Research classified by Journal of Economic Literature (JEL) codes

2002

• 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-.
• 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.

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.
• 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.