Research classified by Journal of Economic Literature (JEL) codes

2003

• Parisi F, Antonino & Parisi F, Franco & Guerrero C., José Luis, 2003, "Modelos predictivos de redes neuronales en índices bursátiles," El Trimestre Económico, Fondo de Cultura Económica, volume 70, issue 280, pages 721-744, octubre-d.
• Hipòlit Torró & Vicente Meneu & Enric Valor, 2003, "Single Factor Stochastic Models with Seasonality Applied to Underlying Weather Derivatives Variables," Journal of Risk Finance, Emerald Group Publishing Limited, volume 4, issue 4, pages 6-17, March, DOI: 10.1108/eb022969.
• Pouchkarev, I. & Spronk, J. & van Vliet, P., 2003, "Portfolio Return Characteristics of Different Industries," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2003-014-F&A, Feb.
• Morten Balling (ed.), 2003, "The Theory of Financial Intermediation: An Essay On What It Does (Not) Explain," SUERF Studies, SUERF - The European Money and Finance Forum, number 2003/1, ISBN: ARRAY(0x76429aa8), October.
• Morten Balling (ed.), 2003, "Monetary and Financial Thinking in Europe - Evidence from Four Decades of SUERF," SUERF Studies, SUERF - The European Money and Finance Forum, number 2003/3, ISBN: ARRAY(0x75c38f80), October.
• C. Guermat & K. Hadri & C. C. Kucukozmen, 2003, "Forecasting Value at Risk in Emerging Arab Stock Markets," Discussion Papers, University of Exeter, Department of Economics, number 0303, Dec.
• Jean-David FERMANIAN & Olivier SCAILLET, 2003, "Nonparametric Estimation of Copulas for Time Series," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp57, Feb.
• Jean-David FERMANIAN & Olivier SCAILLET, 2003, "Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp89, Jul.
• Matti Keloharju & Kjell G. Nyborg & Kristian Rydqvist, 2003, "Strategic Behavior and Underpricing in Uniform Price Auctions," Working Papers, Fondazione Eni Enrico Mattei, number 2003.25, Mar.
• Peter L. Rousseau, 2003, "Historical perspectives on financial development and economic growth," Review, Federal Reserve Bank of St. Louis, volume 85, issue Jul, pages 81-106.
• Markus K Brunnermeier & Lasse Heje Pederson, 2003, "Predatory Trading," FMG Discussion Papers, Financial Markets Group, number dp441, Mar.
• Richard Payne, 2003, "Macroeconomic news, order flows and exchange rates," FMG Discussion Papers, Financial Markets Group, number dp475, Dec.
• Fermanian, Jean-David & Scaillet, Olivier, 2003, "Nonparametric estimation of copulas for time series," Working Papers, University of Geneva, Geneva School of Economics and Management, number unige:41797.
• Thierry Foucault & Laurence Lescourret, 2003, "Information Sharing, Liquidity and Transaction Costs in Floor-Based Trading Systems," Post-Print, HAL, number hal-00481203, Dec.
• Hervé Alexandre & Maxime Merli, 2003, "Notations et écarts de rentabilité : le marché français avant l'euro," Post-Print, HAL, number hal-01622853, Sep.
• Abhaysingh Chavan & Rajendra R. Vaidya, 2003, "Financial Liberalization in India and the Bank Lending Channel of Monetary Transmissionâ€," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, volume 4, issue 2, pages 221-243, September, DOI: 10.1177/139156140300400204.
• Markus Glaser & Martin Weber, 2003, "Momentum and Turnover: Evidence from the German Stock Market," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 55, issue 2, pages 108-135, April.
• Giovanni Cespa, 2003, "A Comparison of Stock Market Mechanism," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 94, Apr.
• Keith Blackburn & Niloy Bose & Salvatore Capasso, 2003, "Financial Development, Financing Choice and Economic Growth," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 96, Apr.
• Giovanni Cespa, 2003, "Giffen Goods and Market Making," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 97, May.
• Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2003, "Fluctuations and response in financial markets: the subtle nature of `random' price changes," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 0307332, Jul.
• Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2003, "Multiple time scales in volatility and leverage correlation: A stochastic volatility model," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 50001, Feb.
• Marc Potters & Jean-Philippe Bouchaud, 2003, "Comment on: "Two-phase behaviour of financial markets"," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 50002, Apr.
• Matthieu Wyart & Jean-Philippe Bouchaud, 2003, "Self-referential behaviour, overreaction and conventions in financial markets," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500020, Mar.
• Benoit Pochard & Jean-Philippe Bouchaud, 2003, "Option pricing and hedging with minimum expected shortfall," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500029, Aug.
• Martin Schweizer & Dirk Becherer & Jürgen Amendinger, 2003, "A monetary value for initial information in portfolio optimization," Finance and Stochastics, Springer, volume 7, issue 1, pages 29-46.
• Paul Embrechts & Andrea Höing & Alessandro Juri, 2003, "Using copulae to bound the Value-at-Risk for functions of dependent risks," Finance and Stochastics, Springer, volume 7, issue 2, pages 145-167.
• Thomas Møller, 2003, "Indifference pricing of insurance contracts in a product space model," Finance and Stochastics, Springer, volume 7, issue 2, pages 197-217.
• Winfried Hallerbach, 2003, "Cross- and auto-correlation effects arising from averaging: the case of US interest rates and equity duration," Applied Financial Economics, Taylor & Francis Journals, volume 13, issue 4, pages 287-294, DOI: 10.1080/09603100210135720.
• David Heath & Eckhard Platen, 2003, "Pricing of index options under a minimal market model with log-normal scaling," Quantitative Finance, Taylor & Francis Journals, volume 3, issue 6, pages 442-450, DOI: 10.1088/1469-7688/3/6/303.
• Ioannidou, V. & Pierides, Y., 2003, "The Bank's Choice of Financing and the Correlation Structure of Loan Returns," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-51.
• van den Goorbergh, R.W.J. & de Roon, F.A. & Werker, B.J.M., 2003, "Economic Hedging Portfolios," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-102.
• Jean-Charles Rochet & Jean Tirole, 2003, "Platform Competition in Two-Sided Markets," Journal of the European Economic Association, MIT Press, volume 1, issue 4, pages 990-1029, June.
• Juncal Cunado & Javier Gómez Biscarri & Fernando Pérez de Gracia, 2003, "Structural Changes in Volatility and Stock Market Development: Evidence for Spain," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 06/03, Apr.
• Gleason, Katherine I. & Klock, Mark S., 2003, "Intangible capital in the pharmaceutical & chemical industry," Working Papers, University of New Orleans, Department of Economics and Finance, number 2003-04, Feb.
• Gleason, Katherine I., 2003, "Insider trading, NASDAQ quotes, and market maker competition," Working Papers, University of New Orleans, Department of Economics and Finance, number 2003-09, Feb.
• Joachim Grammig & Erik Theissen, 2003, "Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?," University of St. Gallen Department of Economics working paper series 2003, Department of Economics, University of St. Gallen, number 2003-01, Jan.
• David Heath & Eckhard Platen, 2003, "Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 101, Jun.
• Eckhard Platen, 2003, "Modeling the Volatility and Expected Value of a Diversified World Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 103, Jun.
• Eckhard Platen & Jason West, 2003, "Fair Pricing of Weather Derivatives," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 106, Sep.
• Eckhard Platen, 2003, "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 110, Oct.
• Eckhard Platen, 2003, "A Benchmark Framework for Risk Management," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 113, Nov.
• Eckhard Platen, 2003, "Diversified Portfolios in a Benchmark Framework," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 87, Jan.
• Eckhard Platen, 2003, "An Alternative Interest Rate Term Structure Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 97, Jun.
• Posthuma, Nolke & Sluis, Pieter Jelle van der, 2003, "A Reality Check on Hedge Funds Returns," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0017.
• Jaime A. Londoño, 2003, "Parametric Estimation Of Diffusion Processes Sampled At First Exit Time," Econometrics, University Library of Munich, Germany, number 0305002, May, revised 16 Feb 2004.
• Federico Bandi & Benoit Perron, 2003, "Long memory and the relation between implied and realized volatility," Econometrics, University Library of Munich, Germany, number 0305004, May.
• Cumhur Ekinci, 2003, "A Statistical Analysis of Intraday Liquidity, Returns and Volatility of an Individual Stock from the Istanbul Stock Exchange," Finance, University Library of Munich, Germany, number 0305006, May, revised 22 Nov 2004.
• Thomas Schuster, 2003, "News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media," Finance, University Library of Munich, Germany, number 0305009, May.
• Sohnke M. Bartram & Frank R. Fehle, 2003, "Competition among Alternative Option Market Structures: Evidence from Eurex vs. Euwax," Finance, University Library of Munich, Germany, number 0307005, Jul, revised 06 Nov 2003.
• Thomas Schuster, 2003, "Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media," Finance, University Library of Munich, Germany, number 0307014, Jul.
• Dmitry Yakovlev & Dmitry Zhabin, 2003, "About discrete hedging and option pricing," Finance, University Library of Munich, Germany, number 0310005, Oct.
• Sohnke M. Bartram & Frank R. Fehle, 2003, "Alternative Market Structures for Derivatives," Finance, University Library of Munich, Germany, number 0311007, Nov, revised 12 Dec 2003.
• Patrick BISCIARI & Alain DURRE & Alain NYSSENS, 2003, "Stock Market Valuation In The United States," Finance, University Library of Munich, Germany, number 0312011, Dec.
• James R. Lothian & Cornelia H. McCarthy, 2003, "Equity Returns and Inflation: The Puzzlingly Long Lags," International Finance, University Library of Munich, Germany, number 0311007, Nov.
• Lamon Rutten, 2003, "The feasibility of an international tropical plywood futures contract," Risk and Insurance, University Library of Munich, Germany, number 0301001, Jan.
• Vivek Ghosal, 2003, "Impact of Uncertainty and Sunk Costs on Firm Survival and Industry Dynamics," CIG Working Papers, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG), number SP II 2003-12, Sep.
• Glaser, Markus & Langer, Thomas & Weber, Martin, 2003, "On the trend recognition and forecasting ability of professional traders," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 03-06, Apr.
• Glaser, Markus & Weber, Martin, 2003, "Overconfidence and Trading Volume," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 03-07, Apr.
• Langer, Thomas & Weber, Martin, 2003, "Does Binding or Feeback Influence Myopic Loss Aversion - An Experimental Analysis," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 03-20, Oct.
• William N. Goetzmann & Massimo Massa, 2003, "Disposition Matters: Volume, Volatility and PriceImpact of a Behavioral Bias," Yale School of Management Working Papers, Yale School of Management, number ysm14, Jan.
• Massimo Massa & William Goetzmann, 2003, "Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias," Yale School of Management Working Papers, Yale School of Management, number ysm333, Feb, revised 01 Apr 2005.
• Susana Callao Gast�n & Beatriz Cu�llar Fern�ndez & Jos� Ignacio Jarne Jarne & Jos� Antonio La�nez Gadea, 2003, "The valuation of earnings components by the capital markets. An international comparison," Documentos de Trabajo, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza, number dt2003-02, Feb.
• Oehler, Andreas, 2003, "Zur Makrostruktur von Finanzmärkten: Börsen als Finanzintermediäre im Wettbewerb," Discussion Papers, University of Bamberg, Chair of Finance, number 22.
• Engelmann, Bernd & Hayden, Evelyn & Tasche, Dirk, 2003, "Measuring the Discriminative Power of Rating Systems," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2003,01.
• Mittnik, Stefan & Paolella, Marc S., 2003, "Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions," CFS Working Paper Series, Center for Financial Studies (CFS), number 2003/04.
• Franzke, Stefanie A. & Grohs, Stefanie & Laux, Christian, 2003, "Initial public offerings and venture capital in Germany," CFS Working Paper Series, Center for Financial Studies (CFS), number 2003/26.
• Bouis, Romain, 2003, "IPOs cycle and investment in high-tech industries," CFS Working Paper Series, Center for Financial Studies (CFS), number 2003/47.
• Pohlmeier, Winfried & Liesenfeld, Roman, 2003, "A Dynamic Integer Count Data Model for Financial Transaction Prices," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 03/03.
• Heidorn, Thomas & König, Lars, 2003, "Investitionen in Collateralized Debt Obligations," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 44.
• Reszat, Beate, 2003, "Japan's Financial Markets: The Lost Decade," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 231.
• Eisenschmidt, Jens & Wälde, Klaus, 2003, "International trade, hedging and the demand for forward contracts," Dresden Discussion Paper Series in Economics, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics, number 19/03.
• Lidén, Erik R., 2003, "Swedish Stock Recommendations: Information Content or Price Pressure?," Working Papers in Economics, University of Gothenburg, Department of Economics, number 98, May, revised 19 Nov 2004.
• Lidén, Erik R., 2003, "Stock Recommendations in Swedish Printed Media: Leading or Misleading?," Working Papers in Economics, University of Gothenburg, Department of Economics, number 99, May, revised 17 Nov 2004.
• Ahn, Sanghoon, 2003, "Technology Upgrading with Learning Cost," CEI Working Paper Series, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University, number 2003-21, Sep.
• Rochet, Jean-Charles & Tirole, Jean, 2003, "Platform Competition in Two-Sided Markets," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 152.
• Christos I. Giannikos & Hany Guirguis & Deniz Ozenbas, 2003, "Is Volatility of Equity Markets a Volume Story? A Nonparametric Analysis," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 2, issue 1, pages 49-55, April.
• Dar-Hsin Chen & Lloyd P. Blenman, 2003, "An Extended Model of Serial Covariance Bid-Ask Spreads," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 2, issue 1, pages 75-83, April.
• Saiful Azhar Rosly & Azizi Che Semanb, 2003, "JURISTIC VIEWPOINTS ON BAYC Al-C¡NAH IN MALAYSIA: A SURVEY," IIUM Journal of Economics and Management, IIUM Journal of Economis and Management, volume 11, issue 1, pages 87-112, June.
• Antonio Mínguez Vera & Juan Francisco Martín Ugedo, 2003, "Concentración Accionarial Y Liquidez De Mercado: Un Analisis Con Ecuaciones Simultáneas," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2003-20, Nov.
• Jelena Zubkova, 2003, "Interest Rate Term Structure in Latvia in the Monetary Policy Context," Working Papers, Latvijas Banka, number 2003/03, Dec.
• S Capasso, 2003, "Stock Market Development and Economic Growth: A matter of informational problems," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester, number 32.
• Anthony J. Seymour & Daniel A. Polakow, 2003, "A Coupling of Extreme-Value Theory and Volatility Updating with Value-at-Risk Estimation in Emerging Markets: A South African Test," Multinational Finance Journal, Multinational Finance Journal, volume 7, issue 1-2, pages 3-23, March-Jun.
• Langer, Thomas & Weber, Martin, 2003, "Does binding or feedback influence myopic loss aversion : an experimental analysis," Papers, Sonderforschungsbreich 504, number 03-20.
• Jean-Pierre Galavielle, 2003, "Y a-t-il une théorie des marchés financiers ?," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number r04029, Dec.
• Patrick Bisciari & Alain Durré & Alain Nyssens, 2003, "Stock market valuation in the United States," Working Paper Document, National Bank of Belgium, number 41, Nov.
• Robert E. Hall, 2003, "Corporate Earnings Track the Competitive Benchmark," NBER Working Papers, National Bureau of Economic Research, Inc, number 10150, Dec.
• Rajnish Mehra, 2003, "The Equity Premium: Why is it a Puzzle?," NBER Working Papers, National Bureau of Economic Research, Inc, number 9512, Feb.
• Takatoshi Ito & Kimie Harada, 2003, "Market Evaluations of Banking Fragility in Japan: Japan Premium, Stock Prices, and Credit Derivatives," NBER Working Papers, National Bureau of Economic Research, Inc, number 9589, Mar.
• Martin Lettau & Sydney Ludvigson, 2003, "Expected Returns and Expected Dividend Growth," NBER Working Papers, National Bureau of Economic Research, Inc, number 9605, Apr.
• Clive G. Bowsher, 2003, "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W03, Jan.
• Brian McCulloch, 2003, "Geometric Return and Portfolio Analysis," Treasury Working Paper Series, New Zealand Treasury, number 03/28, Dec.
• Burkhard Raunig, 2003, "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 86, Sep.
• Luigi Guiso & Michael Haliassos & Tullio Jappelli, 2003, "Household stockholding in Europe: where do we stand and where do we go?
  [‘Limited market participation and volatility of assets prices’]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, volume 18, issue 36, pages 123-170.
• Erik Theissen, 2003, "Trader Anonymity, Price Formation and Liquidity," Review of Finance, European Finance Association, volume 7, issue 1, pages 1-26.
• Marco Schulmerich & Siegfried Trautmann, 2003, "Local Expected Shortfall-Hedging in Discrete Time," Review of Finance, European Finance Association, volume 7, issue 1, pages 75-102.
• Suleyman Basak & Michael Gallmeyer, 2003, "Capital Market Equilibrium with Differential Taxation," Review of Finance, European Finance Association, volume 7, issue 2, pages 121-159.
• Kee-Hong Bae & G. Andrew Karolyi & René M. Stulz, 2003, "A New Approach to Measuring Financial Contagion," The Review of Financial Studies, Society for Financial Studies, volume 16, issue 3, pages 717-763, July.
• Patrik Bauer & Vít Bubák, 2003, "Informative value of firm capital structure," Prague Economic Papers, Prague University of Economics and Business, volume 2003, issue 3, pages 233-248, DOI: 10.18267/j.pep.216.
• Jan Kodera & Václava Pánková, 2003, "Makroekonomické veličiny a ceny akcií
  [Macroeconomic variables and stock prices]," Politická ekonomie, Prague University of Economics and Business, volume 2003, issue 6, pages 825-837, DOI: 10.18267/j.polek.440.
• Constantin Mellios, 2003, "La gestion des risques financiers par les entreprises : explications théoriques versus études empiriques," Revue d'Économie Financière, Programme National Persée, volume 72, issue 3, pages 243-264, DOI: 10.3406/ecofi.2003.4882.
• Dominique Lacoue-Labarthe, 2003, "L'évolution de la supervision bancaire et de la réglementation prudentielle (1945-1996)," Revue d'Économie Financière, Programme National Persée, volume 73, issue 4, pages 39-63, DOI: 10.3406/ecofi.2003.4999.
• Eric Peree & Armin Riess, 2003, "The transformation of finance in Europe:introduction and overview," EIB Papers, European Investment Bank, Economics Department, number 1/2003, Jun.
• Peter Nunnenkamp, 2003, "Reforming the international financial architecture: What globalization critics demand and what policymakers have (not) achieved," Journal of Financial Transformation, Capco Institute, volume 9, pages 39-46.
• Jürgen Eichberger & Willem Spanjers, 2003, "Liquidity and Ambiguity: Banks or Asset Markets?," Economics Discussion Papers, School of Economics, Kingston University London, number 2003-11, Oct.
• Sebnem Kalemli-Ozcan & Bent E. Sørensen & Oved Yosha, 2003, "Risk Sharing and Industrial Specialization: Regional and International Evidence," American Economic Review, American Economic Association, volume 93, issue 3, pages 903-918, June, DOI: 10.1257/000282803322157151.
• Mark Illing & Ying Liu, 2003, "An Index of Financial Stress for Canada," Staff Working Papers, Bank of Canada, number 03-14, DOI: 10.34989/swp-2003-14.
• Jim Armstrong, 2003, "The Syndicated Loan Market: Developments in the North American Context," Staff Working Papers, Bank of Canada, number 03-15, DOI: 10.34989/swp-2003-15.
• Chris D'Souza & Charles Gaa & Jing Yang, 2003, "An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds," Staff Working Papers, Bank of Canada, number 03-28, DOI: 10.34989/swp-2003-28.
• Giovanni Cespa, 2015, "A comparison of stock market mechanisms," Working Papers, Barcelona School of Economics, number 50, Sep.
• Giovanni Cespa, 2015, "Giffen Goods and Market Making," Working Papers, Barcelona School of Economics, number 68, Sep.
• Marcello Pericoli & Massimo Sbracia, 2003, "A Primer on Financial Contagion," Journal of Economic Surveys, Wiley Blackwell, volume 17, issue 4, pages 571-608, September, DOI: 10.1111/1467-6419.00205.
• Wayne E. Ferson & Sergei Sarkissian & Timothy T. Simin, 2003, "Spurious Regressions in Financial Economics?," Journal of Finance, American Finance Association, volume 58, issue 4, pages 1393-1413, August, DOI: 10.1111/1540-6261.00571.
• Randi Naes & Johannes A. Skjeltorp, 2003, "Strategic Investor Behaviour and the Volume-Volatility Relation in Equity Markets," Working Paper, Norges Bank, number 2003/9, Oct.
• Ney Roberto Ottoni de Brito, 2003, "Performance Evaluation and Market Timing: the Skill Index," Brazilian Review of Finance, Brazilian Society of Finance, volume 1, issue 1, pages 1-17.
• Paulo Coutinho & Benjamin Miranda Tabak, 2003, "Decentralized Portfolio Management," Brazilian Review of Finance, Brazilian Society of Finance, volume 1, issue 2, pages 243-270.
• David Demery & Nigel Duck, 2003, "Demographic Change and the UK Savings Rate," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 03/550, Feb.
• Theodore Panagiotidis, 2003, "Market Efficiency and the Euro:The case of the Athens Stock Exchange," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 03-08, Feb.
• Theodore Panagiotidis, 2003, "Market Efficiency and the Euro:The case of the Athens Stock Exchange," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 03-08, Feb.
• Alexis Cellier, 2003, "Lead lag relatîonships between short term options and the french stock index cac 40: the impact of time measurement," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 46, issue 2, pages 65-82.
• Daniel Capocci & Romain Mahieu, 2003, "Les Fonds alternatifs sont-ils réellement décorrelés des produits d'investissments classiques?," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 46, issue 2, pages 83-110.
• Rudy De Winne & Christophe Majois, 2003, "A comparison of alternative spread décomposition models on Euronext Brussels," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 46, issue 4, pages 91-136.
• Pesaran, H.M. & Timmermann, A., 2003, "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0306, Jan.
• Wagner, Niklas & Marsh, Terry A., 2003, "Return-Volume Dependence and Extremes in International Equity Markets," Research Program in Finance, Working Paper Series, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley, number qt1z87z922, Sep.
• Rodolfo Apreda, 2003, "On the Extent of Arbitrage Constraints within Transaction Algebras (A non-standard approach)," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 239, Jul.
• Christian Keuschnigg & Søren Bo Nielsen, 2003, "Public Policy for Start-up Entrepreneurship with Venture Capital and Bank Finance," CESifo Working Paper Series, CESifo, number 850.
• Michael C. Jensen & John Kay & Harvey Pitt & Jürgen Stark, 2003, "The Capital Market as a Growth Engine," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 4, issue 02, pages 14-28, October.
• Hans-Günther Vieweg, 2003, "Tendenzen in der deutschen Industrie - Effekte veränderter Finanzierungsbedingungen und neuer IuK-Techniken," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 56, issue 09, pages 23-27, May.
• Jere R. Behrman & Nancy Birdsall & Miguel Székely, 2003, "Economic Policy and Wage Differentials in Latin America," Working Papers, Center for Global Development, number 29, Jul.
• Luis Ángel Medina, 2003, "Aplicación de la teoría del portafolio en el mercado accionario colombiano," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Alberto Jaramillo & Hermilson Vel�squez & Javier Santiago Ortiz & Natalia Serna, 2003, "Aspectos teóricos y empíricos de la relación empresas bancos," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 3922, Nov.
• María Ángeles Ortega & María Ángeles Sánchez & Francisco Gonzáles, 2003, "Privatization, deregulation and competition: evidence from Spain," Revista de Economía del Rosario, Universidad del Rosario.
• HEINEN, Andreas & RENGIFO, Erick, 2003, "Multivariate modelling of time series count data: an autoregressive conditional Poisson model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003025, Mar.
• BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003, "Multivariate GARCH models: a survey," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003031, Apr.
• Guiso, Luigi & Jappelli, Tullio & Haliassos, Michael, 2003, "Household Stockholding in Europe: Where Do We Stand, and Where Do We Go?," CEPR Discussion Papers, Centre for Economic Policy Research, number 3694, Jan.
• Coval, Joshua & Pástor, LuboÅ¡ & Cohen, Randolph, 2003, "Judging Fund Managers by the Company They Keep," CEPR Discussion Papers, Centre for Economic Policy Research, number 3717, Jan.
• Tornell, Aaron & Gourinchas, Pierre-Olivier, 2003, "Exchange Rate Dynamics, Learning and Misperception," CEPR Discussion Papers, Centre for Economic Policy Research, number 3725, Jan.
• Rey, Hélène & Hau, Harald, 2003, "Exchange Rates, Equity Prices and Capital Flows," CEPR Discussion Papers, Centre for Economic Policy Research, number 3735, Feb.
• Caselli, Francesco & Gennaioli, Nicola, 2003, "Dynastic Management," CEPR Discussion Papers, Centre for Economic Policy Research, number 3767, Feb.
• Weber, Martin & Glaser, Markus & Langer, Thomas, 2003, "On the Trend Recognition and Forecasting Ability of Professional Traders," CEPR Discussion Papers, Centre for Economic Policy Research, number 3904, May.
• Franks, Julian & Sussman, Oren, 2003, "Financial Distress and Bank Restructuring of Small to Medium Size UK Companies," CEPR Discussion Papers, Centre for Economic Policy Research, number 3915, May.
• Weber, Martin & Glaser, Markus, 2003, "Overconfidence and Trading Volume," CEPR Discussion Papers, Centre for Economic Policy Research, number 3941, Jun.
• Weber, Martin & Langer, Thomas, 2003, "Does Binding of Feedback Influence Myopic Loss Aversion? An Experimental Analysis," CEPR Discussion Papers, Centre for Economic Policy Research, number 4084, Oct.
• Foucault, Thierry & Moinas, Sophie & Theissen, Erik, 2003, "Does Anonymity Matter in Electronic Limit Order Markets?," CEPR Discussion Papers, Centre for Economic Policy Research, number 4091, Oct.
• Jens, EISENSCHMIDT & Klaus, WAELDE, 2003, "International Trade, Hedging and the Demand for Forward Contracts," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2003022, Nov.
• Chenghu Ma, 2003, "Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM Approach," Annals of Economics and Finance, Society for AEF, volume 4, issue 2, pages 401-426, November.
• Bühlmann, Hans & Platen, Eckhard, 2003, "A Discrete Time Benchmark Approach for Insurance and Finance," ASTIN Bulletin, Cambridge University Press, volume 33, issue 2, pages 153-172, November.
• Martin Shubik & Eric Smith, 2003, "Structure, Clearinghouses and Symmetry," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1419, May.
• Martin Shubik & Eric Smith, 2003, "Strategic Freedom, Constraint, and Symmetry in One-period Markets with Cash and Credit Payment," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1420, May.
• John Geanakoplos & Felix Kubler, 2003, "Dollar Denominated Debt and Optimal Security Design," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1449, Dec.
• Hervé Alexandre & Maxime Merli, 2003, "Notations et écarts de rentabilité:le marché français avant l'euro," Revue Finance Contrôle Stratégie, revues.org, volume 6, issue 3, pages 5-22, September.
• Thierry, FOUCAULT & Sophie, MOINAS & Erik, THEISSEN, 2003, "Does anonymity matter in electronic limit order markets ?," HEC Research Papers Series, HEC Paris, number 784, Jul.
• Cossin, Didier & González, Fernando & Huang, Zhijiang & Backé, Peter, 2003, "A framework for collateral risk control determination," Working Paper Series, European Central Bank, number 209, Jan.
• Cassola, Nuno & Morana, Claudio, 2003, "Volatility of interest rates in the euro area: evidence from high frequency data," Working Paper Series, European Central Bank, number 235, Jun.
• Dionne, Georges & Garand, Martin, 2003, "Risk management determinants affecting firms' values in the gold mining industry: new empirical results," Economics Letters, Elsevier, volume 79, issue 1, pages 43-52, April.
• Jansen, W. Jos & Nahuis, Niek J., 2003, "The stock market and consumer confidence: European evidence," Economics Letters, Elsevier, volume 79, issue 1, pages 89-98, April.
• Garcia, Rene & Luger, Richard & Renault, Eric, 2003, "Empirical assessment of an intertemporal option pricing model with latent variables," Journal of Econometrics, Elsevier, volume 116, issue 1-2, pages 49-83.

2002

• 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, Centre for Economic Policy Research, number 3148, Jan.
• Sapienza, Paola, 2002, "What Do State-Owned Firms Maximize? Evidence from the Italian Banks," CEPR Discussion Papers, Centre for Economic Policy Research, number 3168, Jan.
• Marcellino, Massimiliano & Corielli, Francesco, 2002, "Factor Based Index Tracking," CEPR Discussion Papers, Centre for Economic Policy Research, number 3265, Mar.
• Biais, Bruno & Glosten, Larry & Spatt, Chester S, 2002, "The Microstructure of Stock Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 3288, Mar.
• Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2002, "Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion," CEPR Discussion Papers, Centre for Economic Policy Research, number 3310, Apr.
• Weber, Martin & Glaser, Markus, 2002, "Momentum and Turnover: Evidence from the German Stock Market," CEPR Discussion Papers, Centre for Economic Policy Research, number 3353, Apr.
• Wolff, Christian & Bams, Dennis & Lehnert, Thorsten, 2002, "An Evaluation Framework for Alternative VaR Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 3403, Jun.