Research classified by Journal of Economic Literature (JEL) codes

2006

• Röthig, Andreas & Chiarella, Carl, 2006, "Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 36774, Mar.
• Röthig, Andreas & Chiarella, Carl, 2009, "Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 77372.
• Catherine Bruneau & Amine Lahiani, 2006, "Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2006-17.
• Mohd Zaini Abd KARIM & Chan Sok GEE, 2006, "Stock Market Integration Between Malaysia and its Major Trading Partners (1994-2002)," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 6, issue 3.
• Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse, 2006, "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence," Finance Working Papers, East Asian Bureau of Economic Research, number 22075, Jan.
• Abdul Qayyum & A. R. Kemal, 2006, "Volatility Spillover between the Stock Market and the Foreign Market in Pakistan," Finance Working Papers, East Asian Bureau of Economic Research, number 22216, Jan.
• Naim Sipra, 2006, "Mutual Fund Performance in Pakistan, 1995-2004," Finance Working Papers, East Asian Bureau of Economic Research, number 22281, Jan.
• Anthony S. Tay & Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Yiu Kuen Tse, 2006, "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence," Finance Working Papers, East Asian Bureau of Economic Research, number 22481, Jan.
• Franzoni, Francesco, 2006, "Where is beta going ? the riskiness of value and small stocks," HEC Research Papers Series, HEC Paris, number 829, Jan.
• Cassola, Nuno & Morana, Claudio, 2006, "Comovements in volatility in the euro money market," Working Paper Series, European Central Bank, number 703, Dec.
• Koppl, Thorsten V., 2006, "Risk sharing through financial markets with endogenous enforcement of trades," Journal of Economic Dynamics and Control, Elsevier, volume 30, issue 11, pages 1987-2014, November.
• Manski, Charles F., 2006, "Interpreting the predictions of prediction markets," Economics Letters, Elsevier, volume 91, issue 3, pages 425-429, June.
• Beltratti, A. & Morana, C., 2006, "Breaks and persistency: macroeconomic causes of stock market volatility," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 151-177.

2005

• Charles Himmelberg & Christopher Mayer & Todd Sinai, 2005, "Assessing High House Prices: Bubbles, Fundamentals and Misperceptions," Journal of Economic Perspectives, American Economic Association, volume 19, issue 4, pages 67-92, Fall.
• Zulauf, Carl R. & Zhou, Haijiang & Roberts, Matthew C., 2005, "Updating the Estimation of the Supply of Storage Model," 2005 Annual meeting, July 24-27, Providence, RI, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 19122, DOI: 10.22004/ag.econ.19122.
• Turgut Ozkan, 2005, "The Leverage Degrees of Companies Traded in Istanbul Stock Exchange," Anadolu University Journal of Social Sciences, Anadolu University, volume 5, issue 1, pages 237-256, June.
• Horst Hanusch & Andreas Pyka, 2005, "Principles of Neo-Schumpeterian Economics," Discussion Paper Series, Universitaet Augsburg, Institute for Economics, number 278, Sep.
• Paul De Grauwe & Marianna Grimaldi, 2005, "Bubbles and crashes in a Behavioural Finance Model," Working Papers de Economia (Economics Working Papers), Departamento de Economia, Gestão e Engenharia Industrial, Universidade de Aveiro, number 25, Aug.
• Alipi Alipiev, 2005, "Necessity and Prerequisites for the Debt Market Development in Bulgaria," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 101-107.
• Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2005, "Testing the forecasting performace of IBEX 35 option implied risk neutral densities," Working Papers, Banco de España, number 0504, Feb.
• Luis Fernando Melo Velandia & Oscar reinaldo Becerra Camargo, 2005, "Medidas de Riesgo, Características y Técnicas de Medición: Una Aplicación del VAR y el ES a la Tasa Interbancaria de Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 343, Jul, DOI: 10.32468/be.343.
• Luz Adriana Flórez & Carlos Esteban Posada & José Fernando Escobar, 2005, "Crédito y depósitos bancarios en Colombia (1990-2004): una relación de largo plazo," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 23, issue 48, pages 12-63, Junio, DOI: 10.32468/Espe.4801.
• Koresh Galil, 2005, "Ratings as Predictors of Default in the Long Term:an Empirical Investigation," Working Papers, Ben-Gurion University of the Negev, Department of Economics, number 0505.
• Ingo Fender & Janet Mitchell, 2005, "Structured finance: complexity, risk and the use of ratings," BIS Quarterly Review, Bank for International Settlements, June.
• Nikola Tarashev, 2005, "Structural models of default: lessons from firm-level data," BIS Quarterly Review, Bank for International Settlements, September.
• Eckhard Platen, 2005, "On The Role Of The Growth Optimal Portfolio In Finance," Australian Economic Papers, Wiley Blackwell, volume 44, issue 4, pages 365-388, December, DOI: 10.1111/j.1467-8454.2005.00271.x.
• Merton H. Miller, 2005, "Leverage," Journal of Applied Corporate Finance, Morgan Stanley, volume 17, issue 1, pages 106-111, January, DOI: 10.1111/j.1745-6622.2005.020_1.x.
• Randolph B. Cohen & Joshua D. Coval & Ľuboš Pástor, 2005, "Judging Fund Managers by the Company They Keep," Journal of Finance, American Finance Association, volume 60, issue 3, pages 1057-1096, June, DOI: 10.1111/j.1540-6261.2005.00756.x.
• René M. Stulz, 2005, "The Limits of Financial Globalization," Journal of Finance, American Finance Association, volume 60, issue 4, pages 1595-1638, August, DOI: 10.1111/j.1540-6261.2005.00775.x.
• Markus K. Brunnermeier & Lasse Heje Pedersen, 2005, "Predatory Trading," Journal of Finance, American Finance Association, volume 60, issue 4, pages 1825-1863, August, DOI: 10.1111/j.1540-6261.2005.00781.x.
• Matti Keloharju & Kjell G. Nyborg & Kristian Rydqvist, 2005, "Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions," Journal of Finance, American Finance Association, volume 60, issue 4, pages 1865-1902, August, DOI: 10.1111/j.1540-6261.2005.00782.x.
• Gael M. Martin & Catherine S. Forbes & Vance L. Martin, 2005, "Implicit Bayesian Inference Using Option Prices," Journal of Time Series Analysis, Wiley Blackwell, volume 26, issue 3, pages 437-462, May, DOI: 10.1111/j.1467-9892.2005.00410.x.
• Ming Dong & David Hirshleifer, 2005, "A Generalized Earnings‐Based Stock Valuation Model," Manchester School, University of Manchester, volume 73, issue s1, pages 1-31, September, DOI: 10.1111/j.1467-9957.2005.00459.x.
• Keith Blackburn & Niloy Bose & Salvatore Capasso, 2005, "Financial Development, Financing Choice and Economic Growth," Review of Development Economics, Wiley Blackwell, volume 9, issue 2, pages 135-149, May, DOI: 10.1111/j.1467-9361.2005.00268.x.
• Prasanna Gai & Nicholas Vause, 2005, "Measuring investors' risk appetite," Bank of England Staff Working Paper series, Bank of England, number 283, Nov.
• Thanasis N. Christodoulopoulos & Ioulia Grigoratou, 2005, "Measuring Liquidity in the Greek Government Securities Market," Working Papers, Bank of Greece, number 23, May.
• Diego Garcia & Francesco Sangiorgi & Branko Urosevic, 2005, "Overconfidence and Market Efficiency with Heterogeneous Agents," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 11.
• Piotr Wdowinski, 2005, "Financial Markets and Economic Growth in Poland: Simulations with an Econometric Model," CESifo Working Paper Series, CESifo, number 1557.
• Piotr Wdowinski & Aneta Zglinska-Pietrzak, 2005, "The Warsaw Stock Exchange Index WIG: Modelling and Forecasting," CESifo Working Paper Series, CESifo, number 1570.
• Arturo Galindo & Alejandro Micco, 2005, "Bank Credit to Small and Medium-Sized Enterprises: The Role of Creditor Protection," Working Papers Central Bank of Chile, Central Bank of Chile, number 347, Dec.
• Charles Ka Yui Leung, 2005, "Equilibrium Correlation of Asset Price and Return," Discussion Papers, Chinese University of Hong Kong, Department of Economics, number 00017, Nov.
• Charles Ka Yui Leung, 2005, "Equilibrium Correlation of Asset Price and Return," Departmental Working Papers, Chinese University of Hong Kong, Department of Economics, number _175, Nov.
• L. Deidda & Fattouh, 2005, "Banks, Financial Markets and Growth," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200511.
• Arturo Galindo & Alejandro Micco, 2005, "Bank Credit To Small And Medium Sized Enterprises: The Role Of Creditor Protection," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 2049, Sep.
• Nikita Ratanov, 2005, "Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts," Borradores de Investigación, Universidad del Rosario, number 3410, Apr.
• Luis Fernando Melo Velandia & Oscar Reinaldo Becerra Camargo, 2005, "Medidas De Riesgo, Caracteristicas Y T�Cnicas De Medici�N: Una Aplicaci�N Del Var Y El Es A La Tasa Interbancaria De Colombia," Borradores de Economia, Banco de la Republica, number 3198, Jun.
• David Quintana Montero & Pedro Isasi Vinuela., 2005, "Revisión de precios y reputación de asesores financieros: dos propuestas de índices para explicar el rendimiento a corto plazo de las salida," Estudios Gerenciales, Universidad Icesi.
• Nikita Ratanov, 2005, "Pricing Options under Telegraph Processes," Revista de Economía del Rosario, Universidad del Rosario.
• Luís Diego Vélez Gómez, 2005, "Un juicio sobre el valor presente neto como criterio de decisión," Ensayos de Economía, Universidad Nacional de Colombia Sede Medellín, number 9018, Nov.
• Carlos Caballero, 2005, "Las crisis financieras del último cuarto del siglo XX," Coyuntura Económica, Fedesarrollo.
• Joaquín Bernal, 2005, "Infraestructura del mercado financiero," Coyuntura Económica, Fedesarrollo.
• HAMADI, Malika & RENGIFO, Erick & SALZMAN, Diego, 2005, "Illusionary finance and trading behavior," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2005004, Jan.
• BELTRAN, Helena & GIOT, Pierre & GRAMMIG, Joachim, 2005, "Commonalities in the order book," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2005011, Feb.
• BELTRAN, Helena & DURRE, Alain & GIOT, Pierre, 2005, "Volatility regimes and the provision of liquidity in order book markets," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2005012, Feb.
• Eckbo, B Espen & Norli, Øyvind, 2005, "Liquidity Risk, Leverage and Long-Run IPO Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 4832, Jan.
• Lettau, Martin & Wachter, Jessica, 2005, "Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium," CEPR Discussion Papers, Centre for Economic Policy Research, number 4921, Feb.
• Lettau, Martin & Ludvigson, Sydney, 2005, "Euler Equation Errors," CEPR Discussion Papers, Centre for Economic Policy Research, number 4922, Feb.
• Lettau, Martin & Ludvigson, Sydney, 2005, "Euler Equation Errors," CEPR Discussion Papers, Centre for Economic Policy Research, number 5245, Sep.
• Fecht, Falko & Grüner, Hans Peter, 2005, "Financial Integration and Systemic Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 5253, Sep.
• Sarno, Lucio & Thornton, Daniel L & Valente, Giorgio, 2005, "The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields," CEPR Discussion Papers, Centre for Economic Policy Research, number 5259, Sep.
• Helena, BELTRAN & Pierre, GIOT & Joachim, GRAMMIG, 2005, "Commonalities in the order book," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2005014, Jan.
• Chin-Tsai Lin & Yi-Hsien Wang, 2005, "An Analysis of Political Changes on Nikkei 225 Stock Returns and Volatilities," Annals of Economics and Finance, Society for AEF, volume 6, issue 1, pages 169-183, May.
• Sadakazu Osaki, 2005, "Reforming Japan's Capital Markets," Finance Working Papers, East Asian Bureau of Economic Research, number 22314, Jan.
• Nobuyoshi Yamori & Nobuyoshi Yamori, 2005, "The Public Financial System in Japan - Re-verification of the ballooning theory and the privileged government enterprise theory," Finance Working Papers, East Asian Bureau of Economic Research, number 22319, Jan.
• Da Rin, Marco & Nicodano, Giovanna & Sembenelli, Alessandro, 2005, "Public policy and the creation of active venture capital markets," Working Paper Series, European Central Bank, number 430, Jan.
• Monnet, Cyril & Quintin, Erwan, 2005, "Why do financial systems differ? History matters," Working Paper Series, European Central Bank, number 442, Feb.
• Loh, Roger & Mian, G. Mujtaba, 2005, "Do Accurate Earnings Forecasts Facilitate Superior Investment Recommendations?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2004-17, Mar.
• Stulz, Rene M., 2005, "The Limits of Financial Globalization," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2005-1, Jan.
• Carey, Mark & Stulz, Rene M., 2005, "The Risks of Financial Institutions," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2005-13, Jun.
• Minton, Bernadette A. & Stulz, Rene M. & Williamson, Rohan, 2005, "How Much Do Banks Use Credit Derivatives to Reduce Risk?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2005-17, Jul.
• Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2005, "Indirect Robust Estimation of the Short-term Interest Rate Process," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2005-4, Feb.
• Eckbo, B. Espen & Norli, Oyvind, 2005, "Liquidity risk, leverage and long-run IPO returns," Journal of Corporate Finance, Elsevier, volume 11, issue 1-2, pages 1-35, March.
• Emilio Barucci & Carlo Bianchi & Angelica Passaponti, 2005, "Comportamenti imitativi tra gli analisti finanziari nel mercato finanziario italiano," Rivista di Politica Economica, SIPI Spa, volume 95, issue 3, pages 103-136, May-June.
• John Cotter & Jim Hanly, 2005, "Re-evaluating hedging performance," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1144, Jul.
• John Cotter, 2005, "Modelling catastrophic risk in international equity markets : an extreme value approach," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1196, Apr.
• John Cotter & Simon Stevenson, 2005, "Multivariate modeling of daily REIT volatility," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1197, Apr.
• 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 1, 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.
• 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.
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