467-9442.2006.00473.x.
• Nildag Basak Ceylan, 2006, "The Effects of G-7 Countries’ Stock Markets on the Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, volume 8, issue 32, pages 37-56.
• Elisa Luciano & Wim Schoutens, 2006, "A Multivariate Jump-Driven Financial Asset Model," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 29.
• Viviana Fernández, 2006, "Extremal dependence in European capital markets," Journal of Applied Economics, Universidad del CEMA, volume 9, pages 275-293, November.
• Pascalis Raimondos & Alan D. Woodland, 2006, "Steepest Ascent Tariff Reforms," CESifo Working Paper Series, CESifo, number 1760.
• Oliver Hülsewig & Timo Wollmershäuser, 2006, "Makroökonomische Bedeutung von Vermögenspreisblase: Eine Event-Studie für die G4-Länder," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 59, issue 19, pages 13-33, October.
• Stanislav Anatolyev & Dmitry Shakin, 2006, "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers, Center for Economic and Financial Research (CEFIR), number w0070, Aug.
• Christian Hellwig & Guido Lorenzoni, 2006, "Bubbles and Self-enforcing Debt," Levine's Bibliography, UCLA Department of Economics, number 321307000000000383, Sep.
• COSMA, Antonio & GALLI, Fausto, 2006, "A nonparametric ACD model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006067, Aug.
• CORONEO, Laura & VEREDAS, David, 2006, "Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006077, Sep.
• GIOT, Pierre & GRAMMIG, Joachim, 2006, "How large is liquidity risk in an automated auction market?," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1846, Jan, DOI: 10.1007/s00181-005-0003-z.
• Thakor, Anjan & Boot, Arnoud & Gopalan, Radhakrishnan, 2006, "Market Liquidity, Investor Participation and Managerial Autonomy: Why Do Firms Go Private?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5510, Feb.
• Foucault, Thierry & Menkveld, Albert J., 2006, "Competition for Order Flow and Smart Order Routing Systems," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5523, Mar.
• Reichlin, Pietro, 2006, "Relating Output and Volatility in a Model of International Risk-Sharing with Limited Commitment," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5557, Mar.
• Gehrig, Thomas & Foucault, Thierry, 2006, "Stock Price Informativeness, Cross-Listings and Investment Decisions," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5722, Jun.
• Guiso, Luigi & Zingales, Luigi & Sapienza, Paola, 2006, "The Cost of Banking Regulation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5864, Oct.
• Motta, Massimo & , & Argentesi, Elena, 2006, "Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5912, Nov.
• Ciccone, Antonio & Papaioannou, Elias, 2006, "Adjustment to Target Capital, Finance and Growth," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5969, Dec.
• Antonio Cosma & Fausto Galli, 2006, "A Nonparametric ACD Model," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 06-10.
• Greta Falavigna, 2006, "Models for Default Risk Analysis: Focus on Artificial Neural Networks, Model Comparisons, Hybrid Frameworks," CERIS Working Paper, CNR-IRCrES Research Institute on Sustainable Economic Growth - Torino (TO) ITALY - former Institute for Economic Research on Firms and Growth - Moncalieri (TO) ITALY, number 200610, Dec.
• Röthig, Andreas & Chiarella, Carl, 2006, "Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 36774, Mar.
• Röthig, Andreas & Chiarella, Carl, 2009, "Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 77372.
• Catherine Bruneau & Amine Lahiani, 2006, "Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2006-17.
• Mohd Zaini Abd KARIM & Chan Sok GEE, 2006, "Stock Market Integration Between Malaysia and its Major Trading Partners (1994-2002)," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 6, issue 3.
• Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse, 2006, "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence," Finance Working Papers, East Asian Bureau of Economic Research, number 22075, Jan.
• Abdul Qayyum & A. R. Kemal, 2006, "Volatility Spillover between the Stock Market and the Foreign Market in Pakistan," Finance Working Papers, East Asian Bureau of Economic Research, number 22216, Jan.
• Naim Sipra, 2006, "Mutual Fund Performance in Pakistan, 1995-2004," Finance Working Papers, East Asian Bureau of Economic Research, number 22281, Jan.
• Anthony S. Tay & Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Yiu Kuen Tse, 2006, "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence," Finance Working Papers, East Asian Bureau of Economic Research, number 22481, Jan.
• Franzoni, Francesco, 2006, "Where is beta going ? the riskiness of value and small stocks," HEC Research Papers Series, HEC Paris, number 829, Jan.
• Cassola, Nuno & Morana, Claudio, 2006, "Comovements in volatility in the euro money market," Working Paper Series, European Central Bank, number 703, Dec.
• Koppl, Thorsten V., 2006, "Risk sharing through financial markets with endogenous enforcement of trades," Journal of Economic Dynamics and Control, Elsevier, volume 30, issue 11, pages 1987-2014, November.
• Manski, Charles F., 2006, "Interpreting the predictions of prediction markets," Economics Letters, Elsevier, volume 91, issue 3, pages 425-429, June.
• Beltratti, A. & Morana, C., 2006, "Breaks and persistency: macroeconomic causes of stock market volatility," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 151-177.
• Jörnsten, Kurt & Ubøe, Jan, 2006, "Strategic pricing of commodities," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2006/19, Dec.
• Pelikan, Pavel, 2006, "Markets vs. Government when Rationality Is Unequally Bounded: Some Consequences of Cognitive Inequalities for Theory and Policy," Ratio Working Papers, The Ratio Institute, number 85, Mar, revised 03 Sep 2006.
• Becker, Bo, 2006, "City Size and Financial Development," SIFR Research Report Series, Institute for Financial Research, number 46, Sep.
• Brännäs, Kurt & Soultanaeva, Albina, 2006, "Influence of News in Moscow and New York on Returns and Risks on Baltic State Stock Indices," Umeå Economic Studies, Umeå University, Department of Economics, number 696, Sep.
• Ågren, Martin, 2006, "Does Oil Price Uncertainty Transmit to Stock Markets?," Working Paper Series, Uppsala University, Department of Economics, number 2006:23, Oct.
• Yin-wong Cheung, 2006, "An Empirical Model of Daily Highs and Lows," Working Papers, Hong Kong Institute for Monetary Research, number 072006, May.
• José Fajardo & Ernesto Mordecki, 2006, "Skewness Premium with Lévy Processes," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2006-04, Oct.
• Hakan SARITAŞ, 2006, "Portföy büyüklüğünün portföy getirisi üzerindeki etkisi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 21, issue 241, pages 105-113.
• M. Mete DOĞANAY & Ramazan AKTAŞ & Ünsal BAN, 2006, "Hisse senetlerinde risk ayrışımı ve İstanbul Menkul Kıymetler Borsası’nda bir uygulama," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 21, issue 242, pages 27-33.
• Mahmut YARDIMCIOĞLU, 2006, "Sermaye piyasalarında değerleme unsuru olarak hisse senedi endeksleri," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 21, issue 249, pages 111-120.
• Ekaterini Panopoulou & Nikitas Pittis & Sarantis Kalyvitis, 2006, "Looking far in the past: Revisiting the growth-returns nexus with non-parametric tests," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp134, May.
• Giuseppe Alesii, 2006, "Fundamentals Efficiency of the Italian Stock Market: Some Long Run Evidence," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 5, issue 3, pages 245-264, December.
• Prasanna Gai & Nicholas Vause, 2006, "Measuring Investors' Risk Appetite," International Journal of Central Banking, International Journal of Central Banking, volume 2, issue 1, March.
• Antonino Parisini & Franco Parisini & David Díaz, 2006, "Modelos de Algoritmos Genéticos y Redes Neuronales en la Predicción de Índices Bursátiles Asiáticos," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 43, issue 128, pages 251-284.
• Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006, "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 1, pages 79-109, DOI: 10.1002/jae.842.
• Matiur Rahman & Muhammad Mustafa & Anisul Islam & Kishor Kumar Guru-Gharana, 2006, "Growth and employment empirics of Bangladesh," Journal of Developing Areas, Tennessee State University, College of Business, volume 40, issue 1, pages 99-114, September.
• Richard MacMinn & Frank Page, 2006, "Stock options and capital structure," Annals of Finance, Springer, volume 2, issue 1, pages 39-50, January, DOI: 10.1007/s10436-005-0029-4.
• Jörg Osterrieder & Thorsten Rheinländer, 2006, "Arbitrage Opportunities in Diverse Markets via a Non-equivalent Measure Change," Annals of Finance, Springer, volume 2, issue 3, pages 287-301, July, DOI: 10.1007/s10436-006-0037-z.
• Martin Dierker, 2006, "Endogenous Information Acquisition with Cournot Competition," Annals of Finance, Springer, volume 2, issue 4, pages 369-395, October, DOI: 10.1007/s10436-006-0045-z.
• Massimo Giovannini & Margherita Grasso & Alessandro Lanza & Matteo Manera, 2006, "Conditional correlations in the returns on oil companies stock prices and their determinants," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 33, issue 4, pages 193-207, September, DOI: 10.1007/s10663-006-9001-4.
• Rosario Dell’Aquila & Paul Embrechts, 2006, "Extremes and Robustness: A Contradiction?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 20, issue 1, pages 103-118, April, DOI: 10.1007/s11408-006-0002-x.
• Wolfgang Aussenegg & Tatiana Miazhynskaia, 2006, "Uncertainty in Value-at-risk Estimates under Parametric and Non-parametric Modeling," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 20, issue 3, pages 243-264, September, DOI: 10.1007/s11408-006-0020-8.
• Barbara Rovetta, 2006, "Investment Policies and Excess Returns in Corporate Spin-offs: Evidence from the US Market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 20, issue 3, pages 287-307, September, DOI: 10.1007/s11408-006-0021-7.
• Martin Eling, 2006, "Performance measurement of hedge funds using data envelopment analysis," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 20, issue 4, pages 442-471, December, DOI: 10.1007/s11408-006-0032-4.
• Fazley Siddiq, 2006, "Managing Canada's Federal Debt: A Risk Analysis of Alternative Debt Instruments," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 12, issue 1, pages 140-141, February, DOI: 10.1007/s11294-006-6148-5.
• John Sell, 2006, "The Neuer Markt is Dead. Long Live the Neuer Markt!," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 12, issue 2, pages 191-202, May, DOI: 10.1007/s11294-006-9003-9.
• Shuhong Kong & Majid Taghavi, 2006, "The Effect of Annual Earnings Announcements on the Chinese Stock Markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 12, issue 3, pages 318-326, August, DOI: 10.1007/s11294-006-9020-8.
• Ian Rakita, 2006, "Are the Most Profitable U.S. Companies Also the Best Investments?," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 12, issue 3, pages 431-431, August, DOI: 10.1007/s11294-006-9035-1.
• John Cotter & Simon Stevenson, 2006, "Multivariate Modeling of Daily REIT Volatility," The Journal of Real Estate Finance and Economics, Springer, volume 32, issue 3, pages 305-325, May, DOI: 10.1007/s11146-006-6804-9.
• Paul Alagidede & Theodore Panagiotidis, 2006, "Calendar Anomalies in an Emerging African Market: Evidence from the Ghana Stock Exchange," Discussion Paper Series, Department of Economics, Loughborough University, number 2006_13, Jun, revised Jun 2006.
• Viktors Ajevskis & Kristine Vitola, 2006, "A Factor Model of the Term Structure of Interest Rates and Risk Premium Estimation for Latvia's Money Market," Working Papers, Latvijas Banka, number 2006/01, Feb.
• Emanuele Deligia, 2006, "Innovation And Finance: The Theoretical Links," Economia, Societa', e Istituzioni, Dipartimento di Economia e Finanza, LUISS Guido Carli, volume 0, issue 1.
• Georges Dionne & Geneviève Gauthier & Nadia Ouertani & Nabil Tahani, 2006, "Heterogeneous Basket Options Pricing Using Analytical Approximations," Cahiers de recherche, CIRPEE, number 0605.
• George Milunovich, 2006, "Information Spillovers and Size-sorted Portfolios: Structural Evidence from Australia," Research Papers, Macquarie University, Department of Economics, number 0610, Dec.
• Igor Evstigneev & Dhruv Kapoor, 2006, "Arbitrage in stationary markets," Economics Discussion Paper Series, Economics, The University of Manchester, number 0619.
• Ekaterini Panopoulou & N. Pittis & S. Kalyvitis, 2006, "Looking far in the past:Revisiting the growth-returns nexus with non-parametric tests," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1660306.
• John G. Galbraith & Serguei Zernov, 2006, "Extreme Dependence In The Nasdaq And S&P Composite Indexes," Departmental Working Papers, McGill University, Department of Economics, number 2006-14, Sep.
• T.J. Brailsford & J. H.W. Penm & R.D. Terrell, 2006, "The Equivalence of Causality Detection in VAR and VECM Modeling with Applications to Exchange Rates," Multinational Finance Journal, Multinational Finance Journal, volume 10, issue 3-4, pages 153-178, September.
• Marios Nerouppos & David Saunders & Costas Xiouros & Stavros A. Zenios, 2006, "Risk Management in Emerging Markets: Practical Methodologies and Empirical Tests," Multinational Finance Journal, Multinational Finance Journal, volume 10, issue 3-4, pages 179-221, September.
• Péter Kondor, 2006, "Risk in Dynamic Arbitrage: Price Effects of Convergence Trading," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2006/6.
• Donald MacKenzie, 2006, "An Engine, Not a Camera: How Financial Models Shape Markets," MIT Press Books, The MIT Press, number 0262134608, edition 1, ISBN: ARRAY(0x69b52a88), December.
• Jules H. van Binsbergen & Michael W. Brandt & Ralph S.J. Koijen, 2006, "Optimal Decentralized Investment Management," NBER Working Papers, National Bureau of Economic Research, Inc, number 12144, Apr.
• Mark Grinblatt & Matti Keloharju, 2006, "Sensation Seeking, Overconfidence, and Trading Activity," NBER Working Papers, National Bureau of Economic Research, Inc, number 12223, May.
• Michael W. Brandt & David A. Chapman, 2006, "Linear Approximations and Tests of Conditional Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 12513, Sep.
• Christian Hellwig & Guido Lorenzoni, 2006, "Bubbles and Self-Enforcing Debt," NBER Working Papers, National Bureau of Economic Research, Inc, number 12614, Oct.
• Eugene N. White, 2006, "Anticipating the Stock Market Crash of 1929: The View from the Floor of the Stock Exchange," NBER Working Papers, National Bureau of Economic Research, Inc, number 12661, Nov.
• Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje, 2006, "Liquidity and Asset Prices," Foundations and Trends(R) in Finance, now publishers, volume 1, issue 4, pages 269-364, February, DOI: 10.1561/0500000003.
• Dinga Emil, 2006, "Surse sustenabile de finanţare – aspecte de metodologie generală," Revista OEconomica, Romanian Society for Economic Science, Revista OEconomica, issue 03, September.
• Ulrike Elsenhuber & Claus Puhr & Stefan W. Schmitz, 2006, "Operational Risk and Contagion in the Austrian Large-Value Payment System ARTIS," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 11, pages 96-113.
• Federico M. Bandi & Benoit Perron, 2006, "Long Memory and the Relation Between Implied and Realized Volatility," Journal of Financial Econometrics, Oxford University Press, volume 4, issue 4, pages 636-670.
• Harald Hau & Hélène Rey, 2006, "Exchange Rates, Equity Prices, and Capital Flows," The Review of Financial Studies, Society for Financial Studies, volume 19, issue 1, pages 273-317.
• Michael Lemmon & Evgenia Portniaguina, 2006, "Consumer Confidence and Asset Prices: Some Empirical Evidence," The Review of Financial Studies, Society for Financial Studies, volume 19, issue 4, pages 1499-1529.
• Samuel Mongrut & Dídac Ramírez, 2006, "Discount Rates in Emerging Capital Markets," Working Papers, Centro de Investigación, Universidad del Pacífico, number 06-03, Jan.
• Samuel Mongrut, 2006, "Tasas de descuento en Latinoamérica: Hechos y desafíos," Working Papers, Centro de Investigación, Universidad del Pacífico, number 06-09, Jan.
• Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse, 2006, "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 06-016, Feb.
• Mayur, Manas & Kumar, Manoj, 2006, "An Empirical Investigation of Going Public Decision of Indian Companies," MPRA Paper, University Library of Munich, Germany, number 1801.
• Vargas, Gregorio A., 2006, "An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model," MPRA Paper, University Library of Munich, Germany, number 189, Jan, revised Aug 2006.
• Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2006, "The Levy sections theorem revisited," MPRA Paper, University Library of Munich, Germany, number 1983.
• Mapa, Dennis S. & Briones, Kristine Joy S., 2006, "Measuring the Common Component of Stock Market Fluctuations in the Asia-Pacific Region," MPRA Paper, University Library of Munich, Germany, number 21247.
• Mayur, Manas & Kumar, Manoj, 2006, "An Empirical Investigation of Going Public Decision of Indian Companies," MPRA Paper, University Library of Munich, Germany, number 28685.
• Cotter, John, 2006, "Modelling catastrophic risk in international equity markets: An extreme value approach," MPRA Paper, University Library of Munich, Germany, number 3507.
• Puah, Chin-Hong & Habibullah, Muzafar Shah & Lim, Kian-Ping, 2006, "Testing long-run neutrality of money: evidence from Malaysian stock market," MPRA Paper, University Library of Munich, Germany, number 37676.
• Lazen, Vicente & Eguiluz, Cristian, 2006, "Conflictos de Interés en Servicios Financieros: Taxonomía y Mecanismos de Control Regulatorio
  [Conflicts of Interest in Financial Services: Taxonomy and Mechanisms for Regulatory Control]," MPRA Paper, University Library of Munich, Germany, number 3891, Dec.
• Yildizhan, Celim, 2006, "Stock Splits, A Survey," MPRA Paper, University Library of Munich, Germany, number 53888, Aug.
• Frimpong, Joseph Magnus & Oteng-Abayie, Eric Fosu, 2006, "Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models," MPRA Paper, University Library of Munich, Germany, number 593, Oct, revised 07 Oct 2006.
• Camilleri, Silvio John, 2006, "An Analysis of Stock Index Distributions of Selected Emerging Markets," MPRA Paper, University Library of Munich, Germany, number 62490.
• Law, Siong Hook & Azman-Saini, W.N.W. & Smith, Peter, 2006, "Finance and growth in a small open emerging market," MPRA Paper, University Library of Munich, Germany, number 715, Oct.
• Bulla, Jan, 2006, "Application of Hidden Markov Models and Hidden Semi-Markov Models to Financial Time Series," MPRA Paper, University Library of Munich, Germany, number 7675.
• Rose, Martin & Zitouni, Loubna, 2006, "Modélisation d'actifs à volatilité stochastique et pricing d'options européennes
  [Modeling asset prices in a stochastic volatility environment and determining prices for European options]," MPRA Paper, University Library of Munich, Germany, number 81153, Jun.
• Jitka Veselá, 2006, "Historical Excursion into World and Czech Exchange Business
  [Historický exkurz světovým a českým burzovnictvím]," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2006, issue 2, pages 153-164, DOI: 10.18267/j.cfuc.166.
• Mark Aguiar & Manuel Amador & Gita Gopinath, 2006, "Efficient Expropriation: Sustainable Fiscal Policy in a Small Open Economy," Working Papers, Princeton University. Economics Department., number 2006-2, Jan.
• Oreste Napolitano, 2006, "Is the Impact of ECB Monetary Policy on EMU Stock Market Returns asymmetric?," Discussion Papers, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy, number 1_2006, Jan.
• Oreste Napolitano, 2006, "Is The Impact Of Ecb Monetary Policy On Emu Stock Market Returns Asymmetric?," Working Papers, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy, number 3_2006, Mar.
• Antonio Roma, 2006, "Common factors and balance sheet structure of major European banks," BNL Quarterly Review, Banca Nazionale del Lavoro, volume 59, issue 237, pages 123-170.
• Antonio Roma, 2006, "Common factors and balance sheet structure of major European banks," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, volume 59, issue 237, pages 123-170.
• Carol Alexander & Andreza Barbosa, 2006, "Minimum Variance Hedging and Stock Index Market Efficiency," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2006-04, Jul, revised Sep 2006.
• Stephen Brammer & Chris Brooks & Stephen Pavelin, 2006, "Corporate Reputation and Stock Returns; are good firm good for investors?," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2006-05, Jul.
• Stephen Brammer & Chris Brooks & Stephen Pavelin, 2006, "The Stock Performance of America's 100 Best Corporate Citizens," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2006-06, Jul.
• Jordi Mondria, 2006, "Financial Contagion and Attention Allocation," 2006 Meeting Papers, Society for Economic Dynamics, number 177.
• Sydney Ludvigson & Serena Ng, 2006, "The Empirical Risk-Return Relation: a factor analysis approach," 2006 Meeting Papers, Society for Economic Dynamics, number 236.
• A. Cevdet Aydemir & Michael Gallmeyer & Burton Hollifield, 2006, "Financial Leverage Does Not Cause the Leverage Effect," 2006 Meeting Papers, Society for Economic Dynamics, number 263.
• Yosef Bonaparte, 2006, "Why do Wealthy Investors have a Higher Return on their Stocks?," 2006 Meeting Papers, Society for Economic Dynamics, number 286.
• Martin Lettau & Stijn Van Nieuwerburgh, 2006, "Reconciling the Return Predictability Evidence," 2006 Meeting Papers, Society for Economic Dynamics, number 29.
• Mariano M. Croce & Martin Lettau & Sydney Ludvigson, 2006, "Investor Information, Long-Run Risk, and the Duration fo Risky Assets," 2006 Meeting Papers, Society for Economic Dynamics, number 628.
• Julien Hugonnier & Erwan Morellec & Aude Pommeret, 2006, "Technology adoption under uncertainty in general equilibrium," 2006 Meeting Papers, Society for Economic Dynamics, number 692.
• Oikarinen, Elias, 2006, "Price Linkages between Stock, Bond and Housing Markets - Evidence from Finnish Data," Discussion Papers, The Research Institute of the Finnish Economy, number 1004.
• Khaïs Dachraoui & Georges Dionne, 2006, "Conditions ensuring the decomposition of asset demand for all risk-averse investors," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 04-1, Jul.
• Georges Dionne & Geneviève Gauthier & Nadia Ouertani & Nabil Tahani, 2006, "Heterogeneous basket options pricing using analytical approximations," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 06-1, Jan.
• Wonho Song & Yunjong Wang, 2006, "Finance and Economic Development in China," East Asian Economic Review, Korea Institute for International Economic Policy, volume 10, issue 1, pages 161-184, DOI: 10.11644/KIEP.JEAI.2006.10.1.155.
• Pankaj Jain, 2006, "Improving liquidity through efficient stock market structure and operational design," Journal of Financial Transformation, Capco Institute, volume 18, pages 151-159.
• J. Annaert & W. Van Hyfte, 2006, "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 06/376, Mar.
• Cemal Berk OÄŸuzsoy & Sibel Güven, 2006, "Turn of the Month and Turn of the Month Surrounding Days Effects in Istanbul Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 5, issue 1, pages 1-13, April, DOI: 10.1177/097265270500500101.
• J. Huston McCulloch & Ohio State University, 2006, "Learning about Stock Volatility: The Local Scale Model with Homoskedastic Innovations," Computing in Economics and Finance 2006, Society for Computational Economics, number 173, Jul.
• Dominique Pujal & Patrick Saint-Pierre, 2006, "Capture Basin Algorithm for Evaluating and Managing Complex Financial Instruments," Computing in Economics and Finance 2006, Society for Computational Economics, number 186, Jul.
• Cyril Schoreels & Jonathan M. Garibaldi, 2006, "Comparative study of central decision makers versus groups of evolved agents trading in equity markets," Computing in Economics and Finance 2006, Society for Computational Economics, number 410, Jul.
• S. Nagornii & D. Widijanto, 2006, "New Dimensions in Portfolio Optimization," Computing in Economics and Finance 2006, Society for Computational Economics, number 459, Jul.
• Erdenebat Bataa & Dong Heon Kim & Denise R. Osborn, 2006, "On the Expectations Hypothesis in US Term Structure," Computing in Economics and Finance 2006, Society for Computational Economics, number 508, Jul.
• Salvatore Capasso, 2006, "Stock Market Development and Economic Growth: A Matter of Information Dynamics," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 166, Sep.
• Claudio Loderer & Marc-André Mittermayer, 2006, "America and the Swiss Stock Exchange: An Intraday Analysis," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 142, issue I, pages 79-114, March.
• Catherine Bruneau & Amine Lahiani, 2006, "Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 142, issue IV, pages 479-500, December.
• Lanza, Alessandro & Manera, Matteo & McAleer, Michael, 2006, "Modeling dynamic conditional correlations in WTI oil forward and futures returns," Finance Research Letters, Elsevier, volume 3, issue 2, pages 114-132, June.
• Lindset, Snorre & Persson, Svein-Arne, 2006, "A note on a barrier exchange option: The world's simplest option formula?," Finance Research Letters, Elsevier, volume 3, issue 3, pages 207-211, September.
• Junker, Markus & Szimayer, Alex & Wagner, Niklas, 2006, "Nonlinear term structure dependence: Copula functions, empirics, and risk implications," Journal of Banking & Finance, Elsevier, volume 30, issue 4, pages 1171-1199, April.
• Corielli, Francesco & Marcellino, Massimiliano, 2006, "Factor based index tracking," Journal of Banking & Finance, Elsevier, volume 30, issue 8, pages 2215-2233, August.
• Rosenberg, Joshua V. & Schuermann, Til, 2006, "A general approach to integrated risk management with skewed, fat-tailed risks," Journal of Financial Economics, Elsevier, volume 79, issue 3, pages 569-614, March.
• Caballero, Ricardo J. & Krishnamurthy, Arvind, 2006, "Bubbles and capital flow volatility: Causes and risk management," Journal of Monetary Economics, Elsevier, volume 53, issue 1, pages 35-53, January.
• Da Rin, Marco & Nicodano, Giovanna & Sembenelli, Alessandro, 2006, "Public policy and the creation of active venture capital markets," Journal of Public Economics, Elsevier, volume 90, issue 8-9, pages 1699-1723, September.
• Parisi F., Antonino & Parisi F., Franco, 2006, "Modelos predictivos de lógica y lógica borrosa en índices bursátiles de América del Norte," El Trimestre Económico, Fondo de Cultura Económica, volume 73, issue 290, pages 265-288, abril-jun, DOI: http://dx.doi.org/10.20430/ete.v73i.
• Morten Balling (ed.), 2006, "The Adoption of the Euro, Choice of Currency Regime and Integration of Payment Systems," SUERF Studies, SUERF - The European Money and Finance Forum, number 2006/5, ISBN: ARRAY(0x821b92d0), May.
• Christa N. Brunnschweiler, 2006, "Financing the alternative: renewable energy in developing and transition countries," CER-ETH Economics working paper series, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich, number 06/49, Mar.
• Elena Argentese & Helmut Luetkepohl & Massimo Motta, 2006, "Acquisition of information and share prices: An empirical investigation of cognitive dissonance," Economics Working Papers, European University Institute, number ECO2006/32.
• Filip Žikeš & Vít Bubák, 2006, "Seasonality and Non-Trading Effect on Central European Stock Markets (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 56, issue 1-2, pages 69-79, January.
• Yeliz Yalcin & Eray M. Yycel, 2006, "The Day-of-the-Week Effect on Stock-Market Volatility and Return: Evidence from Emerging Markets (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 56, issue 5-6, pages 258-277, May.
• Xavier Gine & Dean Karlan, 2006, "Group versus individual liability: A field experiment in the philippines," Natural Field Experiments, The Field Experiments Website, number 00253.
• Mark Aguiar & Manuel Amador & Gita Gopinath, 2006, "Efficient expropriation: sustainable fiscal policy in a small open economy," Working Papers, Federal Reserve Bank of Boston, number 06-9.
• Drobyshevsky Sergey & Trunin Pavel & Knobel Alexandr, 2006, "Some Approaches to the Development of the System of Indicators for Monitoring the Financial Stability," Research Paper Series, Gaidar Institute for Economic Policy, issue 103P.
• A. Durre & H. Beltran & P. Giot, 2006, "Volatility regimes and the provision of liquidity in order book markets," Post-Print, HAL, number hal-00260870, Jun.
• A. Durre & H. Beltran & P. Giot, 2006, "Volatility regimes and the provision of liquidity in order book markets," Post-Print, HAL, number hal-00260906, Apr.
• Thierry Foucault, 2006, "Stock Price Informativeness, Cross-Listings and Investment Decisions," Post-Print, HAL, number halshs-00121054, Oct.
• Thierry Foucault & T. Gehrig, 2006, "Stock Price Informativeness, Cross-Listings and Investment Decisions," Post-Print, HAL, number halshs-00125690.