Research classified by Journal of Economic Literature (JEL) codes

2001

• Ghosal, V., 2001, "The Impact of Uncertainty and Sunk Costs on Firm Dynamics and Industry Structure: Evidence from the U.S. Manufacturing Sector," Papers, U.S. Department of Justice - Antitrust Division, number 01-1.
• Roubini, N., 1989, "Current Account And Budget Deficits In An Intertemporal Model Of Consumption And Taxation Smoothing. A Solution To The "Feldstein-Horioka" Puzzel," Papers, Yale - Economic Growth Center, number 569.
• Elyès Jouini, 2001, "Arbitrage and Control Problems in Finance. Presentation," Post-Print, HAL, number halshs-00167152.
• Munk, Claus & Sørensen, Carsten & Vinther, Tina Nygaard, 2001, "Portfolio Choice under Inflation: Are Popular Recommendations Consistent with Rational Behavior?," Working Papers, Copenhagen Business School, Department of Finance, number 2001-6, Dec.
• Raahauge, Peter, 2001, "Empirical Rationality in the Stock Market," Working Papers, Copenhagen Business School, Department of Finance, number 2001-9, Dec.
• Graflund, Andreas, 2001, "Some Time Serial Properties of the Swedish Real Estate Stock Market, 1939-1998," Working Papers, Lund University, Department of Economics, number 2001:8, Jun.
• Graflund, Andreas, 2001, "Are the Nordic Stock Markets Mean Reverting?," Working Papers, Lund University, Department of Economics, number 2001:15, Aug.
• Graflund, Andreas, 2001, "Empirical Probability Distributions of Real Return from Swedish Stock and Bond Portfolios," Working Papers, Lund University, Department of Economics, number 2001:16, Sep, revised 29 Jan 2002.
• Hoidal Bjonnes, Geir, 2001, "Winner's Curse in Discriminatory Price Auctions: Evidence from the Norwegian Treasury Bill Auctions," SIFR Research Report Series, Institute for Financial Research, number 3, Dec.
• Malkiel, Burton & Campbell, John & Lettau, Martin & Xu, Yexiao, 2001, "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Scholarly Articles, Harvard University Department of Economics, number 3128707.
• Muhammad Anwar, 2001, "Development Of Mudarabah Instruments: Understanding Their Profitability, Securitization And Negotiability Aspects," IIUM Journal of Economics and Management, IIUM Journal of Economis and Management, volume 9, issue 2, pages 165-186, December.
• Okina, Kunio & Shirakawa, Masaaki & Shiratsuka, Shigenori, 2001, "The Asset Price Bubble and Monetary Policy: Japan's Experience in the Late 1980s and the Lessons: Background Paper," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 19, issue S1, pages 395-450, February.
• Felipe Zurita, 2001, "On the Limits to Speculation in Centralized versus Decentralized Market Regimes," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 196.
• Felipe Zurita, 2001, "Liquidity as an Insurance Problem," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 198.
• Ángel León & Antonio Rubia, 2001, "Comportamiento Del Precio Y Volatilidad En El Pool Eléctrico Español," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2001-04, Mar.
• Enric Valor & Hipòlit Torró & Vicente Meneu, 2001, "Single Factor Stochastic Models With Seasonality Applied To Underlying Weather Derivatives Variables," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2001-22, Nov.
• K Blackburn & N Bose & S Capasso, 2001, "Financial Development, Financing Choice and Economic Growth," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester, number 07.
• Tim Brailsford & Jack H.W. Penm & R. Deane Terrell, 2001, "The Adjustment of the Yule-Walker Relations in VAR Modeling: The Impact of the Euro on the Hong Kong Stock Market," Multinational Finance Journal, Multinational Finance Journal, volume 5, issue 1, pages 35-58, March.
• Wing-Keung Wong & Boon-Kiat Chew & Douglas Sikorsk, 2001, "Can the Forecasts Generated from E/P Ratio and Bond Yield be Used to Beat Stock Markets?," Multinational Finance Journal, Multinational Finance Journal, volume 5, issue 1, pages 59-86, March.
• GARCIA,René & LUGER, Richard & RENAULT, Éric, 2001, "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2001-09.
• GARCIA,René & LUGER, Richard & RENAULT, Éric, 2001, "Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2001-10.
• Garcia, R. & Luger, R. & Renault, E., 2001, "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 2001-09.
• Garcia, R. & Luger, R. & Renault, E., 2001, "Empirical Assessment of an Intertemporal option Pricing Model with Latent variables," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 2001-10.
• Joshua Angrist & Alan B. Krueger, 2001, "Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments," NBER Working Papers, National Bureau of Economic Research, Inc, number 8456, Sep.
• Andrew W. Lo & Dmitry V. Repin, 2001, "The Psychophysiology of Real-Time Financial Risk Processing," NBER Working Papers, National Bureau of Economic Research, Inc, number 8508, Oct.
• Bryan R. Routledge & Stanley E. Zin, 2001, "Model Uncertainty and Liquidity," NBER Working Papers, National Bureau of Economic Research, Inc, number 8683, Dec.
• Fernando Díaz & Rodrigo Sánchez, 2001, "Acciones Tecnológicas: ¿Un Episodio De Burbujas Especulativas En El Mercado?," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., volume 4, issue 1, pages 37-82.
• Michael W. Brandt & Francis X. Diebold, 2001, "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 03-013, Sep, revised 01 Apr 2003.
• Reinhart, Carmen & Calvo, Guillermo, 2001, "Fixing for your life," MPRA Paper, University Library of Munich, Germany, number 13873.
• Michel Dietsch & Laurent Weill, 2001, "L'évaluation des fonds propres des sociétés non cotées," Revue d'Économie Financière, Programme National Persée, volume 64, issue 4, pages 211-224, DOI: 10.3406/ecofi.2001.4960.
• Michel Dietsch & Laurent Weill, 2001, "The assessment of equity of non-listed companies," Revue d'Économie Financière, Programme National Persée, volume 64, issue 4, pages 205-217, DOI: 10.3406/ecofi.2001.4498.
• Chakravarty, Sugato & Sarkar, Asani, 2001, "A Comparison of Trading Costs in the U.S. Municipal, Corporate, and Treasury Bond Market," Purdue University Economics Working Papers, Purdue University, Department of Economics, number 1148.
• Ryan J. Davies, 2001, "Matching and the Estimated Impact of Inter-listing (updated July 2003)," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2001-11, Dec, revised Jun 2003.
• Jeffrey Lacker, 2001, "Online Appendix to Collateralized Debt as the Optimal Contract," Online Appendices, Review of Economic Dynamics, number lacker01, Aug.
• Jeffrey Lacker, 2001, "Collateralized Debt as the Optimal Contract," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 4, issue 4, pages 842-859, October, DOI: 10.1006/redy.2001.0138.
• Shahin Shojai, 2001, "Financial Collaborative Trading Networks," Journal of Financial Transformation, Capco Institute, volume 1, pages 30-37.
• Nicholas Economides, 2001, "The impact of the Internet on financial markets," Journal of Financial Transformation, Capco Institute, volume 1, pages 8-13.
• Asmara Jamaleh, 2001, "Un modello a soglia per la volatilità del mercato azionario italiano: performance previsive e valutazione del rischio di portafoglio," Rivista di Politica Economica, SIPI Spa, volume 91, issue 2, pages 79-132, February.
• Robert A. Connolly, Nuray G½ner, and Kenneth N. Hightower, 2001, "Is There More to Long Memory in Fixed-Income Excess Returns and Volatility than Structural Instability?," Computing in Economics and Finance 2001, Society for Computational Economics, number 223, Apr.
• Guo Ying (Rosemary) Luo, 2001, "Evolution, Efficiency and Noise Traders in a One-Sided Auction Market," Computing in Economics and Finance 2001, Society for Computational Economics, number 49, Apr.
• Neil F. Johnson, David Lamper, Paul Jefferies, Michael Hart and Sam Howison, 2001, "Profit opportunities, crash prediction and risk minimization in artificial and real-world markets," Computing in Economics and Finance 2001, Society for Computational Economics, number 86, Apr.
• Irene Giardina & Jean-Philippe Bouchaud & Marc Mezard, 2001, "Microscopic models for long ranged volatility correlations," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500024, Jan.
• Marc Potters & Jean-Philippe Bouchaud & Dragan Sestovic, 2001, "Hedge your Monte Carlo," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500032, Mar.
• Fulvio Ortu, 2001, "Arbitrage, linear programming and martingales¶in securities markets with bid-ask spreads," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 24, issue 2, pages 79-105, November, DOI: 10.1007/s102030170001.
• Ole E. Barndorff-Nielsen & Karsten Prause, 2001, "Apparent scaling," Finance and Stochastics, Springer, volume 5, issue 1, pages 103-113.
• Murad S. Taqqu, 2001, "Bachelier and his times: A conversation with Bernard Bru," Finance and Stochastics, Springer, volume 5, issue 1, pages 3-32.
• Jun Pan & Darrell Duffie, 2001, "Analytical value-at-risk with jumps and credit risk," Finance and Stochastics, Springer, volume 5, issue 2, pages 155-180.
• Dirk Becherer, 2001, "The numeraire portfolio for unbounded semimartingales," Finance and Stochastics, Springer, volume 5, issue 3, pages 327-341.
• Tommi Sottinen, 2001, "Fractional Brownian motion, random walks and binary market models," Finance and Stochastics, Springer, volume 5, issue 3, pages 343-355.
• Thomas Møller, 2001, "Risk-minimizing hedging strategies for insurance payment processes," Finance and Stochastics, Springer, volume 5, issue 4, pages 419-446.
• Hakan Berument & Halil Kiymaz, 2001, "The day of the week effect on stock market volatility," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 25, issue 2, pages 181-193, June, DOI: 10.1007/BF02744521.
• Antonio E. Bernardo, 2001, "Contractual restrictions on insider trading: a welfare analysis," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 18, issue 1, pages 7-35.
• Elena Andreou & Eric Ghysels, 2001, "Detecting Multiple Breaks in Financial Market Volatility Dynamics," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 0202, Oct.
• Giovanni Cespa, 2001, "A comparison of stock market mechanisms," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 545, May, revised Nov 2003.
• Josep Garcia Blandón, 2001, "New findings regarding return autocorrelation anomalies and the importance of non-trading periods," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 585, Nov.
• David Heath & Eckhard Platen & Martin Schweizer, 2001, "Numerical Comparison of Local Risk-Minimisation & Mean-Variance Hedging," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2001-3, Jan.
• Eckhard Platen, 2001, "A Minimal Financial Market Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 48, Mar.
• Eckhard Platen, 2001, "A Benchmark Model for Financial Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 59, Jun.
• Mark Craddock & Eckhard Platen, 2001, "Benchmark Pricing of Credit Derivatives Under a Standard Market Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 60, Jun.
• Eckhard Platen, 2001, "Arbitrage in Continuous Complete Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 72, Dec.
• Author Miloslav, 2001, "Bifurcation Routes in Financial Markets," Finance, University Library of Munich, Germany, number 0109001, Sep.
• E. W. Piotrowski & J. Sladkowski, 2001, "Quantum Market Games," Game Theory and Information, University Library of Munich, Germany, number 0103003, Apr.
• Robert J. Shiller & Stefano Athanasoulis, 2001, "The Significance of the Market Portfolio," Yale School of Management Working Papers, Yale School of Management, number ysm133, Mar.
• Liang Peng, 2001, "Dynamics of Effective Quotes and Spreads Between Consecutive Trades - A Real-Time Structural Model of Price Formation," Yale School of Management Working Papers, Yale School of Management, number ysm179, Apr.
• Alok Kumar & Ravi Dhar, 2001, "A Non-Random Walk Down the Main Street: Impact of Price Trends on Trading Decisions of Individual Investors," Yale School of Management Working Papers, Yale School of Management, number ysm208, Jun.
• Stefano Athanasoulis & Robert J. Shiller, 2001, "Defining Residual Risk-Sharing Opportunities: Pooling World Income Components," Yale School of Management Working Papers, Yale School of Management, number ysm209, Jul.
• Zhiwu Chen & Ming Dong, 2001, "Stock Valuation and Investment Strategies," Yale School of Management Working Papers, Yale School of Management, number ysm212, Jul, revised 01 Oct 2001.
• Liang Peng, 2001, "Trading Takes Time," Yale School of Management Working Papers, Yale School of Management, number ysm234, Oct.
• Koch, Alexander K. & Lazarov, Zdravetz, 2001, "Clustering of Trading Activity in the DAX Index Options Market," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 30/2001.
• Theissen, Erik, 2001, "Price Discovery in Floor and Screen Trading Systems," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 35/2001.
• Arnswald, Torsten, 2001, "Investment Behaviour of German Equity Fund Managers - An Exploratory Analysis of Survey Data," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2001,08.
• Platen, Eckhard, 2001, "A benchmark model for financial markets," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,52.
• Hayo, Bernd & Kutan, Ali M., 2001, "Investor panic, IMF actions, and emerging stock market returns and volatility: A panel investigation," ZEI Working Papers, University of Bonn, ZEI - Center for European Integration Studies, number B 27-2001.
• Robert E. Hall, 2001, "Struggling to Understand the Stock Market," American Economic Review, American Economic Association, volume 91, issue 2, pages 1-11, May.
• Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2001, "Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test," Center Discussion Papers, Yale University, Economic Growth Center, number 28420, DOI: 10.22004/ag.econ.28420.
• Charles Gaa & Stephen Lumpkin & Robert Ogrodnick & Peter Thurlow, 2001, "The Future Prospects for National Financial Markets and Trading Centres," Staff Working Papers, Bank of Canada, number 01-10, DOI: 10.34989/swp-2001-10.
• Paulo Coutinho & Benjamin Miranda Tabak, 2001, "Decentralized Portfolio Management," Working Papers Series, Central Bank of Brazil, Research Department, number 22, Jun.
• Marcello Pericoli & Massimo Sbracia, 2001, "A Primer on Financial Contagion," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 407, Jun.
• Giancarlo Corsetti & Marcello Pericoli & Massimo Sbracia, 2001, "Correlation Analysis of Financial Contagion: What One Should Know before Running a Test," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 408, Jun.
• Michael Rockinger & Eric Jondeau, 2001, "Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis," Working papers, Banque de France, number 79.
• Antonio Scalia & Valerio Vacca, 2001, "Does market transparency matter? A case study," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "Market liquidity: proceedings of a workshop held at the BIS".
• Claudio Borio, 2009, "Ten propositions about liquidity crises," BIS Working Papers, Bank for International Settlements, number 293, Nov.
• Claudio Borio, 2011, "Rediscovering the macroeconomic roots of financial stability policy: journey, challenges and a way forward," BIS Working Papers, Bank for International Settlements, number 354, Sep.
• Mark Crosby, 2001, "Stock Returns and Inflation," Australian Economic Papers, Wiley Blackwell, volume 40, issue 2, pages 156-165, June, DOI: 10.1111/1467-8454.00119.
• Dušan Isakov & Bernard Morard, 2001, "Improving Portfolio Performance with Option Strategies: Evidence from Switzerland," European Financial Management, European Financial Management Association, volume 7, issue 1, pages 73-91, March, DOI: 10.1111/1468-036X.00145.
• Kamstra, Mark & Kennedy, Peter & Suan, Teck-Kin, 2001, "Combining Bond Rating Forecasts Using Logit," The Financial Review, Eastern Finance Association, volume 36, issue 2, pages 75-96, May.
• John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2001, "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, volume 56, issue 1, pages 1-43, February, DOI: 10.1111/0022-1082.00318.
• Sudipto Bhattacharya & Giovanna Nicodano, 2001, "Insider Trading, Investment, and Liquidity: A Welfare Analysis," Journal of Finance, American Finance Association, volume 56, issue 3, pages 1141-1156, June, DOI: 10.1111/0022-1082.00359.
• Martin Lettau & Sydney Ludvigson, 2001, "Consumption, Aggregate Wealth, and Expected Stock Returns," Journal of Finance, American Finance Association, volume 56, issue 3, pages 815-849, June, DOI: 10.1111/0022-1082.00347.
• Ľluboš Pástor & Robert F. Stambaugh, 2001, "The Equity Premium and Structural Breaks," Journal of Finance, American Finance Association, volume 56, issue 4, pages 1207-1239, August, DOI: 10.1111/0022-1082.00365.
• Yacine AÏT‐SAHALI & Michael W. Brandt, 2001, "Variable Selection for Portfolio Choice," Journal of Finance, American Finance Association, volume 56, issue 4, pages 1297-1351, August, DOI: 10.1111/0022-1082.00369.
• Frank Heflin & Kenneth W. Shaw, 2001, "Adverse Selection, Inventory‐Holding Costs, And Depth," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, volume 24, issue 1, pages 65-82, March, DOI: 10.1111/j.1475-6803.2001.tb00818.x.
• Søren Bo Nielsen, 2001, "A Simple Model of Commodity Taxation and Cross‐border Shopping," Scandinavian Journal of Economics, Wiley Blackwell, volume 103, issue 4, pages 599-623, December, DOI: 10.1111/1467-9442.00262.
• Juan Antonio Morales Anaya, 2001, "La banca y el desarrollo," Revista de Análisis del BCB, Banco Central de Bolivia, volume 4, issue 1, pages 9-30, June.
• Ricardo Schefer, 2001, "FJP: Entre los aportantes y la inversión real," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 199, Sep.
• Rodolfo Apreda, 2001, "Arbitraging mispriced assets with separation portfolios to lessen total risk," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 203, Nov.
• Bernd Rudolph & Bernhard Duijm, 2001, "Braucht der Neue Markt eine neue Regulierung?," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 54, issue 10, pages 3-8, October.
• Peter Christoffersen & Jinyong Hahn & Atsushi Inoue, 2001, "Testing and Comparing Value-at-Risk Measures," CIRANO Working Papers, CIRANO, number 2001s-03, Jan.
• John W. Galbraith & Serguei Zernov & Victoria Zinde-Walsh, 2001, "Conditional Quantiles of Volatility in Equity Index and Foreign Exchange Data," CIRANO Working Papers, CIRANO, number 2001s-61, Nov.
• Elena Andreou & Eric Ghysels, 2001, "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers, CIRANO, number 2001s-65, Nov.
• Alberto Jaramillo & Adriana Ángel Jíménez, 2001, "Empresa y coyuntura económica. Análisis de entidades bancarias," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 3923, Jun.
• María Angélica Arbeláez Restrepo & Juan Jos� Echavarr�a, 2001, "Crédito, liberalización financiera e inversión en el sector manufacturero colombiano," Coyuntura Económica, Fedesarrollo.
• Ignacio V√©lez Pareja, 2001, "Calculating Betas (C√°lculo De Betas. In Spanish)," Proyecciones Financieras y Valoración, Master Consultores, number 8084, Feb.
• Ignacio V√©lez Pareja, 2001, "Calculating Betas," Proyecciones Financieras y Valoración, Master Consultores, number 8085, Feb.
• Mello, Antonio S. & Attari, Mukarram, 2001, "Arbitrage with Inelastic Liquidity Demand and Financial Constraints," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2672, Jan.
• Wolff, Christian & Lehnert, Thorsten, 2001, "Modelling Scale-Consistent VaR with the Truncated Lévy Flight," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2711, Feb.
• Dellas, Harris & Hess, Martin, 2001, "Financial Development and the Sensitivity of Stock Markets to External Influences," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2766, Apr.
• Hollifield, Burton & SandÃ¥s, Patrik & Miller, Robert, 2001, "Empirical Analysis of Limit Order Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2843, Jun.
• Foucault, Thierry & Kandel, Eugene & Kadan, Ohad, 2001, "Limit Order Book as a Market for Liquidity," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2889, Aug.
• Reichlin, Pietro & Bloise, Gaetano, 2001, "Risk and Intermediation in a Dual Financial Market Model," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2909, Aug.
• de Vries, Casper & Hartmann, Philipp & Straetmans, Stefan, 2001, "Asset Market Linkages in Crisis Periods," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2916, Aug.
• Portes, Richard, 2001, "The Euro and the International Financial System," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2955, Aug.
• Lettau, Martin & Ludvigson, Sydney, 2001, "Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3104, Dec.
• Lettau, Martin & Ludvigson, Sydney, 2001, "Measuring and Modelling Variation in the Risk-Return Trade-off," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3105, Dec.
• Laurence Lescourret & Thierry Foucault, 2001, "Information Sharing Liquidity and Transaction Costs in Floor-Based Trading Systems," Working Papers, Center for Research in Economics and Statistics, number 2001-18.
• David Veredas & Juan Rodriguez-Poo & Antoni Espasa, 2001, "On the (Intradaily) Seasonality and Dynamics of a Financial Point Process : A Semiparametric Approach," Working Papers, Center for Research in Economics and Statistics, number 2001-19.
• Veredas, David & Rodríguez Poo, Juan M. & Espasa, Antoni, 2001, "On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws013321, Jun.
• DENUIT, Michel & SAILLET, Olivier, 2001, "Nonparametric Tests for Positive Quadrant Dependence," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2001009, Jan, revised 01 Apr 2001.
• Domenico Cuoco & Hua He, 2001, "Dynamic Aggregation and Computation of Equilibria in Finite-Dimensional Economies with Incomplete Financial Markets," Annals of Economics and Finance, Society for AEF, volume 2, issue 2, pages 265-296, November.
• Zhiwu Chen, 2001, "Viable Costs and Equilibrium Prices in Frictional Securities Markets," Annals of Economics and Finance, Society for AEF, volume 2, issue 2, pages 297-323, November.
• Robert J. Shiller, 2001, "Bubbles, Human Judgment, and Expert Opinion," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1303, May.
• Ivo Welch, 2001, "The Equity Premium Consensus Forecast Revisited," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1325, Sep.
• FOUCAULT, Thierry & KADAN, Ohad & KANDEL, Eugene, 2001, "Limit order book as a market for liquidity," HEC Research Papers Series, HEC Paris, number 728, Jul.
• FOUCAULT, Thierry & LESCOURRET, Laurence, 2001, "Information sharing, liquidity and transaction costs in floor-based trading systems," HEC Research Papers Series, HEC Paris, number 742, Nov.
• Lei, Vivian & Noussair, Charles N & Plott, Charles R, 2001, "Nonspeculative Bubbles in Experimental Asset Markets: Lack of Common Knowledge of Rationality vs. Actual Irrationality," Econometrica, Econometric Society, volume 69, issue 4, pages 831-859, July.
• Christoffersen, Peter & Hahn, Jinyong & Inoue, Atsushi, 2001, "Testing and comparing Value-at-Risk measures," Journal of Empirical Finance, Elsevier, volume 8, issue 3, pages 325-342, July.

2000

• Jon Danielsson & Casper G. De Vries, 2000, "Value-at-Risk and Extreme Returns," Annals of Economics and Statistics, GENES, issue 60, pages 239-270.
• Marianne Demarchi & Thierry Foucault, 2000, "Equity Trading Systems in Europe: A Survey of Recent Changes," Annals of Economics and Statistics, GENES, issue 60, pages 73-115.
• Davies, Ryan, 2000, "Registered trader participation during the Toronto Stock Exchange’s pre-opening session," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273423, Nov, DOI: 10.22004/ag.econ.273423.
• Richard D.F. Harris & Rene Sanchez‐Valle, 2000, "The Gilt‐Equity Yield Ratio and the Predictability of UK and US Equity Returns," Journal of Business Finance & Accounting, Wiley Blackwell, volume 27, issue 3‐4, pages 333-357, April, DOI: 10.1111/1468-5957.00316.
• Arnoud W. A. Boot & Anjan V. Thakor, 2000, "Can Relationship Banking Survive Competition?," Journal of Finance, American Finance Association, volume 55, issue 2, pages 679-713, April, DOI: 10.1111/0022-1082.00223.
• Gabriel Perez‐Quiros & Allan Timmermann, 2000, "Firm Size and Cyclical Variations in Stock Returns," Journal of Finance, American Finance Association, volume 55, issue 3, pages 1229-1262, June, DOI: 10.1111/0022-1082.00246.
• David E. Wildasin, 2000, "Factor Mobility and Fiscal Policy in the EU: Policy Issues and Analytical Approaches," CESifo Working Paper Series, CESifo, number 344.
• Svein Andresen, 2000, "The Financial Stability Forum ; reform of the international architecture," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 1, issue 04, pages 18-20, October.
• Barry Eichengreen, 2000, "Realistic and romantic reforms of the international financial system : reform of the international architecture," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 1, issue 04, pages 3-8, October.
• Allan Meltzer, 2000, "The report of the International Financial Institution Advisory Commission : comments on the critics ; reform of the international architecture," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 1, issue 04, pages 9-17, October.
• Rigmar Osterkamp, 2000, "Börsenlandschaft im Umbruch," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 53, issue 19, pages 48-48, July.
• Eric Ghysels & Junghoon Seon, 2000, "The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors," CIRANO Working Papers, CIRANO, number 2000s-11, Mar.
• Elena Andreou & Eric Ghysels, 2000, "Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results," CIRANO Working Papers, CIRANO, number 2000s-19, May.
• Alberto Carrasquilla & Arturo Galindo A. & Diego Mauricio V�squez, 2000, "El gran apretón crediticio en Colombia: una interpretación," Coyuntura Económica, Fedesarrollo.
• TIRELLI, Mario, 2000, "Constrained suboptimality and financial innovation in GEI with a single commodity," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2000019, Mar.
• GIOT, Pierre, 2000, "Intraday value-at-risk," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2000045, Sep.
• Guiso, Luigi & Jappelli, Tullio, 2000, "Household Portfolios in Italy," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2549, Sep.
• Sentana, Enrique, 2000, "Did the EMS Reduce the Cost of Capital?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2640, Dec.
• René Garcia & Richard Luger & Eric Renault, 2000, "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables," Working Papers, Center for Research in Economics and Statistics, number 2000-56.
• René Garcia & Richard Luger & Eric Renault, 2000, "Asymmetric Smiles, Leverage Effects and Structural Parameters," Working Papers, Center for Research in Economics and Statistics, number 2000-57.
• Charles Cao & Hyuk Choe, 2000, "Evolution of Transitory Volatility over the Week," Annals of Economics and Finance, Society for AEF, volume 1, issue 1, pages 49-77, May.
• Boyer, C. & Demange, G., 2000, "Imperfect Competition on Stock Markets: the Impact of Options at the Exercise Date," DELTA Working Papers, DELTA (Ecole normale supérieure), number 2000-06.
• Hervé Alexandre & Maxime Merli, 2000, "Rating and Spread:The French Market before Euro," Working Papers CREGO, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations, number 1000304, Mar, revised Sep 2002.
• THIESSEN, Eric, 2000, "Trader Anonymity, Price Formation and Liquidity," HEC Research Papers Series, HEC Paris, number 701, Feb.
• SOLNIK, Bruno & COLLIN-DUFRESNE, Pierre, 2000, "On the term structure of default premia in the Swap and Libor markets," HEC Research Papers Series, HEC Paris, number 704, May.
• ROCKINGER, Michael & JONDEAU, Eric, 2000, "Entropy densities," HEC Research Papers Series, HEC Paris, number 709, Feb.
• CITANNA, Alessandro, 2000, "Proportional transaction costs on asset trades : a note on existence by homotopy methods," HEC Research Papers Series, HEC Paris, number 717, Dec.
• Campa, Jose M., 2000, "Exchange rates and trade: How important is hysteresis in trade?," IESE Research Papers, IESE Business School, number D/427, Oct.
• Pierre-Olivier Gourinchas & Aaron Tornell, 2000, "Exchange Rate Dynamics, Learning and Misperception," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0795, Aug.
• Peter L. Rousseau & Richard Sylla, 2000, "Emerging Financial Markets and Early U.S. Growth," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1254, Aug.
• Harrison Hong & Sven Rady, 2000, "Strategic Trading and Learning about Liquidity," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1351, Aug.
• Bryan R. Routledge & Stanley E. Zin, 2000, "Model Uncertainty and Liquidity," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1617, Aug.
• Fernandez-Rodriguez, Fernando & Gonzalez-Martel, Christian & Sosvilla-Rivero, Simon, 2000, "On the profitability of technical trading rules based on artificial neural networks:: Evidence from the Madrid stock market," Economics Letters, Elsevier, volume 69, issue 1, pages 89-94, October.
• Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 2000, "Pricing and hedging long-term options," Journal of Econometrics, Elsevier, volume 94, issue 1-2, pages 277-318.
• Graflund, Andreas, 2000, "A Swedish Real Estate Stock Market Index, 1939-1998," Working Papers, Lund University, Department of Economics, number 2000:7, Sep, revised 17 May 2001.
• Graflund, Andreas, 2000, "A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Working Papers, Lund University, Department of Economics, number 2000:8, Oct, revised 30 Jan 2002.
• Réthi, Sándor, 2000, "Gyöngyvirágtól lombhullásig. Az orosz tőzsde tündöklése és bukása
  [The rise and fall of the Russian stock exchange]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 4, pages 321-340.
• Freixas, Xavier & Parigi, Bruno M & Rochet, Jean-Charles, 2000, "Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank," Journal of Money, Credit and Banking, Blackwell Publishing, volume 32, issue 3, pages 611-638, August.
• Richard Chung & Lawrence Kryzanowski & Ian Rakita, 2000, "The Relationship Between Overallotment Options, Underwriting Fees and Price Stabilization For Canadian IPOs," Multinational Finance Journal, Multinational Finance Journal, volume 4, issue 1-2, pages 5-34, March-Jun.
• Hailiang Yang, 2000, "An Integrated Risk Management Method: VaR Approach," Multinational Finance Journal, Multinational Finance Journal, volume 4, issue 3-4, pages 201-219, September.
• Arnaldo Mauri, 2000, "La finanza informale nelle economie in via di sviluppo," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2000-009, Jan.
• Arnaldo Mauri, 2000, "La finanza informale nelle economie in via di sviluppo," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2000-09, Jan.
• Gunther Capelle-Blancard & Emmanuel Jurczenko, 2000, "Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number bla00005, Jan.
• Martin, G.M. & Forbes, C.S. & Martin, V.L., 2000, "Implicit Bayesian Inference Using Option Prices," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 5/00, Jul.
• GARCIA, René & RENAULT, Éric, 2000, "Latent Variable Models for Stochastic Discount Factors," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2000-01.
• Garcia, R. & Renault, E., 2000, "Letent Variable Models for Stochastic Discount Factors," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 2000-01.