Research classified by Journal of Economic Literature (JEL) codes

2004

• Weber, Martin & Norden, Lars, 2004, "The Comovement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4674, Oct.
• Acharya, Viral & Pedersen, Lasse Heje, 2004, "Asset Pricing with Liquidity Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4718, Oct.
• Thesmar, David, 2004, "Financial Market Development and the Rise in Firm Level Uncertainty," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4761, Nov.
• Dunne, Peter G & Hau, Harald & Moore, Michael, 2004, "Macroeconomic Order Flows: Explaining Equity and Exchange Rate Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4806, Dec.
• Massa, Massimo & Gaspar, José-Miguel, 2004, "Idiosyncratic Volatility and Product Market Competition," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4812, Dec.
• Goetzmann, William & Massa, Massimo, 2004, "Disposition Matters: Volume, Volatility and Price Impact of Behavioural Bias," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4814, Dec.
• Goetzmann, William & Massa, Massimo, 2004, "Dispersion of Opinion and Stock Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4819, Dec.
• Malika, HAMADI & Erick, RENGIFO & Diego SALZMAN, 2004, "Illusionary Finance and Trading Behavior," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2005012, Sep, revised 15 Jan 2005.
• Helena, BELTRAN & Alain, DURRE & Pierre, GIOT, 2004, "Volatility regimes and the provisions of liquidity in order book markets," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2005015, Dec.
• Cebrián, Ana C. & Denuit, Michel & Scaillet, Olivier, 2004, "Testing for Concordance Ordering," ASTIN Bulletin, Cambridge University Press, volume 34, issue 1, pages 151-173, May.
• Robert J. Shiller, 2004, "Radical Financial Innovation," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1461, Apr.
• Floros, C., 2004, "Stock Returns and Inflation in Greece," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 4, issue 2.
• Maghyereh, A., 2004, "Oil Price Shocks and Emerging Stock Markets: A Generalized VAR Approach," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 1, issue 2, pages 27-40.
• González, Fernando & Haas, François & Johannes, Ronald & Persson, Mattias & Toledo, Liliana & Violi, Roberto & Wieland, Martin & Zins, Carmen, 2004, "Market dynamics associated with credit ratings: a literature review," Occasional Paper Series, European Central Bank, number 16, Jun.
• Vähämaa, Sami, 2004, "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Working Paper Series, European Central Bank, number 315, Mar.
• Koeppl, Thorsten Volker, 2004, "Risk sharing through financial markets with endogenous enforcement of trades," Working Paper Series, European Central Bank, number 319, Mar.
• Holthausen, Cornelia & Tapking, Jens, 2004, "Raising rival's costs in the securities settlement industry," Working Paper Series, European Central Bank, number 376, Jul.
• Menkveld, Albert J. & Cheung, Yiu Chung & de Jong, Frank, 2004, "Euro area sovereign yield dynamics: the role of order imbalance," Working Paper Series, European Central Bank, number 385, Aug.
• Stephen E. Satchell & Shaun A. Bond, 2004, "Asymmetry, Loss Aversion and Forecasting," Econometric Society 2004 Australasian Meetings, Econometric Society, number 160, Aug.
• Ilias Tsiakas, 2004, "Analysis of the predictive ability of information accumulated over nights, weekends and holidays," Econometric Society 2004 Australasian Meetings, Econometric Society, number 208, Aug.
• George Milunovich, 2004, "Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model," Econometric Society 2004 Australasian Meetings, Econometric Society, number 55, Aug.
• Benjamin Miranda Tabak & Sandro Canesso de Andrade & Eui Jung Chang, 2004, "Tracking Brazilian Exchange Rate Volatility," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 487, Aug.
• Joon Chae & Albert Wang, 2004, "Who makes market," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 605, Aug.
• Sun jian-ming, 2004, "Estimating Prices Transition Rate with Ultra-High-Frequency Data," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 673, Aug.
• Erick Rengifo & Andresas Heinen, 2004, "Comovements in Trading activity: A Multivariate Autoregressive Model of Time Series Count Data Using Copulas," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 755, Aug.
• Alok Kumar, 2004, "Time Series Behaviour of Stock Trading Volume:An Evidence from Indian Stock Market," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 783, Aug.
• Christophe Prechac & Aditya Goenka, 2004, "Are Sunspots Inevitable?," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 786, Aug.
• João Amaro de Matos, 2004, "Information Flow, Social Interactions and the Fluctuations of Prices in Financial Markets," Econometric Society 2004 Latin American Meetings, Econometric Society, number 114, Aug.
• Viviana Fernandez, 2004, "Extremal Dependence In Exchange Rate Markets," Econometric Society 2004 Latin American Meetings, Econometric Society, number 13, Aug.
• Ivana Komunjer, 2004, "Asymmetric Power Distribution: Theory and Applications to Risk Measurement," Econometric Society 2004 Latin American Meetings, Econometric Society, number 44, Aug.
• Michael Bordo & Joseph Haubrich, 2004, "The Yield Curve, Recession and the Credibility of the Monetary Regime: long run evidence 1875-1997," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 165, Aug.
• Albert Wang & Joon Chae, 2004, "Who makes markets? The Role of Dealers and Liquidity Provision," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 364, Aug.
• Falko Fecht & Kevin Huang, 2004, "Financial intermediaries, markets, and growth," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 419, Aug.
• Wei Xiong & Ronnie Sircar, 2004, "Evaluating Incentive Options," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 253, Aug.
• Thorsten V. Koeppl, 2004, "Risk Sharing through Financial Markets with Endogenous Enforcement of Trades," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 326, Aug.
• Campa, Jose Manuel, 2004, "Exchange rates and trade: How important is hysteresis in trade?," European Economic Review, Elsevier, volume 48, issue 3, pages 527-548, June.

2003

• Sebnem Kalemli-Ozcan & Bent E. Sørensen & Oved Yosha, 2003, "Risk Sharing and Industrial Specialization: Regional and International Evidence," American Economic Review, American Economic Association, volume 93, issue 3, pages 903-918, June, DOI: 10.1257/000282803322157151.
• Mark Illing & Ying Liu, 2003, "An Index of Financial Stress for Canada," Staff Working Papers, Bank of Canada, number 03-14, DOI: 10.34989/swp-2003-14.
• Jim Armstrong, 2003, "The Syndicated Loan Market: Developments in the North American Context," Staff Working Papers, Bank of Canada, number 03-15, DOI: 10.34989/swp-2003-15.
• Chris D'Souza & Charles Gaa & Jing Yang, 2003, "An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds," Staff Working Papers, Bank of Canada, number 03-28, DOI: 10.34989/swp-2003-28.
• Giovanni Cespa, 2015, "A comparison of stock market mechanisms," Working Papers, Barcelona School of Economics, number 50, Sep.
• Giovanni Cespa, 2015, "Giffen Goods and Market Making," Working Papers, Barcelona School of Economics, number 68, Sep.
• Marcello Pericoli & Massimo Sbracia, 2003, "A Primer on Financial Contagion," Journal of Economic Surveys, Wiley Blackwell, volume 17, issue 4, pages 571-608, September, DOI: 10.1111/1467-6419.00205.
• Wayne E. Ferson & Sergei Sarkissian & Timothy T. Simin, 2003, "Spurious Regressions in Financial Economics?," Journal of Finance, American Finance Association, volume 58, issue 4, pages 1393-1413, August, DOI: 10.1111/1540-6261.00571.
• Randi Naes & Johannes A. Skjeltorp, 2003, "Strategic Investor Behaviour and the Volume-Volatility Relation in Equity Markets," Working Paper, Norges Bank, number 2003/9, Oct.
• Ney Roberto Ottoni de Brito, 2003, "Performance Evaluation and Market Timing: the Skill Index," Brazilian Review of Finance, Brazilian Society of Finance, volume 1, issue 1, pages 1-17.
• Paulo Coutinho & Benjamin Miranda Tabak, 2003, "Decentralized Portfolio Management," Brazilian Review of Finance, Brazilian Society of Finance, volume 1, issue 2, pages 243-270.
• David Demery & Nigel Duck, 2003, "Demographic Change and the UK Savings Rate," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 03/550, Feb.
• Theodore Panagiotidis, 2003, "Market Efficiency and the Euro:The case of the Athens Stock Exchange," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 03-08, Feb.
• Theodore Panagiotidis, 2003, "Market Efficiency and the Euro:The case of the Athens Stock Exchange," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 03-08, Feb.
• Alexis Cellier, 2003, "Lead lag relatîonships between short term options and the french stock index cac 40: the impact of time measurement," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 46, issue 2, pages 65-82.
• Daniel Capocci & Romain Mahieu, 2003, "Les Fonds alternatifs sont-ils réellement décorrelés des produits d'investissments classiques?," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 46, issue 2, pages 83-110.
• Rudy De Winne & Christophe Majois, 2003, "A comparison of alternative spread décomposition models on Euronext Brussels," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 46, issue 4, pages 91-136.
• Pesaran, H.M. & Timmermann, A., 2003, "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0306, Jan.
• Wagner, Niklas & Marsh, Terry A., 2003, "Return-Volume Dependence and Extremes in International Equity Markets," Research Program in Finance, Working Paper Series, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley, number qt1z87z922, Sep.
• Rodolfo Apreda, 2003, "On the Extent of Arbitrage Constraints within Transaction Algebras (A non-standard approach)," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 239, Jul.
• Christian Keuschnigg & Søren Bo Nielsen, 2003, "Public Policy for Start-up Entrepreneurship with Venture Capital and Bank Finance," CESifo Working Paper Series, CESifo, number 850.
• Michael C. Jensen & John Kay & Harvey Pitt & Jürgen Stark, 2003, "The Capital Market as a Growth Engine," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 4, issue 02, pages 14-28, October.
• Hans-Günther Vieweg, 2003, "Tendenzen in der deutschen Industrie - Effekte veränderter Finanzierungsbedingungen und neuer IuK-Techniken," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 56, issue 09, pages 23-27, May.
• Jere R. Behrman & Nancy Birdsall & Miguel Székely, 2003, "Economic Policy and Wage Differentials in Latin America," Working Papers, Center for Global Development, number 29, Jul.
• Luis Ángel Medina, 2003, "Aplicación de la teoría del portafolio en el mercado accionario colombiano," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Alberto Jaramillo & Hermilson Vel�squez & Javier Santiago Ortiz & Natalia Serna, 2003, "Aspectos teóricos y empíricos de la relación empresas bancos," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 3922, Nov.
• María Ángeles Ortega & María Ángeles Sánchez & Francisco Gonzáles, 2003, "Privatization, deregulation and competition: evidence from Spain," Revista de Economía del Rosario, Universidad del Rosario.
• HEINEN, Andreas & RENGIFO, Erick, 2003, "Multivariate modelling of time series count data: an autoregressive conditional Poisson model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003025, Mar.
• BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003, "Multivariate GARCH models: a survey," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003031, Apr.
• Guiso, Luigi & Jappelli, Tullio & Haliassos, Michael, 2003, "Household Stockholding in Europe: Where Do We Stand, and Where Do We Go?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3694, Jan.
• Coval, Joshua & Pástor, LuboÅ¡ & Cohen, Randolph, 2003, "Judging Fund Managers by the Company They Keep," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3717, Jan.
• Tornell, Aaron & Gourinchas, Pierre-Olivier, 2003, "Exchange Rate Dynamics, Learning and Misperception," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3725, Jan.
• Rey, Hélène & Hau, Harald, 2003, "Exchange Rates, Equity Prices and Capital Flows," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3735, Feb.
• Caselli, Francesco & Gennaioli, Nicola, 2003, "Dynastic Management," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3767, Feb.
• Weber, Martin & Glaser, Markus & Langer, Thomas, 2003, "On the Trend Recognition and Forecasting Ability of Professional Traders," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3904, May.
• Franks, Julian & Sussman, Oren, 2003, "Financial Distress and Bank Restructuring of Small to Medium Size UK Companies," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3915, May.
• Weber, Martin & Glaser, Markus, 2003, "Overconfidence and Trading Volume," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3941, Jun.
• Weber, Martin & Langer, Thomas, 2003, "Does Binding of Feedback Influence Myopic Loss Aversion? An Experimental Analysis," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4084, Oct.
• Foucault, Thierry & Moinas, Sophie & Theissen, Erik, 2003, "Does Anonymity Matter in Electronic Limit Order Markets?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4091, Oct.
• Jens, EISENSCHMIDT & Klaus, WAELDE, 2003, "International Trade, Hedging and the Demand for Forward Contracts," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2003022, Nov.
• Chenghu Ma, 2003, "Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM Approach," Annals of Economics and Finance, Society for AEF, volume 4, issue 2, pages 401-426, November.
• Bühlmann, Hans & Platen, Eckhard, 2003, "A Discrete Time Benchmark Approach for Insurance and Finance," ASTIN Bulletin, Cambridge University Press, volume 33, issue 2, pages 153-172, November.
• Martin Shubik & Eric Smith, 2003, "Structure, Clearinghouses and Symmetry," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1419, May.
• Martin Shubik & Eric Smith, 2003, "Strategic Freedom, Constraint, and Symmetry in One-period Markets with Cash and Credit Payment," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1420, May.
• John Geanakoplos & Felix Kubler, 2003, "Dollar Denominated Debt and Optimal Security Design," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1449, Dec.
• Hervé Alexandre & Maxime Merli, 2003, "Notations et écarts de rentabilité:le marché français avant l'euro," Revue Finance Contrôle Stratégie, revues.org, volume 6, issue 3, pages 5-22, September.
• Thierry, FOUCAULT & Sophie, MOINAS & Erik, THEISSEN, 2003, "Does anonymity matter in electronic limit order markets ?," HEC Research Papers Series, HEC Paris, number 784, Jul.
• Cossin, Didier & González, Fernando & Huang, Zhijiang & Backé, Peter, 2003, "A framework for collateral risk control determination," Working Paper Series, European Central Bank, number 209, Jan.
• Cassola, Nuno & Morana, Claudio, 2003, "Volatility of interest rates in the euro area: evidence from high frequency data," Working Paper Series, European Central Bank, number 235, Jun.
• Jansen, W. Jos & Nahuis, Niek J., 2003, "The stock market and consumer confidence: European evidence," Economics Letters, Elsevier, volume 79, issue 1, pages 89-98, April.
• Garcia, Rene & Luger, Richard & Renault, Eric, 2003, "Empirical assessment of an intertemporal option pricing model with latent variables," Journal of Econometrics, Elsevier, volume 116, issue 1-2, pages 49-83.
• Ahn, Sanghoon, 2003, "Technology Upgrading with Learning Cost," CEI Working Paper Series, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University, number 2003-21, Sep.
• Rochet, Jean-Charles & Tirole, Jean, 2003, "Platform Competition in Two-Sided Markets," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 152.
• Christos I. Giannikos & Hany Guirguis & Deniz Ozenbas, 2003, "Is Volatility of Equity Markets a Volume Story? A Nonparametric Analysis," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 2, issue 1, pages 49-55, April.
• Dar-Hsin Chen & Lloyd P. Blenman, 2003, "An Extended Model of Serial Covariance Bid-Ask Spreads," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 2, issue 1, pages 75-83, April.
• Saiful Azhar Rosly & Azizi Che Semanb, 2003, "JURISTIC VIEWPOINTS ON BAYC Al-C¡NAH IN MALAYSIA: A SURVEY," IIUM Journal of Economics and Management, IIUM Journal of Economis and Management, volume 11, issue 1, pages 87-112, June.
• Antonio Mínguez Vera & Juan Francisco Martín Ugedo, 2003, "Concentración Accionarial Y Liquidez De Mercado: Un Analisis Con Ecuaciones Simultáneas," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2003-20, Nov.
• Jelena Zubkova, 2003, "Interest Rate Term Structure in Latvia in the Monetary Policy Context," Working Papers, Latvijas Banka, number 2003/03, Dec.
• S Capasso, 2003, "Stock Market Development and Economic Growth: A matter of informational problems," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester, number 32.
• Anthony J. Seymour & Daniel A. Polakow, 2003, "A Coupling of Extreme-Value Theory and Volatility Updating with Value-at-Risk Estimation in Emerging Markets: A South African Test," Multinational Finance Journal, Multinational Finance Journal, volume 7, issue 1-2, pages 3-23, March-Jun.
• Langer, Thomas & Weber, Martin, 2003, "Does binding or feedback influence myopic loss aversion : an experimental analysis," Papers, Sonderforschungsbreich 504, number 03-20.
• Jean-Pierre Galavielle, 2003, "Y a-t-il une théorie des marchés financiers ?," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number r04029, Dec.
• Patrick Bisciari & Alain Durré & Alain Nyssens, 2003, "Stock market valuation in the United States," Working Paper Document, National Bank of Belgium, number 41, Nov.
• Robert E. Hall, 2003, "Corporate Earnings Track the Competitive Benchmark," NBER Working Papers, National Bureau of Economic Research, Inc, number 10150, Dec.
• Rajnish Mehra, 2003, "The Equity Premium: Why is it a Puzzle?," NBER Working Papers, National Bureau of Economic Research, Inc, number 9512, Feb.
• Takatoshi Ito & Kimie Harada, 2003, "Market Evaluations of Banking Fragility in Japan: Japan Premium, Stock Prices, and Credit Derivatives," NBER Working Papers, National Bureau of Economic Research, Inc, number 9589, Mar.
• Martin Lettau & Sydney Ludvigson, 2003, "Expected Returns and Expected Dividend Growth," NBER Working Papers, National Bureau of Economic Research, Inc, number 9605, Apr.
• Clive G. Bowsher, 2003, "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W03, Jan.
• Brian McCulloch, 2003, "Geometric Return and Portfolio Analysis," Treasury Working Paper Series, New Zealand Treasury, number 03/28, Dec.
• Burkhard Raunig, 2003, "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 86, Sep.
• Luigi Guiso & Michael Haliassos & Tullio Jappelli, 2003, "Household stockholding in Europe: where do we stand and where do we go?
  [‘Limited market participation and volatility of assets prices’]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, volume 18, issue 36, pages 123-170.
• Erik Theissen, 2003, "Trader Anonymity, Price Formation and Liquidity," Review of Finance, European Finance Association, volume 7, issue 1, pages 1-26.
• Marco Schulmerich & Siegfried Trautmann, 2003, "Local Expected Shortfall-Hedging in Discrete Time," Review of Finance, European Finance Association, volume 7, issue 1, pages 75-102.
• Suleyman Basak & Michael Gallmeyer, 2003, "Capital Market Equilibrium with Differential Taxation," Review of Finance, European Finance Association, volume 7, issue 2, pages 121-159.
• Kee-Hong Bae & G. Andrew Karolyi & René M. Stulz, 2003, "A New Approach to Measuring Financial Contagion," The Review of Financial Studies, Society for Financial Studies, volume 16, issue 3, pages 717-763, July.
• Patrik Bauer & Vít Bubák, 2003, "Informative value of firm capital structure," Prague Economic Papers, Prague University of Economics and Business, volume 2003, issue 3, pages 233-248, DOI: 10.18267/j.pep.216.
• Jan Kodera & Václava Pánková, 2003, "Makroekonomické veličiny a ceny akcií
  [Macroeconomic variables and stock prices]," Politická ekonomie, Prague University of Economics and Business, volume 2003, issue 6, pages 825-837, DOI: 10.18267/j.polek.440.
• Constantin Mellios, 2003, "La gestion des risques financiers par les entreprises : explications théoriques versus études empiriques," Revue d'Économie Financière, Programme National Persée, volume 72, issue 3, pages 243-264, DOI: 10.3406/ecofi.2003.4882.
• Dominique Lacoue-Labarthe, 2003, "L'évolution de la supervision bancaire et de la réglementation prudentielle (1945-1996)," Revue d'Économie Financière, Programme National Persée, volume 73, issue 4, pages 39-63, DOI: 10.3406/ecofi.2003.4999.
• Eric Peree & Armin Riess, 2003, "The transformation of finance in Europe:introduction and overview," EIB Papers, European Investment Bank, Economics Department, number 1/2003, Jun.
• Peter Nunnenkamp, 2003, "Reforming the international financial architecture: What globalization critics demand and what policymakers have (not) achieved," Journal of Financial Transformation, Capco Institute, volume 9, pages 39-46.
• Jürgen Eichberger & Willem Spanjers, 2003, "Liquidity and Ambiguity: Banks or Asset Markets?," Economics Discussion Papers, School of Economics, Kingston University London, number 2003-11, Oct.
• Abhaysingh Chavan & Rajendra R. Vaidya, 2003, "Financial Liberalization in India and the Bank Lending Channel of Monetary Transmissionâ€," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, volume 4, issue 2, pages 221-243, September, DOI: 10.1177/139156140300400204.
• Markus Glaser & Martin Weber, 2003, "Momentum and Turnover: Evidence from the German Stock Market," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 55, issue 2, pages 108-135, April.
• Giovanni Cespa, 2003, "A Comparison of Stock Market Mechanism," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 94, Apr.
• Keith Blackburn & Niloy Bose & Salvatore Capasso, 2003, "Financial Development, Financing Choice and Economic Growth," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 96, Apr.
• Giovanni Cespa, 2003, "Giffen Goods and Market Making," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 97, May.
• Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2003, "Fluctuations and response in financial markets: the subtle nature of `random' price changes," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 0307332, Jul.
• Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2003, "Multiple time scales in volatility and leverage correlation: A stochastic volatility model," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 50001, Feb.
• Luo, Guo Ying, 2003, "Evolution, efficiency and noise traders in a one-sided auction market," Journal of Financial Markets, Elsevier, volume 6, issue 2, pages 163-197, April.
• Dominguez, Kathryn M. E., 2003, "The market microstructure of central bank intervention," Journal of International Economics, Elsevier, volume 59, issue 1, pages 25-45, January.
• Plantin, Guillaume, 2003, "Self-fulfilling liquidity and the coordination premium," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24756, Mar.
• Caggese, Andrea, 2003, "Financing constraints, irreversibility, and investment dynamics," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24828, Jan.
• Brunnermeier, Markus K. & Pederson, Lasse Heje, 2003, "Predatory trading," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24829, Mar.
• Schuster, Josef Anton & Luo, Jinhui, 2003, "Management behaviour and market response," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24861, Jun.
• Ellul, Andrew & Holden, Craig W. & Jain, Pankaj & Jennings, Robert, 2003, "A comprehensive test of order choice theory: recent evidence from the NYSE," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24896, Nov.
• Love, Ryan & Payne, Richard, 2003, "Macroeconomic news, order flows and exchange rates," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24901, Aug.
• Gómez Bezares, Fernando & Larreina, Mikel, 2003, "Una valoración del sector vinícola riojano," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
• Parisi F, Antonino & Parisi F, Franco & Guerrero C., José Luis, 2003, "Modelos predictivos de redes neuronales en índices bursátiles," El Trimestre Económico, Fondo de Cultura Económica, volume 70, issue 280, pages 721-744, octubre-d.
• Hipòlit Torró & Vicente Meneu & Enric Valor, 2003, "Single Factor Stochastic Models with Seasonality Applied to Underlying Weather Derivatives Variables," Journal of Risk Finance, Emerald Group Publishing Limited, volume 4, issue 4, pages 6-17, March, DOI: 10.1108/eb022969.
• Pouchkarev, I. & Spronk, J. & van Vliet, P., 2003, "Portfolio Return Characteristics of Different Industries," 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-2003-014-F&A, Feb.
• Morten Balling (ed.), 2003, "The Theory of Financial Intermediation: An Essay On What It Does (Not) Explain," SUERF Studies, SUERF - The European Money and Finance Forum, number 2003/1, ISBN: ARRAY(0x820385e8), May.
• Morten Balling (ed.), 2003, "Monetary and Financial Thinking in Europe - Evidence from Four Decades of SUERF," SUERF Studies, SUERF - The European Money and Finance Forum, number 2003/3, ISBN: ARRAY(0x823ef810), May.
• C. Guermat & K. Hadri & C. C. Kucukozmen, 2003, "Forecasting Value at Risk in Emerging Arab Stock Markets," Discussion Papers, University of Exeter, Department of Economics, number 0303, Dec.
• Jean-David FERMANIAN & Olivier SCAILLET, 2003, "Nonparametric Estimation of Copulas for Time Series," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp57, Feb.
• Jean-David FERMANIAN & Olivier SCAILLET, 2003, "Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp89, Jul.
• Matti Keloharju & Kjell G. Nyborg & Kristian Rydqvist, 2003, "Strategic Behavior and Underpricing in Uniform Price Auctions," Working Papers, Fondazione Eni Enrico Mattei, number 2003.25, Mar.
• Peter L. Rousseau, 2003, "Historical perspectives on financial development and economic growth," Review, Federal Reserve Bank of St. Louis, volume 85, issue Jul, pages 81-106.
• Markus K Brunnermeier & Lasse Heje Pederson, 2003, "Predatory Trading," FMG Discussion Papers, Financial Markets Group, number dp441, Mar.
• Richard Payne, 2003, "Macroeconomic news, order flows and exchange rates," FMG Discussion Papers, Financial Markets Group, number dp475, Dec.
• Fermanian, Jean-David & Scaillet, Olivier, 2003, "Nonparametric estimation of copulas for time series," Working Papers, University of Geneva, Geneva School of Economics and Management, number unige:41797.
• Thierry Foucault & Laurence Lescourret, 2003, "Information Sharing, Liquidity and Transaction Costs in Floor-Based Trading Systems," Post-Print, HAL, number hal-00481203, Dec.
• Hervé Alexandre & Maxime Merli, 2003, "Notations et écarts de rentabilité : le marché français avant l'euro," Post-Print, HAL, number hal-01622853, Sep.
• Lidén, Erik R., 2003, "Swedish Stock Recommendations: Information Content or Price Pressure?," Working Papers in Economics, University of Gothenburg, Department of Economics, number 98, May, revised 19 Nov 2004.
• Lidén, Erik R., 2003, "Stock Recommendations in Swedish Printed Media: Leading or Misleading?," Working Papers in Economics, University of Gothenburg, Department of Economics, number 99, May, revised 17 Nov 2004.
• Marc Potters & Jean-Philippe Bouchaud, 2003, "Comment on: "Two-phase behaviour of financial markets"," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 50002, Apr.
• Matthieu Wyart & Jean-Philippe Bouchaud, 2003, "Self-referential behaviour, overreaction and conventions in financial markets," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500020, Mar.
• Benoit Pochard & Jean-Philippe Bouchaud, 2003, "Option pricing and hedging with minimum expected shortfall," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500029, Aug.
• Martin Schweizer & Dirk Becherer & Jürgen Amendinger, 2003, "A monetary value for initial information in portfolio optimization," Finance and Stochastics, Springer, volume 7, issue 1, pages 29-46.
• Paul Embrechts & Andrea Höing & Alessandro Juri, 2003, "Using copulae to bound the Value-at-Risk for functions of dependent risks," Finance and Stochastics, Springer, volume 7, issue 2, pages 145-167.
• Thomas Møller, 2003, "Indifference pricing of insurance contracts in a product space model," Finance and Stochastics, Springer, volume 7, issue 2, pages 197-217.
• Winfried Hallerbach, 2003, "Cross- and auto-correlation effects arising from averaging: the case of US interest rates and equity duration," Applied Financial Economics, Taylor & Francis Journals, volume 13, issue 4, pages 287-294, DOI: 10.1080/09603100210135720.
• David Heath & Eckhard Platen, 2003, "Pricing of index options under a minimal market model with log-normal scaling," Quantitative Finance, Taylor & Francis Journals, volume 3, issue 6, pages 442-450, DOI: 10.1088/1469-7688/3/6/303.
• Ioannidou, V. & Pierides, Y., 2003, "The Bank's Choice of Financing and the Correlation Structure of Loan Returns," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-51.
• van den Goorbergh, R.W.J. & de Roon, F.A. & Werker, B.J.M., 2003, "Economic Hedging Portfolios," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-102.
• Jean-Charles Rochet & Jean Tirole, 2003, "Platform Competition in Two-Sided Markets," Journal of the European Economic Association, MIT Press, volume 1, issue 4, pages 990-1029, June.
• Juncal Cunado & Javier Gómez Biscarri & Fernando Pérez de Gracia, 2003, "Structural Changes in Volatility and Stock Market Development: Evidence for Spain," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 06/03, Apr.
• Gleason, Katherine I. & Klock, Mark S., 2003, "Intangible capital in the pharmaceutical & chemical industry," Working Papers, University of New Orleans, Department of Economics and Finance, number 2003-04, Feb.
• Gleason, Katherine I., 2003, "Insider trading, NASDAQ quotes, and market maker competition," Working Papers, University of New Orleans, Department of Economics and Finance, number 2003-09, Feb.
• Joachim Grammig & Erik Theissen, 2003, "Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?," University of St. Gallen Department of Economics working paper series 2003, Department of Economics, University of St. Gallen, number 2003-01, Jan.
• David Heath & Eckhard Platen, 2003, "Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 101, Jun.
• Eckhard Platen, 2003, "Modeling the Volatility and Expected Value of a Diversified World Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 103, Jun.
• Eckhard Platen & Jason West, 2003, "Fair Pricing of Weather Derivatives," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 106, Sep.
• Eckhard Platen, 2003, "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 110, Oct.
• Eckhard Platen, 2003, "A Benchmark Framework for Risk Management," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 113, Nov.
• Eckhard Platen, 2003, "Diversified Portfolios in a Benchmark Framework," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 87, Jan.
• Eckhard Platen, 2003, "An Alternative Interest Rate Term Structure Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 97, Jun.
• Posthuma, Nolke & Sluis, Pieter Jelle van der, 2003, "A Reality Check on Hedge Funds Returns," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0017.
• Jaime A. Londoño, 2003, "Parametric Estimation Of Diffusion Processes Sampled At First Exit Time," Econometrics, University Library of Munich, Germany, number 0305002, May, revised 16 Feb 2004.
• Federico Bandi & Benoit Perron, 2003, "Long memory and the relation between implied and realized volatility," Econometrics, University Library of Munich, Germany, number 0305004, May.
• Cumhur Ekinci, 2003, "A Statistical Analysis of Intraday Liquidity, Returns and Volatility of an Individual Stock from the Istanbul Stock Exchange," Finance, University Library of Munich, Germany, number 0305006, May, revised 22 Nov 2004.
• Thomas Schuster, 2003, "News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media," Finance, University Library of Munich, Germany, number 0305009, May.