Research classified by Journal of Economic Literature (JEL) codes

2001

• 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.
• Olesen, Jan Overgaard & Risager, Ole, 2000, "On The Relationship Between The Danish Stock And Bond Market In The Medium And Long Term," Working Papers, Copenhagen Business School, Department of Economics, number 04-2000, Feb.
• 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.
• John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2000, "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 7590, Mar.
• Robert J. Hodrick & Xiaoyan Zhang, 2000, "Evaluating the Specification Errors of Asset Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 7661, Apr.
• Francois Degeorge & Dirk Jenter & Alberto Moel & Peter Tufano, 2000, "Selling Company Shares to Reluctant Employees: France Telecom's Experience," NBER Working Papers, National Bureau of Economic Research, Inc, number 7683, May.
• George Chacko & Peter Tufano & Geoffrey Verter, 2000, "Cephalon, Inc. Taking Risk Management Theory Seriously," NBER Working Papers, National Bureau of Economic Research, Inc, number 7748, Jun.
• Lubos Pastor & Robert F. Stambaugh, 2000, "The Equity Premium and Structural Breaks," NBER Working Papers, National Bureau of Economic Research, Inc, number 7778, Jul.
• Kee-Hong Bae & G. Andrew Karolyi & Rene M. Stulz, 2000, "A New Approach to Measuring Financial Contagion," NBER Working Papers, National Bureau of Economic Research, Inc, number 7913, Sep.
• Guillermo A. Calvo & Carmen M. Reinhart, 2000, "Fixing for Your Life," NBER Working Papers, National Bureau of Economic Research, Inc, number 8006, Nov.
• Barndorff-Nielsen, O.E. & Shepard, N., 2000, "Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 1999-w9/2000-w3.
• Kotaro Tsuru, 2000, "Finance and Growth: Some Theoretical Considerations and a Review of the Empirical Literature," OECD Economics Department Working Papers, OECD Publishing, number 228, Jan, DOI: 10.1787/307832384453.
• David E. Wildasin, 2000, "Factor mobility and fiscal policy in the EU: policy issues and analytical approaches," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, volume 15, issue 31, pages 338-378.
• Athanasoulis, Stefano G & Shiller, Robert J, 2000, "The Significance of the Market Portfolio," The Review of Financial Studies, Society for Financial Studies, volume 13, issue 2, pages 301-329.
• Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 2000, "Do Call Prices and the Underlying Stock Always Move in the Same Direction?," The Review of Financial Studies, Society for Financial Studies, volume 13, issue 3, pages 549-584.
• Cohen, Ruben D, 2000, "The long-run behavior of the S&P Composite Price Index and its risk premium," MPRA Paper, University Library of Munich, Germany, number 3192, Apr.
• Cotter, John, 2000, "Volatility and the Euro: an Irish perspective," MPRA Paper, University Library of Munich, Germany, number 3535.
• Husain, Fazal, 2000, "The Day of the Week Effect in the Pakistani Equity Market: An Investigation," MPRA Paper, University Library of Munich, Germany, number 5268.
• Julie Choppin-Ansidei, 2000, "Géographie des activités financières internationales : Éclairages théoriques et tendances récentes," Revue d'Économie Financière, Programme National Persée, volume 57, issue 2, pages 15-28, DOI: 10.3406/ecofi.2000.3500.
• Arnaud de Bresson, 2000, "La place financière de Paris dans le marché financier européen intégré," Revue d'Économie Financière, Programme National Persée, volume 57, issue 2, pages 49-57, DOI: 10.3406/ecofi.2000.3503.
• Robert Laslett, 2000, "Londres, centre financier," Revue d'Économie Financière, Programme National Persée, volume 57, issue 2, pages 59-71, DOI: 10.3406/ecofi.2000.3504.
• Gunther Capelle-Blancard, 2000, "Une nouvelle mesure du taux d’intermédiation financière : l’approche en volume," Revue d'Économie Financière, Programme National Persée, volume 59, issue 4, pages 163-187, DOI: 10.3406/ecofi.2000.3697.
• Julie Choppin-Ansidei, 2000, "Location of international financial activities: theoretical finding and recent trends," Revue d'Économie Financière, Programme National Persée, volume 57, issue 2, pages 15-28, DOI: 10.3406/ecofi.2000.4720.
• Arnaud de Bresson, 2000, "Paris as a financial centre within an integrated European financial market," Revue d'Économie Financière, Programme National Persée, volume 57, issue 2, pages 47-55, DOI: 10.3406/ecofi.2000.4723.
• Robert Laslett, 2000, "London as a financial center," Revue d'Économie Financière, Programme National Persée, volume 57, issue 2, pages 57-68, DOI: 10.3406/ecofi.2000.4724.
• Chakravarty, Sugato & Sarkar, Asani, 2000, "Do Differences in Transparency Affect Trading Costs? Evidence from U.S. Corporate, Municipal and Treasury Bond Markets," Purdue University Economics Working Papers, Purdue University, Department of Economics, number 1138, Sep.
• Ryan Davies, 2000, "Registered Trader Participation During The Toronto Stock Exchange's Pre-opening Session," Working Paper, Economics Department, Queen's University, number 997, Nov.
• Kyriakos Chourdakis & Elias Tzavalis, 2000, "Option Pricing under Discrete Shifts in Stock Returns," Working Papers, Queen Mary University of London, School of Economics and Finance, number 426, Nov.
• Meredith Beechey & David Gruen & James Vickery, 2000, "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2000-01, Jan.
• Georges Dionne & Martin Garand, 2000, "Une mesure empirique des déterminants qui affectent la gestion des risques des entreprises non financières," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 00-9, Oct.
• Georges Dionne & Martin Garand, 2000, "Risk Management Determinants Affecting Firms' Values in the Gold Mining Industry: New Empirical Results," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 00-11, Nov.
• Ghiglino, Christian & Tvede, Mich, 2000, "Optimal Policy in OG Models," Journal of Economic Theory, Elsevier, volume 90, issue 1, pages 62-83, January.
• Ghiglino, Christian & Shell, Karl, 2000, "The Economic Effects of Restrictions on Government Budget Deficits," Journal of Economic Theory, Elsevier, volume 94, issue 1, pages 106-137, September.
• Ericsson, Jan & Renault, Olivier, 2000, "Liquidity and credit risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119096, Oct.
• Hong, Harrison & Rady, Sven, 2000, "Strategic trading and learning about liquidity," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119102, Aug.
• Snell, Andy & Tonks, Ian, 2000, "The profitability of block trades in auction and dealer markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119109, Feb.
• Harissis, H., 2000, "The Capital Asset Pricing Model: A Review Of The Issues," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3-4, pages 111-130, July - De.
• Kateøina Kašová, 2000, "Central and Eastern Europe Seeks Strategic Partner," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 50, issue 1, pages 40-52, January.
• Michal Mejstøík, 2000, "Macroeconomic and Financial Aspects of Euro-Area Development," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 50, issue 6, pages 310-325, June.
• Xavier Freixas & Bruno Parigi & Jean-Charles Rochet, 2000, "Systemic risk, interbank relations, and liquidity provision by the central bank," Proceedings, Federal Reserve Bank of Cleveland, pages 611-640.
• Joseph Zeira, 2000, "Informational overshooting, booms and crashes," Proceedings, Federal Reserve Bank of San Francisco, issue apr.
• Ṣebnem Kalemli-Özcan & Bent E. Sorensen & Oved Yosha, 2000, "Risk sharing and industrial specialization ; regional and international evidence," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 00-06.
• Ian Tonks & Andy Snell, 2000, "The Profitability of Block Trades Auction and Dealer Markets," FMG Discussion Papers, Financial Markets Group, number dp340, Feb.
• Harrison Hong & Sven Rady, 2000, "Strategic Trading and Learning About Liquidity," FMG Discussion Papers, Financial Markets Group, number dp356, Aug.
• Augory, C. & Boutillier, M. & Sejourne, B., 2000, "Le modele de choix de portefeuille des menages de FOE," Papers, Caisse des Depots et Consignations - Cahiers de recherche, number 2000-15/fi.
• Adenikinju, A.F. & Oyeranti, O.A., 2000, "Characteristics and Behaviour of African Factor Markets and Market Institutions and Their Consequences for Economic Growth," Papers, Chicago - Graduate School of Business, number 31.
• Fraser, P. & Hamelink, F. & Hoesli, M. & MacGregor, B., 2000, "Time-Varying Betas and Cross-Sectional Return-Risk Relation: Evidence from the UK," Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve-, number 2000.03.
• Zancanella, S., 2000, "Les fonds de placement: definitions et mesures de la performance des fonds de placement sur le marche suisse," Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve-, number 2000.09.
• Bender, A. & Hoesli, M. & Gaud, P., 2000, "Fonds de placement immobiliers et societes anonymes d'investissement immobilier Analyse comparative et conditions de developpement," Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve-, number 2000.20.
• Gerardin, H. & Guigou, J.-D. & Ory, J.-N., 2000, "Infrastructures financieres et developpement: chocs et mutations," Papers, Groupe de recherche en économie financière et en gestion des entreprises, Universite Nancy 2, number 2000-3.
• Weiner, R.J., 2000, "Sheep in Wolves' Clothing? Speculators and Price Volatility in Petroleum Markets," Papers, Laval - Recherche en Energie, number 00-01.
• Walhin, J.F. & Paris, J., 2000, "The Effect of Excess-of-Loss Reinsurance with Reinstatements of the Cedent's Portfolio," Papers, Catholique de Louvain - Institut de statistique, number 0003.
• Walhin, J.F. & Paris, J., 2000, "The Effect of Excess-of-Loss Reinsurance with Reinstatements of the Cedent's Portfolio," Papers, Catholique de Louvain - Institut de statistique, number 3.
• Katz, B.G. & Owen, J., 2000, "The Emergence of Concentrated Ownership and the Rebalacing of Portfolios due to Shareholder Activism in a Financial Market Equilibrium," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number ec-00-01.
• Rooth, T., 2000, "Australia, Canada and the Internaitonal Economy in the Era of Post-War Reconstruction," Papers, Portsmouth University - Department of Economics, number 129.
• Scott, P., 2000, "Towards the 'Cult of the Equity'? Insurance Compamies and the Interwar Capital Market," Papers, Portsmouth University - Department of Economics, number 136.
• Berg, L., 2000, "Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweeden," Papers, Uppsala - Working Paper Series, number 2000:9.
• Jean-Marc Tallon, 2000, "Pessimisme et absence d'échéance sur les marchés financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00499377, Mar.
• Gunther Capelle-Blancard & Emmanuel Jurczenko, 2000, "Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-03723832, Jan.
• Thierry Foucault & Marianne Demarchi, 2000, "Equity Trading Systems in Europe: A Survey of Recent Changes," Post-Print, HAL, number hal-00459776.
• Ali Lazrak & J. P. Décamps, 2000, "A martingale characterization of equilibrium asset price processes," Post-Print, HAL, number hal-00485724, Jan.
• Jean-Marc Tallon, 2000, "Pessimisme et absence d'échéance sur les marchés financiers," Post-Print, HAL, number halshs-00499377, Mar.
• Gunther Capelle-Blancard & Emmanuel Jurczenko, 2000, "Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40," Post-Print, HAL, number halshs-03723832, Jan.
• François Degeorge & Dirk Jenter & Alberto Moel & Peter Tufano, 2000, "Selling Company Shares to Reluctant Employees: France Télécom's Experience," Working Papers, HAL, number hal-00598172.
• Michael Rockinger & Eric Jondeau, 2000, "Entropy Densities," Working Papers, HAL, number hal-00601485, Feb.
• Bryan R. Routledge, Stanley E. Zin, 2000, "Model Uncertainity And Liquidity," Computing in Economics and Finance 2000, Society for Computational Economics, number 368, Jul.
• Dušan Isakov & Christophe Pérignon, 2000, "On the dynamic interdependence of international stock markets: A Swiss perspective," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 136, issue II, pages 123-146, June.
• Jean-Philippe Bouchaud, 2000, "Power-laws in economics and finance: some ideas from physics," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500023, Aug.
• Irene Giardina & Jean-Philippe Bouchaud & Marc Mezard, 2000, "Population dynamics in a random environment," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500025, May.
• Jean-Philippe Bouchaud & Marc Mezard, 2000, "Wealth condensation in a simple model of economy," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500026, Feb.
• Lorenzo Cornalba & Jean-Philippe Bouchaud & Marc Potters, 2000, "Option pricing and hedging with temporal correlations," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500030, Nov.
• Marc Potters & Jean-Philippe Bouchaud & Dragan Sestovic, 2000, "Hedged Monte-Carlo: low variance derivative pricing with objective probabilities," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500031, Aug.
• Farhat Selmi & Jean-Philippe Bouchaud, 2000, "Hedging large risks reduces the transaction costs," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500033, May.
• Andrew Matacz, 2000, "Path dependent option pricing: the path integral partial averaging method," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500034, May.
• Hans FÃllmer & Peter Leukert, 2000, "Efficient hedging: Cost versus shortfall risk," Finance and Stochastics, Springer, volume 4, issue 2, pages 117-146.
• Marco Frittelli, 2000, "Introduction to a theory of value coherent with the no-arbitrage principle," Finance and Stochastics, Springer, volume 4, issue 3, pages 275-297.
• Rimas Norvaisa, 2000, "Modelling of stock price changes: A real analysis approach," Finance and Stochastics, Springer, volume 4, issue 3, pages 343-369.
• Martin Schweizer & Christophe Stricker & Frank DÃberlein, 2000, "Implied savings accounts are unique," Finance and Stochastics, Springer, volume 4, issue 4, pages 431-442.
• A. Lazrak & J.P. DÊcamps, 2000, "A martingale characterization of equilibrium asset price processes," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 15, issue 1, pages 207-213.
• Kevin X.D. Huang & Jan Werner, 2000, "Asset price bubbles in Arrow-Debreu and sequential equilibrium," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 15, issue 2, pages 253-278.
• Jeffrey Callen & Lin Xu & Suresh Govindaraj, 2000, "Large time and small noise asymptotic results for mean reverting diffusion processes with applications," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 16, issue 2, pages 401-419.
• Barbara G. Katz & Joel Owen, 2000, "The Emergence of Concentrated Ownership and the Rebalancing of Portfolios due to Shareholder Activism in a Financial Market Equilibrium," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 00-01.
• Joseph Francois & Ian Wooton, 2000, "Trade in International Transport Services: The Role of Competition," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 00-057/2, Jul.
• Winfried G. Hallerbach, 2000, "Cross- and Auto-Correlation Effects arising from Averaging: The Case of US Interest Rates and Equity Duration," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 00-064/2, Jul.
• Liang Zou, 2000, "Inherent Efficiency, Security Markets, and the Pricing of Investment Strategies," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 00-108/2, Dec.
• Terry A. Marsh and Niklas Wagner., 2000, "Return-Volume Dependence and Extremes in International Equity Markets," Research Program in Finance Working Papers, University of California at Berkeley, number RPF-293, May.
• Joao Amaro de Matos & Joao Sobral do Rosario, 2000, "The equilibrium dynamics for an endogeneous bid-ask spread in a monopolistic financial market," Nova SBE Working Paper Series, Universidade Nova de Lisboa, Nova School of Business and Economics, number wp389.
• Giovanni Cespa, 2000, "Short-term investment and equilibrium multiplicity," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 520, Jun, revised Jun 2002.
• Eckhard Platen, 2000, "Risk Premia and Financial Modelling Without Measure Transformation," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 45, Sep.