Research classified by Journal of Economic Literature (JEL) codes

2005

• 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.
• Bakshi, Gurdip & Chen, Zhiwu & Hjalmarsson, Erik, 2005, "Volatility of the Stochastic Discount Factor, and the Distinction between Risk-Neutral and Objective Probability Measures," Working Papers in Economics, University of Gothenburg, Department of Economics, number 159, Feb.
• Silvennoinen, Annastiina & Teräsvirta, Timo, 2005, "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 577, Jan, revised 01 Oct 2005.
• Björk, Tomas & Hult, Henrik, 2005, "A Note on Wick Products and the Fractional Black-Scholes Model," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 596, Apr.
• Queijo, Virginia, 2005, "How Important are Financial Frictions in the U.S. and Euro Area?," Seminar Papers, Stockholm University, Institute for International Economic Studies, number 738, Aug.
• Jörnsten, Kurt & Ubøe, Jan, 2005, "Efficient Statistical Equilibria in Markets," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2005/2, May.
• Lindset, Snorre & Persson, Svein-Arne, 2005, "A Note on a Barrier Exchange Option: The World’s Simplest Option Formula?," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2005/5, Sep.
• Gjerde, Øystein & Knivsflå, Kjell Henry & Sættem, Frode, 2005, "The Value Relevance of Financial Reporting on the Oslo Stock Exchange over the Period 1964-2003," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2005/23, Dec.
• Glaser, Markus & Weber, Martin, 2005, "Which Past Returns Affect Trading Volume?," SIFR Research Report Series, Institute for Financial Research, number 35, Oct.
• Glaser, Markus & Weber, Martin, 2005, "Overconfidence and Trading Volume," SIFR Research Report Series, Institute for Financial Research, number 40, Dec.
• Ronald J. Balvers & Yangru Wu, 2005, "Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration," Working Papers, Hong Kong Institute for Monetary Research, number 022005, Feb.
• Zhijun Zhao & Yue Ma & Yuhui Liu, 2005, "Equity Valuation in Mainland China and Hong Kong: The Chinese A-H Share Premium," Working Papers, Hong Kong Institute for Monetary Research, number 142005, Aug.
• Alexander K. Koch & Zdravetz Lazarov, 2005, "Clustering of Trading Activity in the DAX Index Options Market," Royal Holloway, University of London: Discussion Papers in Economics, Department of Economics, Royal Holloway University of London, number 05/02, Mar, revised Mar 2005.
• Andrea Beltratti & Claudio Morana, 2005, "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers, ICER - International Centre for Economic Research, number 23-2005, Jul.
• Elisa Luciano & Wim Schoutens, 2005, "A Multivariate Jump-Driven Financial Asset Model," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 6-2005, Apr.
• Galindo, Arturo & Micco, Alejandro, 2005, "Bank Credit to Small and Medium-Sized Enterprises: The Role of Creditor Protection," IDB Publications (Working Papers), Inter-American Development Bank, number 1305, Dec, DOI: http://dx.doi.org/10.18235/0010766.
• Arturo Galindo & Alejandro Micco, 2005, "Bank Credit to Small and Medium-Sized Enterprises: The Role of Creditor Protection," Research Department Publications, Inter-American Development Bank, Research Department, number 4399, Dec.
• Jonas Vlachos & Daniel Waldenström, 2005, "International financial liberalization and industry growth," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 10, issue 3, pages 263-284, DOI: 10.1002/ijfe.272.
• Jesús Téllez Gaytán & Pablo López Sarabia, 2005, "A Comparative Analysis Of Volatility Models In Some Emerging Stock Exchanges," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 4, issue 2, pages 127-147, Junio 200.
• Juan Carlos Gómez Sala & Germán López Espinosa, 2005, "El Valor De Las Recomendaciones De Consenso De Los Analistas Financieros En El Mercado De Capitales Español," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2005-09, Apr.
• Martin Barner & Francesco Feri & Charles R. Plott, 2005, "On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market," Annals of Finance, Springer, volume 1, issue 1, pages 73-107, January, DOI: 10.1007/s10436-004-0005-4.
• Robert Fernholz & Ioannis Karatzas, 2005, "Relative arbitrage in volatility-stabilized markets," Annals of Finance, Springer, volume 1, issue 2, pages 149-177, November, DOI: 10.1007/s10436-004-0011-6.
• Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2005, "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 12, issue 1, pages 1-28, March, DOI: 10.1007/s10690-006-9010-0.
• Mirko Cardinale & Mike Orszag, 2005, "Severance Pay and Corporate Finance: Empirical Evidence from a Panel of Austrian and Italian Firms," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 32, issue 3, pages 309-343, September, DOI: 10.1007/s10663-005-4932-8.
• Luigi Guiso & Tullio Jappelli, 2005, "Awareness and Stock Market Participation," Review of Finance, Springer, volume 9, issue 4, pages 537-567, December, DOI: 10.1007/s10679-005-5000-8.
• Dorota Witkowska & Edyta Marcinkiewicz, 2005, "Construction and Evaluation of Trading Systems: Warsaw Index Futures," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 11, issue 1, pages 83-92, February, DOI: 10.1007/s11294-004-7496-7.
• M. J. Roche, 2005, "The equity premium puzzle and decreasing relative risk aversion," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1510205, Feb.
• Darren Butterworth & Phil Holmes, 2005, "The Hedging Effectiveness of U.K. Stock Index Futures Contracts Using an Extended Mean Gini Approach: Evidence for the FTSE 100 and FTSE Mid250 Contracts," Multinational Finance Journal, Multinational Finance Journal, volume 9, issue 3-4, pages 131-160, September.
• Lawrence Kryzanowski & Skander Lazrak & Ian Rakita, 2005, "The Behavior of Prices, Trades and Spreads for Canadian IPO’s," Multinational Finance Journal, Multinational Finance Journal, volume 9, issue 3-4, pages 215-236, September.
• Nobuyoshi Yamori & Narunto Nishigaki, 2005, "The Public Financial System in Japan - Re-verification of the ballooning theory and the privileged government enterprise theory -," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 1, issue 1, pages 33-48, March.
• Pascal Gourdel & Leila Triki, 2005, "Incomplete markets and monetary policy," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number b05024, Jan.
• Mohamed Ben Abdallah & Iuliana Matei, 2005, "Crise et contagion : cas des pays de l'Europe de l'Est," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number bla05044, May.
• Gunther Capelle-Blancard & J zabel Couppey-Soubeyran & Laurent Soulat, 2005, "The measurement of financial intermediation in Japan," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number bla05080, Jun, revised Nov 2005, DOI: 10.1016/j.japwor.206.08.005.
• Janet Mitchell, 2005, "Financial intermediation theory and implications for the sources of value in structured finance markets," Working Paper Document, National Bank of Belgium, number 71, Jul.
• Ingo Fender & Janet Mitchell, 2005, "Structured finance : complexity, risk and the use of ratings," Financial Stability Review, National Bank of Belgium, volume 3, issue 1, pages 127-135, June.
• Wayne E. Ferson & Andrew F. Siegel & Pisun (Tracy) Xu, 2005, "Mimicking Portfolios with Conditioning Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 11020, Jan.
• Rene M. Stulz, 2005, "The Limits of Financial Globalization," NBER Working Papers, National Bureau of Economic Research, Inc, number 11070, Jan.
• Peter Hecht & Tuomo Vuolteenaho, 2005, "Explaining Returns with Cash-Flow Proxies," NBER Working Papers, National Bureau of Economic Research, Inc, number 11169, Mar.
• Mark Carey & Rene M. Stulz, 2005, "The Risks of Financial Institutions," NBER Working Papers, National Bureau of Economic Research, Inc, number 11442, Jun.
• Sydney C. Ludvigson & Serena Ng, 2005, "The Empirical Risk-Return Relation: A Factor Analysis Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 11477, Jul.
• Bruce N. Lehmann, 2005, "Notes for a Contingent Claims Theory of Limit Order Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 11533, Aug.
• Bernadette A. Minton & René Stulz & Rohan Williamson, 2005, "How Much Do Banks Use Credit Derivatives to Reduce Risk?," NBER Working Papers, National Bureau of Economic Research, Inc, number 11579, Aug.
• Martin Lettau & Sydney C. Ludvigson, 2005, "Euler Equation Errors," NBER Working Papers, National Bureau of Economic Research, Inc, number 11606, Sep.
• Ricardo J. Caballero & Arvind Krishnamurthy, 2005, "Bubbles and Capital Flow Volatility: Causes and Risk Management," NBER Working Papers, National Bureau of Economic Research, Inc, number 11618, Sep.
• Charles Himmelberg & Christopher Mayer & Todd Sinai, 2005, "Assessing High House Prices: Bubbles, Fundamentals, and Misperceptions," NBER Working Papers, National Bureau of Economic Research, Inc, number 11643, Sep.
• Sydeny C. Ludvigson & Serena Ng, 2005, "Macro Factors in Bond Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 11703, Oct.
• Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005, "The Myth of Long-Horizon Predictability," NBER Working Papers, National Bureau of Economic Research, Inc, number 11841, Dec.
• Fernando Alexandre & Pedro Bação & Vasco J. Gabriel, 2005, "On the Stablity of the Wealth Effect," NIPE Working Papers, NIPE - Universidade do Minho, number 14/2005.
• Jurgen A. Doornik & Marius Ooms, 2005, "Outlier Detection in GARCH Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2005-W24, Sep.
• Clive G. Bowsher, 2005, "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2005-W26, Oct.
• Joaquim Oliveira Martins & Frédéric Gonand & Pablo Antolín & Christine de la Maisonneuve & Kwang-Yeol Yoo, 2005, "The Impact of Ageing on Demand, Factor Markets and Growth," OECD Economics Department Working Papers, OECD Publishing, number 420, Mar, DOI: 10.1787/545827207132.
• Luigi Guiso & Tullio Jappelli, 2005, "Awareness and Stock Market Participation," Review of Finance, European Finance Association, volume 9, issue 4, pages 537-567.
• Thierry Foucault & Ohad Kadan & Eugene Kandel, 2005, "Limit Order Book as a Market for Liquidity," The Review of Financial Studies, Society for Financial Studies, volume 18, issue 4, pages 1171-1217.
• Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005, "Practical Volatility and Correlation Modeling for Financial Market Risk Management," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 05-007, Jan.
• Carlos F. alves & Victor Mendes, 2005, "Institutional Investor Activism: Does the Portfolio Management Skill Matter?," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 184, Jul.
• Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2005, "Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE," MPRA Paper, University Library of Munich, Germany, number 13586, Jul, revised 10 Oct 2008.
• Bassler, Kevin E. & Gunaratne, Gemunu H. & McCauley, Joseph L., 2005, "Hurst exponents, Markov processes, and nonlinear diffusion equations," MPRA Paper, University Library of Munich, Germany, number 2152, Dec.
• Qayyum, Abdul & Mohsin, H, 2005, "The Integration of Financial Markets: Empirical Evidence from South Asian Countries," MPRA Paper, University Library of Munich, Germany, number 2364, revised 2005.
• Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje, 2005, "Liquidity and Asset Prices," MPRA Paper, University Library of Munich, Germany, number 24768.
• Espinosa Méndez, Christian, 2005, "Evidencia De Comportamiento Caótico En Indices Bursátiles Americanos
  [Evidence Of Chaotic Behavior In American Stock Markets]," MPRA Paper, University Library of Munich, Germany, number 2794, Oct, revised 30 Jun 2006.
• Cotter, John & Stevenson, Simon, 2005, "Multivariate Modeling of Daily REIT Volatility," MPRA Paper, University Library of Munich, Germany, number 3524.
• Yalincak, Orhun Hakan, 2005, "Criticism of the Black-Scholes Model: But Why Is It Still Used? (The Answer Is Simpler than the Formula)," MPRA Paper, University Library of Munich, Germany, number 63208.
• Magni, Carlo Alberto, 2005, "Economic profit, NPV, and CAPM: Biases and violations of Modigliani and Miller's Proposition I," MPRA Paper, University Library of Munich, Germany, number 7359, Dec, revised 27 Feb 2008.
• Jaroslava Durčáková & Martin Mandel & Vladimír Tomšík, 2005, "Dynamický model nekryté úrokové parity (teorie a empirická verifikace v tranzitivních ekonomikách)
  [Dynamic model of uncovered interest rate parity (theory and empirical verification in the transitive economies)]," Politická ekonomie, Prague University of Economics and Business, volume 2005, issue 3, pages 291-303, DOI: 10.18267/j.polek.506.
• Gisèle Chanel-Reynaud & Dominique Chabert, 2005, "L’infrastructure financière européenne, base d’un espace financier intégré," Revue d'Économie Financière, Programme National Persée, volume 79, issue 2, pages 289-308, DOI: 10.3406/ecofi.2005.3991.
• Patrick Bisciari & Alain Durré, 2005, "La bulle « Internet », un remake de la bulle de 1929 ?," Revue d'Économie Financière, Programme National Persée, volume 81, issue 4, pages 157-169, DOI: 10.3406/ecofi.2005.4017.
• J.P.A. Sagaram & J. Wickramanayake, 2005, "Financial centers in the Asia-pacific region: an empirical study on australia, Hong Kong, Japan and Singapore," BNL Quarterly Review, Banca Nazionale del Lavoro, volume 58, issue 232, pages 21-51.
• J.P.A. Sagaram & J. Wickramanayake, 2005, "Financial centers in the Asia-pacific region: an empirical study on australia, Hong Kong, Japan and Singapore," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, volume 58, issue 232, pages 21-51.
• Terenzio Cozzi, 2005, "Una rivisitazione delle teorie di Modigliani sulla finanza," Moneta e Credito, Economia civile, volume 58, issue 230-231, pages 233-254.
• John Board & Charles Sutcliffe, 2005, "Joined-Up Pensions Policy in the UK: An Asset-Libility Model for Simultaneously Determining the Asset Allocation and Contribution Rate," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2005-11, Sep.
• Carol Alexander & Andreza Barbosa, 2005, "Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2005-16, Dec.
• Cyril Monnet & Erwan Quintin, 2005, "Why do financial systems differ? History matters," 2005 Meeting Papers, Society for Economic Dynamics, number 275.
• Jessica Wachter & Martin Lettau, 2005, "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," 2005 Meeting Papers, Society for Economic Dynamics, number 302.
• Sydney C. Ludvigson & Martin Lettau, 2005, "Euler Equation Errors," 2005 Meeting Papers, Society for Economic Dynamics, number 487.
• Ramon P. DeGennaro, 2005, "Market imperfections," Journal of Financial Transformation, Capco Institute, volume 14, pages 107-117.
• Luke Bortoli & Alex Frino & Elvis Jarnecic, 2005, "The impact of automation on the cost of transacting in futures markets," Journal of Financial Transformation, Capco Institute, volume 14, pages 87-93.

2004

• 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(0x674ddbc0), 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(0x68039a08), 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.