Research classified by Journal of Economic Literature (JEL) codes

2013

• George M von Furstenberg, 2013, "Who or what has been hobbling CoCos: three essentials for making CoCos a success," Journal of Financial Transformation, Capco Institute, volume 36, pages 93-104.
• Daniel Broby & Morgan Lochhead, 2013, "What is the appropriate index construction methodology for African equity investment?," Journal of Financial Transformation, Capco Institute, volume 36, pages 105-110.
• Robert Fiedler & Michael Mahlknecht, 2013, "Basel III: solving the liquidity business challenge," Journal of Financial Transformation, Capco Institute, volume 37, pages 77-94.
• Zoran Ivanovic & Suzana Baresa & Sinisa Bogdan, 2013, "Portfolio Optimization On Croatian Capital Market," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, volume 4, issue 3, pages 269-282.
• Chih-Wei SU & Hsu-Ling CHANG & Chun JIANG, 2013, "Does Wealth or Credit Effect Exist in China?," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 104-114, October.
• Heping XIONG & Jingming ZHOU, 2013, "On Tobin's Multiperiod Portfolio Theorem," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 199-208, October.
• Hao FANG & Yang-Cheng Lu & Hwey-Yun Yau & Yen-Hsien Lee, 2013, "Stock Characteristics Herded By Foreign Investors With Higher Abnormal Returns In The Taiwan Stock Market," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 232-245, December.
• Ansgar Belke & Jennifer Schneider, 2013, "Portfolio Choice of Financial Investors and European Business Cycle Convergence – A Panel Analysis for EU Countries," ROME Working Papers, ROME Network, number 201312, Aug.
• Antonio Dallara & Paolo Rizzi, 2013, "Le relazioni tra le dimensioni della sostenibilità nei sistemi locali e la spesa pubblica," Rivista di Politica Economica, SIPI Spa, issue 3, pages 195-214, July-Sept.
• Daniela Venanzi, 2013, "I fondi comuni italiani: quale metrica per quale performance?," Rivista di Politica Economica, SIPI Spa, issue 3, pages 81-113, July-Sept.
• Stefano Schiaffi, 2013, "The Granularity of the Stock Market: Forecasting Aggregate Returns Using Firm-Level Data," Rivista di Politica Economica, SIPI Spa, issue 4, pages 141-169, October-D.
• Claudia Catalina SAVA, 2013, "Theoretical and Methodological Considerations on the Public Offers," Romanian Statistical Review Supplement, Romanian Statistical Review, volume 61, issue 1, pages 19-24, March.
• Madalina Gabriela ANGHEL & Adina Mihaela DINU, 2013, "Aspecte teoretice privind portofoliile de instrumente financiare – concept si tipologie," Romanian Statistical Review Supplement, Romanian Statistical Review, volume 61, issue 1, pages 194-197, March.
• Madalina Gabriela ANGHEL, 2013, "Modele de constructie a portofoliilor de instrumente financiare," Romanian Statistical Review Supplement, Romanian Statistical Review, volume 61, issue 1, pages 245-250, March.
• Dragos Gabriel MECU, 2013, "Factorii care influenteaza investitiile," Romanian Statistical Review Supplement, Romanian Statistical Review, volume 61, issue 1, pages 256-258, March.
• Radu Titus MARINESCU & Madalina Gabriela ANGHEL, 2013, "Aspecte privind managementul portofoliilor – metode si modele utilizate," Romanian Statistical Review Supplement, Romanian Statistical Review, volume 61, issue 1, pages 259-265, March.
• Florin PIELEANU & Diana COCONOIU, 2013, "Utilizarea comparata a modelelor CAPM si APT in analizele bursiere," Romanian Statistical Review Supplement, Romanian Statistical Review, volume 61, issue 1, pages 295-301, March.
• Madalina - Gabriela ANGHEL, 2013, "Technical Analysis versus Fundamental Analysis of Securities," Romanian Statistical Review Supplement, Romanian Statistical Review, volume 61, issue 2, pages 257-262, May.
• Enrico Maria Cervellati & Filippo Parrella & Marco Spallone, 2013, "Una proposta di revisione dei questionari per la profilatura della cientela," Rivista Bancaria - Minerva Bancaria, Istituto di Cultura Bancaria Francesco Parrillo, issue 1-2, May.
• Paramita Mukherjee & Malabika Roy, 2011, "The Nature and Determinants of Investments by Institutional Investors in the Indian Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 10, issue 3, pages 253-283, December, DOI: 10.1177/097265271101000301.
• Canela Miguel-Angel & Pedreira Eduardo, 2012, "Modelling Dependence in Latin American Markets Using Copula Functions," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 11, issue 3, pages 231-270, December, DOI: 10.1177/0972652712466493.
• Chris Grose, 2013, "Diversification Opportunities through Fixed-income Managed Funds in Eastern Europe," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 12, issue 1, pages 1-29, April, DOI: 10.1177/0972652712473395.
• Devlina Chatterjee & Chiranjit Mukhopadhyay, 2013, "Low-dimensional Characterisation of Liquidity of Individual Stocks in the Indian Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 12, issue 2, pages 151-196, August, DOI: 10.1177/0972652713494044.
• Niccolò Battistini & Marco Pagano & Saverio Simonelli, 2013, "Systemic Risk, Sovereign Yields and Bank Exposures in the Euro Crisis," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 345, Oct.
• Salvatore Piccolo & Giovanni W. Puopolo & Luis Vasconcelos, 2013, "Non-Exclusive Financial Advice," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 347, Dec, revised 13 Oct 2015.
• De la Torre Torres, Oscar Valdemar, 2013, "Estimación de alfa en fondos con beneficios definidos mediante una matriz t-Student O-GARCH. Una evaluación de las pensiones civiles del Estado de Michoacán /Estimation of Alpha in Defined Benefit Pension Funds with a t-Student O-GARCH Matrix : a tes," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 3, issue 1, pages 39-72, enero-jun.
• Santillan Salgado, Roberto Joaquín & Fonseca Ramírez, Alejandro, 2013, "Cointegración entre R2 y Volatilidad para acciones de la Bolsa Mexicana de Valores / Cointegration between R2 and Volatility in the Mexican Stock Exchange Stock Prices," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 3, issue 2, pages 119-144, julio-dic.
• Venegas Martínez, Francisco & Rodríguez Nava, Abigail, 2013, "Decisiones óptimas de portafolio cuando la tasa forward sigue el modelo Heath, Jarrow y Morton (HJM) : un modelo de maximización de utilidad / Optimum Portfolio Decisions When The Forward Rate Follows the Heath, Jarrow and Morton Model (HJM): A Utili," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 3, issue 2, pages 145-160, julio-dic.
• Renata Karkowska, 2013, "The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility," Faculty of Management Working Paper Series, University of Warsaw, Faculty of Management, number 32013, Dec.
• Iulia Bulacu, 2013, "Case Study On The Main Sources For Social Security Institutionally Granted By The Capital City Hall During 1864-1916," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 5, issue 1 (June), pages 185-194.
• Abderrazak Dhaoui & Saad Bourouis & Melek Acar Boyacioglu, 2013, "The Impact Of Investor Psychology On Stock Markets: Evidence From France," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 5, issue 1 (June), pages 35-59.
• A. F. M. Mainul Ahsan, 2013, "Can Roe Be Used To Predict Portfolio Performance?," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 5, issue 1 (June), pages 5-20.
• Jingjing Chai & Raimond Maurer & Olivia Mitchell & Ralph Rogalla, 2013, "Exchanging Delayed Social Security Benefits For Lump Sums: Could This Incentivize Longer Work Careers?," Discussion Papers, Stanford Institute for Economic Policy Research, number 13-009, Dec.
• Marie Briere & Kim Oosterlinck & Ariane Szafarz, 2013, "Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoin," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 13-031, Sep.
• Benoît Dewaele, 2013, "Portfolio Optimization for Hedge Funds through Time-Varying Coefficients," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 13-032, Sep.
• Benoît Dewaele, 2013, "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 13-033, Sep.
• İsmail MAZGİT, 2013, "Endeks Kapsamında Olmanın Hisse Senedi Getirilerine Etkisi: BIST Temettü 25 Endeksi Üzerine Bir Uygulama," Sosyoekonomi Journal, Sosyoekonomi Society, issue 20(20).
• Argiro Svingou, 2013, "Cross-sectional Analysis of Stock Returns in Athens Stock Exchange for the Period 2004-2011," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, volume 63, issue 1-2, pages 100-120, June.
• Erol Muzir, 2013, "Impact of Placement Choices and Governance Issues on Credit Risk in Banking: Nonparametric Evidence from an Emerging Market," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, volume 3, issue 4, pages 1-6, August.
• Andrea Scozzari & Fabio Tardella & Sandra Paterlini & Thiemo Krink, 2013, "Exact and heuristic approaches for the index tracking problem with UCITS constraints," Annals of Operations Research, Springer, volume 205, issue 1, pages 235-250, May, DOI: 10.1007/s10479-012-1207-1.
• Dominik Wied & Matthias Arnold & Nicolai Bissantz & Daniel Ziggel, 2013, "Über die Anwendbarkeit eines neuen Fluktuationstests für Korrelationen auf Finanzzeitreihen," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, volume 6, issue 3, pages 87-103, March, DOI: 10.1007/s11943-012-0115-9.
• Riccardo Bramante & Gimmi Dallago, 2013, "An efficient method of evaluating portfolio risk and return," Computational Statistics, Springer, volume 28, issue 3, pages 1351-1363, June, DOI: 10.1007/s00180-012-0362-9.
• Masaaki Kijima & Yuan Tian, 2013, "Investment and capital structure decisions of foreign subsidiary with international debt shifting and exchange rate uncertainty," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 36, issue 2, pages 169-197, November, DOI: 10.1007/s10203-012-0129-3.
• Luca Riccetti, 2013, "A copula–GARCH model for macro asset allocation of a portfolio with commodities," Empirical Economics, Springer, volume 44, issue 3, pages 1315-1336, June, DOI: 10.1007/s00181-012-0577-1.
• K. Arin & Alexander Molchanov & Otto Reich, 2013, "Politics, stock markets, and model uncertainty," Empirical Economics, Springer, volume 45, issue 1, pages 23-38, August, DOI: 10.1007/s00181-012-0601-5.
• Emrah Çevik & Erdal Atukeren & Turhan Korkmaz, 2013, "Nonlinearity and nonstationarity in international art market prices: evidence from Markov-switching ADF unit root tests," Empirical Economics, Springer, volume 45, issue 2, pages 675-695, October, DOI: 10.1007/s00181-012-0627-8.
• Frederik S. Herzberg, 2013, "The (im)possibility of collective risk measurement: Arrovian aggregation of variational preferences," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), volume 1, issue 1, pages 69-92, May, DOI: 10.1007/s40505-013-0004-6.
• Marcos Melo & Feruccio Bilich, 2013, "Expectancy balance model for cash flow," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 37, issue 2, pages 240-252, April, DOI: 10.1007/s12197-011-9180-0.
• Chiao-Yi Chang, 2013, "Daily momentum profits with firm characteristics and investors’ optimism in the Taiwan market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 37, issue 2, pages 253-273, April, DOI: 10.1007/s12197-011-9182-y.
• Kenneth Moon & James LeSage, 2013, "Simultaneous dependence between firm-level stock returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 37, issue 4, pages 479-494, October, DOI: 10.1007/s12197-011-9188-5.
• Greg Filbeck & Dianna Preece & Xin Zhao, 2013, "Top performing banks: the benefits to investors," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 37, issue 4, pages 560-583, October, DOI: 10.1007/s12197-011-9197-4.
• Chia-Hsuan Yeh & Chun-Yi Yang, 2013, "Do price limits hurt the market?," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 8, issue 1, pages 125-153, April, DOI: 10.1007/s11403-012-0107-4.
• Giulio Bottazzi & Pietro Dindo, 2013, "Selection in asset markets: the good, the bad, and the unknown," Journal of Evolutionary Economics, Springer, volume 23, issue 3, pages 641-661, July, DOI: 10.1007/s00191-013-0318-4.
• Ana Hidalgo-Cabrillana, 2013, "Endogenous governance transparency and product market competition," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 4, issue 1, pages 113-136, March, DOI: 10.1007/s13209-011-0082-3.
• Miguel Ampudia Fraile, 2013, "Stockholding in Spain," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 4, issue 4, pages 415-435, November, DOI: 10.1007/s13209-013-0099-x.
• Sebastian Lobe & Christoph Schmidhammer & Jennifer Pickel, 2013, "Don’t Cry for Me Germania?," Schmalenbach Journal of Business Research, Springer, volume 65, issue 7, pages 688-706, December, DOI: 10.1007/BF03372889.
• Imlak Shaikh & Puja Padhi, 2013, "RBI’s Monetary Policy and Macroeconomic Announcements: Impact on S&P CNX Nifty VIX," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), volume 19, issue 4, pages 445-460, March, DOI: 10.1007/s11300-013-0255-9.
• Andreas Fagereng & Charles Gottlieb & Luigi Guiso, 2013, "Asset market participation and portfolio choice over the life-cycle," Discussion Papers, Statistics Norway, Research Department, number 758, Oct.
• Robert E. Marks, 2013, "The Satisficer’s Curse," Discussion Papers, School of Economics, The University of New South Wales, number 2013-28, Oct.
• Atalay, Kadir & Bakhtiar, Fayzan & Cheung, Stephen L. & Slonim, Robert, 2013, "Savings and Prize-Linked Savings Accounts," Working Papers, University of Sydney, School of Economics, number 2013-12, Jun.
• Nico Katzke, 2013, "South African Sector Return Correlations: using DCC and ADCC Multivariate GARCH techniques to uncover the underlying dynamics," Working Papers, Stellenbosch University, Department of Economics, number 17/2013.
• Nicolas Huck, 2013, "The high sensitivity of pairs trading returns," Applied Economics Letters, Taylor & Francis Journals, volume 20, issue 14, pages 1301-1304, September, DOI: 10.1080/13504851.2013.802121.
• Janko Gorter & Jacob A. Bikker, 2013, "Investment risk taking by institutional investors," Applied Economics, Taylor & Francis Journals, volume 45, issue 33, pages 4629-4640, November, DOI: 10.1080/00036846.2013.795282.
• M. Ryan Haley & M. Kevin McGee & Todd B. Walker, 2013, "Disparity, Shortfall, and Twice-Endogenous HARA Utility," Econometric Reviews, Taylor & Francis Journals, volume 32, issue 4, pages 524-541, December, DOI: 10.1080/07474938.2012.690672.
• Shady Aboul-Enein & Georges Dionne & Nicolas Papageorgiou, 2013, "Performance analysis of a collateralized fund obligation (CFO) equity tranche," The European Journal of Finance, Taylor & Francis Journals, volume 19, issue 6, pages 518-553, July, DOI: 10.1080/1351847X.2011.601666.
• Dimitrios Dimitriou & Theodore Simos, 2013, "International portfolio diversification: an ICAPM approach with currency risk," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, volume 6, issue 2, pages 177-189, September, DOI: 10.1080/17520843.2012.736400.
• Claude B. Erb & Campbell R. Harvey, 2013, "The Golden Dilemma," Financial Analysts Journal, Taylor & Francis Journals, volume 69, issue 4, pages 10-42, July, DOI: 10.2469/faj.v69.n4.1.
• Carlo Magni, 2013, "The Internal Rate of Return Approach and the AIRR Paradigm: A Refutation and a Corroboration," The Engineering Economist, Taylor & Francis Journals, volume 58, issue 2, pages 73-111, DOI: 10.1080/0013791X.2012.745916.
• Dungey, Mardi & Henry, Olan T & Hvodzdyk, Lyudmyla, 2013, "The impact of jumps and thin trading on realized hedge ratios," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2013-02, Mar, revised 28 Mar 2013.
• Alexeev, Vitali & Tapon, Francis, 2013, "Equity Portfolio Diversification: How Many Stocks are Enough? Evidence from Five Developed Markets," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2013-16, Nov, revised 20 Nov 2013.
• Wilkens, Marco & Yao, Juan & Jeyasreedharan, Nagaratnam & Oehler, Patrick, 2013, "Measuring the performance of hedge funds using two-stage peer group benchmarks," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2013-18, Jun, revised 01 Jun 2013.
• Alexeev, Vitali & Dungey, Mardi, 2013, "Equity portfolio diversification with high frequency data," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2013-18, Nov, revised 01 Nov 2013.
• Cengiz Tunc & Denis Pelletier, 2013, "Endogenous Life-Cycle Housing Investment and Portfolio Allocation," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1345.
• CLIPICI Emilia & FRANT Florin, 2013, "Cost Benefit Analysis - Tool For Allocation of Financial Resources For Major Projects," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, volume 0, pages 142-146, May.
• Simon A. Broda, 2013, "Tail Probabilities and Partial Moments for Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-001/III, Jan.
• David E. Allen & Michael McAleer & R.J. Powell & A.K. Singh, 2013, "Volatility Spillovers from the US to Australia and China across the GFC," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-009/III, Jan, revised 01 Feb 2013.
• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013, "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-010/III, Jan.
• David E. Allen & Abhay K. Singh & Robert J. Powell & Michael McAleer & James Taylor & Lyn Thomas, 2013, "Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-020/III, Jan.
• Chia-Lin Chang & David Allen & Michael McAleer, 2013, "Recent Developments in Financial Economics and Econometrics: An Overview," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-021/III, Jan.
• David E. Allen & Mohammad A. Ashraf & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2013, "Financial Dependence Analysis: Applications of Vine Copulae," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-022/III, Jan.
• Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Perez Amaral & Paulo Araujo Santos, 2013, "GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-070/III, May.
• David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2013, "Nonparametric Multiple Change Point Analysis of the Global Financial Crisis," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-072/III, May.
• Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013, "Risk Modelling and Management: An Overview," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-085/III, Jun, revised 08 Jul 2013.
• Dennis Karstanje & Elvira Sojli & Wing Wah Tham & Michel van der Wel, 2013, "Economic Valuation of Liquidity Timing," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-156/IV/DSF64, Oct.
• Victoria Atanasov & Thomas Nitschka, 2013, "The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-180/IV/DSF66, Nov.
• Pikulina, E.S. & Renneboog, L.D.R. & Ter Horst, J.R. & Tobler, P.N., 2013, "Bonus Schemes and Trading Activity," Discussion Paper, Tilburg University, Center for Economic Research, number 2013-030.
• Renneboog, L.D.R., 2013, "The Returns on Investment Grade Diamonds," Discussion Paper, Tilburg University, Center for Economic Research, number 2013-025.
• Pikulina, E.S. & Renneboog, L.D.R. & Ter Horst, J.R. & Tobler, P.N., 2013, "Bonus Schemes and Trading Activity," Other publications TiSEM, Tilburg University, School of Economics and Management, number 134cd4eb-d638-444b-8106-d.
• Dimitris Christelis & Dimitris Georgarakos & Michael Haliassos, 2013, "Differences in Portfolios across Countries: Economic Environment versus Household Characteristics," The Review of Economics and Statistics, MIT Press, volume 95, issue 1, pages 220-236, March.
• Thomas Crossley & Mario Jametti, 2013, "Pension Benefit Insurance and Pension Plan Portfolio Choice," The Review of Economics and Statistics, MIT Press, volume 95, issue 1, pages 337-341, March.
• Tatiana Didier & Roberto Rigobon & Sergio L. Schmukler, 2013, "Unexploited Gains From International Diversification: Patterns Of Portfolio Holdings Around The World," The Review of Economics and Statistics, MIT Press, volume 95, issue 5, pages 1562-1583, December.
• Josh Stillwagon, 2013, "Currency Risk and Imperfect Knowledge: Volatility and Long Swings around Benchmark Values," Working Papers, Trinity College, Department of Economics, number 1315, Dec.
• Josh Stillwagon, 2013, "Are Risk Premia Related to Real Exchange Rate Swings? Survey Expectations and I(2) Trends," Working Papers, Trinity College, Department of Economics, number 1318, Dec.
• Stefano Baccarin & Daniele Marazzina, 2013, "Portfolio Optimization over a Finite Horizon with Fixed and Proportional Transaction Costs and Liquidity Constraints," Working papers, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino, number 017, Jan.
• Jin Park & Tim Query, 2013, "Short-Term Equity Trading Practices Of Institutional Investors: Evidence From Property-Casualty Insurers In The United States," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, volume 11, issue 2, pages 3-13.
• Chia-Lin Chang & David Allen & Michael McAleer, 2013, "Recent Developments in Financial Economics and Econometrics: An Overview," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2013-03, Jan.
• David Allen & Mohammad.A. Ashraf & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2013, "Financial Dependence Analysis: Applications of Vine Copulae," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2013-05, Jan.
• David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2013, "Nonparametric Multiple Change Point Analysis of the Global Financial Crisis," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2013-17.
• Chia-Lin Chang & David E. Allen & Michael McAleer & Ju-Ting Tang & Teodosio Pérez Amaral, 2013, "Risk Modelling and Management: An Overview," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2013-22.
• Massimiliano Caporin & Juan Ángel Jiménez Martín & Lydia González-Serrano, 2013, "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2013-36, Jun.
• Gustavo A. Marrero & Luis A. Puch & Francisco J. Ramos-Real, 2013, "Mean-variance portfolio methods for energy policy risk management," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2013-41.
• Tsangyao Chang & Xiao-lin Li & Stephen M. Miller & Mehmet Balcilar & Rangan Gupta, 2013, "The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains," Working papers, University of Connecticut, Department of Economics, number 2013-34, Dec.
• Adelina Gschwandtner & Michael Hauser, 2013, "Profit Persistence and Stock Returns," Studies in Economics, School of Economics, University of Kent, number 1320, Nov.
• Marie Briere & Ariane Szafarz, 2008, "Crisis-Robust Bond Portfolios," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/14150.
• Marie Briere & Ombretta Signori, 2013, "Hedging inflation risk in a developing economy: The case of Brazil," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/167772, Jan.
• Tommaso Trani, 2013, "Country Portfolios with Heterogeneous Pledgeability," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 02/13, Mar.
• Salamanca, N. & de Grip, A. & Sleijpen, O.C.H.M., 2013, "How individuals react to defined benefit pension risk," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 046, Jan, DOI: 10.26481/umagsb.2013046.
• Riedl, A.M. & Smeets, P.M.A., 2013, "Social preferences and portfolio choice," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 051, Jan, DOI: 10.26481/umagsb.2013051.
• Salamanca, N. & de Grip, A. & Fouarge, D. & Montizaan, R.M., 2013, "Locus of control and investment in risky assets," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 052, Jan, DOI: 10.26481/umagsb.2013052.
• Salamanca Acosta, N. & de Grip, A. & Sleijpen, O.C.H.M., 2013, "How individuals react to defined benefit pension risk," ROA Research Memorandum, Maastricht University, Research Centre for Education and the Labour Market (ROA), number 015, Jan, DOI: 10.26481/umaror.2013015.
• Salamanca Acosta, N. & de Grip, A. & Fouarge, D. & Montizaan, R.M., 2013, "Locus of control and investment in risky assets," ROA Research Memorandum, Maastricht University, Research Centre for Education and the Labour Market (ROA), number 016, Jan, DOI: 10.26481/umaror.2013016.
• Urbina, Jilber & Guillén, Montserrat, 2013, "An application of capital allocation principles to operational risk," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/222201.
• Ben Ammar, Semir & Eling, Martin, 2013, "Common Risk Factors of Infrastructure Firms," Working Papers on Finance, University of St. Gallen, School of Finance, number 1307, May.
• Chabi-Yo, Fousseni & Ruenzi, Stefan & Weigert, Florian, 2013, "Crash Sensitivity and the Cross-Section of Expected Stock Returns," Working Papers on Finance, University of St. Gallen, School of Finance, number 1324, Mar, revised Feb 2016.
• Weigert, Florian, 2013, "Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide," Working Papers on Finance, University of St. Gallen, School of Finance, number 1325, Mar, revised Nov 2015.
• Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2013, "Extreme Downside Liquidity Risk," Working Papers on Finance, University of St. Gallen, School of Finance, number 1326, Nov, revised Jul 2015.
• Alexandra Spicer & Olena Stavrunova & Susan Thorp, 2013, "How Portfolios Evolve After Retirement: Evidence From Australia," Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney, number 11, Jun.
• Jan Baldeaux & Eckhard Platen, 2013, "Liability Driven Investments under a Benchmark Based Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 325, Feb.
• Hazel Bateman & Isabella Dobrescu & Ben R. Newell & Andreas Ortmann & Susan Thorp, 2013, "As Easy as Pie: How Retirement Savers use Prescribed Investment Disclosures," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 326, Mar.
• Monica Billio & Gregory Jannin & Bertrand Maillet & Loriana Pelizzon, 2013, "Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2013:22.
• Alessandro Bucciol & Luca Zarri, 2013, "Financial Risk Aversion and Personal Life History," Working Papers, University of Verona, Department of Economics, number 05/2013, Feb.
• Francesco Rossi & Leonardo Turrina, 2013, "Gli investimenti sostenibili e responsabili," Working Papers, University of Verona, Department of Economics, number 23/2013, Dec.
• PICIU, Gabriela Cornelia, 2013, "Internal Rating – An Active Instrument In The Management Of Banking Risks. Case Study Bcr," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 17, issue 2, pages 21-30.
• Hao Fang & Yen-Hsien Lee, 2013, "Are the Global REIT Markets Efficient by a New Approach?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 60, issue 6, pages 743-757.
• Paweł Wnuk Lipinski, 2013, "Portfolio selection models based on characteristics of return distributions," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2013-14.
• Lori J. Curtis & Kathleen Rybczynski, 2013, "Exiting Poverty: Does Sex Matter?," Working Papers, University of Waterloo, Department of Economics, number 1307, Sep, revised Sep 2013.
• Moore, Alexander & Straub, Stephane & Dethier, Jean-Jacques, 2013, "Regulation, renegotiation and capital structure : theory and evidence from Latin American transport concessions," Policy Research Working Paper Series, The World Bank, number 6646, Oct.
• Darong Dai, 2013, "Wealth Martingale and Neighborhood Turnpike Property In Dynamically Complete Market With Heterogeneous Investors," Economic Research Guardian, Mutascu Publishing, volume 3, issue 2, pages 86-110, December.
• Michael McAleer & Juan‐Ángel Jiménez‐Martín & Teodosio Pérez‐Amaral, 2013, "International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord," Journal of Forecasting, John Wiley & Sons, Ltd., volume 32, issue 3, pages 267-288, April.
• Sumit Agarwal & John C. Driscoll & David I. Laibson, 2013, "Optimal Mortgage Refinancing: A Closed‐Form Solution," Journal of Money, Credit and Banking, Blackwell Publishing, volume 45, issue 4, pages 591-622, June, DOI: 10.1111/jmcb.12017.
• Patrick Konermann & Christoph Meinerding & Olga Sedova, 2013, "Asset allocation in markets with contagion: The interplay between volatilities, jump intensities, and correlations," Review of Financial Economics, John Wiley & Sons, volume 22, issue 1, pages 36-46, January, DOI: 10.1016/j.rfe.2012.08.001.
• Rıza Demirer & Shrikant P. Jategaonkar, 2013, "The conditional relation between dispersion and return," Review of Financial Economics, John Wiley & Sons, volume 22, issue 3, pages 125-134, September, DOI: 10.1016/j.rfe.2013.04.004.
• Bruno C. Giovannetti, 2013, "Asset pricing under quantile utility maximization," Review of Financial Economics, John Wiley & Sons, volume 22, issue 4, pages 169-179, November, DOI: 10.1016/j.rfe.2013.05.008.
• Terence Tai-Leung Chong & Wing Hei Mak & Isabel Kit-Ming Yan, 2013, "A Threshold Model Approach To Estimating The Abnormal Stock Returns," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 01, pages 1-17, DOI: 10.1142/S2010495213500012.
• João Paulo Vieito & K. V. Bhanu Murthy & Vanita Tripathi, 2013, "Market Efficiency In G-20 Countries: The Paradox Of Financial Crisis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 01, pages 1-27, DOI: 10.1142/S2010495213500036.
• Alexandre Roch & H. Mete Soner, 2013, "Resilient Price Impact Of Trading And The Cost Of Illiquidity," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 16, issue 06, pages 1-27, DOI: 10.1142/S0219024913500374.
• Steven J. Davis & Paul Willen, 2013, "Occupation-Level Income Shocks and Asset Returns: Their Covariance and Implications for Portfolio Choice," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 3, issue 03n04, pages 1-53, DOI: 10.1142/S2010139213500110.
• Jing-Zhi Huang & Zhijian Huang, 2013, "Real-Time Profitability of Published Anomalies: An Out-of-Sample Test," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 3, issue 03n04, pages 1-33, DOI: 10.1142/S201013921350016X.
• Leonard C MacLean & William T Ziemba (ed.), 2013, "Handbook of the Fundamentals of Financial Decision Making:In 2 Parts," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8557, ISBN: ARRAY(0x74dcc7c0), September.
• Rachel E S Ziemba & William T Ziemba, 2013, "Investing in the Modern Age," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8793, ISBN: ARRAY(0x756176c0), September.
• Sébastien Lleo & William T. Ziemba, 2013, "Stock Market Crashes In 2007–2009: Were We Able To Predict Them?," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 13, in: Oliviero Roggi & Edward I Altman, "Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Arbitrage, Risk Arbitrage and the Favorite-longshot Bias," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "The Bond Stock Earnings Yield Differential Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Investor Camps," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Average Hedge Funds and their Evaluation," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Incentives and Risk Taking in Hedge Funds," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Evaluating Superior Hedge Funds," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Investment in Own-Company Stock," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Cutting Through the Hype on Sovereign Wealth Funds," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "A New Age for Liquidity," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Government Owned Pensions: Asset Allocation and Governance Issues," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Update on Yale's Approach to Endowment Investing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "A Risk Arbitrage Convergence Trade: The Nikkei Put Warrant Market of 1989–90," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Kelly Capital Growth Investing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 13, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "InnoALM, the Innovest Austrian Pension Fund Financial Planning Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 14, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Investing in the January Turn-of-the-Year Effect with Index Futures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 15, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "The January Barometer," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 16, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Sell in May and Go Away and the Effect of the Fed," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 17, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "60-40 Pension Fund Mixes and Presidential Party Effects," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 18, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Thoughts on the VIX Fear Index," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 19, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Changing Correlations: Rising VIX and Violent Market Moves," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 20, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Stock Market Crashes in 2006–2009: Were We Able to Predict Them?," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 21, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Three Mini Crashes in US and World Equity Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 22, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "What Signals Worked and What Did Not, 1980–2009," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 23, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "What Signals Worked and What Did Not, 1980–2009, Part II," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 24, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "What Signals Worked and What Did Not, 1980–2009, Part III," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 25, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "How to Lose Money in Derivatives and Examples of Those Who Did," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 26, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Understanding the Financial Markets in the Subprime Era: The 2007/9 Crisis," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 27, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Bubbles," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 28, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "China: Navigating the Olympic Risks," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 29, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Turkey's Juggling Act: Can it Live up to Potential?," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 30, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Testing Resiliency: Protest and Natural Disasters," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 31, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "It's a Gas, Gas, Gas!," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 32, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Thoughts on the Current Market Environment, Risks and Returns," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 33, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "What's Wrong with the US?," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 34, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Investing Around the World," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 35, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Blunder or Correct Decision? The Belichick Decision to go for it on 4th Down," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 36, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "The 2010 and 2011 Super Bowls and the Elo Ranking System," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 37, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Risk Arbitrage in the NFL 2012 Playoffs and the Super Bowl," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 38, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "The One That Got Away: The Hitable $2 Million Pick 6 at the Breeders' Cup," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 39, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Two Super Horses," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 40, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "Farewell to the Queen and to the Princess of US Thoroughbred Racing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 41, "Investing in the Modern Age".
• Rachel E. S. Ziemba & William T. Ziemba, 2013, "The Dr. Z Place and Show Racetrack Betting Systems Past and Present," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 42, "Investing in the Modern Age".
• Charles-Albert Lehalle & Sophie Laruelle, 2013, "Monitoring the Fragmentation at Any Scale," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: Charles-Albert Lehalle & Sophie Laruelle, "Market Microstructure in Practice".
• Charles-Albert Lehalle & Sophie Laruelle, 2013, "Understanding the Stakes and the Roots of Fragmentation," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: Charles-Albert Lehalle & Sophie Laruelle, "Market Microstructure in Practice".
• Charles-Albert Lehalle & Sophie Laruelle, 2013, "Optimal Organisations for Optimal Trading," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: Charles-Albert Lehalle & Sophie Laruelle, "Market Microstructure in Practice".