Research classified by Journal of Economic Literature (JEL) codes

2006

• Péter Csóka & Jean-Jacques Herings & László Kóczy, 2006, "Coherent Measures of Risk from a General Equilibrium Perspective," CERS-IE 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.
• 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(0xa1f4cd28), April, 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(0x613f4a90), September.
• 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

• 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.
• Roger Lord & Antoon Pelsser, 2005, "Level-Slope-Curvature - Fact or Artefact?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-083/2, Sep.
• Siem Jan Koopman & Marius Ooms & M. Angeles Carnero, 2005, "Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-091/4, Oct.
• Jurgen A. Doornik & Marius Ooms, 2005, "Outlier Detection in GARCH Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-092/4, Oct.
• Kathy Yuan, 2005, "The Liquidity Service Of Benchmark Securities," Journal of the European Economic Association, MIT Press, volume 3, issue 5, pages 1156-1180, September.
• Frode Brevik & Stefano d'Addona, 2005, "Information Quality and Stock Returns Revisited," University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen, number 2005-24, Dec.
• Eckhard Platen, 2005, "On the Role of the Growth Optimal Portfolio in Finance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 144, Jan.
• Kevin Fergusson & Eckhard Platen, 2005, "On the Distributional Characterization of Log-returns of a World Stock Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 153, Mar.
• David Heath & Eckhard Platen, 2005, "Currency Derivatives under a Minimal Market Model with Random Scaling," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 154, Mar.
• Hardy Hulley & Shane Miller & Eckhard Platen, 2005, "Benchmarking and Fair Pricing Applied to Two Market Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 155, Mar.
• Nicola Bruti-Liberati & Filippo Martini & Massimo Piccardi & Eckhard Platen, 2005, "A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 156, Apr.
• Nicola Bruti-Liberati & Eckhard Platen, 2005, "On the Strong Approximation of Jump-Diffusion Processes," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 157, Apr.
• Eckhard Platen, 2005, "Investments for the Short and Long Run," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 163, Aug.
• Nicola Bruti-Liberati & Eckhard Platen, 2005, "On the Strong Approximation of Pure Jump Processes," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 164, Jul.
• Martin Smid, 2005, "Conditional Distribution of the Limit Order Book Given the History of the Best Quote Process," Econometrics, University Library of Munich, Germany, number 0503015, Mar, revised 02 May 2005.
• Martin Smid, 2005, "Forecasting in Continuous Double Auction," Econometrics, University Library of Munich, Germany, number 0508002, Aug, revised 31 Dec 2005.
• Eric Hillebrand, 2005, "Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation," Finance, University Library of Munich, Germany, number 0501015, Jan.
• Cornelis A. Los, 2005, "Measurement of Financial Risk Persistence," Finance, University Library of Munich, Germany, number 0502013, Feb.
• Gourdel & Triki, 2005, "Monetary Policy with Incomplete Markets," Finance, University Library of Munich, Germany, number 0503026, Mar.
• Cumhur Ekinci, 2005, "Influence de la premiere heure de cotation," Finance, University Library of Munich, Germany, number 0506016, Jun.
• Fernando Rubio, 2005, "Caso Soros," Finance, University Library of Munich, Germany, number 0507013, Jul.
• Falko Fecht & Antoine Martin, 2005, "Banks, Markets, and Efficiency," Finance, University Library of Munich, Germany, number 0507017, Jul.
• Fernando Rubio, 2005, "Valuation Of Callable Bonds: The Salomon Brothers Aproach," Finance, University Library of Munich, Germany, number 0507019, Jul, revised 23 Jul 2005.
• Theodore Panagiotidis, 2005, "Market Efficiency and the Euro: The case of the Athens Stock Exchange," Finance, University Library of Munich, Germany, number 0507022, Jul.
• Richard Kum-yew Lai, 2005, "A Catering Theory of Analyst Bias," Finance, University Library of Munich, Germany, number 0509004, Sep.
• Sascha Mergner, 2005, "Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques," Finance, University Library of Munich, Germany, number 0509024, Sep.
• Joao Leitao & Cristovao Oliveira, 2005, "The Contagion Effect of the Terrorist Attacks of the 11th of September," Finance, University Library of Munich, Germany, number 0510006, Oct.
• Cumhur Ekinci, 2005, "Limit Order Book Reconstruction And Beyond: An Application To Istanbul Stock Exchange," Finance, University Library of Munich, Germany, number 0510025, Oct, revised 24 Oct 2005.
• Sascha Mergner & Jan Bulla, 2005, "Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques," Finance, University Library of Munich, Germany, number 0510029, Oct.
• Dimitris Kenourgios & Nikolaos Pavlidis, 2005, "Individual Analysts’ Earnings Forecasts: Evidence for Overreaction in the UK Stock Market," Finance, University Library of Munich, Germany, number 0512011, Dec.
• Tarun Sabarwal, 2005, "Common Structures of Asset-Backed Securities and Their Risks," Finance, University Library of Munich, Germany, number 0512012, Dec, revised 29 Dec 2005.
• Godwin Nwaobi, 2005, "Securities Markets And Social Capital Integration In Africa: Risks And Policy Options," Finance, University Library of Munich, Germany, number 0512019, Dec.
• Dimitris Kenourgios & Aristeidis Samitas & Spyros Papathanasiou, 2005, "The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange," Finance, University Library of Munich, Germany, number 0512028, Dec.
• Shiu-Sheng Chen, 2005, "Does Monetary Policy Have Asymmetric Effects on Stock Returns?," Macroeconomics, University Library of Munich, Germany, number 0502001, Feb, revised 01 Feb 2005.
• V.F. Martins-da-Rocha & L. Triki, 2005, "Equilibria in exchange economies with financial constraints: Beyond the Cass Trick," Microeconomics, University Library of Munich, Germany, number 0503013, Mar.
• Eckhard Platen, 2005, "An Alternative Interest Rate Term Structure Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 06, pages 717-735, DOI: 10.1142/S0219024905003244.
• David Heath & Eckhard Platen, 2005, "Currency Derivatives Under A Minimal Market Model With Random Scaling," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 08, pages 1157-1177, DOI: 10.1142/S0219024905003360.
• Arik Ben Dor & Ravi Jagannathan & Iwan Meier, 2005, "Understanding Mutual Fund And Hedge Fund Styles Using Return-Based Style Analysis," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: H Gifford Fong, "The World Of Hedge Funds Characteristics and Analysis".
• Richard D. MacMinn, 2005, "The Fisher Model with Certainty," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, "The Fisher Model And Financial Markets".
• Richard D. MacMinn, 2005, "The Fisher Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, "The Fisher Model And Financial Markets".
• Richard D. MacMinn, 2005, "Financial Values," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, "The Fisher Model And Financial Markets".
• Richard D. MacMinn, 2005, "Fisher Separation," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, "The Fisher Model And Financial Markets".
• Richard D. MacMinn, 2005, "More Values," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, "The Fisher Model And Financial Markets".
• Richard D. MacMinn, 2005, "Corporate Finance Theorems," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, "The Fisher Model And Financial Markets".
• Richard D. MacMinn, 2005, "Agency Problems," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, "The Fisher Model And Financial Markets".
• Richard D. MacMinn, 2005, "Information Problems: Hidden Knowledge," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, "The Fisher Model And Financial Markets".
• Richard D. MacMinn, 2005, "Corporate Risk Management," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, "The Fisher Model And Financial Markets".
• Richard D. MacMinn, 2005, "Concluding Remarks," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, "The Fisher Model And Financial Markets".
• Glaser, Markus & Weber, Martin, 2005, "Which Past Returns Affect Trading Volume?," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 05-33, Aug.
• William N. Goetzmann & Massimo Massa, 2005, "Dispersion of Opinion and Stock Returns," Yale School of Management Working Papers, Yale School of Management, number ysm444, Apr.
• William N. Goetzmann & Massimo Massa, 2005, "Disposition Matters: Volume, Volatility and Price Impact of Behavioral Bias," Yale School of Management Working Papers, Yale School of Management, number ysm447, Apr.
• Lucey, Brian M. & Voronkova, Svitlana, 2005, "Russian equity market linkages before and after the 1998 crisis: evidence from time-varying and stochastic cointegration tests," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 12/2005.
• Chen, An, 2005, "Loss Analysis of a Life Insurance Company Applying Discrete-time Risk-minimizing Hedging Strategies," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 19/2005.
• Mahayni, Antje & Suchanecki, Michael, 2005, "Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 8/2005.
• Fecht, Falko & Huang, Kevin & Martin, Antoine, 2005, "Financial intermediaries, markets and growth," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,03.
• Fecht, Falko & Martin, Antoine, 2005, "Banks, markets, and efficiency," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2005,04.
• Fecht, Falko & Grüner, Hans Peter, 2005, "Financial integration and systemic risk," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2005,11.
• Xu, Fang, 2005, "Does Consumption-Wealth Ratio Signal Stock Returns? VECM Results for Germany," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2005-02.
• Frey, Stefan & Grammig, Joachim, 2005, "Liquidity supply and adverse selection in a pure limit order book market," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 05-01.
• Beltran, Héléna & Grammig, Joachim & Menkveld, Albert J., 2005, "Understanding the limit order book: Conditioning on trade informativeness," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 05-05.
• Foucault, Thierry & Moinas, Sophie & Theissen, Erik, 2005, "Does anonymity matter in electronic limit order markets?," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 05-15.
• Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005, "Practical volatility and correlation modeling for financial market risk management," CFS Working Paper Series, Center for Financial Studies (CFS), number 2005/02.
• Kluß, Norbert & Bayer, Marcus & Cremers, Heinz, 2005, "Wertsicherungsstrategien für das Asset Management," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 62.
• Müller, Sebastian & Müller, Gerhard, 2005, "Sicherheits-orientiertes Portfoliomanagement," Wismar Discussion Papers, Hochschule Wismar, Wismar Business School, number 09/2005.
• Jörnsten, Kurt & Ubøe, Jan, 2005, "Efficient Statistical Equilibria in Markets," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2005/2, May.
• Lindset, Snorre & Persson, Svein-Arne, 2005, "A Note on a Barrier Exchange Option: The World’s Simplest Option Formula?," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2005/5, Sep.
• Gjerde, Øystein & Knivsflå, Kjell Henry & Sættem, Frode, 2005, "The Value Relevance of Financial Reporting on the Oslo Stock Exchange over the Period 1964-2003," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2005/23, Dec.
• Glaser, Markus & Weber, Martin, 2005, "Which Past Returns Affect Trading Volume?," SIFR Research Report Series, Institute for Financial Research, number 35, Oct.
• Glaser, Markus & Weber, Martin, 2005, "Overconfidence and Trading Volume," SIFR Research Report Series, Institute for Financial Research, number 40, Dec.
• Ronald J. Balvers & Yangru Wu, 2005, "Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration," Working Papers, Hong Kong Institute for Monetary Research, number 022005, Feb.
• Zhijun Zhao & Yue Ma & Yuhui Liu, 2005, "Equity Valuation in Mainland China and Hong Kong: The Chinese A-H Share Premium," Working Papers, Hong Kong Institute for Monetary Research, number 142005, Aug.
• Alexander K. Koch & Zdravetz Lazarov, 2005, "Clustering of Trading Activity in the DAX Index Options Market," Royal Holloway, University of London: Discussion Papers in Economics, Department of Economics, Royal Holloway University of London, number 05/02, Mar, revised Mar 2005.
• Andrea Beltratti & Claudio Morana, 2005, "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers, ICER - International Centre for Economic Research, number 23-2005, Jul.
• Elisa Luciano & Wim Schoutens, 2005, "A Multivariate Jump-Driven Financial Asset Model," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 6-2005, Apr.
• Galindo, Arturo & Micco, Alejandro, 2005, "Bank Credit to Small and Medium-Sized Enterprises: The Role of Creditor Protection," IDB Publications (Working Papers), Inter-American Development Bank, number 1305, Dec.
• Arturo Galindo & Alejandro Micco, 2005, "Bank Credit to Small and Medium-Sized Enterprises: The Role of Creditor Protection," Research Department Publications, Inter-American Development Bank, Research Department, number 4399, Dec.
• Jonas Vlachos & Daniel Waldenström, 2005, "International financial liberalization and industry growth," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 10, issue 3, pages 263-284, DOI: 10.1002/ijfe.272.
• Jesús Téllez Gaytán & Pablo López Sarabia, 2005, "A Comparative Analysis Of Volatility Models In Some Emerging Stock Exchanges," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 4, issue 2, pages 127-147, Junio 200.
• Juan Carlos Gómez Sala & Germán López Espinosa, 2005, "El Valor De Las Recomendaciones De Consenso De Los Analistas Financieros En El Mercado De Capitales Español," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2005-09, Apr.
• Martin Barner & Francesco Feri & Charles R. Plott, 2005, "On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market," Annals of Finance, Springer, volume 1, issue 1, pages 73-107, January, DOI: 10.1007/s10436-004-0005-4.
• Robert Fernholz & Ioannis Karatzas, 2005, "Relative arbitrage in volatility-stabilized markets," Annals of Finance, Springer, volume 1, issue 2, pages 149-177, November, DOI: 10.1007/s10436-004-0011-6.
• Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2005, "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 12, issue 1, pages 1-28, March, DOI: 10.1007/s10690-006-9010-0.
• Mirko Cardinale & Mike Orszag, 2005, "Severance Pay and Corporate Finance: Empirical Evidence from a Panel of Austrian and Italian Firms," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 32, issue 3, pages 309-343, September, DOI: 10.1007/s10663-005-4932-8.
• Luigi Guiso & Tullio Jappelli, 2005, "Awareness and Stock Market Participation," Review of Finance, Springer, volume 9, issue 4, pages 537-567, December, DOI: 10.1007/s10679-005-5000-8.
• Dorota Witkowska & Edyta Marcinkiewicz, 2005, "Construction and Evaluation of Trading Systems: Warsaw Index Futures," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 11, issue 1, pages 83-92, February, DOI: 10.1007/s11294-004-7496-7.
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• Darren Butterworth & Phil Holmes, 2005, "The Hedging Effectiveness of U.K. Stock Index Futures Contracts Using an Extended Mean Gini Approach: Evidence for the FTSE 100 and FTSE Mid250 Contracts," Multinational Finance Journal, Multinational Finance Journal, volume 9, issue 3-4, pages 131-160, September.
• Lawrence Kryzanowski & Skander Lazrak & Ian Rakita, 2005, "The Behavior of Prices, Trades and Spreads for Canadian IPO’s," Multinational Finance Journal, Multinational Finance Journal, volume 9, issue 3-4, pages 215-236, September.
• Nobuyoshi Yamori & Narunto Nishigaki, 2005, "The Public Financial System in Japan - Re-verification of the ballooning theory and the privileged government enterprise theory -," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 1, issue 1, pages 33-48, March.
• Pascal Gourdel & Leila Triki, 2005, "Incomplete markets and monetary policy," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number b05024, Jan.
• Mohamed Ben Abdallah & Iuliana Matei, 2005, "Crise et contagion : cas des pays de l'Europe de l'Est," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number bla05044, May.
• Gunther Capelle-Blancard & J zabel Couppey-Soubeyran & Laurent Soulat, 2005, "The measurement of financial intermediation in Japan," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number bla05080, Jun, revised Nov 2005, DOI: 10.1016/j.japwor.206.08.005.
• Janet Mitchell, 2005, "Financial intermediation theory and implications for the sources of value in structured finance markets," Working Paper Document, National Bank of Belgium, number 71, Jul.
• Ingo Fender & Janet Mitchell, 2005, "Structured finance : complexity, risk and the use of ratings," Financial Stability Review, National Bank of Belgium, volume 3, issue 1, pages 127-135, June.
• Wayne E. Ferson & Andrew F. Siegel & Pisun (Tracy) Xu, 2005, "Mimicking Portfolios with Conditioning Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 11020, Jan.
• Rene M. Stulz, 2005, "The Limits of Financial Globalization," NBER Working Papers, National Bureau of Economic Research, Inc, number 11070, Jan.
• Peter Hecht & Tuomo Vuolteenaho, 2005, "Explaining Returns with Cash-Flow Proxies," NBER Working Papers, National Bureau of Economic Research, Inc, number 11169, Mar.
• Mark Carey & Rene M. Stulz, 2005, "The Risks of Financial Institutions," NBER Working Papers, National Bureau of Economic Research, Inc, number 11442, Jun.
• Sydney C. Ludvigson & Serena Ng, 2005, "The Empirical Risk-Return Relation: A Factor Analysis Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 11477, Jul.