Research classified by Journal of Economic Literature (JEL) codes

2005

• 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, C.E.P.R. Discussion Papers, 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, C.E.P.R. Discussion Papers, number 4921, Feb.
• Lettau, Martin & Ludvigson, Sydney, 2005, "Euler Equation Errors," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4922, Feb.
• Lettau, Martin & Ludvigson, Sydney, 2005, "Euler Equation Errors," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5245, Sep.
• Fecht, Falko & Grüner, Hans Peter, 2005, "Financial Integration and Systemic Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers, 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, C.E.P.R. Discussion Papers, 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.
• Rousseau, Peter L. & Sylla, Richard, 2005, "Emerging financial markets and early US growth," Explorations in Economic History, Elsevier, volume 42, issue 1, pages 1-26, January.
• Goetzmann, William N. & Massa, Massimo, 2005, "Dispersion of opinion and stock returns," Journal of Financial Markets, Elsevier, volume 8, issue 3, pages 324-349, August.
• Vahamaa, Sami, 2005, "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Journal of Economics and Business, Elsevier, volume 57, issue 1, pages 23-38.
• Lettau, Martin & Ludvigson, Sydney C., 2005, "Expected returns and expected dividend growth," Journal of Financial Economics, Elsevier, volume 76, issue 3, pages 583-626, June.
• Acharya, Viral V. & Pedersen, Lasse Heje, 2005, "Asset pricing with liquidity risk," Journal of Financial Economics, Elsevier, volume 77, issue 2, pages 375-410, August.
• Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C.P., 2005, "An evaluation framework for alternative VaR-models," Journal of International Money and Finance, Elsevier, volume 24, issue 6, pages 944-958, October.
• Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2005, "'Some contagion, some interdependence': More pitfalls in tests of financial contagion," Journal of International Money and Finance, Elsevier, volume 24, issue 8, pages 1177-1199, December.
• Muermann, Alexander & Shore, Stephen H., 2005, "Spot market power and future market trading," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24644, Mar.
• Battalio, Robert & Ellul, Andrew & Jennings, Robert, 2005, "Reputation effects in trading on the New York Stock Exchange," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24659, Mar.
• Alonso, Francisco & Blanco, Roberto & Rubio Irigoyen, Gonzalo, 2005, "Testing the Forecasting Performance of Ibex 35 Option-implied Risk-neutral Densities," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X, Jan.
• Alonso, Francisco & Blanco, Roberto & Rubio Irigoyen, Gonzalo, 2005, "Option-Implied Preferences Adjustments and Risk-Neutral Density Forecasts," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X, Jun.
• Aktham I. Maghyereh & Sadeg J. Abul, 2005, "The performance of value-at-risk models in emerging markets: evidence from Kuwait stock exchange," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 8, issue 2, pages 194-209, Winter.
• de Jong, C.M., 2005, "The Nature of Power Spikes: a regime-switch approach," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2005-052-F&A, Oct.
• Urs von Arx, 2005, "Principle guided investing: The use of negative screens and its implications for green investors," CER-ETH Economics working paper series, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich, number 05/45, Nov.
• Olivier Scaillet, 2005, "A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp128, Jan.
• Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2005, "Indirect Robust Estimation of the Short-term interest Rate Process," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp135, Mar.
• Julien Hugonnier & Erwan Morellec & Suresh Sundaresan, 2005, "Growth Options in General Equilibrium: Some Asset Pricing Implications," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp138, Mar.
• Olivier Scaillet, 2005, "Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp145, May.
• Philippe HUBER & Olivier SCAILLET & Maria-Pia VICTORIA-FESER, 2005, "A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp159, Oct.
• Ramon P. DeGennaro, 2005, "Market imperfections," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2005-12.
• Lucio Sarno & Daniel L. Thornton & Giorgio Valente, 2005, "The empirical failure of the expectations hypothesis of the term structure of bond yields," Working Papers, Federal Reserve Bank of St. Louis, number 2003-021, DOI: 10.20955/wp.2003.021.
• Falko Fecht & Antoine Martin, 2005, "Banks, markets, and efficiency," Staff Reports, Federal Reserve Bank of New York, number 210.
• Charles P. Himmelberg & Christopher J. Mayer & Todd M. Sinai, 2005, "Assessing high house prices: bubbles, fundamentals, and misperceptions," Staff Reports, Federal Reserve Bank of New York, number 218.
• Loretta J. Mester & Leonard I. Nakamura, 2005, "Transactions accounts and loan monitoring," Working Papers, Federal Reserve Bank of Philadelphia, number 05-14.
• Fernando Alexandre & Pedro Bação & Vasco Gabriel, 2005, "On the Stability of the Wealth Effect," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2005-17.
• Pascal Gourdel & Leila Triki, 2005, "Incomplete markets and monetary policy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00193970, Jan.
• Mohamed Ben Abdallah & Iuliana Matei, 2005, "Crise et contagion : cas des pays de l'Europe de l'Est," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00194873, May.
• Gunther Capelle-Blancard & Jézabel Couppey-Soubeyran & Laurent Soulat, 2005, "The measurement of financial intermediation in Japan," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00197104, Nov.
• A. Durre & H. Beltran & P. Giot, 2005, "Volatility regimes and the provision of liquidity in order book markets," Post-Print, HAL, number hal-00268757, Sep.
• A. Durre & H. Beltran & P. Giot, 2005, "Volatility regimes and the provision of liquidity in order book markets," Post-Print, HAL, number hal-00268760, Jun.
• P. Bisciari & A. Durre, 2005, "La bulle "internet", un remake de la bulle de 1929 ?," Post-Print, HAL, number hal-00284708.
• Thierry Foucault & Ohad Kadan & Eugene Kandel, 2005, "Limit Order Book as a Market for Liquidity," Post-Print, HAL, number hal-00459785, DOI: 10.1093/rfs/hhi029.
• Thierry Foucault & Ohad Kadan & Eugene Kandel, 2005, "Limit Order Book as a Market for Liquidity," Post-Print, HAL, number halshs-00005043.
• Mohamed Ben Abdallah & Iuliana Matei, 2005, "Crise et contagion : cas des pays de l'Europe de l'Est," Post-Print, HAL, number halshs-00194873, May.
• Gunther Capelle-Blancard & Jézabel Couppey-Soubeyran & Laurent Soulat, 2005, "The measurement of financial intermediation in Japan," Post-Print, HAL, number halshs-00197104, Nov.
• Laurent Deville & Marion Soulerot & Samuel Sponem, 2005, "Les Réactions Du Marché À L'Annonce De Programmes De Reduction Des Couts : Une Étude Exploratoire Sur Les Entreprises Du Cac 40," Post-Print, HAL, number halshs-00581183, May.

2004

• Pesaran, M. Hashem & Timmermann, Allan, 2004, "How costly is it to ignore breaks when forecasting the direction of a time series?," International Journal of Forecasting, Elsevier, volume 20, issue 3, pages 411-425.
• Cunado Eizaguirre, Juncal & Biscarri, Javier Gomez & Hidalgo, Fernando Perez de Gracia, 2004, "Structural changes in volatility and stock market development: Evidence for Spain," Journal of Banking & Finance, Elsevier, volume 28, issue 7, pages 1745-1773, July.
• Carr, Peter & Wu, Liuren, 2004, "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, volume 71, issue 1, pages 113-141, January.
• Degeorge, Francois & Jenter, Dirk & Moel, Alberto & Tufano, Peter, 2004, "Selling company shares to reluctant employees: France Telecom's experience," Journal of Financial Economics, Elsevier, volume 71, issue 1, pages 169-202, January.
• Zurita, Felipe, 2004, "On the limits to speculation in centralized versus decentralized market regimes," Journal of Financial Intermediation, Elsevier, volume 13, issue 3, pages 378-408, July.
• Goodhart, Charles & Sunirand, Pojanart & Tsomocos, Dimitrios P., 2004, "A model to analyse financial fragility," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24703, Apr.
• Danielsson, Jon & Love, Ryan, 2004, "Feedback trading," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24760, Jul.
• Sabbatini, Michael & Linton, Oliver, 2004, "A GARCH model of the implied volatility of the Swiss Market Index from options prices," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24773, Sep.
• Patton, Andrew J., 2004, "Are "market neutral" hedge funds really market neutral?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24819, Oct.
• Vayanos, Dimitri & Wang, Tan, 2004, "Search and endogenous concentration of liquidity in asset markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 455, Aug.
• Parisi, Antonino & Parisi, Franco & Cornejo, Edinson, 2004, "Algoritmos genéticos y modelos multivariados recursivos en la predicción de índices bursátiles de América del Norte: IPC, TSE, NASDAQ y DJI," El Trimestre Económico, Fondo de Cultura Económica, volume 71, issue 284, pages 789-809, octubre-d.
• Morten Balling (ed.), 2004, "European Monetary and Financial Integration: Evolution and Prospects," SUERF Studies, SUERF - The European Money and Finance Forum, number 2004/2, ISBN: ARRAY(0xa84aa058), May.
• Hans Degryse & Mark Van Achter & Gunther Wuyts, 2004, "Dynamic order Submission Strategies with Competition between a Dealer Market and a Crossing Network," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number ces0415, Mar.
• Olivier SCAILLET, 2004, "Nonparametric Estimation of Conditional Expected Shortfall," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp112, May.
• Kpate ADJAOUTE & Jean-Pierre DANTHINE, 2004, "Equity Returns and Integration: Is Europe Changing?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp117, Oct.
• Matteo Manera & Massimo Giovannini & Margherita Grasso & Alessandro Lanza, 2004, "Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants," Working Papers, Fondazione Eni Enrico Mattei, number 2004.71, Apr.
• Matteo Manera & Alessandro Lanza & Michael McAleer, 2004, "Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns," Working Papers, Fondazione Eni Enrico Mattei, number 2004.72, Apr.
• Michael D. Bordo & Joseph G. Haubrich, 2004, "The yield curve, recessions, and the credibility of the monetary regime: long-run evidence, 1875-1997," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 0402, DOI: 10.26509/frbc-wp-200402.
• Cyril Monnet & Erwan Quintin, 2004, "Why do financial systems differ? History matters," Center for Latin America Working Papers, Federal Reserve Bank of Dallas, number 0304.
• Luigi Guiso & Paola Sapienza & Luigi Zingales, 2004, "The cost of banking regulation," Proceedings, Federal Reserve Bank of Chicago, number 937.
• Falko Fecht & Kevin X. D. Huang & Antoine Martin, 2004, "Financial intermediaries, markets, and growth," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 04-02.
• Paul Gao & Kevin X. D. Huang, 2004, "Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 04-07.
• Joshua V. Rosenberg & Til Schuermann, 2004, "A general approach to integrated risk management with skewed, fat-tailed risks," Staff Reports, Federal Reserve Bank of New York, number 185, May.
• Loretta J. Mester & Leonard I. Nakamura & Micheline Renault, 2004, "Transactions accounts and loan monitoring," Working Papers, Federal Reserve Bank of Philadelphia, number 04-20.
• Falko Fecht & Kevin X. D. Huang & Antoine Martin, 2004, "Financial intermediaries, markets, and growth," Working Papers, Federal Reserve Bank of Philadelphia, number 04-24.
• Benoit Perron & Oliver Linton, 2004, "The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model," FMG Discussion Papers, Financial Markets Group, number dp514, Sep.
• John Y. Campbell & Tarun Ramadorai & Tuomo O. Vuolteenaho, 2004, "Caught on Tape: Predicting Institutional Ownership With Order Flow," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2046.
• Thierry Chauveau & Sylvain Friederich & Jérôme Héricourt & Emmanuel Jurczenko & Catherine Lubochinsky & Bertrand Maillet & Christophe Moussu & Bogdan Négréa & Hélène Raymond Feingold, 2004, "La volatilité des marchés augmente-elle ?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00308982.
• Thierry Chauveau & Sylvain Friederich & Jérôme Héricourt & Emmanuel Jurczenko & Catherine Lubochinsky & Bertrand Maillet & Christophe Moussu & Bogdan Négréa & Hélène Raymond Feingold, 2004, "La volatilité des marchés augmente-elle ?," Post-Print, HAL, number hal-00308982.
• Thierry Foucault & Christine A. Parlour, 2004, "Competition for Listings," Post-Print, HAL, number hal-00481211, DOI: 10.2307/1593694.
• Bennedsen, Morten & Nielsen, Kasper, 2004, "The Family behind the Family Firm," Working Papers, Copenhagen Business School, Department of Economics, number 03-2004, Jan.
• Aase, Knut K., 2004, "Negative volatility and the Survival of Western Financial Markets," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2004/5, Mar.
• De Grauwe, Paul & Grimaldi, Marianna, 2004, "Bubbles and Crashes in a Behavioural Finance Model," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 164, May.
• Jeroen Rombouts & E.W. Rengifo, 2004, "Dynamic Optimal Portfolio Selection in a VaR Framework," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 04-05, Jul.
• Marco Da Rin & Giovanna Nicodano & Alessandro Sembenelli, 2004, "Public Policy and the Creation of Active Venture Capital Markets," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 270.
• Carlos Pulido, 2004, "El CRÉDITO BANCARIO COMO AR(1): EL CASO DE MÉXICO 1980-2003," 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 3, issue 2, pages 223-235, Junio 200.
• Belén Gill de Albornoz & Peter F. Pope, 2004, "The Determinants Of The Going Public Decision: Evidence From The U.K," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2004-22, Jun.
• Jan R. Magnus & Dmitry Danilov, 2004, "Forecast accuracy after pretesting with an application to the stock market," Journal of Forecasting, John Wiley & Sons, Ltd., volume 23, issue 4, pages 251-274, DOI: 10.1002/for.916.
• Eckhard Platen, 2004, "Diversified Portfolios with Jumps in a Benchmark Framework," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 11, issue 1, pages 1-22, March, DOI: 10.1007/s10690-005-4253-8.
• Shane Miller & Eckhard Platen, 2004, "A Two-Factor Model for Low Interest Rate Regimes," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 11, issue 1, pages 107-133, March, DOI: 10.1007/s10690-005-4251-x.
• Eckhard Platen & Jason West, 2004, "A Fair Pricing Approach to Weather Derivatives," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 11, issue 1, pages 23-53, March, DOI: 10.1007/s10690-005-4252-9.
• David Heath & Eckhard Platen, 2004, "Understanding the Implied Volatility Surface for Options on a Diversified Index," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 11, issue 1, pages 55-77, March, DOI: 10.1007/s10690-005-4249-4.
• Eckhard Platen & Wolfgang Runggaldier, 2004, "A Benchmark Approach to Filtering in Finance," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 11, issue 1, pages 79-105, March, DOI: 10.1007/s10690-005-4301-4.
• Janecskó, Balázs, 2004, "A Bázel II. belső minősítésen alapuló módszerének közgazdasági-matematikai háttere és a granularitási korrekció elmélete
  [The economic and mathematical background to the Basel II internal ratings-based method and the theory of granularity correcti," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 3, pages 218-234.
• Theodore Panagiotidis & David Chappell, 2004, "Using the Correlation Dimension to Detect non-linear dynamics," Discussion Paper Series, Department of Economics, Loughborough University, number 2004_17, Nov, revised Nov 2004.
• Kaïs Dachraoui & Georges Dionne, 2004, "Conditions Ensuring the Separability of Asset Demand for All Risk-Averse Investors," Cahiers de recherche, CIRPEE, number 0411.
• Georges Dionne & Thouraya Triki, 2004, "On Risk Management Determinants: What Really Matters?," Cahiers de recherche, CIRPEE, number 0417.
• Jan Bartholdy & Kate Brown, 2004, "Testing for Multiple Types of Marginal Investor in Ex-Day Pricing," Multinational Finance Journal, Multinational Finance Journal, volume 8, issue 3-4, pages 173-209, september.
• Salvatore Capasso, 2004, "Stock market development and economic growth: a matter of informational problems," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 10, Sep.
• Marco Rummer & Andreas Oehler & Peter N. Smith, 2004, "IPO Pricing and the Relative Importance of Investor Sentiment: Evidence from Germany," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 62, Sep.
• Hashem Pesaran & Andreas Pick, 2004, "Econometric Issues in the Analysis of Contagion," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 67, Sep.
• Marianna Valentinyi-Endrész, 2004, "Structural breaks and financial risk management," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2004/11.
• Abdelkrim Seghir & Leila Triki & Stella Kanellopoulou, 2004, "On the survival and irreducibility assumptions for financial markets with nominal assets," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number b04008, Jan.
• Mohamed Ben Abdallah & Kalidou Diallo, 2004, "Incidence des crises financières : une analyse empirique à partir des pays émergents," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number bla04071, Apr.
• Claudio Borio & William Curt Hunter & George G. Kaufman & Kostas Tsatsaronis (ed.), 2004, "Market Discipline Across Countries and Industries," MIT Press Books, The MIT Press, number 0262025752, edition 1, ISBN: ARRAY(0x8a5e6c88), December.
• Mario J. Miranda & Paul L. Fackler, 2004, "Applied Computational Economics and Finance," MIT Press Books, The MIT Press, number 0262633094, edition 1, ISBN: ARRAY(0x8a787318), December.
• Helena Beltran & Alain Durré & Pierre Giot, 2004, "How does liquidity react to stress periods in a limit order market?," Working Paper Research, National Bank of Belgium, number 49, May.
• Raymond Fisman & Inessa Love, 2004, "Financial Development and Growth in the Short and Long Run," NBER Working Papers, National Bureau of Economic Research, Inc, number 10236, Jan.
• Charles F. Manski, 2004, "Interpreting the Predictions of Prediction Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 10359, Mar.
• Armando Gomes & Gary Gorton & Leonardo Madureira, 2004, "SEC Regulation Fair Disclosure, Information, and the Cost of Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 10567, Jun.
• Iris Claus & Veronica Jacobsen & Brock Jera, 2004, "Financial Systems and Economic Growth: An Evaluation Framework for Policy," Treasury Working Paper Series, New Zealand Treasury, number 04/17, Sep.
• John W. Galbraith, 2004, "Circuit Breakers and the Tail Index of Equity Returns," Journal of Financial Econometrics, Oxford University Press, volume 2, issue 1, pages 109-129.
• Markus Haas, 2004, "Mixed Normal Conditional Heteroskedasticity," Journal of Financial Econometrics, Oxford University Press, volume 2, issue 2, pages 211-250.
• Burton Hollifield & Robert A. Miller & Patrik Sandås, 2004, "Empirical Analysis of Limit Order Markets," The Review of Economic Studies, Review of Economic Studies Ltd, volume 71, issue 4, pages 1027-1063.
• Ilan Kremer, 2004, "Underpricing and Market Power in Uniform Price Auctions," The Review of Financial Studies, Society for Financial Studies, volume 17, issue 3, pages 849-877.
• Jorge A. Chan-Lau & Donald J. Mathieson & James Y. Yao, 2004, "Extreme Contagion in Equity Markets," IMF Staff Papers, Palgrave Macmillan, volume 51, issue 2, pages 1-8.
• Jorge Caiado, 2004, "Modelling And Forecasting The Volatility Of The Portuguese Stock Index Psi-20," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, volume 9, issue 1, pages 3-21.
• Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon, 2004, "Information flow between volatilities across time scales," MPRA Paper, University Library of Munich, Germany, number 10355, Oct.
• Caiado, Jorge, 2004, "Modelling and forecasting the volatility of the portuguese stock index PSI-20," MPRA Paper, University Library of Munich, Germany, number 2077.
• Ji, Tingting, 2004, "Essays on consumer portfolio choice and credit risk," MPRA Paper, University Library of Munich, Germany, number 3161, Oct.
• Cotter, John, 2004, "Varying the VaR for Unconditional and Conditional Environments," MPRA Paper, University Library of Munich, Germany, number 3483.
• Cotter, John, 2004, "Uncovering Long Memory in High Frequency UK Futures," MPRA Paper, University Library of Munich, Germany, number 3525.
• Cotter, John, 2004, "Minimum Capital Requirement Calculations for UK Futures," MPRA Paper, University Library of Munich, Germany, number 3527.
• Cotter, John & Longin, Francois, 2004, "Margin setting with high-frequency data," MPRA Paper, University Library of Munich, Germany, number 3528, revised 2006.
• Cotter, John, 2004, "Modelling extreme financial returns of global equity markets," MPRA Paper, University Library of Munich, Germany, number 3532.
• Cotter, John & Stevenson, Simon, 2004, "Uncovering Volatility Dynamics in Daily REIT Returns," MPRA Paper, University Library of Munich, Germany, number 3533, revised 2005.
• Thierry Chauveau & Sylvain Friederich & Jérôme Héricourt & Emmanuel Jurczenko & Catherine Lubochinsky & Bertrand Maillet & Christophe Moussu & Bogdan Négréa & Hélène Raymond-Feingold, 2004, "La volatilité des marchés augmente-t-elle ?," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 17-44, DOI: 10.3406/ecofi.2004.5030.
• Thorsten V. Koeppl, 2004, "Risk Sharing Through Financial Markets With Endogenous Enforcement Of Trades," Working Paper, Economics Department, Queen's University, number 1048, Dec.
• Loukia Meligkotsidou & Elias Tzavalis & Ioannis D. Vrontos, 2004, "A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 514, Jul.
• Carol Alexander & Anca Dimitriu, 2004, "The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-01, Jan.
• Chris Brooks & Konstantina Kappou & Charles Ward, 2004, "Gambling on the S&P 500's Gold Seal: New Evidence on the Index Effect," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-04, Mar.
• Falko Fecht & Kevin Huang, 2004, "Financial Intermediation, markets, and growth," 2004 Meeting Papers, Society for Economic Dynamics, number 464.
• Daniele Coen-Pirani, 2004, "Shareholders Unanimity With Incomplete Markets," 2004 Meeting Papers, Society for Economic Dynamics, number 479.
• Georges Dionne & Thouraya Triki, 2004, "On risk management determinants: What really matters?," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 04-4, Jun.
• Rajeev K. Goel & Iftekhar Hasan & Rati Ram, 2004, "Effect of General Uncertainty on Venture-Capital Investments: A Cross-Country Study," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 57, issue 3, pages 305-313.
• William F. Sharpe, 2004, "Interview with Nobel Prize Laureate William F. Sharpe," Nobel Prize in Economics documents, Nobel Prize Committee, number 1990-7, Sep.
• Thierry Foucault & Christine A. Parlour, 2004, "Competition for Listings," RAND Journal of Economics, The RAND Corporation, volume 35, issue 2, pages 329-355, Summer.
• Giovanni Cespa, 2004, "A Comparison of Stock Market Mechanisms," RAND Journal of Economics, The RAND Corporation, volume 35, issue 4, pages 803-824, Winter.
• John Cotter, 2004, "Varying the VaR for unconditional and conditional environments," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1138.
• John Cotter, 2004, "Uncovering long memory in high frequency UK futures," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1142.
• John Cotter, 2004, "Minimum capital requirement calculations for UK futures," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1158.
• John Cotter, 2004, "Modelling financial crises of global equity markets," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1181.
• John Cotter & Simon Stevenson, 2004, "Uncovering volatility dynamics in daily REIT returns," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1239.
• Jules SADEFO KAMDEM, 2004, "Value-at-Risk and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distribution Risk Factors," Computing in Economics and Finance 2004, Society for Computational Economics, number 12, Aug.
• D. Widijanto & S. Nagornii, 2004, "Portfolio & Risk Management: Asset Allocation and Risk Budgeting Optimization," Computing in Economics and Finance 2004, Society for Computational Economics, number 160, Aug.
• Jan Wenzelburger & Xihao Li, 2004, "Price Formation and Asset Allocations of the Electronic Trading System Xetra," Computing in Economics and Finance 2004, Society for Computational Economics, number 198, Aug.
• Szilard Pafka & Marc Potters & Imre Kondor, 2004, "Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500050, Feb.
• Olivier Guedj & Jean-Philippe Bouchaud, 2004, "Experts' earning forecasts: bias, herding and gossamer information," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500062, Oct.
• Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters, 2004, "Random walks, liquidity molasses and critical response in financial markets," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500063, Jun.
• Belal Baaquie & Jean-Philippe Bouchaud, 2004, ""Stiff" Field Theory of Interest Rates and Psychological Future Time," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500064, Mar.
• Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse, 2004, "Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore," Working Papers, Singapore Management University, School of Economics, number 02-2005, Jul, revised Jan 2005.
• Angelos Kanas, 2004, "Lead-lag effects in the mean and variance of returns of size-sorted UK equity portfolios," Empirical Economics, Springer, volume 29, issue 3, pages 575-592, September, DOI: 10.1007/s00181-004-0199-3.
• Andreas Richter, 2004, "Moderne Finanzinstrumente im Rahmen des Katastrophen-Risk-Managements — Basisrisiko versus Ausfallrisiko," Schmalenbach Journal of Business Research, Springer, volume 56, issue 2, pages 99-121, March, DOI: 10.1007/BF03372731.
• Philippe Bacchetta & Eric van Wincoop, 2004, "A Scapegoat Model of Exchange Rate Fluctuations," Working Papers, Swiss National Bank, Study Center Gerzensee, number 04.01, Jan.
• Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2004, "Multiple time scales in volatility and leverage correlations: a stochastic volatility model," Applied Mathematical Finance, Taylor & Francis Journals, volume 11, issue 1, pages 27-50, DOI: 10.1080/1350486042000196155.
• Patricia Fraser & Foort Hamelink & Martin Hoesli & Bryan Macgregor, 2004, "Time-varying betas and the cross-sectional return-risk relation: evidence from the UK," The European Journal of Finance, Taylor & Francis Journals, volume 10, issue 4, pages 255-276, DOI: 10.1080/13518470110053407.
• P. Hartmann & S. Straetmans & C. G. de Vries, 2004, "Asset Market Linkages in Crisis Periods," The Review of Economics and Statistics, MIT Press, volume 86, issue 1, pages 313-326, February.
• Foucault, Thierry & Moinas, Sophie & Theissen, Erik, 2004, "Does Anonymity Matter in Electronic Limit Order Markets?," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich, number 3, May.
• Sánchez, Julián, 2004, "The Basic Dynamics of the Stock of Money and Capital," Working Papers in Economic Theory, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History), number 2004/01, Dec.
• John Cotter, 2011, "Uncovering Long Memory in High Frequency UK Futures," Working Papers, Geary Institute, University College Dublin, number 200414, 05.
• John Cotter, 2011, "Minimum Capital Requirement Calculations for UK Futures," Working Papers, Geary Institute, University College Dublin, number 200418, 07.
• Sergiu Hart & Yair Tauman, 2004, "Market Crashes without External Shocks," The Journal of Business, University of Chicago Press, volume 77, issue 1, pages 1-8, January, DOI: 10.1086/379859.
• Luc Bauwens & David Veredas, 2004, "The stochastic conditional duration model: a latent factor model for the analysis of financial durations," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/136234.
• Joao Amaro de Matos & Marcelo Fernandes, 2004, "Testing the Markov property with ultra-high frequency financial data," Nova SBE Working Paper Series, Universidade Nova de Lisboa, Nova School of Business and Economics, number wp462.
• Nam, Jouahn & Wang, Jun & Zhang, Ge, 2004, "Strategic trading against retail investors with disposition effects," Working Papers, University of New Orleans, Department of Economics and Finance, number 2004-11.
• Diego Garcia & Francesco Sangiorgi & Branko Urosevic, 2004, "Overconfidence and market efficiency with heterogeneous agents," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 786, Oct.
• Andrea Beltratti & Claudio Morana, 2004, "Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility," Working Papers, SEMEQ Department - Faculty of Economics - University of Eastern Piedmont, number 20, May.
• Patrick Coggi & Bogdan Manescu, 2004, "A multifactor model of stock returns with endogenous regime switching," University of St. Gallen Department of Economics working paper series 2004, Department of Economics, University of St. Gallen, number 2004-01, Jan.
• David Heath & Eckhard Platen, 2004, "Local Volatility Function Models under a Benchmark Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 124, Apr.
• Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2004, "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 125, May.
• David Heath & Eckhard Platen, 2004, "Understanding the Implied Volatility Surface for Options on a Diversified Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 128, Jun.
• Eckhard Platen, 2004, "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 129, Jun.
• Shane Miller & Eckhard Platen, 2004, "Two-Factor Model for Low Interest Rate Regimes," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 130, Aug.
• Eckhard Platen, 2004, "A Benchmark Approach to Finance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 138, Oct.
• Eckhard Platen & Jason West & Wolfgang Breymann, 2004, "An Intraday Empirical Analysis of Electricity Price Behaviour," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 140, Nov.