Research classified by Journal of Economic Literature (JEL) codes

2003

• 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.
• 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.
• 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.
• 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(0xa9827748), 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(0xa805deb8), 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.
• 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.
• 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.
• Sohnke M. Bartram & Frank R. Fehle, 2003, "Competition among Alternative Option Market Structures: Evidence from Eurex vs. Euwax," Finance, University Library of Munich, Germany, number 0307005, Jul, revised 06 Nov 2003.
• Thomas Schuster, 2003, "Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media," Finance, University Library of Munich, Germany, number 0307014, Jul.
• Dmitry Yakovlev & Dmitry Zhabin, 2003, "About discrete hedging and option pricing," Finance, University Library of Munich, Germany, number 0310005, Oct.
• Sohnke M. Bartram & Frank R. Fehle, 2003, "Alternative Market Structures for Derivatives," Finance, University Library of Munich, Germany, number 0311007, Nov, revised 12 Dec 2003.
• Patrick BISCIARI & Alain DURRE & Alain NYSSENS, 2003, "Stock Market Valuation In The United States," Finance, University Library of Munich, Germany, number 0312011, Dec.
• James R. Lothian & Cornelia H. McCarthy, 2003, "Equity Returns and Inflation: The Puzzlingly Long Lags," International Finance, University Library of Munich, Germany, number 0311007, Nov.
• Lamon Rutten, 2003, "The feasibility of an international tropical plywood futures contract," Risk and Insurance, University Library of Munich, Germany, number 0301001, Jan.
• Vivek Ghosal, 2003, "Impact of Uncertainty and Sunk Costs on Firm Survival and Industry Dynamics," CIG Working Papers, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG), number SP II 2003-12, Sep.
• Glaser, Markus & Langer, Thomas & Weber, Martin, 2003, "On the trend recognition and forecasting ability of professional traders," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 03-06, Apr.
• Glaser, Markus & Weber, Martin, 2003, "Overconfidence and Trading Volume," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 03-07, Apr.
• Langer, Thomas & Weber, Martin, 2003, "Does Binding or Feeback Influence Myopic Loss Aversion - An Experimental Analysis," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 03-20, Oct.
• William N. Goetzmann & Massimo Massa, 2003, "Disposition Matters: Volume, Volatility and PriceImpact of a Behavioral Bias," Yale School of Management Working Papers, Yale School of Management, number ysm14, Jan.
• Massimo Massa & William Goetzmann, 2003, "Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias," Yale School of Management Working Papers, Yale School of Management, number ysm333, Feb, revised 01 Apr 2005.
• Susana Callao Gast�n & Beatriz Cu�llar Fern�ndez & Jos� Ignacio Jarne Jarne & Jos� Antonio La�nez Gadea, 2003, "The valuation of earnings components by the capital markets. An international comparison," Documentos de Trabajo, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza, number dt2003-02, Feb.
• Oehler, Andreas, 2003, "Zur Makrostruktur von Finanzmärkten: Börsen als Finanzintermediäre im Wettbewerb," Discussion Papers, University of Bamberg, Chair of Finance, number 22.
• Engelmann, Bernd & Hayden, Evelyn & Tasche, Dirk, 2003, "Measuring the Discriminative Power of Rating Systems," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2003,01.
• Mittnik, Stefan & Paolella, Marc S., 2003, "Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions," CFS Working Paper Series, Center for Financial Studies (CFS), number 2003/04.
• Franzke, Stefanie A. & Grohs, Stefanie & Laux, Christian, 2003, "Initial public offerings and venture capital in Germany," CFS Working Paper Series, Center for Financial Studies (CFS), number 2003/26.
• Bouis, Romain, 2003, "IPOs cycle and investment in high-tech industries," CFS Working Paper Series, Center for Financial Studies (CFS), number 2003/47.
• Pohlmeier, Winfried & Liesenfeld, Roman, 2003, "A Dynamic Integer Count Data Model for Financial Transaction Prices," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 03/03.
• Heidorn, Thomas & König, Lars, 2003, "Investitionen in Collateralized Debt Obligations," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 44.
• Reszat, Beate, 2003, "Japan's Financial Markets: The Lost Decade," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 231.
• Eisenschmidt, Jens & Wälde, Klaus, 2003, "International trade, hedging and the demand for forward contracts," Dresden Discussion Paper Series in Economics, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics, number 19/03.

2002

• A. Dragulescu & V. M. Yakovenko, 2002, "Probability distribution of returns in the Heston model with stochastic volatility," Computing in Economics and Finance 2002, Society for Computational Economics, number 127, Jul.
• Paul Lynch & Nigel Allinson, 2002, "Statistical analysis of the implied volatility derivative," Computing in Economics and Finance 2002, Society for Computational Economics, number 264, Jul.
• Luigi Guiso & Michael Haliassos & Tullio Jappelli, 2002, "Household Stockholding in Europe: Where Do We Stand and Where Do We Go?," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 88, Nov.
• Jean-Philippe Bouchaud & Marc Mezard & Marc Potters, 2002, "Statistical properties of stock order books: empirical results and models," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 0203511, Mar.
• Marc Potters & Jean-Philippe Bouchaud, 2002, "More statistical properties of order books and price impact," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 0210710, Oct.
• Matthieu Wyart & Jean-Philippe Bouchaud, 2002, "Statistical models for company growth," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500021, Oct.
• Irene Giardina & Jean-Philippe Bouchaud, 2002, "Bubbles, crashes and intermittency in agent based market models," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500022, Jun.
• Marc Yor & Bernard Bru, 2002, "Comments on the life and mathematical legacy of Wolfgang Doeblin," Finance and Stochastics, Springer, volume 6, issue 1, pages 3-47.
• Victoria Steblovskaya & Sergio Albeverio, 2002, "A model of financial market with several interacting assets. Complete market case," Finance and Stochastics, Springer, volume 6, issue 3, pages 383-396.
• Philip Protter & Emmanuelle Clément & Damien Lamberton, 2002, "An analysis of a least squares regression method for American option pricing," Finance and Stochastics, Springer, volume 6, issue 4, pages 449-471.
• Kevin X.D. Huang, 2002, "Valuation in infinite-horizon sequential markets with portfolio constraints," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 20, issue 1, pages 189-198.
• Adrian Dragulescu & Victor Yakovenko, 2002, "Probability distribution of returns in the Heston model with stochastic volatility," Quantitative Finance, Taylor & Francis Journals, volume 2, issue 6, pages 443-453, DOI: 10.1080/14697688.2002.0000011.
• David Heath & Eckhard Platen, 2002, "Consistent pricing and hedging for a modified constant elasticity of variance model," Quantitative Finance, Taylor & Francis Journals, volume 2, issue 6, pages 459-467, DOI: 10.1080/14697688.2002.0000013.
• Danilov, D.L. & Magnus, J.R., 2002, "Forecast Accuracy after Pretesting with an Application to the Stock Market," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-76.
• Danilov, D.L. & Magnus, J.R., 2002, "Forecast Accuracy after Pretesting with an Application to the Stock Market," Other publications TiSEM, Tilburg University, School of Economics and Management, number cb9b9b63-40a9-4035-924e-d.
• Luigi Guiso & Michael Haliassos & Tullio Jappelli, 2002, "Household Stockholding in Europe: Where Do We Stand and Where Do We Go?," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 0209, Oct.
• Rosemarie Nagel & Antonio Cabrales & Roc Armenter, 2002, "Equilibrium selection through incomplete information in coordination games: An experimental study," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 601, Feb.
• Giovanni Cespa, 2002, "Giffen goods and market making," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 681, Apr, revised May 2003.
• Giorgio Primiceri & Thijs van Rens, 2002, "Inequality over the business cycle: Estimating income risk using micro-data on consumption," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 943, Jul, revised Oct 2004.
• Pierre Giot & Joachim Grammig, 2002, "How large is liquidity risk in an automated auction market?," University of St. Gallen Department of Economics working paper series 2002, Department of Economics, University of St. Gallen, number 2002-23, Oct.
• Hans Buhlmann & Eckhard Platen, 2002, "A Discrete Time Benchmark Approach for Finance and Insurance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 74, Mar.
• Eckhard Platen & Wolfgang Runggaldier, 2002, "A Benchmark Approach to Filtering in Finance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 77, Mar.
• David Heath & Eckhard Platen, 2002, "Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 78, May.
• Eckhard Platen, 2002, "Benchmark Model with Intensity Based Jumps," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 81, Jun.
• Eckhard Platen, 2002, "A Benchmark Framework for Integrated Risk Management," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 82, Jun.
• Maged Shawky Sourial, 2002, "The Future of the Stock Market Channel In Egypt," Finance, University Library of Munich, Germany, number 0204002, Apr.
• Alexei Gretchikha, 2002, "Optimization of Risk Exposure," Finance, University Library of Munich, Germany, number 0207006, Aug.
• David Backus & Silverio Foresi & Liuren Wu, 2002, "Contagion in Financial Markets," Finance, University Library of Munich, Germany, number 0207009, Aug.
• Peter Carr & Liuren Wu, 2002, "Time-Changed Levy Processes and Option Pricing," Finance, University Library of Munich, Germany, number 0207011, Aug.
• Giorgio Primiceri & Thijs van Rens, 2002, "Inequality over the Business Cycle: Estimating Income Risk using Micro-Data on Consumption," Macroeconomics, University Library of Munich, Germany, number 0212003, Dec.
• Glaser, Markus & Weber, Martin, 2002, "Momentum and Turnover: Evidence from the German Stock Market," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 02-43, May.
• Theissen, Erik, 2002, "Trader Anonymity, Price Formation and Liquidity," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 20/2002.
• Grammig, Joachim G. & Theissen, Erik, 2002, "Estimating the Probability of Informed Trading: Does Trade Misclassification Matter?," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 37/2002.
• Raunig, Burkhard & de Raaij, Gabriela, 2002, "Evaluating Density Forecasts with an Application to Stock Market Returns," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2002,08.
• Theissen, Erik, 2002, "Internalisierung und Marktqualität: Was bringt Xetra Best?," CFS Working Paper Series, Center for Financial Studies (CFS), number 2002/06.
• Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2002, "Mixed normal conditional heteroskedasticity," CFS Working Paper Series, Center for Financial Studies (CFS), number 2002/10.
• Nell, Martin & Richter, Andreas, 2002, "Improving risk allocation through cat bonds," Working Papers on Risk and Insurance, University of Hamburg, Institute for Risk and Insurance, number 10.
• Kirch, Michael & Krutchenko, R. N. & Melnikov, Aleksandr V., 2002, "Efficient hedging for a complete jump-diffusion model," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,27.
• Møllgaard, Peter, 2002, "Must Trust Bust?," Working Papers, Copenhagen Business School, Department of Economics, number 02-2002, Feb.
• Blomgren-Hansen, Niels, 2002, "Skat, arbejdsudbud og omfordeling," Working Papers, Copenhagen Business School, Department of Economics, number 05-2002, Jan.
• Blomgren-Hansen, Niels, 2002, "Ensartet, proportional beskatning af real kapitalindkomst," Working Papers, Copenhagen Business School, Department of Economics, number 06-2002, Jan.
• Bennedsen, Morten & Nielsen, Kasper, 2002, "Svensk selskabsstyring under pres," Working Papers, Copenhagen Business School, Department of Economics, number 13-2002, Jan.
• Bennedsen, Morten & Nielsen, Kasper, 2002, "Bestyrelser i unoterede danske virksomheder," Working Papers, Copenhagen Business School, Department of Economics, number 14-2002, Jan.
• Bennedsen, Morten & Nielsen, Kasper, 2002, "Investorbeskyttelse og virksomhedsovertagelser i Danmark," Working Papers, Copenhagen Business School, Department of Economics, number 15-2002, Jan.
• Vlachos, Jonas & Waldenström, Daniel, 2002, "International Financial Liberalization and Industry Growth," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 513, Nov.
• Vlachos, Jonas & Waldenström, Daniel, 2002, "International Financial Liberalization and Industry Growth," Working Paper Series, Research Institute of Industrial Economics, number 586, Nov.
• Noor Azlan Ghazali and Khairul Anuar Mohd. Ali, 2002, "The Effects Of Open Market Interest Rates On Malaysian Commercial Banks’ Interest Rate Spread: An Empirical Analysis," IIUM Journal of Economics and Management, IIUM Journal of Economis and Management, volume 10, issue 1, pages 21-42, June.
• Brissimis, Sophocles N & Gibson, Heather D & Tsakalotos, Euclid, 2002, "A Unifying Framework for Analysing Offsetting Capital Flows and Sterilization: Germany and the ERM," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 7, issue 1, pages 63-78, January.
• Baba, Naohiko & Hisada, Takamasa, 2002, "Japan's Financial System: Its Perspective and the Authorities' Roles in Redesigning and Administering System," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 20, issue 2, pages 43-93, April.
• Mr. James Y. Yao & Mr. Jorge A Chan-Lau & Mr. Donald J Mathieson, 2002, "Extreme Contagion in Equity Markets," IMF Working Papers, International Monetary Fund, number 2002/098, May.
• Elena Andreou & Eric Ghysels, 2002, "Detecting multiple breaks in financial market volatility dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 17, issue 5, pages 579-600, DOI: 10.1002/jae.684.
• Gollier, Christian & Zeckhauser, Richard J, 2002, "Horizon Length and Portfolio Risk," Journal of Risk and Uncertainty, Springer, volume 24, issue 3, pages 195-212, May.
• Chung-Ki Min & Ho-Young Hwang & Young-Suk Yang, 2002, "Measuring the Value Relevance of Stock Returns, Earnings, and Cash Flows Using the Gibbs Sampler," Korean Economic Review, Korean Economic Association, volume 18, pages 373-388.
• Janecskó, Balázs, 2002, "Portfóliószemléletű hitelkockázat szimulációs meghatározása
  [Simulated determination of credit risk in portfolio terms]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 7, pages 664-676.
• Jelena Zubkova & Egils Kauzens & Ivars Tillers & Martins Prusis, 2002, "Financial Market in Latvia," Working Papers, Latvijas Banka, number 2002/02, Dec.
• Mondher Bellalah & Marc Lavielle, 2002, "A Decomposition of Empirical Distributions with Applications to the Valuation of Derivative Assets," Multinational Finance Journal, Multinational Finance Journal, volume 6, issue 2, pages 99-130, June.
• Erik Theissen, 2002, "Floor versus Screen Trading: Evidence from the German Stock Market," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, volume 158, issue 1, pages 32-54, March.
• Michael W. Brandt & Qiang Kang, 2002, "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 9056, Jul.
• Arik Ben Dor & Ravi Jagannathan, 2002, "Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis," NBER Working Papers, National Bureau of Economic Research, Inc, number 9111, Aug.
• Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2002, "Spurious Regressions in Financial Economics?," NBER Working Papers, National Bureau of Economic Research, Inc, number 9143, Sep.
• Peter L. Rousseau, 2002, "Historical Perspectives on Financial Development and Economic Growth," NBER Working Papers, National Bureau of Economic Research, Inc, number 9333, Nov.
• Clive Bowsher, 2002, "Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2002-W22, Oct.
• Alessandro Citanna & Karl Schmedders, 2002, "Controlling Price Volatility Through Financial Innovation," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science, number 1338, Jan.
• Gabriela de Raaij & Burkhard Raunig, 2002, "Evaluating Density Forecasts with an Application to Stock Market Returns," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 59, Feb.