Research classified by Journal of Economic Literature (JEL) codes

2006

• 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(0x8a3fe730), 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.
• 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(0xa8700098), 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.
• 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.
• 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.
• Angelo Ranaldo, 2006, "Intraday Market Dynamics Around Public Information Arrivals," Working Papers, Swiss National Bank, number 2006-11.
• Stefan Frey & Joachim Grammig, 2006, "Liquidity supply and adverse selection in a pure limit order book market," Empirical Economics, Springer, volume 30, issue 4, pages 1007-1033, January, DOI: 10.1007/s00181-005-0009-6.
• Roman Liesenfeld & Ingmar Nolte & Winfried Pohlmeier, 2006, "Modelling financial transaction price movements: a dynamic integer count data model," Empirical Economics, Springer, volume 30, issue 4, pages 795-825, January, DOI: 10.1007/s00181-005-0001-1.
• Pierre Giot & Joachim Grammig, 2006, "How large is liquidity risk in an automated auction market?," Empirical Economics, Springer, volume 30, issue 4, pages 867-887, January, DOI: 10.1007/s00181-005-0003-z.
• Bruno Bouchard, 2006, "No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure," Finance and Stochastics, Springer, volume 10, issue 2, pages 276-297, April, DOI: 10.1007/s00780-006-0002-8.
• Bruno Bouchard, 2006, "No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure," Finance and Stochastics, Springer, volume 10, issue 2, pages 276-297, April, DOI: 10.1007/s00780-006-0002-8.
• Lothar Rogge, 2006, "Call Completeness Implies Completeness in the n-period Model of a Financial Market," Finance and Stochastics, Springer, volume 10, issue 2, pages 298-301, April, DOI: 10.1007/s00780-006-0007-3.
• David Heath & Hyejin Ku, 2006, "Consistency among trading desks," Finance and Stochastics, Springer, volume 10, issue 3, pages 331-340, September, DOI: 10.1007/s00780-006-0014-4.
• Paul Embrechts & Giovanni Puccetti, 2006, "Bounds for Functions of Dependent Risks," Finance and Stochastics, Springer, volume 10, issue 3, pages 341-352, September, DOI: 10.1007/s00780-006-0005-5.
• A. Cherny, 2006, "Weighted V@R and its Properties," Finance and Stochastics, Springer, volume 10, issue 3, pages 367-393, September, DOI: 10.1007/s00780-006-0009-1.
• Luciano Campi & Walter Schachermayer, 2006, "A super-replication theorem in Kabanov’s model of transaction costs," Finance and Stochastics, Springer, volume 10, issue 4, pages 579-596, December, DOI: 10.1007/s00780-006-0022-4.
• Alan Kirman, 2006, "Heterogeneity in Economics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 1, issue 1, pages 89-117, May, DOI: 10.1007/s11403-006-0005-8.
• Baosheng Yuan & Kan Chen, 2006, "Impact of investor’s varying risk aversion on the dynamics of asset price fluctuations," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 1, issue 2, pages 189-214, November, DOI: 10.1007/s11403-006-0011-x.
• Patricia M. Dechow & Weili Ge, 2006, "The persistence of earnings and cash flows and the role of special items: Implications for the accrual anomaly," Review of Accounting Studies, Springer, volume 11, issue 2, pages 253-296, September, DOI: 10.1007/s11142-006-9004-1.
• Eckhard Platen & David Heath, 2006, "A Benchmark Approach to Quantitative Finance," Springer Finance, Springer, number 978-3-540-47856-0, ISBN: ARRAY(0x9413ac98), March, DOI: 10.1007/978-3-540-47856-0.
• Paul Wachtel & Peter L. Rousseau, 2006, "What is happening to the impact of financial deepening on economic growth?," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 06-15.
• Claudio Morana & Andrea Beltratti, 2006, "Structural breaks and common factors in the volatility of the Fama-French factor portfolios," Applied Financial Economics, Taylor & Francis Journals, volume 16, issue 14, pages 1059-1073, DOI: 10.1080/09603100500426598.
• Kevin Fergusson & Eckhard Platen, 2006, "On the Distributional Characterization of Daily Log-Returns of a World Stock Index," Applied Mathematical Finance, Taylor & Francis Journals, volume 13, issue 1, pages 19-38, DOI: 10.1080/13504860500394052.
• Nuno Cassola & Claudio Morana, 2006, "Volatility of interest rates in the euro area: Evidence from high frequency data," The European Journal of Finance, Taylor & Francis Journals, volume 12, issue 6-7, pages 513-528, DOI: 10.1080/13518470500162758.
• Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters, 2006, "Random walks, liquidity molasses and critical response in financial markets," Quantitative Finance, Taylor & Francis Journals, volume 6, issue 2, pages 115-123, DOI: 10.1080/14697680500397623.
• David Heath & Eckhard Platen, 2006, "Local volatility function models under a benchmark approach," Quantitative Finance, Taylor & Francis Journals, volume 6, issue 3, pages 197-206, DOI: 10.1080/14697680600699787.
• Elisa Luciano & Wim Schoutens, 2006, "A multivariate jump-driven financial asset model," Quantitative Finance, Taylor & Francis Journals, volume 6, issue 5, pages 385-402, DOI: 10.1080/14697680600806275.
• Maurice J. Roche, 2006, "The equity premium puzzle and decreasing relative risk aversion," Applied Financial Economics Letters, Taylor & Francis Journals, volume 2, issue 3, pages 179-182, DOI: 10.1080/17446540500447611.
• Viviana Fernandez, 2006, "Extremal Dependence in European Capital Markets," Journal of Applied Economics, Taylor & Francis Journals, volume 9, issue 2, pages 275-293, November, DOI: 10.1080/15140326.2006.12040648.
• Arnoud W.A. Boot & Radhakrishnan Gopaian & Anjan V. Thakor, 2006, "Market Liquidity, Investor Participation and Managerial Autonomy: Why do Firms go Private?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-011/2, Jan.
• Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2006, "Is Ethical Money Financially Smart?," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-9.
• Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2006, "Is Ethical Money Financially Smart?," Discussion Paper, Tilburg University, Tilburg Law and Economic Center, number 2006-005.
• Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2006, "Is Ethical Money Financially Smart?," Other publications TiSEM, Tilburg University, School of Economics and Management, number 27ad9839-8974-408a-8094-8.
• Da Rin, M. & Nicodano, G. & Sembenelli, A., 2006, "Public policy and the creation of active venture capital markets," Other publications TiSEM, Tilburg University, School of Economics and Management, number 94370b9a-a6ac-444d-85a2-2.
• Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2006, "Is Ethical Money Financially Smart?," Other publications TiSEM, Tilburg University, School of Economics and Management, number e08f916d-d7d5-4a3d-8d05-7.
• Qiang Zhang, 2006, "The Spirit of Capitalism and Asset Pricing: an Empirical Investigation," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-428, Jun.
• Harald Hau, 2006, "The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse," Journal of the European Economic Association, MIT Press, volume 4, issue 4, pages 862-890, June.
• Roberto Casarin & Carmine Trecroci, 2006, "Business Cycle and Stock Market Volatility: A Particle Filter Approach," Working Papers, University of Brescia, Department of Economics, number ubs0603.
• Michael W. Brandt & Francis X. Diebold, 2006, "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," The Journal of Business, University of Chicago Press, volume 79, issue 1, pages 61-74, January, DOI: 10.1086/497405.
• Csóka, P. & Herings, P.J.J. & Kóczy, L.Á., 2006, "Coherent measures of risk from a general equilibrium perspective," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 016, Jan, DOI: 10.26481/umamet.2006016.
• Antonio Ciccone & Elias Papaioannou, 2006, "Adjustment to target capital, finance and growth," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 982, Nov.
• Andreas Röthig & Carl Chiarella, 2006, "Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 172, Feb.
• Nicola Bruti-Liberati & Eckhard Platen, 2006, "Approximation of Jump Diffusions in Finance and Economics," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 176, May.
• Nicola Bruti-Liberati & Eckhard Platen, 2006, "On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 179, Jul.
• Truc Le & Eckhard Platen, 2006, "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 180, Aug.
• Truc Le & Eckhard Platen, 2006, "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 184, Sep.
• Eckhard Platen, 2006, "On the Pricing and Hedging of Long Dated Zero Coupon Bonds," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 185, Sep.
• Lucy Amigo Dobaño, 2006, "Anomalías de los Mercados Financieros. Análisis de las Empresas Gallegas que cotizan en el Mercado de Renta Variable," Working Papers, Universidade de Vigo, Departamento de Economía Aplicada, number 0602, Mar.
• Menkveld, Albert J., 2006, "Splitting orders in overlapping markets: a study of cross-listed stocks," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0003.
• Menkveld, Albert J. & Cheung, Yiu C. & Jong, Frank de, 2006, "Euro-Area Sovereign Yield Dynamics: the role of order imbalance," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0006.
• Gine, Xavier & Karlan, Dean S., 2006, "Group versus individual liability : a field experiment in the Philippines," Policy Research Working Paper Series, The World Bank, number 4008, Sep.
• Luc Bauwens & Sébastien Laurent & 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, January, DOI: 10.1002/jae.842.
• John Cotter & Jim Hanly, 2006, "Reevaluating hedging performance," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 26, issue 7, pages 677-702, July.
• Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006, "Estimating liquidity using information on the multivariate trading process," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 10, May.
• Steven Cook, 2006, "Are Stock Prices And Economic Activity Cointegrated? Evidence From The Us, 1950–2005," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 01, pages 1-10, DOI: 10.1142/S2010495206500035.
• Wai Mun Fong & Wing-Keung Wong, 2006, "The Stochastic Component Of Realized Volatility," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 01, pages 1-34, DOI: 10.1142/S2010495206500047.
• Cheng-Few Lee (ed.), 2006, "Advances in Quantitative Analysis of Finance and Accounting," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6235, ISBN: ARRAY(0x6c7ede48).
• Pelikan, Pavel, 2006, "Markets vs. Government when Rationality is Unequally Bounded: Some Consequences of Cognitive Inequalities for Theory and Policy," Freiburg Discussion Papers on Constitutional Economics, Walter Eucken Institut e.V., number 06/5.
• Trauten, Andreas & Schulz, Roland C., 2006, "IPO investment strategies and pseudo market timing," Working Papers, University of Münster, Competence Center Internet Economy and Hybrid Systems, European Research Center for Information Systems (ERCIS), number 36.
• Kempf, Alexander & Mayston, Daniel, 2006, "Liquidity commonality beyond best prices," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 06-04.
• Kasch-Haroutounian, Maria & Theissen, Erik, 2006, "Competition between exchanges: Euronext versus Xetra," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 07-10.
• Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2006, "Multivariate normal mixture GARCH," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/09.
• Kasch-Haroutounian, Maria & Theissen, Erik, 2006, "Competition between exchanges: Euronext versus Xetra," CFS Working Paper Series, Center for Financial Studies (CFS), number 2007/19.
• Bien, Katarzyna & Nolte, Ingmar & Pohlmeier, Winfried, 2006, "Estimating liquidity using information on the multivariate trading process," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 06/04.
• Bien, Katarzyna & Nolte, Ingmar & Pohlmeier, Winfried, 2006, "A Multivariate Integer Count Hurdle model: Theory and application to exchange rate dynamics," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 06/06.
• Rengifo, Erick W. & Trifan, Emanuela, 2006, "Investors Facing Risk: Loss Aversion and Wealth Allocation Between Risky and Risk-Free Assets," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 180.
• Röthig, Andreas & Chiarella, Carl, 2006, "Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 167.
• Eisenschmidt, Jens & Wälde, Klaus, 2006, "International Trade, Hedging and the Demand for Forward Contracts," W.E.P. - Würzburg Economic Papers, University of Würzburg, Department of Economics, number 69.

2005

• Wolfgang Gerke & Ferdinand Mager & Alexander Röhrs, 2005, "Twenty Years of International Diversification from a German Perspective," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 57, issue 2, pages 86-102, April.
• Egon Zakrajsek & Andrew Levin & Roberto Perli, 2005, "The Determinants of Market Frictions in the Corporate Market," Computing in Economics and Finance 2005, Society for Computational Economics, number 379, Nov.
• Manuel Ammann, 2005, "Eigenschaften von Verwaltungsräten und Unternehmensperformance," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 141, issue I, pages 1-22, March.
• Lisa Borland & Jean-Philippe Bouchaud, 2005, "On a multi-timescale statistical feedback model for volatility fluctuations," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500059, Jul.
• Quentin Michard & Jean-Philippe Bouchaud, 2005, "Theory of collective opinion shifts: from smooth trends to abrupt swings," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500060, Apr.
• Lisa Borland & Jean-Philippe Bouchaud & Jean-Francois Muzy & Gilles Zumbach, 2005, "The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500061, Jan.
• Tomas Björk & Henrik Hult, 2005, "A note on Wick products and the fractional Black-Scholes model," Finance and Stochastics, Springer, volume 9, issue 2, pages 197-209, April, DOI: 10.1007/s00780-004-0144-5.
• Eric Smith & Martin Shubik, 2005, "Strategic freedom, constraint, and symmetry in one-period markets with cash and credit payment," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 25, issue 3, pages 513-551, April, DOI: 10.1007/s00199-003-0453-5.
• Giovanni Cespa, 2005, "Giffen goods and market making," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 25, issue 4, pages 983-997, June, DOI: 10.1007/s00199-003-0461-5.
• Luis Braido, 2005, "General equilibrium with endogenous securities and moral hazard," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 26, issue 1, pages 85-101, July, DOI: 10.1007/s00199-004-0492-6.
• Fernando Alexandre & Pedro Bação & Vasco J. Gabriel, 2005, "On the Stability of the Wealth Effect," School of Economics Discussion Papers, School of Economics, University of Surrey, number 1405, Jun.
• John Cotter, 2005, "Uncovering long memory in high frequency UK futures," The European Journal of Finance, Taylor & Francis Journals, volume 11, issue 4, pages 325-337, DOI: 10.1080/13518470410001674314.
• Niklas Wagner & Terry Marsh, 2005, "Surprise volume and heteroskedasticity in equity market returns," Quantitative Finance, Taylor & Francis Journals, volume 5, issue 2, pages 153-168, DOI: 10.1080/14697680500147978.