Research classified by Journal of Economic Literature (JEL) codes

2007

• Marian Florin Aitai, 2007, "The Evaluation Of Financial Instruments," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 9, pages 1-12.
• Flavia Barna & Bogdan Dima & Marilen Pirtea, 2007, "The Impact Of Macroeconomic Variables On The Bucharest Stock Exchange," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 9, pages 1-7.
• Sebastian Ene & Georgiana Mîndreci, 2007, "The Motivations Of The Transnational Companies To Effect Foreign Capital Investments In The East-European Economies," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 9, pages 1-9.
• Alejandro García & Ramazan Gençay, 2007, "Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures," Staff Working Papers, Bank of Canada, number 07-25, DOI: 10.34989/swp-2007-25.
• Natasha Khan, 2007, "Impact of Electronic Trading Platforms on the Brokered Interdealer Market for Government of Canada Benchmark Bonds," Staff Working Papers, Bank of Canada, number 07-5, DOI: 10.34989/swp-2007-5.
• Marcos M. Abe & Eui J. Chang & Benjamin M. Tabak, 2007, "Forecasting Exchange Rate Density using Parametric Models: The Case of Brazil," Working Papers Series, Central Bank of Brazil, Research Department, number 138, May.
• Pedro Elosegui & Anne P. Villamil, 2007, "Risky Banking and Credit Rationing," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, volume 1, issue 49, pages 33-64, October -.
• Pedro Elosegui & Anne P. Villamil, 2007, "Risky Banking and Credit Rationing," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 200720, Jun.
• Juan Angel Garcia & Adrian van Rixtel, 2007, "Inflation-linked bonds from a central bank perspective," Occasional Papers, Banco de España, number 0705, Aug.
• Andrea Finicelli, 2007, "House price developments and fundamentals in the United States," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 7, May.
• Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007, "Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices," Journal of the American Statistical Association, American Statistical Association, volume 102, pages 16-27, March.
• René M. Stulz, 2007, "The Limits of Financial Globalization," Journal of Applied Corporate Finance, Morgan Stanley, volume 19, issue 1, pages 8-15, January, DOI: 10.1111/j.1745-6622.2007.00121.x.
• Martin Lettau & Jessica A. Wachter, 2007, "Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium," Journal of Finance, American Finance Association, volume 62, issue 1, pages 55-92, February, DOI: 10.1111/j.1540-6261.2007.01201.x.
• Jens Eisenschmidt & Klaus Wälde, 2007, "International Trade, Hedging, and the Demand for Forward Contracts," Review of International Economics, Wiley Blackwell, volume 15, issue 2, pages 414-429, May, DOI: 10.1111/j.1467-9396.2007.00685.x.
• Dieter M. Urban, 2007, "Neoclassical Growth, Manufacturing Agglomeration, and Terms of Trade," Review of International Economics, Wiley Blackwell, volume 15, issue 5, pages 1014-1035, November, DOI: 10.1111/j.1467-9396.2007.00706.x.
• Dagfinn Rime & Lucio Sarno & Elvira Sojli, 2007, "Exchange rate forecasting, order flow and macroeconomic information," Working Paper, Norges Bank, number 2007/02, Apr.
• Naoto Shimoda & Yuko Kawai, 2007, "Credit Rating Gaps in Japan: Differences between Solicited and Unsolicited Ratings, and "Rating Splits"," Bank of Japan Working Paper Series, Bank of Japan, number 07-E-11, Apr.
• Beum-Jo Park, 2007, "The Impact of Surprise Information on the Relation between Volatility and Trading Volume in Exchange Rate Markets (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 13, issue 1, pages 56-87, March.
• Jin, Hyun Joung & Jun Mo Park, 2007, "Research on Long-term Memory of Interest Rate Fluctuations in Korea Using Wavelet OLS (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 13, issue 2, pages 156-187, June.
• Cuneyt Akar, 2007, "Asymmetric Responses in Volatility Between Positive and Negative Shocks: New Evidence From Turkish Data by Using TAR-GARCH Model," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, volume 9, issue 36, pages 69-76.
• Marcos Massaki Abe & Eui Jung Chang & Benjamin Miranda Tabak, 2007, "Forecasting Exchange Rate Density Using Parametric Models: the Case of Brazil," Brazilian Review of Finance, Brazilian Society of Finance, volume 5, issue 1, pages 29-39.
• Fernando Caio Galdi & José Roberto Securato, 2007, "Does Idiosyncratic Risk Matter in the Brazilian Capital Market?," Brazilian Review of Finance, Brazilian Society of Finance, volume 5, issue 1, pages 41-58.
• Felipe Pinheiro & Caio Ibsen Rodrigues de Almeida & José Valentim Vicente, 2007, "A Polynomial Term Structure Model with Macroeconomic Variables," Brazilian Review of Finance, Brazilian Society of Finance, volume 5, issue 1, pages 79-92.
• Benoît Sévi, 2007, "Préférences par rapport au risque et marchés à terme : le cas d'une quantité incertaine," Recherches économiques de Louvain, De Boeck Université, volume 73, issue 2, pages 217-228.
• Massacci, D., 2007, "Identification and Estimation in an Incoherent Model of Contagion," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0744, Aug.
• José Pablo Dapena, 2007, "Sobre Burbujas De Precios De Activos, Expectativas Y Equilibrios," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 361, Dec.
• Magdalena Morgese Borys, 2007, "Testing Multi-Factor Asset Pricing Models in the Visegrad Countries," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp323, Mar.
• Jose Guedes & Gilberto Loureiro, 2007, "Controlling vs. Minority Shareholders: is There Expropriation? An Empirical Analysis of the Stock Price Performance of European Companies," ifo DICE Report, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 5, issue 01, pages 16-21, May.
• Axel Bertuch-Samuels, 2007, "Financial Market Update," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 60, issue 03, pages 17-25, February.
• Dean Karlan & Xavier Giné, 2007, "Group Versus Individual Liability: A Field Experiment in the Philippines," Working Papers, Center for Global Development, number 111, Jan.
• Michel Aglietta & Pierre Maarek, 2007, "Developing the Bond Market in China: the Next Step Forward in Financial Reform," Economie Internationale, CEPII research center, issue 111, pages 29-53.
• Shachar Kariv & Douglas Gale, 2007, "Trading in Networks: A Normal Form Game Experiment," Levine's Bibliography, UCLA Department of Economics, number 843644000000000114, Jul.
• David Abad & Roberto Pascual, 2007, "Switching to a temporary call auction in times of high uncertainty," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 1.
• Karoll Gómez Portilla & Santiago Gallón Gómez, 2007, "Distribución condicional de los retornos de la tasa de cambio colombiana: un ejercicio empírico a partir de modelos GARCH multivariados," Revista de Economía del Rosario, Universidad del Rosario.
• Rydqvist, Kristian & Dai, Qinglei, 2007, "Investigation of the Costly-Arbitrage Model of Price Formation Around the Ex-Dividend Day," CEPR Discussion Papers, Centre for Economic Policy Research, number 6074, Feb.
• Miles, David & McCarthy, David, 2007, "Optimal Portfolio Allocation for Corporate Pension Funds," CEPR Discussion Papers, Centre for Economic Policy Research, number 6394, Jul.
• Sarno, Lucio & Thornton, Daniel L & Della Corte, Pasquale, 2007, "The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value," CEPR Discussion Papers, Centre for Economic Policy Research, number 6445, Sep.
• Zingales, Luigi & Sapienza, Paola & Toldra Simats, Anna, 2007, "Understanding Trust," CEPR Discussion Papers, Centre for Economic Policy Research, number 6462, Sep.
• Huberman, Gur, 2007, "Is the Price of Money Managers Too Low?," CEPR Discussion Papers, Centre for Economic Policy Research, number 6531, Oct.
• Huberman, Gur & Dorn, Daniel, 2007, "Preferred Risk Habitat of Individual Investors," CEPR Discussion Papers, Centre for Economic Policy Research, number 6532, Oct.
• Benoît SEVI, 2007, "Préférences par rapport au risque et marchés à terme : le cas d’une quantité incertaine," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2007025, Jun.
• Svetlozar T. Rachev & Chufang Wu & Frank J. Fabozzi, 2007, "Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange," Annals of Economics and Finance, Society for AEF, volume 8, issue 1, pages 21-31, May.
• Shirley J. Huang & Qianqiu Liu & Jun Yu, 2007, "Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts," Annals of Economics and Finance, Society for AEF, volume 8, issue 1, pages 33-56, May.
• Sarno, Lucio & Thornton, Daniel L. & Valente, Giorgio, 2007, "The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 42, issue 1, pages 81-100, March.
• Rengifo, Erick W. & Trifan, Emanuela, 2007, "Investors Facing Risk II: Loss Aversion and Wealth Allocation When Utility Is Derived From Consumption and Narrowly Framed Financial Investments," 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 28002, Feb.
• Rengifo, Erick W. & Trifan, Emanuela, 2007, "Investors Facing Risk: Loss Aversion and Wealth Allocation Between Risky and Risk-Free Assets," 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 28063, Feb.
• Röthig, Andreas & Chiarella, Carl, 2007, "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 29656.
• Rengifo, Erick W. & Trifan, Emanuela, 2007, "Investors Facing Risk: Loss Aversion and Wealth Allocation Between Risky and Risk-Free Assets," 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 77379, Feb.
• Rengifo, Erick W. & Trifan, Emanuela, 2008, "Investors Facing Risk II: Loss Aversion and Wealth Allocation When Utility Is Derived From Consumption and Narrowly Framed Financial Investments," 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 77387.
• Isabelle Huault & Hélène Rainelli-Le Montagner, 2007, "Innovations financières:construire et légitimer un nouveau marché financier de gré à gré–le cas des dérivés de crédit," Revue Finance Contrôle Stratégie, revues.org, volume 10, issue 1, pages 211-243, March.
• Hammad Siddiqi, 2007, "Stock Price Manipulation : The Role of Intermediaries," Finance Working Papers, East Asian Bureau of Economic Research, number 22280, Jan.
• Takeaki KARIYA & Darrell DUFFIE & Mariko FUJII & Masaaki KIJIMA & Takao KOBAYASHI & Atsuyuki KOGURE & Robert MERTON & Akihiko TAKAHASHI & Keiichi TANAKA & Satoshi YAMASHITA, 2007, "Report on “The Committee on Yen Risk-free-rate Model Estimationâ€Â," Finance Working Papers, East Asian Bureau of Economic Research, number 22315, Jan.
• Muhammad Arshad Khan & Abdul Qayyum, 2007, "Trade Liberalisation, Financial Development and Economic Growth," Trade Working Papers, East Asian Bureau of Economic Research, number 22204, Jan.
• Muhammad Arshad Khan & Muhammad Abdul Qayyum, 2007, "Trade, Financial and Growth Nexus in Pakistan," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, volume 6, pages 1-24, December.
• Cespa, Giovanni & Vives, Xavier, 2007, "Dynamic trading and asset prices: Keynes vs. Hayek," IESE Research Papers, IESE Business School, number D/716, Nov.
• Van Rixtel, Adrian & Garcí­a, Juan Angel, 2007, "Inflation-linked bonds from a Central Bank perspective," Occasional Paper Series, European Central Bank, number 62, Jun.
• Cour-Thimann, Philippine & Salleo, Carmelo & Perrard, Romain & Hendrikx, Maarten & Waschiczek, Walter & Antão, Paula & Rantala, Anssi & Nahmias, Laurent & Sauvé, Annie & Reininger, Thomas & Walko, Zol, 2007, "Corporate finance in the euro area - including background material," Occasional Paper Series, European Central Bank, number 63, Jun.
• Fratzscher, Marcel & Juvenal, Luciana & Sarno, Lucio, 2007, "Asset prices, exchange rates and the current account," Working Paper Series, European Central Bank, number 790, Aug.
• Gomes, Armando & Gorton, Gary & Madureira, Leonardo, 2007, "SEC Regulation Fair Disclosure, information, and the cost of capital," Journal of Corporate Finance, Elsevier, volume 13, issue 2-3, pages 300-334, June.
• Pesaran, M. Hashem & Pick, Andreas, 2007, "Econometric issues in the analysis of contagion," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 4, pages 1245-1277, April.
• 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, Centre for Economic Policy Research, number 5510, Feb.
• Foucault, Thierry & Menkveld, Albert J., 2006, "Competition for Order Flow and Smart Order Routing Systems," CEPR Discussion Papers, Centre for Economic Policy Research, number 5523, Mar.
• Reichlin, Pietro, 2006, "Relating Output and Volatility in a Model of International Risk-Sharing with Limited Commitment," CEPR Discussion Papers, Centre for Economic Policy Research, number 5557, Mar.
• Gehrig, Thomas & Foucault, Thierry, 2006, "Stock Price Informativeness, Cross-Listings and Investment Decisions," CEPR Discussion Papers, Centre for Economic Policy Research, number 5722, Jun.
• Guiso, Luigi & Zingales, Luigi & Sapienza, Paola, 2006, "The Cost of Banking Regulation," CEPR Discussion Papers, Centre for Economic Policy Research, number 5864, Oct.
• Motta, Massimo & , & Argentesi, Elena, 2006, "Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance," CEPR Discussion Papers, Centre for Economic Policy Research, number 5912, Nov.
• Ciccone, Antonio & Papaioannou, Elias, 2006, "Adjustment to Target Capital, Finance and Growth," CEPR Discussion Papers, Centre for Economic Policy Research, 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.
• Péter Csóka & Jean-Jacques Herings & László Kóczy, 2006, "Coherent Measures of Risk from a General Equilibrium Perspective," KRTK-KTI WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 0611, Aug, revised 30 Aug 2006.
• Lund, Lars, 2006, "Kortsigtede økonomiske virkninger for Nanortalik ved en kommunesammenlægning," Working Papers, Copenhagen Business School, Department of Economics, number 03-2006, Jan.
• Woodland, Alan D. & Raimondos-Møller, Pascalis, 2006, "Steepest Ascent Tariff Reforms," Working Papers, Copenhagen Business School, Department of Economics, number 04-2006, Jan.
• Kreickemeier, Udo & Raimondos-Møller, Pascalis, 2006, "Concertina Reforms with International Capital Mobility," Working Papers, Copenhagen Business School, Department of Economics, number 05-2006, Jan.
• Kreickemeier, Udo & Raimondos-Møller, Pascalis, 2006, "Tariff-Tax Reforms and Market Access," Working Papers, Copenhagen Business School, Department of Economics, number 06-2006, Jan.
• Malchow-Møller, Nikolaj & Roland Munch, Jakob & Schroll, Sanne & Rose Skaksen, Jan, 2006, "Attitudes Towards Immigration: Does Economic Self-Interest Matter?," Working Papers, Copenhagen Business School, Department of Economics, number 11-2006, Jan.
• Vinten, Frederik & Thomsen, Steen, 2006, "Delistings in Europe and the Cost of Governance," Working Papers, Copenhagen Business School, Department of Economics, number 12-2006, Jan.
• Filges, Trine & Kennes, John & Larsen, Birthe & Tranæs, Torben, 2006, "Social Preferences and Labor Market Policy," Working Papers, Copenhagen Business School, Department of Economics, number 13-2006, Jan.
• la Cour, Lisbeth Funding & Milhøj, Anders, 2006, "Temporal aggregation in first order cointegrated vector autoregressive," Working Papers, Copenhagen Business School, Department of Economics, number 14-2006, Jan.
• Nielsen, Søren Bo & Keuschnigg, Christian, 2006, "Public Policy for Start-up Entrepreneurship with Venture Capital and Bank Finance," Working Papers, Copenhagen Business School, Department of Economics, number 15-2006, Jan.
• Lidén, Erik R. & Rosenberg, Markus, 2006, "Ten Years of Misleading Information - Investment Advice in Printed Media," Working Papers in Economics, University of Gothenburg, Department of Economics, number 230, Nov.
• 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.