Research classified by Journal of Economic Literature (JEL) codes

2003

• 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

• 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.
• 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.
• Paolo Vanini & Luigi Vignola, 2002, "Optimal Decision-Making with Time Diversification," Review of Finance, European Finance Association, volume 6, issue 1, pages 1-30.
• Neal Maroney & Aris Protopapadakis, 2002, "The Book-to-Market and Size Effects in a General Asset Pricing Model: Evidence from Seven National Markets," Review of Finance, European Finance Association, volume 6, issue 2, pages 189-221.
• Munro, John H., 2002, "The medieval origins of the 'Financial Revolution': usury, rentes, and negotiablity," MPRA Paper, University Library of Munich, Germany, number 10925, Feb, revised Sep 2002.
• Jean Matouk, 2002, "L’environnement et la Bourse," Revue d'Économie Financière, Programme National Persée, volume 66, issue 2, pages 197-215, DOI: 10.3406/ecofi.2002.3753.
• Bertrand Maillet & Thierry Michel, 2002, "Quelle était la gravité de la crise boursière de Septembre 2001 ? Construction d’un indice de crise et mise en perspective des dernières turbulences," Revue d'Économie Financière, Programme National Persée, volume 67, issue 3, pages 269-276, DOI: 10.3406/ecofi.2002.3589.
• Tommaso Padoa-Schioppa, 2002, "Securities and banking: bridges and walls," BNL Quarterly Review, Banca Nazionale del Lavoro, volume 55, issue 222, pages 241-261.
• Tommaso Padoa-Schioppa, 2002, "Securities and banking: bridges and walls," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, volume 55, issue 222, pages 241-261.
• Tommaso Padoa-Schioppa, 2002, "Titoli e attività bancaria: ponti e mura," Moneta e Credito, Economia civile, volume 55, issue 220, pages 321-344.
• Miguel Balbina, 2002, "The Analysis of Seasonal Return Anomalies in the Portuguese Stock Market," Working Papers, Banco de Portugal, Economics and Research Department, number w200211.
• Kyriakos Chourdakis, 2002, "Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps," Working Papers, Queen Mary University of London, School of Economics and Finance, number 464, Nov.
• Jacques Pezier, 2002, "Operational Risk Management," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2002-21, Sep.
• Cristina Sommacampagna, 2002, "Stima del Value-at-Risk con il Filtro di Kalman," Rivista di Politica Economica, SIPI Spa, volume 92, issue 6, pages 147-174, November-.
• 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.
• Adrian A. Dragulescu & Victor M. Yakovenko, 2002, "Probability distribution of returns in the Heston model with stochastic volatility," Papers, arXiv.org, number cond-mat/0203046, Mar, revised Nov 2002.
• Nicolas Audet & Toni Gravelle & Jing Yang, 2002, "Alternative Trading Systems: Does One Shoe Fit All?," Staff Working Papers, Bank of Canada, number 02-33, DOI: 10.34989/swp-2002-33.
• Toni Gravelle, 2002, "The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ," Staff Working Papers, Bank of Canada, number 02-9, DOI: 10.34989/swp-2002-9.
• Alicia García Herrero & Javier Santillán & Sonsoles Gallego & Lucía Cuadro & Carlos Egea, 2002, "Latin American Financial Development in Perspective," Working Papers, Banco de España, number 0216, Jul.
• Sonsoles Gallego & Alicia García Herrero & Jesús Saurina, 2002, "The Asian and European Banking Systems: The Case of Spain in the Quest for Develpoment and Stability," Working Papers, Banco de España, number 0217, Jul.
• Andreou, Elena & Ghysels, Eric, 2002, "Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results," Journal of Business & Economic Statistics, American Statistical Association, volume 20, issue 3, pages 363-376, July.
• Philippe Andrade & Catherine Bruneau, 2002, "Excess returns, portfolio choices and exchange rate dynamics. The yen/dollar case, 1980–1998," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 64, issue 3, pages 233-256, July, DOI: 10.1111/1468-0084.00021.
• Harris Dellas & Martin K. Hess, 2002, "Financial Development and the Sensitivity of Stock Markets to External Influences," Review of International Economics, Wiley Blackwell, volume 10, issue 3, pages 525-538, August, DOI: 10.1111/1467-9396.00348.
• Bruno Amable & Régis Breton & Xavier Ragot, 2002, "Does the “New Economy” Change the Frontiers of the Large Corporation," Recherches économiques de Louvain, De Boeck Université, volume 68, issue 1, pages 239-255.
• John W. Galbraith & Serguei Zernov, 2002, "Circuit Breakers and the Tail Index of Equity Returns," CIRANO Working Papers, CIRANO, number 2002s-62, Jun.
• Ana Mar√≠a Olaya, 2002, "Las finanzas en la frontera del conocimiento," Borradores de Investigación, Universidad del Rosario, number 3114, Dec.
• Alberto Jaramillo & Adriana �ngel Jim�nez & Andrea Restrepo Ram�rez & Ana Consuelo Serrano, 2002, "Sector bancario y coyuntura económica. El caso colombiano 1990-2000," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 3921, Feb.
• Alejandro Revéis, 2002, "Evolution of the Colombia peso, within the currency bands, nonlinearity analysis and stochastic modelling," Revista de Economía del Rosario, Universidad del Rosario.
• Arturo J. Galindo & Alejandro Micco & Guillermo Ordo�ez, 2002, "Financial Liberalization: Does It Pay to Join the Party?," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, volume 0, issue Fall 2002, pages 231-262.
• BLOISE, Gaetano & REICHLIN, Pietro, 2002, "Risk and intermediation in a dual financial market model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002004, Jan.
• VEREDAS, David & RODRIGUEZ-POO, Juan & ESPASA, Antoni, 2002, "On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002023, Apr.
• GIOT, Pierre & GRAMMIG, Joachim, 2002, "How large is liquidity risk in an automated auction market ?," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002054, Oct.
• Wickens, Michael R. & Smith, Peter N, 2002, "Macroeconomic Sources of FOREX Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3148, Jan.
• Sapienza, Paola, 2002, "What Do State-Owned Firms Maximize? Evidence from the Italian Banks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3168, Jan.
• Marcellino, Massimiliano & Corielli, Francesco, 2002, "Factor Based Index Tracking," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3265, Mar.
• Biais, Bruno & Glosten, Larry & Spatt, Chester S, 2002, "The Microstructure of Stock Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3288, Mar.
• Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2002, "Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3310, Apr.
• Weber, Martin & Glaser, Markus, 2002, "Momentum and Turnover: Evidence from the German Stock Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3353, Apr.
• Wolff, Christian & Bams, Dennis & Lehnert, Thorsten, 2002, "An Evaluation Framework for Alternative VaR Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3403, Jun.
• Bisin, Alberto & Acharya, Viral, 2002, "Entrepreneurial Incentives in Stock Market Economies," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3474, Jul.
• Lettau, Martin & Ludvigson, Sydney, 2002, "Expected Returns and Expected Dividend Growth," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3507, Aug.
• Bottazzi, Laura & Da Rin, Marco, 2002, "Europe's 'New' Stock Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3521, Aug.
• Rydqvist, Kristian & Nyborg, Kjell & Keloharju, Matti, 2002, "Strategic Behaviour and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3586, Oct.
• Hau, Harald, 2002, "The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3651, Nov.
• Menzie D. Chinn, 2002, "The Compatability of Capital COntrols and Financial Development: A Selective Survey and Empirical Evidence," Asia Pacific Economic Papers, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University, number 327, May.
• Werner Studener, 2002, "The Effects of the Euro on Financial Markets, Activity and Structure," Asia Pacific Economic Papers, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University, number 328, Jun.
• Bruno AMABLE & Régis BRETON & Xavier RAGOT, 2002, "Does the “New Economy” Change the Frontiers of the Large Corporation?," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2002029, Jun.
• Alessandro, CITANNA & SCHMEDDERS, Karl, 2002, "Controlling price volatility through financial innovation," HEC Research Papers Series, HEC Paris, number 749, Jan.
• Brousseau, Vincent, 2002, "The functional form of yield curves," Working Paper Series, European Central Bank, number 148, May.
• Ghosal, Vivek, 2002, "Impact of Uncertainty and Sunk Costs on Firm Survival and Industry Dynamics," Royal Economic Society Annual Conference 2002, Royal Economic Society, number 86, Aug.
• Enrique Sentana, 2002, "Did the EMS Reduce the Cost of Capital?," Economic Journal, Royal Economic Society, volume 112, issue 482, pages 786-809, October.
• Huang, Kevin X. D., 2002, "On infinite-horizon minimum-cost hedging under cone constraints," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 2, pages 283-301, December.
• Rockinger, Michael & Jondeau, Eric, 2002, "Entropy densities with an application to autoregressive conditional skewness and kurtosis," Journal of Econometrics, Elsevier, volume 106, issue 1, pages 119-142, January.
• Cespa, Giovanni, 2002, "Short-term investment and equilibrium multiplicity," European Economic Review, Elsevier, volume 46, issue 9, pages 1645-1670, October.
• Theissen, Erik, 2002, "Price discovery in floor and screen trading systems," Journal of Empirical Finance, Elsevier, volume 9, issue 4, pages 455-474, November.
• Hong, Harrison & Rady, Sven, 2002, "Strategic trading and learning about liquidity," Journal of Financial Markets, Elsevier, volume 5, issue 4, pages 419-450, October.
• Piotrowski, E.W & Sładkowski, J, 2002, "Quantum market games," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 312, issue 1, pages 208-216, DOI: 10.1016/S0378-4371(02)00842-7.
• Athanasoulis, Stefano G. & Shiller, Robert J., 2002, "Defining residual risk-sharing opportunities: Pooling world income components," Research in Economics, Elsevier, volume 56, issue 1, pages 61-84, June.
• Galindo, Arturo & Micco, Alejandro & Ordoñez, Guillermo, 2002, "Financial liberalization does it pay to join the party?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123187, Oct.
• Muermann, Alexander, 2002, "Pricing catastrophe insurance derivatives," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24904, Feb.
• Rochet, Jean-Charles & Triole, Jean, 2002, "Platform competition in two sided markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24929, Feb.
• Inderst, Roman & Müller, Holger M., 2002, "Venture capital contracts and market structure," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24931, Mar.
• Pesaran, M. Hashem & Timmermann, Allan, 2002, "Market timing and return prediction under model instability," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24932, Mar.
• Iacoviello, Matteo & Ortalo-Magné, François, 2002, "Hedging housing risk in London," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24934, Oct.
• Maillet, Bertrand & Michel, Thierry, 2002, "How deep was the September 2001 stock market crisis?: putting recent events on the American and French markets into perspective with an index of market shocks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24936, Jul.
• Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002, "Skewness and kurtosis implied by option prices: a second comment," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24938, Jul.
• Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002, "Revisited multi-moment approximate option pricing models a general comparison (Part 1)," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24950, Dec.
• Richard Portes, 2002, "The Euro and the International Financial System," Chapters, Edward Elgar Publishing, chapter 13, in: Marco Buti & André Sapir, "EMU and Economic Policy in Europe".
• Hallerbach, W.G.P.M. & Hundack, C. & Pouchkarev, I. & Spronk, J., 2002, "A Broadband Vision of the DAX over Time," 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-2002-87-F&A, Oct.
• Flood, M.D. & Koedijk, C.G. & van Dijk, M.A. & van Leeuwen, I.W., 2002, "Dividing the Pie," 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-2002-101-F&A, Oct.
• Ana C. CEBRIÁN & Michel DENUIT & Olivier SCAILLET, 2002, "Testing for Concordance Ordering," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp41, Mar.
• Michel DENUIT & Olivier SCAILLET, 2002, "Nonparametric Tests Dependence For Positive Quadrant," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp44, Mar.
• Didier Cossin & Zhijiang Huang & Daniel Aunon-Nerin & Fer nando González, 2002, "A Framework for Collateral Risk Control Determination," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp61, Dec.
• Jean-Charles Rochet & Jean Triole, 2002, "Platform Competition in Two Sided Markets," FMG Discussion Papers, Financial Markets Group, number dp409, Feb.
• Holger M Muller & Roman Inderst, 2002, "Venture Capital Contracts and Market Structure," FMG Discussion Papers, Financial Markets Group, number dp411, Mar.
• Thierry Michel & Bertrand Maillet, 2002, "How Deep was the September 2001 Stock Market Crisis? Putting Recent Events on the American and French Markets into Perspective with an Index of Market Shocks," FMG Discussion Papers, Financial Markets Group, number dp417, Jul.
• Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002, "Skewness and Kurtosis Implied by Option Prices: A Second Comment," FMG Discussion Papers, Financial Markets Group, number dp419, Jul.
• Bruno Amable & Régis Breton & Xavier Ragot, 2002, "Does the "New Economy" change the frontiers of the large corporation?," Post-Print, HAL, number halshs-00256784.
• Alessandro Citanna & Karl Schmedders, 2002, "Controlling Price Volatility Through Financial Innovation," Working Papers, HAL, number hal-00594367, Jan.
• Bartholdy, Jan & Briown, Kate, 2002, "Testing for Multiple Types of Marginal Investor in Ex-day Pricing," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 02-12, Jun.
• Thomsen, Steen & Rose, Caspar, 2002, "Foundation ownership and financial performance. Do companies need owners?," Working Papers, Copenhagen Business School, Department of Finance, number 2002-3, Apr.
• 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.

2001

• Jones, Charles M. & Lipson, Marc L., 2001, "Sixteenths: direct evidence on institutional execution costs," Journal of Financial Economics, Elsevier, volume 59, issue 2, pages 253-278, February.
• Hodrick, Robert J. & Zhang, Xiaoyan, 2001, "Evaluating the specification errors of asset pricing models," Journal of Financial Economics, Elsevier, volume 62, issue 2, pages 327-376, November.
• Garcia, Rene & Bonomo, Marco, 2001, "Tests of conditional asset pricing models in the Brazilian stock market," Journal of International Money and Finance, Elsevier, volume 20, issue 1, pages 71-90, February.
• Hamao, Yasushi & Mei, Jianping, 2001, "Living with the "enemy": an analysis of foreign investment in the Japanese equity market," Journal of International Money and Finance, Elsevier, volume 20, issue 5, pages 715-735, October.
• Jouini, Elyes, 2001, "Arbitrage and control problems in finance: A presentation," Journal of Mathematical Economics, Elsevier, volume 35, issue 2, pages 167-183, April.
• Giancarlo Corsetti & Marcello Pericoli & Massimo Sbracia, 2001, "Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test," Working Papers, Economic Growth Center, Yale University, number 822, Apr.
• Danielsson, Jon & Shin, Hyun Song & Zigrand, Jean-Pierre, 2001, "Asset price dynamics with value-at-risk constrained traders," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119092, Oct.
• Shin, Hyun Song, 2001, "Disclosures and asset returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 25044, Mar.
• Farinós Viñas, José Emilio & Fernández Blanco, Matilde, 2001, "Estructura de la bolsa española e introducción del mercado de activos derivados sobre el IBEX-35," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
• François-Serge LHABITANT, 2001, "Assessing Market Risk for Hedge Funds Portfolios," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp24, Mar.
• Yacine AÏT-SAHALIA, & Michael W. BRANDT, 2001, "Variable Selection for Portfolio Choice," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp34, Feb.
• Matos, João Manuel Gonçalves Amaro de & Fernandes, Marcelo, 2001, "Testing the Markov property with ultra high frequency financial data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 414, Mar.
• Casper G. De Vries & Philipp Hartman & Stefan Straetmans, 2001, "Asset market linkages in crisis periods," Proceedings, Federal Reserve Bank of Chicago, number 727.
• Kee-Hong Bae & G. Andrew Karolyi & Rene M. Stulz, 2001, "A new approach to measuring financial contagion," Proceedings, Federal Reserve Bank of Chicago, number 743.
• Jean-Pierre Zigrand & Jon Danielsson & Hyun Song Shin, 2001, "Asset Price Dynamics with Value-at-Risk Constrained Traders," FMG Discussion Papers, Financial Markets Group, number dp394, Oct.
• Bender, A. & Hoesli, M., 2001, "Le Benchmarking Immobilier un outil de gestion de performant," Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve-, number 2001.11.
• Assoé, K., 2001, "Volatility Spillovers between Foreign Exchange and Emerging Stock Markets," Papers, Ecole des Hautes Etudes Commerciales de Montreal-, number 2001-04.
• Ait-Sahalia, Y. & Brandt, M.W., 2001, "Variable Selection for Portfolio Choice," Papers, Manitoba - Department of Economics, number 34.
• Campart, S. & Pfister, E., 2001, "Innovation et marche financiers: l'impact des avancees therapeutiques sur les rentabilites boursieres des firmes," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2001.28.
• Macminn, R.D. & Page, F.H., 2001, "Stock Options and Capital Structure," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2001.36.
• Leong, S.C. & Felminham, B., 2001, "The Interdependence of Share Markets in the Developed Economies of East Asia," Papers, Tasmania - Department of Economics, number 2001-10.