Research classified by Journal of Economic Literature (JEL) codes

2004

• Andrea Beltratti & Claudio Morana, 2004, "Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility," Working Papers, SEMEQ Department - Faculty of Economics - University of Eastern Piedmont, number 20, May.
• Patrick Coggi & Bogdan Manescu, 2004, "A multifactor model of stock returns with endogenous regime switching," University of St. Gallen Department of Economics working paper series 2004, Department of Economics, University of St. Gallen, number 2004-01, Jan.
• David Heath & Eckhard Platen, 2004, "Local Volatility Function Models under a Benchmark Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 124, Apr.
• Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2004, "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 125, May.
• David Heath & Eckhard Platen, 2004, "Understanding the Implied Volatility Surface for Options on a Diversified Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 128, Jun.
• Eckhard Platen, 2004, "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 129, Jun.
• Shane Miller & Eckhard Platen, 2004, "Two-Factor Model for Low Interest Rate Regimes," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 130, Aug.
• Eckhard Platen, 2004, "A Benchmark Approach to Finance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 138, Oct.
• Eckhard Platen & Jason West & Wolfgang Breymann, 2004, "An Intraday Empirical Analysis of Electricity Price Behaviour," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 140, Nov.
• Eckhard Platen, 2004, "Capital Asset Pricing for Markets with Intensity Based Jumps," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 143, Dec.
• Fisman, Raymond & Love, Inessa, 2004, "Financial development and growth in the short and long run," Policy Research Working Paper Series, The World Bank, number 3319, May.
• Bal??zs ??gert & Yosra Koubaa, 2004, "Modelling Stock Returns in the G-7 and in Selected CEE Economies: A Non-linear GARCH Approach," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2004-663, Feb.
• John Cotter, 2004, "Minimum capital requirement calculations for UK futures," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 24, issue 2, pages 193-220, February.
• Markus Junker & Alexander Szimayer & Niklas Wagner, 2004, "Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications," Econometrics, University Library of Munich, Germany, number 0401007, Jan.
• Niklas Wagner & Terry A. Marsh, 2004, "Surprise Volume and Heteroskedasticity in Equity Market Returns," Econometrics, University Library of Munich, Germany, number 0409009, Sep.
• Cornelis A. Los, 2004, "Model Uncertainty, Complexity and Rank in Finance," Econometrics, University Library of Munich, Germany, number 0411013, Nov.
• Terry A. Marsh & Niklas Wagner, 2004, "Return-Volume Dependence and Extremes in International Equity Markets," Finance, University Library of Munich, Germany, number 0401007, Jan.
• Fernando Rubio, 2004, "Simple Trading Rules: Trading On Ibex At Meff," Finance, University Library of Munich, Germany, number 0402001, Feb, revised 28 Jul 2005.
• Fernando Rubio, 2004, "Corte Transversal De Los Retornos Esperados En El Mercado Accionario Chileno," Finance, University Library of Munich, Germany, number 0402002, Feb.
• Fernando Rubio, 2004, "DURACION EFECTIVA DE BONOS PREPAGABLES. Una nota técnica," Finance, University Library of Munich, Germany, number 0402004, Feb.
• Fernando Rubio, 2004, "Capital Asset Pricing Model (Capm) Y Arbitrage Pricing Theory (Apt): Una Nota Técnica," Finance, University Library of Munich, Germany, number 0402007, Feb.
• Fernando Rubio, 2004, "Factores De Riesgo No Sistematico En La Explicacion De Los Retornos De Las Acciones En El Mercado Bursatil Chileno," Finance, University Library of Munich, Germany, number 0402010, Feb.
• Fernando Rubio, 2004, "La Informacion Contable Y La Valuacion De Activos De Capital En El Sector De Inversiones Chileno," Finance, University Library of Munich, Germany, number 0402012, Feb.
• Fernando Rubio, 2004, "Administración De La Contabilidad De Costos. Apuntes De Clases Y Ejercicios (Casos). Borrador," Finance, University Library of Munich, Germany, number 0402015, Feb.
• Fernando Rubio, 2004, "Some Technical Analysis On The Stock Market: Spain And Usa," Finance, University Library of Munich, Germany, number 0402017, Feb, revised 27 Jul 2005.
• Cumhur EKINCI, 2004, "Introduction to Market Microstructure," Finance, University Library of Munich, Germany, number 0404007, Apr, revised 19 May 2004.
• Fernando Rubio, 2004, "Intangibles Y Valoracion De Empresas: Evidencia Empirica," Finance, University Library of Munich, Germany, number 0404014, Apr.
• Fernando Rubio, 2004, "Eficiencia Simple Del Mercado De Renta Fija En Chile," Finance, University Library of Munich, Germany, number 0405009, May.
• John Campbell & Tarun Ramadorai & Tuomo Vuolteenaho, 2004, "Caught On Tape: Predicting Institutional Ownership With Order Flow," Finance, University Library of Munich, Germany, number 0405012, May.
• Cumhur EKINCI, 2004, "Introduction A La Microstructure Des Marches Financiers," Finance, University Library of Munich, Germany, number 0405025, May.
• Fernando Rubio, 2004, "Contrastacion De Metodologías Para El Cálculo De Beta De Mercado: El Caso De España," Finance, University Library of Munich, Germany, number 0405030, May.
• Fernando Rubio, 2004, "Technical Analysis On Foreign Exchange: 1975 - 2004," Finance, University Library of Munich, Germany, number 0405033, May, revised 01 Jul 2004.
• José Carlos Dias & Luís Lopes & Vitor Martins & José Manuel Benzinho, 2004, "Efficiency tests in the Iberian stock markets," Finance, University Library of Munich, Germany, number 0406001, Jun.
• Cumhur Ekinci, 2004, "Piyasa Mikroyapisina Giris," Finance, University Library of Munich, Germany, number 0407001, Jul.
• Philip Kostov & Seamus McErlean, 2004, "Estimating the probability of large negative stock market," Finance, University Library of Munich, Germany, number 0409011, Sep.
• Peter Carr & Liuren Wu, 2004, "Variance Risk Premia," Finance, University Library of Munich, Germany, number 0409015, Sep.
• Massoud Heidari & Liuren Wu, 2004, "What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities," Finance, University Library of Munich, Germany, number 0409017, Sep.
• Sutthisit Jamdee & Cornelis A. Los, 2004, "Dynamic Risk Profile of the US Term Structure by Wavelet MRA," Finance, University Library of Munich, Germany, number 0409045, Sep.
• Cornelis A. Los, 2004, "Measuring Financial Cash Flow and Term Structure Dynamics," Finance, University Library of Munich, Germany, number 0409046, Sep.
• Fernando Rubio, 2004, "Caso Banco Galicia Y Buenos Aires S.A," Finance, University Library of Munich, Germany, number 0410003, Oct, revised 17 Aug 2005.
• Fernando Rubio, 2004, "Data Mining Sobre El Beta En España," Finance, University Library of Munich, Germany, number 0410011, Oct.
• Fernando Rubio, 2004, "Caso Zurich Y Bsch En Bolivia," Finance, University Library of Munich, Germany, number 0410014, Oct.
• Zhiwu Chen & Ming Dong, 2004, "Stock Valuation and Investment Strategies," Finance, University Library of Munich, Germany, number 0412007, Dec.
• Ming Dong & David Hirshleifer, 2004, "A Generalized Earnings-Based Stock Valuation Model," Finance, University Library of Munich, Germany, number 0412008, Dec.
• Huzaimi Hussain & Venus Khim-Sen Liew, 2004, "Causal Relationships Between Exchange Rates And Stock Prices In Malaysia And Thailand During The 1997 Currency Crisis Turmoil," International Finance, University Library of Munich, Germany, number 0405015, May.
• Luis H. B. Braido, 2004, "General Equilibrium with Endogenous Securities and Moral Hazard," Microeconomics, University Library of Munich, Germany, number 0407007, Jul.
• Hongquan Zhu & Zudi Lu & Shouyang Wang & Abdol S. Soofi, 2004, "Causal Linkages Among Shanghai, Shenzhen, And Hong Kong Stock Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 02, pages 135-149, DOI: 10.1142/S0219024904002414.
• Eckhard Platen, 2004, "Modeling The Volatility And Expected Value Of A Diversified World Index," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 04, pages 511-529, DOI: 10.1142/S0219024904002499.
• Mircea Gligor, 2004, "An Empirical Study On The Statistical Properties Of Romanian Emerging Stock Market Rasdaq," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 06, pages 723-739, DOI: 10.1142/S021902490400261X.
• Eckhard Platen, 2004, "A Benchmark Framework for Risk Management," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 15, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe, "Stochastic Processes And Applications To Mathematical Finance".
• Robert Shiller, 2004, "World Income Components: Measuring And Exploiting International Risk Sharing Opportunities," Yale School of Management Working Papers, Yale School of Management, number ysm151, Jul.
• William N. Goetzmann & Massimo Massa, 2004, "Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias," Yale School of Management Working Papers, Yale School of Management, number ysm331, Jul.
• Martin Shubik & David Eric Smith, 2004, "Structure, Clearinghouses and Symmetry," Yale School of Management Working Papers, Yale School of Management, number ysm378, Jul.
• Martin Shubik & David Eric Smith, 2004, "Strategic Freedom, Constraint, and Symmetry in One-period Markets with Cash and Credit Payment," Yale School of Management Working Papers, Yale School of Management, number ysm379, Jul.
• Marios Panayides, 2004, "The Specialist`s Participation in Quoted Prices and the NYSE`s Price Continuity Rule," Yale School of Management Working Papers, Yale School of Management, number ysm442, Jul.
• Marios Panayides & Andreas Charitou, 2004, "The Role of the Market Maker in International Capital Markets: Challenges and Benefits of Implementation in Emerging Markets," Yale School of Management Working Papers, Yale School of Management, number ysm443, Jul.
• Oehler, Andreas & Rummer, Marco & Smith, Peter N., 2004, "IPO Pricing and the Relative Importance of Investor Sentiment: Evidence from Germany," Discussion Papers, University of Bamberg, Chair of Finance, number 26.
• Oehler, Andreas & Rummer, Marco & Smith, Peter N., 2004, "The Existence and Effectiveness of Price Support Activities in Germany: A Note," Discussion Papers, University of Bamberg, Chair of Finance, number 30.
• Lazarov, Zdravetz, 2004, "Modeling and Forecasting DAX Index Volatility," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 5/2004.
• Lazarov, Zdravetz, 2004, "Distribution of Trading Activity across Strike Prices in the DAX Index Options Market," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 7/2004.
• Wagner, Niklas & Marsh, Terry A., 2004, "Surprise volume and heteroskedasticity in equity market returns," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2004-03.
• Agarwal, Vikas & Fung, William H. & Loon, Yee Cheng & Naik, Narayan Y., 2004, "Risk and return in convertible arbitrage: Evidence from the convertible bond market," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 04-03.
• Merrick, John J. & Naik, Narayan Y. & Yadav, Pradeep K., 2004, "Strategic trading behavior and price distortion in a manipulated market: Anatomy of a squeeze," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 04-07.
• Tykvová, Tereza & Walz, Uwe, 2004, "Are IPOs of different VCs different?," CFS Working Paper Series, Center for Financial Studies (CFS), number 2004/02.
• Brandt, Michael W. & Diebold, Francis X., 2004, "A no-arbitrage approach to range-based estimation of return covariances and correlations," CFS Working Paper Series, Center for Financial Studies (CFS), number 2004/07.
• Norden, Lars & Weber, Martin, 2004, "The comovement of credit default swap, bond and stock markets: An empirical analysis," CFS Working Paper Series, Center for Financial Studies (CFS), number 2004/20.
• Heimer, Thomas & Köhler, Thomas, 2004, "Auswirkungen des Basel II Akkords auf österreichisches KMU," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 58.
• Wilhelm, Jochen & Nietert, Bernhard, 2004, "Non-Negativity of Nominal and Real Riskless Rates, Arbitrage Theory, and the Null-Alternative Cash," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe, University of Passau, Faculty of Business and Economics, number 11.
• Philippe Bacchetta & Eric Van Wincoop, 2004, "A Scapegoat Model of Exchange-Rate Fluctuations," American Economic Review, American Economic Association, volume 94, issue 2, pages 114-118, May, DOI: 10.1257/0002828041301849.
• Daryl Collins & Mark Abrahamson, 2004, "Sector Level Contagion in African Financial Markets," The African Finance Journal, Africagrowth Institute, volume 6, issue 1, pages 1-20.
• Koeppl, Thorsten, 2004, "Risk Sharing through Financial Markets with Endogenous Enforcement of Trades," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273518, Dec, DOI: 10.22004/ag.econ.273518.
• Luz Adriana Flórez & Carlos Esteban Posda & José Fernando Escobar, 2004, "El crédito y sus factores determinantes: el caso colombiano (1990 -2004)," Borradores de Economia, Banco de la Republica de Colombia, number 311, Oct, DOI: 10.32468/be.311.
• Gonzalez, F. & Haas, F. & Johannes, R. & Persson, M. & Toledo, L. & Violi, R. & Zins, C. & Wieland, M., 2004, "Market dynamics associated with credit ratings: a literature review," Financial Stability Review, Banque de France, issue 4, pages 53-76, June.
• Marian Micu & Eli M Remolona & Philip D Wooldridge, 2004, "The price impact of rating announcements: evidence from the credit default swap market," BIS Quarterly Review, Bank for International Settlements, June.
• Fabio Fornari, 2004, "Macroeconomic announcements and implied volatilities in swaption markets," BIS Quarterly Review, Bank for International Settlements, September.
• Blaise Gadanecz, 2004, "The syndicated loan market," BIS Quarterly Review, Bank for International Settlements, December.
• Serdat Dinc & Patrick M. McGuire, 2004, "Did investors regard real estate as 'safe' during the 'Japanese Bubble' in the 1980s?," BIS Working Papers, Bank for International Settlements, number 164, Nov.
• Marco Sorge, 2004, "Stress-testing financial systems: an overview of current methodologies," BIS Working Papers, Bank for International Settlements, number 165, Dec.
• George G. Kaufman, 2004, "Depositor Liquidity and Loss Sharing in Bank Failure Resolutions," Contemporary Economic Policy, Western Economic Association International, volume 22, issue 2, pages 237-249, April, DOI: 10.1093/cep/byh017.
• Randi Næs, 2004, "Ownership Structure and Stock Market Liquidity," Working Paper, Norges Bank, number 2004/6, Mar.
• Johannes A. Skjeltorp & Bernt Arne Ødegaard, 2004, "The ownership structure of repurchasing firms," Working Paper, Norges Bank, number 2004/7, Apr.
• Vinicius Ratton Brandi & Beatriz Vaz de Melo Mendes, 2004, "Assessing Drawdown-at-Risk in Brazilian Real Foreign Exchange Rates," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 2, pages 207-223.
• Daniella Acker & Nigel W. Duck, 2004, "Estimating Betas and Stock-Return Correlations From Monthly Data: A Warning Note," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 04/557, Jan.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Mike Nazarski, 2004, "Testing Of Nonstationarities In The Unit Circle,Long Memory Processes And Day Of The Week Effects In Financial Data," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-20, Oct.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Mike Nazarski, 2004, "Testing Of Nonstationarities In The Unit Circle,Long Memory Processes And Day Of The Week Effects In Financial Data," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-20, Oct.
• Pesaran, M.H. & Pick, A., 2004, "Econometric Issues in the Analysis of Contagion," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0402, Jan.
• Martine Quinzii & Michael Magill, 2004, "Which Improves Welfare More: Nominal Or Indexed Bond?," Working Papers, University of California, Davis, Department of Economics, number 230, Jul.
• Keloharju, Matti & Nyborg, Kjell G. & Rydqvist, Kristian, 2004, "Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt6v17p79w, May.
• Rodolfo Apreda, 2004, "Differential rates, residual information sets and transactional algebras," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 256, Feb.
• Rodolfo Apreda, 2004, "Enhancing corporate governance with one-and two-tiered convertible preferred stock," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 260, Apr.
• Piotr Wdowinski, 2004, "Determinants of Country Beta Risk in Poland," CESifo Working Paper Series, CESifo, number 1120.
• Paul De Grauwe & Marianna Grimaldi, 2004, "Bubbles and Crashes in a Behavioural Finance Model," CESifo Working Paper Series, CESifo, number 1194.
• Allan Timmermann & M. Hashem Pesaran, 2003, "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," CESifo Working Paper Series, CESifo, number 875.
• Barner, Martin & Feri, Francesco & Plott, Charles, 2004, "On the Microstructure of Price Determination and Information Aggregation with Sequential and Asymmetric Information Arrival in an Experimental Asset Market," Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences, number 1204, Aug.
• Mattozzi, Andrea, 2004, "Can we insure against political uncertainty? Evidence from the U.S. Stock Market," Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences, number 1207, Oct.
• Guillaume Plantin, 2004, "Self-Fulfilling Liquidity and the Coordination Premium," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2005-E3, Nov.
• Andr√©s Zambrano & Hern√°n Jaramillo Salazar & Clemente Forero, 2004, "Recuento Cr√≠tico de la Literatura sobre los Impactos de la Investigaci√≥n y sus Indicadores," Borradores de Investigación, Universidad del Rosario, number 3420, Nov.
• Luz Adriana Fl�rez & Carlos Esteban Posada & Jos� Fernando Escobar, 2004, "El Cr�Dito Y Sus Factores Determinantes: El Caso Colombiano (1990-2004)," Borradores de Economia, Banco de la Republica, number 2482, Oct.
• Mauricio Nash & Darcy Fuenzalida., 2004, "The effect of dividend distribution on share return in Chile," Estudios Gerenciales, Universidad Icesi.
• Anif & Fedesarrollo, 2004, "Los servicios financieros y el TLC con Estados Unidos," Cuadernos de Fedesarrollo, Fedesarrollo, number 12715, Dec.
• Eduardo Lora T., 2004, "Los efectos sociales de las reformas estructurales de los noventa," Coyuntura Social, Fedesarrollo, number 12922, Jun.
• RENGIFO, Erick & ROMBOUTS, Jeroen, 2004, "Dynamic optimal portfolio selection in a VaR framework," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2004057, Jul.
• GRAMMIG, Joachim & HEINEN, Andréas & RENGIFO, Erick, 2004, "Trading activity and liquidity supply in a pure limit order book market," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2004058, Sep.
• Guiso, Luigi & Jappelli, Tullio, 2004, "Awareness and Stock Market Participation," CEPR Discussion Papers, Centre for Economic Policy Research, number 4182, Jan.
• Rydqvist, Kristian & Maug, Ernst, 2004, "Do Shareholders vote Strategically? Evidence on the Advisory Role of Annual General Meetings," CEPR Discussion Papers, Centre for Economic Policy Research, number 4192, Jan.
• Bacchetta, Philippe & van Wincoop, Eric, 2004, "A Scapegoat Model of Exchange Rate Fluctuations," CEPR Discussion Papers, Centre for Economic Policy Research, number 4268, Feb.
• Nyborg, Kjell G. & Kremer, Ilan, 2004, "Underpricing and Market Power in Uniform Price Auctions," CEPR Discussion Papers, Centre for Economic Policy Research, number 4363, Apr.
• Sarno, Lucio & Valente, Giorgio, 2004, "Asset Prices and International Spillovers: An Empirical Investigation," CEPR Discussion Papers, Centre for Economic Policy Research, number 4380, May.
• Miyajima, Hideaki & Yafeh, Yishay, 2004, "Japan's Banking Crisis: Who Has the Most to Lose?," CEPR Discussion Papers, Centre for Economic Policy Research, number 4403, Jun.
• Hollifield, Burton & SandÃ¥s, Patrik & Miller, Robert A. & Slive, Joshua, 2004, "Estimating the Gains From Trade in Limit Order Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 4432, Jun.
• Boyreau-Debray, Genevieve & Wei, Shang-Jin, 2004, "Pitfalls of a State-Dominated Financial System: The Case of China," CEPR Discussion Papers, Centre for Economic Policy Research, number 4471, Jul.
• Brunnermeier, Markus & Pedersen, Lasse Heje, 2004, "Predatory Trading," CEPR Discussion Papers, Centre for Economic Policy Research, number 4639, Sep.
• Cespa, Giovanni, 2004, "Information Sales and Insider Trading," CEPR Discussion Papers, Centre for Economic Policy Research, number 4667, Oct.
• Weber, Martin & Norden, Lars, 2004, "The Comovement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis," CEPR Discussion Papers, Centre for Economic Policy Research, number 4674, Oct.
• Acharya, Viral & Pedersen, Lasse Heje, 2004, "Asset Pricing with Liquidity Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 4718, Oct.
• Thesmar, David, 2004, "Financial Market Development and the Rise in Firm Level Uncertainty," CEPR Discussion Papers, Centre for Economic Policy Research, number 4761, Nov.
• Dunne, Peter G & Hau, Harald & Moore, Michael, 2004, "Macroeconomic Order Flows: Explaining Equity and Exchange Rate Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 4806, Dec.
• Massa, Massimo & Gaspar, José-Miguel, 2004, "Idiosyncratic Volatility and Product Market Competition," CEPR Discussion Papers, Centre for Economic Policy Research, number 4812, Dec.
• Goetzmann, William & Massa, Massimo, 2004, "Disposition Matters: Volume, Volatility and Price Impact of Behavioural Bias," CEPR Discussion Papers, Centre for Economic Policy Research, number 4814, Dec.
• Goetzmann, William & Massa, Massimo, 2004, "Dispersion of Opinion and Stock Returns," CEPR Discussion Papers, Centre for Economic Policy Research, 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.
• Pesaran, M. Hashem & Timmermann, Allan, 2004, "How costly is it to ignore breaks when forecasting the direction of a time series?," International Journal of Forecasting, Elsevier, volume 20, issue 3, pages 411-425.
• Cunado Eizaguirre, Juncal & Biscarri, Javier Gomez & Hidalgo, Fernando Perez de Gracia, 2004, "Structural changes in volatility and stock market development: Evidence for Spain," Journal of Banking & Finance, Elsevier, volume 28, issue 7, pages 1745-1773, July.
• Carr, Peter & Wu, Liuren, 2004, "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, volume 71, issue 1, pages 113-141, January.
• Degeorge, Francois & Jenter, Dirk & Moel, Alberto & Tufano, Peter, 2004, "Selling company shares to reluctant employees: France Telecom's experience," Journal of Financial Economics, Elsevier, volume 71, issue 1, pages 169-202, January.
• Zurita, Felipe, 2004, "On the limits to speculation in centralized versus decentralized market regimes," Journal of Financial Intermediation, Elsevier, volume 13, issue 3, pages 378-408, July.
• Goodhart, Charles & Sunirand, Pojanart & Tsomocos, Dimitrios P., 2004, "A model to analyse financial fragility," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24703, Apr.
• Danielsson, Jon & Love, Ryan, 2004, "Feedback trading," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24760, Jul.
• Sabbatini, Michael & Linton, Oliver, 2004, "A GARCH model of the implied volatility of the Swiss Market Index from options prices," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24773, Sep.
• Patton, Andrew J., 2004, "Are "market neutral" hedge funds really market neutral?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24819, Oct.
• Vayanos, Dimitri & Wang, Tan, 2004, "Search and endogenous concentration of liquidity in asset markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 455, Aug.
• Parisi, Antonino & Parisi, Franco & Cornejo, Edinson, 2004, "Algoritmos genéticos y modelos multivariados recursivos en la predicción de índices bursátiles de América del Norte: IPC, TSE, NASDAQ y DJI," El Trimestre Económico, Fondo de Cultura Económica, volume 71, issue 284, pages 789-809, octubre-d.
• Morten Balling (ed.), 2004, "European Monetary and Financial Integration: Evolution and Prospects," SUERF Studies, SUERF - The European Money and Finance Forum, number 2004/2, ISBN: ARRAY(0x75fc7cf0), October.
• Hans Degryse & Mark Van Achter & Gunther Wuyts, 2004, "Dynamic order Submission Strategies with Competition between a Dealer Market and a Crossing Network," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number ces0415, Mar.
• Olivier SCAILLET, 2004, "Nonparametric Estimation of Conditional Expected Shortfall," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp112, May.
• Kpate ADJAOUTE & Jean-Pierre DANTHINE, 2004, "Equity Returns and Integration: Is Europe Changing?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp117, Oct.
• Matteo Manera & Massimo Giovannini & Margherita Grasso & Alessandro Lanza, 2004, "Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants," Working Papers, Fondazione Eni Enrico Mattei, number 2004.71, Apr.
• Matteo Manera & Alessandro Lanza & Michael McAleer, 2004, "Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns," Working Papers, Fondazione Eni Enrico Mattei, number 2004.72, Apr.
• Michael D. Bordo & Joseph G. Haubrich, 2004, "The yield curve, recessions, and the credibility of the monetary regime: long-run evidence, 1875-1997," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 0402, DOI: 10.26509/frbc-wp-200402.
• Cyril Monnet & Erwan Quintin, 2004, "Why do financial systems differ? History matters," Center for Latin America Working Papers, Federal Reserve Bank of Dallas, number 0304.
• Luigi Guiso & Paola Sapienza & Luigi Zingales, 2004, "The cost of banking regulation," Proceedings, Federal Reserve Bank of Chicago, number 937.
• Falko Fecht & Kevin X. D. Huang & Antoine Martin, 2004, "Financial intermediaries, markets, and growth," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 04-02.
• Paul Gao & Kevin X. D. Huang, 2004, "Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 04-07.
• Joshua V. Rosenberg & Til Schuermann, 2004, "A general approach to integrated risk management with skewed, fat-tailed risks," Staff Reports, Federal Reserve Bank of New York, number 185, May.
• Loretta J. Mester & Leonard I. Nakamura & Micheline Renault, 2004, "Transactions accounts and loan monitoring," Working Papers, Federal Reserve Bank of Philadelphia, number 04-20.
• Falko Fecht & Kevin X. D. Huang & Antoine Martin, 2004, "Financial intermediaries, markets, and growth," Working Papers, Federal Reserve Bank of Philadelphia, number 04-24.
• Benoit Perron & Oliver Linton, 2004, "The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model," FMG Discussion Papers, Financial Markets Group, number dp514, Sep.
• John Y. Campbell & Tarun Ramadorai & Tuomo O. Vuolteenaho, 2004, "Caught on Tape: Predicting Institutional Ownership With Order Flow," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2046.
• Thierry Chauveau & Sylvain Friederich & Jérôme Héricourt & Emmanuel Jurczenko & Catherine Lubochinsky & Bertrand Maillet & Christophe Moussu & Bogdan Négréa & Hélène Raymond Feingold, 2004, "La volatilité des marchés augmente-elle ?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00308982.
• Thierry Chauveau & Sylvain Friederich & Jérôme Héricourt & Emmanuel Jurczenko & Catherine Lubochinsky & Bertrand Maillet & Christophe Moussu & Bogdan Négréa & Hélène Raymond Feingold, 2004, "La volatilité des marchés augmente-elle ?," Post-Print, HAL, number hal-00308982.
• Thierry Foucault & Christine A. Parlour, 2004, "Competition for Listings," Post-Print, HAL, number hal-00481211, DOI: 10.2307/1593694.

2003

• 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.