Research classified by Journal of Economic Literature (JEL) codes

2006

• 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(0x5ccc9380), May.
• 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.
• 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.
• 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.
• 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(0x6757c920), 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.
• 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.
• Ramadorai, Tarun, 2006, "Persistence, Performance and Prices in Foreign Exchange Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 5861, Oct.
• 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 & Lütkepohl, Helmut & 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.