Research classified by Journal of Economic Literature (JEL) codes

2008

• William Fung & David A. Hsieh & Narayan Y. Naik & Tarun Ramadorai, 2008, "Hedge Funds: Performance, Risk, and Capital Formation," Journal of Finance, American Finance Association, volume 63, issue 4, pages 1777-1803, August, DOI: 10.1111/j.1540-6261.2008.01374.x.
• JULES H. Van BINSBERGEN & MICHAEL W. BRANDT & RALPH S. J. KOIJEN, 2008, "Optimal Decentralized Investment Management," Journal of Finance, American Finance Association, volume 63, issue 4, pages 1849-1895, August, DOI: 10.1111/j.1540-6261.2008.01376.x.
• Rui Albuquerque & Eva De Francisco & Luis B. Marques, 2008, "Marketwide Private Information in Stocks: Forecasting Currency Returns," Journal of Finance, American Finance Association, volume 63, issue 5, pages 2297-2343, October, DOI: 10.1111/j.1540-6261.2008.01398.x.
• Jose M. Marin & Jacques P. Olivier, 2008, "The Dog That Did Not Bark: Insider Trading and Crashes," Journal of Finance, American Finance Association, volume 63, issue 5, pages 2429-2476, October, DOI: 10.1111/j.1540-6261.2008.01401.x.
• Asher Blass, 2008, "Transffering the Management of the Provident and Mutual Funds From the Banks," Israel Economic Review, Bank of Israel, volume 6, issue 1, pages 23-47.
• Turhan Korkmaz & Elif Birkan, 2008, "Portfolio Selection:Application on International Stock Portfolios," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, volume 10, issue 40, pages 65-98.
• Hui Chen & Nengjiu Ju & Jianjun Miao, 2008, "Dynamic Asset Allocation with Ambiguous Return Predictability," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series, Boston University - Department of Economics, number dp-179, Sep, revised Feb 2009.
• François Gourio, 2008, "Time-series predictability in the disaster model," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-016, Jan.
• Else Monteiro Nogueira & Wagner Moura Lamounier, 2008, ""Contagion" between the emerging and developed capital markets: empirical evidence and reflections on the international portfolio diversification," Brazilian Review of Finance, Brazilian Society of Finance, volume 6, issue 2, pages 267-286.
• Fernando Nascimento de Oliveira & Eduardo Lana de Paula, 2008, "Determining the Optimum Level of Diversification of Home Brokers Investors," Brazilian Review of Finance, Brazilian Society of Finance, volume 6, issue 3, pages 439-463.
• Pesaran, M.H. & Schleicher, C. & Zaffaroni, P., 2008, "Model Averaging in Risk Management with an Application to Futures Markets," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0808, Jan.
• Russell Gerrard & Bjarne Højgaard & Elena Vigna, 2008, "Choosing the Optimal Annuitization Time Post Retirement," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 76.
• Ales Cerný & Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2008, "On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 79.
• Wong, Woon K & Copeland, Laurence, 2008, "Risk Measurement and Management in a Crisis-Prone World," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2008/14, Jul.
• Wong, Woon K & Tan, Dijun & Tian, Yixiang, 2008, "Nonlinear ACD Model and Informed Trading: Evidence from Shanghai Stock Exchange," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2008/8, Apr.
• Pope, Rulon D. & LaFrance, Jeffrey T & Just, Richard E., 2007, "Agricultural Arbitrage and Risk Preferences," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series, Department of Agricultural & Resource Economics, UC Berkeley, number qt3tw1m1p0, May.
• Deng, Yongheng & Quigley, John M., 2008, "Index Revision, House Price Risk, and the Market for House Price Derivatives," Berkeley Program on Housing and Urban Policy, Working Paper Series, Berkeley Program on Housing and Urban Policy, number qt4sw0x30t, Apr.
• Alejandro Cuñat & Christian Fons-Rosen, 2008, "Relative Factor Endowments and International Portfolio Choice," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp0879, Jul.
• M. Hashem Pesaran & Paolo Zaffaroni, 2004, "Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management," CESifo Working Paper Series, CESifo, number 1358.
• Ken Sennewald & Klaus Wälde, 2006, "“Itô’s Lemma“ and the Bellman Equation for Poisson Processes: An Applied View," CESifo Working Paper Series, CESifo, number 1684.
• Fwu-Ranq Chang, 2008, "Property Insurance, Portfolio Selection and their Interdependence," CESifo Working Paper Series, CESifo, number 2260.
• M. Hashem Pesaran & Paolo Zaffaroni, 2008, "Optimal Asset Allocation with Factor Models for Large Portfolios," CESifo Working Paper Series, CESifo, number 2326.
• Thomas Crossley & Mario Jametti, 2008, "Pension Benefit Insurance and Pension Plan Portfolio Choice," CESifo Working Paper Series, CESifo, number 2498.
• Eric Jondeau, 2008, "Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-06, Feb.
• Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2008, "Evolutionary Finance," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-14, May.
• Michèle Breton & Julien Hugonnier & Tarek Masmoudi, 2008, "Mutual Fund Competition in the Presence of Dynamic Flows," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-26, Sep.
• Julien Hugonnier, 2008, "Bubbles and multiplicity of equilibria under portfolio constraints," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-28, Sep.
• Jan PALCZEWSKI & Klaus Reiner SCHENK-HOPPE, 2008, "Market Selection of Constant Proportions Investment Strategies in Continuous Time," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-29, Sep.
• Sumit Agarwal & John C Driscoll & David Laibson, 2008, "Optimal Mortgage Refinancing: A Closed Form Solution," Levine's Working Paper Archive, David K. Levine, number 122247000000002021, Mar.
• Javier Mencía & Enrique Sentana, 2008, "Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation," Working Papers, CEMFI, number wp2008_0805, Apr.
• Dante Amengual & Enrique Sentana, 2008, "A Comparison of Mean-Variance Efficiency Tests," Working Papers, CEMFI, number wp2008_0806, Apr.
• Enrique Sentana, 2008, "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers, CEMFI, number wp2008_0807, May.
• M. Bigeco & E. Grosso & E. Otranto, 2008, "Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200803.
• F. Lisi & E. Otranto, 2008, "Clustering Mutual Funds by Return and Risk Levels," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200813.
• Alejandro Reveiz Herault & Carlos Eduardo Le�n Rinc�n, 2008, "�ndice representativo del mercado de deuda p�blica interna: IDXTES," Borradores de Economia, Banco de la Republica, number 4522, Feb.
• Aeljandro Reveiz Herault & Sebastian Rojas, 2008, "The case for active management from the perspective of Complexity Theory," Borradores de Economia, Banco de la Republica, number 4566, Mar.
• Alejandro Reveiz & Carlos Le�n, 2008, "Administraci�n de fondos de pensiones y multifondos en Colombia," Borradores de Economia, Banco de la Republica, number 4598, Apr.
• Alejandro Reveiz & Carlos Le�n & Juan Mario Laserna & Ivonne Mart�nez, 2008, "Recomendaciones para la modificaci�n del r�gimen de pensiones obligatorias de Colombia," Borradores de Economia, Banco de la Republica, number 4599, Apr.
• Alejandro Reveiz Herault, 2008, "The Factor-Portfolios Approach to Asset Management using Genetic Algorithms," Borradores de Economia, Banco de la Republica, number 4626, Apr.
• Alejandro Reveiz & Carlos Eduardo Le�n, 2008, "Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space," Borradores de Economia, Banco de la Republica, number 4732, Jun.
• Carlos Le�n & Juan Mario Laserna, 2008, "Asignaci�n Estrat�gica de Activos para Fondos de Pensiones Obligatorias en Colombia: Un Enfoque Alternativo," Borradores de Economia, Banco de la Republica, number 4970, Aug.
• Dairo Estrada & Angela Gonz�lez Arbel�ez & Javier Gutierr�z Rueda, 2008, "The Effects of Diversification on Banks� Expected Returns," Borradores de Economia, Banco de la Republica, number 4991, Aug.
• Martha R. L�pez & Juan D. Prada & Norberto Rodr�guez Ni�o, 2008, "Financial Accelerator Mechanism in a Small Open Economy," Borradores de Economia, Banco de la Republica, number 4992, Aug.
• Alejandro Reveiz & Carlos Le�n & Juan Mario Laserna & Ivonne Mart�nez, 2008, "Recomendaciones para la modificación del régimen de pensiones obligatorias de Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 26, issue 56, pages 78-113, DOI: 10.32468/Espe.5603.
• Esteban Callejas P. & Alexander Tobón A., 2008, "El mercado hipotecario de Estados Unidos: Un análisis a partir de la hipótesis de la inestabilidad financiera de Minsky," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE.
• José Joaquín Alzate Marín, 2008, "Cómo medir la quiebra de las empresas en Santander, el modelo logístico: una herramienta para evaluar el riesgo de quiebra," Revista CIFE, Universidad Santo Tomás.
• Meier, Iwan & Rombouts, Jeroen V.K., 2008, "Style rotation and performance persistence of mutual funds," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2008072, Dec.
• Martin Gervais & Manish Pandey, 2008, "Who Cares About Mortgage Interest Deductibility?," Canadian Public Policy, University of Toronto Press, volume 34, issue 1, pages 1-24, March.
• Rey, Hélène & Hau, Harald, 2008, "Home Bias at the Fund Level," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6721, Mar.
• Grüner, Hans Peter, 2008, "Capital Markets, Information Aggregation and Inequality: Theory and Experimental Evidence," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6750, Mar.
• Campos, Nauro & Barbosa, Renata Leite, 2008, "Paintings and Numbers: An Econometric Investigation of Sales Rates, Prices and Returns in Latin American Art Auctions," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6806, Apr.
• van Winden, Frans A.A.M. & Hopfensitz, Astrid & Krawczyk, Michal, 2008, "Investment, Resolution of Risk, and the Role of Affect," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6822, May.
• Cuñat, Alejandro & Fons-Rosen, Christian, 2008, "Relative Factor Endowments and International Portfolio Choice," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6870, Jun.
• Olivier, Jacques & Tay, Anthony, 2008, "Time-Varying Incentives in the Mutual Fund Industry," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6893, Jun.
• Foucault, Thierry & Thesmar, David & Sraer, David, 2008, "Individual Investors and Volatility," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6915, Jul.
• Claudio Campanale, 2005, "Increasing Returns to Saving and Wealth Inequality," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 45, Nov.
• Maela Giofré, 2008, "Information Asymmetries and Foreign Equity Portfolios: Households versus Financial Investors," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 74, May.
• Claudio Campanale, 2008, "Learning, Ambiguity and Life-cycle Portfolio Allocation," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 80, Dec.
• George Xanthos & Dikaios Tserkezos, 2008, "Optimal Portfolio Analysis for the Czech Republic, Hungary and Poland During 2001-2006 Period," Working Papers, University of Crete, Department of Economics, number 0813, Nov.
• Lippi Andrea, 2008, "Wealth management - Investments in non financial assets. Technical and organizational aspects," DISCE - Quaderni del Dipartimento di Scienze Economiche e Sociali, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE), number dises0850, Jul.
• Balbás, Alejandro, 2008, "Capital requirements: Are they the best solution?," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb087114, Dec.
• Moreno, David & Rodríguez, Rosa, 2008, "The value of coskewness in evaluating mutual funds," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb087616, Dec.
• Josa-Fombellida, Ricardo & Rincón-Zapatero, Juan Pablo, 2008, "Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we078148, Dec.
• Zhao, Jianmei & Barry, Peter J. & Katchova, Ani L., 2008, "Signaling Credit Risk in Agriculture: Implications for Capital Structure Analysis," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 40, issue 3, pages 805-820, December.
• Pelizzon, Loriana & Weber, Guglielmo, 2008, "Are Household Portfolios Efficient? an Analysis Conditional on Housing," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 43, issue 2, pages 401-431, June.
• Ivković, Zoran & Sialm, Clemens & Weisbenner, Scott, 2008, "Portfolio Concentration and the Performance of Individual Investors," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 43, issue 3, pages 613-655, September.
• Sanning, Lee W. & Shaffer, Sherrill & Sharratt, Jo Marie, 2008, "Bordeaux Wine as a Financial Investment," Journal of Wine Economics, Cambridge University Press, volume 3, issue 1, pages 51-71, April.
• J. Doyne Farmer & John Geanakoplos, 2008, "The Virtues and Vices of Equilibrium and the Future of Financial Economics," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1647, Mar.
• Dirk Bergemann & Ulrich Hege & Liang Peng, 2008, "Venture Capital and Sequential Investments," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1682, Oct, revised Nov 2008.
• Dirk Bergemann & Ulrich Hege & Liang Peng, 2008, "Venture Capital and Sequential Investments," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1682R, Oct, revised Mar 2009.
• Dirk Bergemann & Ulrich Hege & Liang Peng, 2008, "Venture Capital and Sequential Investments," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1682R2, Oct, revised Oct 2009.
• Nicolas Aubert & Thomas Rapp, 2008, "Les salariés actionnaires:pourquoi investissent-ils dans leur entreprise?," Revue Finance Contrôle Stratégie, revues.org, volume 11, issue 4, pages 87-110, December.
• Nataliya Barasinska & Dorothea Schäfer & Andreas Stephan, 2008, "Financial Risk Aversion and Household Asset Diversification," SOEPpapers on Multidisciplinary Panel Data Research, DIW Berlin, The German Socio-Economic Panel (SOEP), number 117.
• Jordi Mondria & Thomas Wu & Yi Zhang, 2008, "The Determinants of International Investment and Attention Allocation: Using Internet Search Query Data," Working Papers, University of Toronto, Department of Economics, number tecipa-326, Aug.
• Buly A Cardak & Roger K. Wilkins, 2008, "The Determinants of Household Risky Asset Holdings: Background Risk and Other Factors," Working Papers, School of Economics, La Trobe University, number 2008.01, Feb.
• Buly A Cardak & Roger K. Wilkins, 2008, "The Determinants of Household Risky Asset Holdings: Australian Evidence on Background Risk and Other Factors#," Working Papers, School of Economics, La Trobe University, number 2008.05, Sep.
• Elisabetta De Antoni, 2008, "Minsky�s Upward Instability: the Not-Too-Keynesian Optimism of a Financial Cassandra," Department of Economics Working Papers, Department of Economics, University of Trento, Italia, number 0812.
• Christopher L. Gilbert, 2008, "Commodity Speculation and Commodity Investment," Department of Economics Working Papers, Department of Economics, University of Trento, Italia, number 0820.
• Isaac Ehrlich & William A. Hamlen Jr. & Yong Yin, 2008, "Asset Management, Human Capital, and the Market for Risky Assets," Journal of Human Capital, University of Chicago Press, volume 2, issue 3, pages 217-262, DOI: 10.1086/593051.
• Lauren Cohen & Andrea Frazzini & Christopher Malloy, 2008, "The Small World of Investing: Board Connections and Mutual Fund Returns," Journal of Political Economy, University of Chicago Press, volume 116, issue 5, pages 951-979, October, DOI: 10.1086/592415.
• Francisco Peñaranda & Enrique Sentana, 2008, "Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1101, Jun, revised Sep 2010.
• Fernando MIERZEJEWSKI, 2008, "The Economic Capital Of Opaque Financial Institutions," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 3, issue 3(5)_Fall, pages 232-245.
• Ron Bird & Lorenzo Casavecchia, 2008, "Conditional Style Rotation Model on Enhanced Value and Growth Portfolios: The European Experience," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 2, May.
• Diana Barro & Elio Canestrelli, 2008, "Tracking error with minimum guarantee constraints," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 172, Nov.
• Raddatz, Claudio & Schmukler, Sergio L., 2008, "Pension Funds And Capital Market Development:How Much Bang For The Buck?," Policy Research Working Paper Series, The World Bank, number 4787, Dec.
• David Love & Paul A. Smith, 2008, "Does Health Affect Portfolio Choice?," Department of Economics Working Papers, Department of Economics, Williams College, number 2008-11, May.
• David Love & Paul A. Smith & Lucy C. McNair, 2008, "A New Look at the Wealth Adequacy of Older U.S. Households," Department of Economics Working Papers, Department of Economics, Williams College, number 2008-12, Jul.
• David Love, 2008, "The Effect of Marital Status and Children on Savings and Portfolio Choice," Department of Economics Working Papers, Department of Economics, Williams College, number 2008-13, Sep.
• Peter Pedroni & Stephen Sheppard, 2008, "Economic Research Citations at Liberal Arts Colleges," Department of Economics Working Papers, Department of Economics, Williams College, number 2008-14, May.
• Gerlinde Fellner & Matthias Sutter, 2008, "Causes, consequences, and cures of myopic loss aversion - An experimental investigation," Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics, number wuwp116, Jan.
• Fellner, Gerlinde & Sutter, Matthias, 2008, "Causes, consequences, and cures of myopic loss aversion - an experimental investigation," Department of Economics Working Paper Series, WU Vienna University of Economics and Business, number 116.
• Franco Peracchi & Andrei V. Tanase, 2008, "On estimating the conditional expected shortfall," Applied Stochastic Models in Business and Industry, John Wiley & Sons, volume 24, issue 5, pages 471-493, September, DOI: 10.1002/asmb.729.
• Jeffrey LaFrance & Rulon Pope & Richard Just, 2008, "Agricultural Arbitrage and Risk Preferences," Working Papers, School of Economic Sciences, Washington State University, number 2009-01, Dec.
• Thomas Crossley & Mario Jametti, 2008, "Pension Benefit Insurance and Pension Plan Portfolio Choice," Working Papers, York University, Department of Economics, number 2008_05, Nov.
• John Beshears & James Choi & David Laibson & Brigitte Madrian, 2008, "Simplification and Saving," Yale School of Management Working Papers, Yale School of Management, number amz2392, Jan.
• John Beshears & James Choi & David Laibson & Brigitte Madrian, 2008, "How are Preferences Revealed?," Yale School of Management Working Papers, Yale School of Management, number amz2466, Apr.
• Fochmann, Martin & Rumpf, Dominik, 2008, "Modellierung von Aktienanlagen bei laufenden Umschichtungen und einer Besteuerung von Veräußerungsgewinnen," arqus Discussion Papers in Quantitative Tax Research, arqus - Arbeitskreis Quantitative Steuerlehre, number 59.
• Kozluk, Tomasz, 2008, "Global and regional links between stock markets - the case of Russia and China," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 4/2008.
• Huhtala, Heli, 2008, "Along but beyond mean-variance: Utility maximization in a semimartingale model," Bank of Finland Research Discussion Papers, Bank of Finland, number 5/2008.
• Dickgiesser, Sebastian & Kaserer, Christoph, 2008, "Market efficiency reloaded: why insider trades do not reveal exploitable information," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2008-04.
• Stange, Sebastian & Kaserer, Christoph, 2008, "Why and how to integrate liquidity risk into a VaR-framework," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2008-10.
• Osthoff, Peer, 2008, "What matters to SRI investors?," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 08-07.
• Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2008, "Asymmetric multivariate normal mixture GARCH," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/07.
• Haas, Markus & Mittnik, Stefan, 2008, "Multivariate regimeswitching GARCH with an application to international stock markets," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/08.
• Kräussl, Roman & Elsland, Niels van, 2008, "Constructing the true art market index: A novel 2-step hedonic approach and its application to the German art market," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/11.
• Mittnik, Stefan & Yener, Tina, 2008, "Value-at-Risk and expected shortfall for rare events," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/14.
• Chiriac, Roxana & Voev, Valeri, 2008, "Modelling and forecasting multivariate realized volatility," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 08/06.
• Jackwerth, Jens Carsten & Constantinides, George M. & Czerwonko, Michal & Perrakis, Stelios, 2008, "Are options on index futures profitable for risk averse investors? Empirical evidence," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 08/08.
• Michalski, Grzegorz, 2008, "Value-Based Inventory Management," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 9, issue 1, pages 82-90.
• Böttger, Marc & Guthoff, Anja & Heidorn, Thomas, 2008, "Loss Given Default - Modelle zur Schätzung von Recovery Rates," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 96.
• Seitz, Franz & Auer, Benjamin R., 2008, "Performancemessung: Theoretische Maße und empirische Umsetzung mit VBA," Weidener Diskussionspapiere, University of Applied Sciences Amberg-Weiden (OTH), number 12.
• Rottmann, Horst & Franz, Thomas, 2008, "Die Performance deutscher Aktienfonds: Lassen sich Selektions- und Timingfähigkeiten nachweisen und hat die Wahl des Performancemaßes einen Einfluss auf die Beurteilung?," Weidener Diskussionspapiere, University of Applied Sciences Amberg-Weiden (OTH), number 5.
• Küster Simic, André & Thönnessen, Rasmus, 2008, "Geschlossene Schifffonds - Portfolio- und Marktrisiken. Eine empirische Untersuchung anhand von Zweitmarktkursdaten," Working Paper Series, Hamburg School of Business Administration (HSBA), number 03/2008.
• Irle, Albrecht & Prelle, Claas, 2008, "A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets," Kiel Working Papers, Kiel Institute for the World Economy, number 1449.
• Andriyashin, Anton & Härdle, Wolfgang Karl & Timofeev, Roman, 2008, "Recursive portfolio selection with decision trees," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-009.
• Post, Thomas & Gründl, Helmut & Schmit, Joan & Zimmer, Anja, 2008, "The impact of individual investment behavior for retirement welfare: Evidence from the United States and Germany," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-037.
• Blaskowitz, Oliver J. & Herwartz, Helmut, 2008, "Testing directional forecast value in the presence of serial correlation," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-073.
• Becker, Franziska & Gürtler, Marc, 2008, "Quantitative forecast model for the application of the Black-Litterman approach," Working Papers, Technische Universität Braunschweig, Institute of Finance, number IF27V2.
• Frahm, Gabriel & Memmel, Christoph, 2008, "Dominating estimators for the global minimum variance portfolio," Discussion Papers in Econometrics and Statistics, University of Cologne, Institute of Econometrics and Statistics, number 2/08.
• Hartarska, Valentina & Nadolnyak, Denis, 2008, "An Impact Analysis of Microfinance in Bosnia and Herzegovina," World Development, Elsevier, volume 36, issue 12, pages 2605-2619, December.
• Linda Margarita Medina Herrera & Ricardo Mansilla Corona, 2008, "Teoría de matrices aleatorias y correlación de series financieras: el caso de la Bolsa Mexicana de Valores," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 2, issue 2, pages 125-135.
• Benjamín García Martínez & Arturo Lorenzo Valdés, 2008, "La matriz de covarianzas de residuales en la asignación y valuación de activos," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 2, issue 2, pages 162-178.
• Cunat, Alejandro & Fons-Rosen, Christian, 2008, "Relative factor endowments and international portfolio choice," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 19562, Jul.
• Greenwood, Robin & Vayanos, Dimitri, 2008, "Bond supply and excess bond returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24425, Feb.
• Silli, Bernhard & Cohen, Randolph B & Polk, Christopher, 2008, "Best ideas," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24471, Oct.
• Sonja Fagernäs & Prabirjit Sarkar & Ajit Singh, 2008, "Legal Origin, Shareholder Protection and the Stock Market: New Challenges from Time Series Analysis," Chapters, Edward Elgar Publishing, chapter 2, in: Klaus Gugler & B. Burcin Yurtoglu, "The Economics of Corporate Governance and Mergers".
• Ferruz, Luis & Sarto, José Luis & Vicente, Luis, 2008, "Convergencia estratégica en la industria española de fondos de inversión," El Trimestre Económico, Fondo de Cultura Económica, volume 75, issue 300, pages 1043-1060, octubre-d, DOI: http://dx.doi.org/10.20430/ete.v75i.
• Frédérique Bec & Christian Gollier, 2008, "Assets returns volatility and investment horizon: The French case," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2008-10.
• Fabrice Barthélémy & Jean-Luc Prigent, 2008, "Optimal Time to Sell in Real Estate Portfolio Management," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2008-13.
• Carlo Alberto Magni, 2008, "CAPM‐based capital budgeting and nonadditivity," Journal of Property Investment & Finance, Emerald Group Publishing Limited, volume 26, issue 5, pages 388-398, August, DOI: 10.1108/14635780810900251.
• Bannouh, K. & van Dijk, D.J.C. & Martens, M.P.E., 2008, "Range-based covariance estimation using high-frequency data: The realized co-range," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2007-53, Jan.
• McAleer, M.J., 2008, "The ten commandments for optimizing value-at-risk and daily capital charges," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2008-32, Nov.
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• de Langhe, B. & Sweldens, S. & van Osselaer, S.M.J. & Tuk, M.A., 2008, "The Emotional Information Processing System is Risk Averse: Ego-Depletion and Investment Behavior," 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-2008-064-MKT, Oct.
• Brounen, D., 2008, "The Boom and Gloom of Real Estate Markets," ERIM Inaugural Address 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 EIA-2008-035-F&A, Dec.
• Ernest Gnan & Mar Gudmundsson & Morten Balling (ed.), 2008, "Commodities, Energy and Finance," SUERF Studies, SUERF - The European Money and Finance Forum, number 2008/2, ISBN: ARRAY(0x735d6020), May.
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• LU Rong & XU Longbing & XIE Xinhou & CHEN Baizhu, 2008, "Redemption puzzle of open-end fund market in China," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 3, issue 3, pages 430-450, September.
• Tuukka Saarimaa, 2008, "Owner-Occupied Housing and Demand for Risky Financial Assets: Some Finnish Evidence," Finnish Economic Papers, Finnish Economic Association, volume 21, issue 1, pages 22-38, Spring.
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• Dean Fantazzini, 2008, "Dynamic Copula Modelling for Value at Risk," Frontiers in Finance and Economics, SKEMA Business School, volume 5, issue 2, pages 72-108, October.
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• Ulf Herold & Raimond Maurer, 2008, "Structural positions and risk budgeting - Quantifying the impact of structural positions and deriving implications for active portfolio management," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 74.
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• H. D. Vinod & D. F. Hsu & Y. Tian, 2008, "Combining Multiple Criterion Systems for Improving Portfolio Performance," Fordham Economics Discussion Paper Series, Fordham University, Department of Economics, number dp2008-07.
• Berna Demiralp & Johanna Francis, 2008, "Wealth, Industry and the Transition to Entrepreneurship," Fordham Economics Discussion Paper Series, Fordham University, Department of Economics, number dp2008-09.
• Giulio Cifarelli & Giovanna Paladino, 2008, "Oil price Dynamics and Speculation. A Multivariate Financial Approach," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2008_15.rdf.
• Nevine Mokhtar Eid, 2008, "The Capital Asset Pricing Model: An Application on the Efficiency of Financing Higher Public Education in Egypt," Working Papers, The German University in Cairo, Faculty of Management Technology, number 8, Mar.
• Nicolas Coeurdacier & Robert Kollmann & Philippe Martin, 2008, "International Portfolios with Supply, Demand, and Redistributive Shocks," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00649209.
• Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008, "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00336475, Oct.
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• Nicolas Coeurdacier & Robert Kollmann & Philippe Martin, 2008, "International Portfolios with Supply, Demand, and Redistributive Shocks," Post-Print, HAL, number hal-00649209.
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• Edwin Le Héron, 2008, "Fiscal and Monetary Policies in a Keynesian Stock-flow Consistent Model," Post-Print, HAL, number halshs-00388042.
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• Thierry Foucault & David Thesmar & David Sraer, 2008, "Individual Investors and Volatility," Working Papers, HAL, number hal-00578370, Jul.
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• Barasinska, Nataliya & Schäfer, Dorothea & Stephan, Andreas, 2008, "Financial Risk Aversion and Household Asset Diversification," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 137, Sep.
• Ibanez, Marcela & Carlsson, Fredrik, 2008, "A choice experiment on coca cropping," Working Papers in Economics, University of Gothenburg, Department of Economics, number 287, Feb, revised 01 Apr 2008.
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