Research classified by Journal of Economic Literature (JEL) codes

2012

• Michael McAleer, 2009, "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-164, Aug.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009, "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-171, Sep.
• Abdul Hakim & Michael McAleer, 2009, "VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-178, Oct.
• Abdul Hakim & Michael McAleer, 2009, "Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-179, Oct.
• Claudio Raddatz & Sergio L. Schmukler, 2012, "On the International Transmission of Shocks: Micro – Evidence From Mutual Fund Portfolios," Working Papers Central Bank of Chile, Central Bank of Chile, number 668, Jun.
• Jacopo Cimadomo & Sebastian Hauptmeier & Tom Zimmermann, 2012, "Fiscal Consolidations and Banking Stability," Working Papers, CEPII research center, number 2012-32, Nov.
• Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012, "Sequential Estimation of Shape Parameters in Multivariate Dynamic Models," Working Papers, CEMFI, number wp2012_1201, Feb.
• Khalifa & Hammoudeh & E. Otranto, 2012, "Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201209.
• Cadoni & R. Melis & Trudda, 2012, "Financial crisis: a new measure for risk of pension funds assets," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201231.
• Elizabeth T. Arroyave C. & Diego A. Agudelo R., 2012, "Rendimiento ex-dividendo como indicador de eficiencia en un mercado emergente: caso colombiano 1999-2007," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10656, Nov.
• Javier Orlando Pantoja Robayo & Juan Fernando Rend�n Garc�a & Alfredo Trespalacios Carrasquilla, 2012, "Estrategia de Cobertura a Través de Contratos Forward en Mercados Eléctricos," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10665, Nov.
• Alfredo Trespalacios Carrasquilla & Juan Fernando Rend�n & Javier Orlando Pantoja Robayo, 2012, "Efecto de Restricciones de VaR sobre Coberturas en Mercados Eléctricos," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10666, Nov.
• María Isabel Restrepo E., 2012, "Estimating Portfolio Value at Risk with GARCH and MGARCH models," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE, issue 19, pages 77-92.
• Werner Kristjanpoller Rodriguez & Víctor Caballero Ugarte, 2012, "Volumen y asimetría en los principales mercados accionarios latinoamericanos," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• Luís Ángel Meneses Cerón & Ronald Alejandro Macuac� Otero, 2012, "Contagio financiero entre economías: un análisis exploratorio a través de la econometría. Caso Colombia - Estados Unidos," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 4, issue 2, pages 51-62.
• Maria Letizia Guerra & Carlo Alberto Magni & Luciano Stefanini, 2012, "Interval and fuzzy Average Internal Rate of Return for investment appraisal," Proyecciones Financieras y Valoración, Master Consultores, number 9641, Jun.
• Carlo Alberto Magni, 2012, "The AIRR Approach for Investment Performance Measurement," Proyecciones Financieras y Valoración, Master Consultores, number 9652, Jun.
• Carlo Alberto Magni, 2012, "The Internal-Rate-of-Return approach and the AIRR paradigm: A refutation and a corroboration," Proyecciones Financieras y Valoración, Master Consultores, number 10084, Nov.
• Pedro Fabi√°n Castilla √Åvila Ignacio Velez-Pareja & Pedro F. Castilla, 2012, "Optimal Portfolio Selection: A Note with a VBA Solution," Proyecciones Financieras y Valoración, Master Consultores, number 10723, Oct.
• José Gabriel Astaiza Gómez, 2012, "El teorema de la separación de Tobin: información del primer semestre de 2008 del mercado accionario colombiano," Revista Ad-Minister, Universidad EAFIT.
• John Jairo Forero Romero & Carlos Alberto Orozco Hurtado, 2012, "Gerenciamiento de activos tangibles en empresas del sector real: un paralelo entre industria de refinación de crudos e industria de refinación de minerales no metálicos en Colombia," Revista Ad-Minister, Universidad EAFIT.
• Söderlind, Paul & Dahlquist, Magnus & Martinez, José Vicente, 2012, "Individual Investor Activity and Performance," CEPR Discussion Papers, Centre for Economic Policy Research, number 8744, Jan.
• Rey, Hélène & Coeurdacier, Nicolas, 2012, "Home Bias in Open Economy Financial Macroeconomics," CEPR Discussion Papers, Centre for Economic Policy Research, number 8746, Jan.
• Kaniel, Ron & Alt, Aydogan & Yoeli, Uzi, 2012, "Why Do Institutional Investors Chase Return Trends?," CEPR Discussion Papers, Centre for Economic Policy Research, number 8773, Jan.
• Broer, Tobias, 2012, "The home bias of the poor: Terms of trade effects and portfolios across the wealth distribution," CEPR Discussion Papers, Centre for Economic Policy Research, number 8811, Feb.
• Hau, Harald & Lai, Sandy, 2012, "The Role of Equity Funds in the Financial Crisis Propagation," CEPR Discussion Papers, Centre for Economic Policy Research, number 8819, Feb.
• Hau, Harald & Lai, Sandy, 2012, "Real Effects of Stock Underpricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 8820, Feb.
• Koedijk, Kees & Pownall, Rachel A J & Statman, Meir, 2012, "Aspirations, Well-being, Risk-Aversion and Loss-Aversion," CEPR Discussion Papers, Centre for Economic Policy Research, number 8904, Mar.
• Torricelli, Costanza & Bertocchi, Graziella & Brunetti, Marianna, 2012, "Is it money or brains? The determinants of intra-family decision power," CEPR Discussion Papers, Centre for Economic Policy Research, number 9017, Jun.
• Veldkamp, Laura & Kacperczyk, Marcin & Van Nieuwerburgh, Stijn, 2012, "Time-Varying Fund Manager Skill," CEPR Discussion Papers, Centre for Economic Policy Research, number 9025, Jul.
• Schmukler, Sergio L. & Raddatz, Claudio, 2012, "On the International Transmission of Shocks: Micro-Evidence From Mutual Fund Portfolios," CEPR Discussion Papers, Centre for Economic Policy Research, number 9070, Aug.
• Fratzscher, Marcel & Straub, Roland & Lo Duca, Marco, 2012, "A global monetary tsunami? On the spillovers of US Quantitative Easing," CEPR Discussion Papers, Centre for Economic Policy Research, number 9195, Oct.
• Fougère, Denis & Poulhès, Mathilde, 2012, "The Effect of Housing on Portfolio Choice: A Reappraisal Using French Data," CEPR Discussion Papers, Centre for Economic Policy Research, number 9213, Nov.
• Haliassos, Michael & Georgarakos, Dimitris & Pasini, Giacomo, 2012, "Household Debt and Social Interactions," CEPR Discussion Papers, Centre for Economic Policy Research, number 9238, Dec.
• Martin Bohl & Philipp Kaufmann & Patrick Stephan, 2012, "From Hero to Zero: Evidence of Performance Reversal and Speculative Bubbles in German Renewable Energy Stocks," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 2412, Jun.
• Marc Boissaux & Jang Schiltz, 2012, "Conditioned Higher Moment Portfolio Optimisation Using Optimal Control," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 12-2.
• Maela Giofré, 2012, "Financial education, investor protection and international portfolio diversification," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 130, Oct.
• Simon Dubecq & Christian Gouriéroux, 2012, "Shock on Variable or Shock on Distribution with Application to Stress-Tests," Working Papers, Center for Research in Economics and Statistics, number 2012-03, Feb.
• Cabrales, Antonio & Gossner, Olivier & Serrano, Roberto, 2012, "The Appeal of Information Transactions," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1224, Sep.
• Beatriz de Blas & Ana Hidalgo-Cabrillana, 2012, "Portfolio choice and private information: A note," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 35, issue 98, pages 55-67, Agosto.
• David Peón & Manel Antelo, 2012, "Are normative models in Finance realistic?," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 35, issue 98, pages 89-99, Agosto.
• Raymond Kan & Guofu Zhou, 2012, "Tests of Mean-Variance Spanning," Annals of Economics and Finance, Society for AEF, volume 13, issue 1, pages 139-187, May.
• Gaowang Wang & Heng-fu Zou, 2012, "Economic Globalization, Mercantilism and Economic Growth," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 548.
• Zapata, Hector O. & Detre, Joshua D. & Hanabuchi, Tatsuya, 2012, "Historical Performance of Commodity and Stock Markets," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 44, issue 3, pages 339-357, August.
• Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2012, "Aggregate Idiosyncratic Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 47, issue 6, pages 1155-1185, December.
• Botshekan, Mahmoud & Kraeussl, Roman & Lucas, Andre, 2012, "Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced?," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 47, issue 6, pages 1279-1301, December.
• Storchmann, Karl, 2012, "Wine Economics," Journal of Wine Economics, Cambridge University Press, volume 7, issue 1, pages 1-33, May.
• Ana Fostel & John Geanakoplos, 2012, "Endogenous Leverage in a Binomial Economy: The Irrelevance of Actual Default," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1877, Sep.
• Ana Fostel & John Geanakoplos, 2012, "Leverage and Default in Binomial Economies: A Complete Characterization," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1877R, Sep, revised Jul 2013.
• Ana Fostel & John Geanakoplos, 2012, "Leverage and Default in Binomial Economies: A Complete Characterization," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1877R2, Sep, revised Aug 2014.
• Ana Fostel & John Geanakoplos, 2012, "Leverage and Default in Binomial Economies: A Complete Characterization," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1877R3, Sep, revised Mar 2015.
• Fischer, Thomas, 2012, "Passive Investment Strategies and Financial Bubbles," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 57576, Apr.
• Fischer, Thomas, 2012, "Passive Investment Strategies and Financial Bubbles," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 77437, Apr.
• Walkshäusl, Christian & Lobe, Sebastian, 2012, "Islamic investing," Review of Financial Economics, Elsevier, volume 21, issue 2, pages 53-62, DOI: 10.1016/j.rfe.2012.03.002.
• Lu, Tsung-Hsun & Shiu, Yung-Ming & Liu, Tsung-Chi, 2012, "Profitable candlestick trading strategies—The evidence from a new perspective," Review of Financial Economics, Elsevier, volume 21, issue 2, pages 63-68, DOI: 10.1016/j.rfe.2012.02.001.
• Stotz, Olaf & Georgi, Dominik, 2012, "A logit model of retail investors' individual trading decisions and their relations to insider trades," Review of Financial Economics, Elsevier, volume 21, issue 4, pages 159-167, DOI: 10.1016/j.rfe.2012.04.001.
• Hatemi-J, Abdulnasser, 2012, "Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing," Research in International Business and Finance, Elsevier, volume 26, issue 2, pages 273-280, DOI: 10.1016/j.ribaf.2012.01.002.
• Hedesström, Martin & Andersson, Maria & Gärling, Tommy & Biel, Anders, 2012, "Stock investors’ preference for short-term vs. long-term bonuses," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 41, issue 2, pages 137-142, DOI: 10.1016/j.socec.2011.12.010.
• Kliger, Doron & Gilad, Dalia, 2012, "Red light, green light: Color priming in financial decisions," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 41, issue 5, pages 738-745, DOI: 10.1016/j.socec.2012.07.003.
• Ana Paula Martins, 2012, "Portfolio Selection – A Technical Note," Journal of Economics and Econometrics, Economics and Econometrics Society, volume 55, issue 3, pages 78-99.
• Ana Paula Martins, 2012, "Portfolio Selection – A Technical Note," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2012_17, Nov.
• Melisso Boschi & Stefano d'Addona & Aditya Goenka, 2012, "Testing External Habits in an Asset Pricing Model," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-20, May.
• Mark Fedenia & Sherrill Shaffer & Hilla Skiba, 2012, "Information Immobility, Industry Concentration, and Institutional Investors' Performance," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-24, Jun.
• Leo Dobes, 2012, "Adaptation to Climate Change: Formulating Policy under Uncertainty," CCEP Working Papers, Centre for Climate & Energy Policy, Crawford School of Public Policy, The Australian National University, number 1201, Jan.
• Arturo Lorenzo Valdés & Sara Barajas Cortés & Wulfrano Gómez Gallardo, 2012, "Valuación financiera de proyectos de inversión en la industria hotelera con opciones reales," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 6, issue 2, pages 51-62.
• Omer ISKENDEROGLU, 2012, "Beta Katsayilarinin Tahmini: Istanbul Menkul Kiymetler Borsasi Uzerine Bir Uygulama," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 12, issue 1, pages 69-78.
• Umut UYAR & Sinem Guler KANGALLI, 2012, "Markowitz Modeline Dayali Optimal Portfoy Seciminde Islem Hacmi Kisiti," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 12, issue 2, pages 183-192.
• Gulfen TUNA, 2012, "Kovaryans Matrisi Tahmininin Portfoy Secimine Etkisi: IMKB’de Farkli Yatirim Ufuklari icin Uygulama," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 12, issue 3, pages 311-322.
• Vayanos, Dimitri & Wang, Jiang, 2012, "Market liquidity - theory and empirical evidence," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119044, Jul.
• Ellul, Andrew & Jotikasthira, Chotibhak & Lundblad, Christian & Wang, Yihui, 2012, "Is historical cost accounting a panacea? Market stress, incentive distortions, and gains trading," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119197, Feb.
• Bijapur, Mohan & Croci, Manuela & Zaidi, Rida, 2012, "Do asset regulations impede portfolio diversification? evidence from European life insurance funds," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 56618, Jun.
• Bracke, Philippe & Hilber, Christian A. L. & Silva, Olmo, 2012, "Homeownerhip and entrepreneurship," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 58436, Apr.
• Mansor H. Ibrahim, 2012, "Financial market risk and gold investment in an emerging market: the case of Malaysia," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, volume 5, issue 1, pages 25-34, March, DOI: 10.1108/17538391211216802.
• Yuri Khoroshilov, 2012, "Momentum trading strategy and investment horizon: an experimental study," Journal of Economic Studies, Emerald Group Publishing Limited, volume 39, issue 1, pages 4-12, January, DOI: 10.1108/01443581211192071.
• Scott Hacker & Abdulnasser Hatemi‐J, 2012, "A bootstrap test for causality with endogenous lag length choice: theory and application in finance," Journal of Economic Studies, Emerald Group Publishing Limited, volume 39, issue 2, pages 144-160, May, DOI: 10.1108/01443581211222635.
• Min‐Hua Kuo & Shaw K. Chen, 2012, "Prospect theory and disposition patterns: evidence from Taiwan investors," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 29, issue 1, pages 43-51, March, DOI: 10.1108/10867371211203846.
• Hammoudeh, S.M. & McAleer, M.J., 2012, "Risk Management and Financial Derivatives: An Overview," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2012-14, Apr.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012, "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2012-29, Oct.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012, "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2012-34, Oct.
• Franses, Ph.H.B.F. & Knecht, W., 2012, "The Late 1970's Bubble in Dutch Collectible Postage Stamps," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2013-02, Feb.
• de Groot, W.A. & Pang, J. & Swinkels, L.A.P., 2012, "The Cross-Section of Stock Returns in Frontier Emerging Markets," 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-2012-012-F&A, Aug.
• Bannouh, K. & Martens, M.P.E. & Oomen, R.C.A. & van Dijk, D.J.C., 2012, "Realized mixed-frequency factor models for vast dimensional covariance estimation," 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-2012-017-F&A, Oct.
• Reyyan Koc & Nikolaos K. Kazantzis & William J. Nuttall & Yi Hua Ma, 2012, "Economic Rationale for Safety Investment in Integrated Gasification Combined-Cycle Gas Turbine Membrane Reactor Modules," Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge, number EPRG 1211, May.
• Alessandro Cardinali, 2012, "An Out-of-sample Analysis of Mean-Variance Portfolios with Orthogonal GARCH Factors," International Econometric Review (IER), Economic Research Association, volume 4, issue 1, pages 1-16, April.
• Bala Batavia & Nandakumar Parameswar & Cheick Wagué, 2012, "Portfolio Diversification in Extreme Environments: Are There Benefits from Adding Commodity Future Indices?," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3, pages 33-48.
• Fernando de Llano Paz & Anxo Calvo Silvosa & Martín Portos García, 2012, "The Problem of Determining the Energy Mix: from the Portfolio Theory to the Reality of Energy Planning in the Spanish Case," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 3-30.
• Francisco López-Herrera. & Francisco Venegas-Martínez., 2012, "Integración Financiera México-Estados Unidos: Mercados Accionarios y de Derivados Accionarios," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, volume 36, issue 1, pages 179-196, Enero-Jun, DOI: 10.24275/ETYPUAM/NE/362012/Lopez.
• Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012, "Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," Economics Working Papers, European University Institute, number ECO2012/28.
• Tatiana Damjanovic & Vladislav Damjanovic & Charles Nolan, 2012, "Universal banking, competition and risk in a macro model," Discussion Papers, University of Exeter, Department of Economics, number 1201.
• n.d., 2012, "Book reviews," HISTORY OF ECONOMIC THOUGHT AND POLICY, FrancoAngeli Editore, volume 0, issue 1, pages 125-166.
• Martin Branda & Miloš Kopa, 2012, "DEA-Risk Efficiency and Stochastic Dominance Efficiency of Stock Indices," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 2, pages 106-124, May.
• Silvo Dajcman, 2012, "The Dynamics of Return Comovement and Spillovers Between the Czech and European Stock Markets in the Period 1997–2010," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 4, pages 368-390, August.
• Tiago C. Berriel & Saroj Bhattarai, 2012, "Hedging against the government: a solution to the home asset bias puzzle," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 113.
• John V. Duca & Jason L. Saving, 2012, "Has income inequality or media fragmentation increased political polarization?," Working Papers, Federal Reserve Bank of Dallas, number 1206, DOI: 10.24149/wp1206.
• Kristin J. Forbes & Marcel Fratzscher & Thomas Kostka & Roland Straub, 2012, "Bubble thy neighbor: portfolio effects and externalities from capital controls," Proceedings, Federal Reserve Bank of San Francisco, issue Nov, pages 1-48.
• Eric T. Swanson, 2012, "Risk aversion, risk premia, and the labor margin with generalized recursive preferences," Working Paper Series, Federal Reserve Bank of San Francisco, number 2012-17.
• John Ammer & Sara B. Holland & David C. Smith & Francis E. Warnock, 2012, "U.S. international equity investment," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1044.
• William Hardin & Sheng Guo, 2012, "Wealth, Composition, Housing, Income, and Consumption," Working Papers, Florida International University, Department of Economics, number 1201, Mar.
• Matteo Del Vigna, 2012, "A note on the existence of CAPM equilibria with homogeneous Cumulative Prospect Theory preferences," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2012-01, Jan.
• Matteo Del Vigna, 2012, "Stochastic dominance for law invariant preferences: The happy story of elliptical distributions," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2012-08, Oct.
• Dimitri Vayanos & Jiang Wang, 2012, "Market Liquidity - Theory and Empirical Evidence," FMG Discussion Papers, Financial Markets Group, number dp709, Jul.
• Wallmeier, Martin, 2012, "Smile in Motion: An Intraday Analysis of Asymmetric Implied Volatility," FSES Working Papers, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland, number 427, Aug.
• Tommaso Trani, 2012, "Country Portfolios with Heterogeneous Pledgeability," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 02-2012, Feb, revised 12 Feb 2012.
• René Tapsoba, 2012, "Does Inflation Targeting Matter for Attracting Foreign Direct Investment into Developing Countries?," CERDI Working papers, HAL, number halshs-00667203, Feb.
• Rania Hentati & Jean-Luc Prigent, 2012, "Structured portfolio analysis under SharpeOmega ratio," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00657327, Jan.
• Hippolyte d'Albis & Emmanuel Thibault, 2012, "Optimal annuitization, uncertain survival probabilities, and maxmin preferences," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00670320, May, DOI: 10.1016/j.econlet.2011.12.045.
• Florin Bilbiie & Roland Straub, 2012, "Changes in the Output Euler Equation and Asset Markets Participation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00680647, Aug, DOI: 10.1016/j.jedc.2012.03.018.
• Gunther Capelle-Blancard & S. Monjon, 2012, "Trends in the literature on socially responsible investment: Looking for the keys under the lamppost," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00733402, DOI: 10.1111/j.1467-8608.2012.01658.x.
• Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012, "Une évaluation économique du risque de modèle pour les investisseurs de long terme," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00820721, May, DOI: 10.3917/reco.633.0591.
• Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012, "Une evaluation economique du risque de modele pour les investisseurs de long terme. (An Economic Evaluation of the Model Risk for Long-Term Investors. With English summary.)," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-01380667.
• Hippolyte d'Albis & Emmanuel Thibault, 2012, "Ambiguous Life Expectancy and the Demand for Annuities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00721281, Jul.
• Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012, "Une évaluation économique du risque de modèle pour les investisseurs de long-terme," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00825337, Jan.
• Hippolyte d'Albis & Emmanuel Thibault, 2012, "Optimal annuitization, uncertain survival probabilities, and maxmin preferences," Post-Print, HAL, number hal-00670320, May, DOI: 10.1016/j.econlet.2011.12.045.
• Florin Bilbiie & Roland Straub, 2012, "Changes in the Output Euler Equation and Asset Markets Participation," Post-Print, HAL, number hal-00680647, Aug, DOI: 10.1016/j.jedc.2012.03.018.
• Christophe Spaenjers & Luc Renneboog, 2012, "Hard assets: The returns on rare diamonds and gems," Post-Print, HAL, number hal-00758542, Dec, DOI: 10.1016/j.frl.2012.07.003.
• O. Brandouy & Lin Ma & Hector Zenil & Jean-Paul Delahaye, 2012, "Algorithmic complexity of financial motions," Post-Print, HAL, number hal-00802537, DOI: 10.1016/j.ribaf.2012.08.001.
• O. Bouasker & J.L. Prigent, 2012, "Corporate investment choice and exchange option between production functions," Post-Print, HAL, number hal-00803200.
• Stefano Ugolini, 2012, "Foreign Exchange Reserve Management in the 19 th Century: The National Bank of Belgium in the 1850s," Post-Print, HAL, number hal-01293720.
• Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012, "Une evaluation economique du risque de modele pour les investisseurs de long terme. (An Economic Evaluation of the Model Risk for Long-Term Investors. With English summary.)," Post-Print, HAL, number hal-01380667.
• Bertrand Candelon & Christophe Hurlin & Sessi Tokpavi, 2012, "Sampling Error and Double Shrinkage Estimation of Minimum Variance Portfolios," Post-Print, HAL, number hal-01385835, DOI: 10.1016/j.jempfin.2012.04.010.
• Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012, "Une évaluation économique du risque de modèle pour les investisseurs de long-terme," Post-Print, HAL, number hal-01386007.
• Michel Aglietta & Marie Brière & Sandra Rigot & Ombretta Signori, 2012, "Rehabilitating the Role of Active Management for Pension Funds," Post-Print, HAL, number hal-01493326.
• Andrew Ang & Marie Brière & Ombretta Signori, 2012, "Inflation and Individual Equities," Post-Print, HAL, number hal-01494500, DOI: 10.2469/faj.v68.n4.3.
• Jules Sadefo-Kamdem, 2012, "VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors," Post-Print, HAL, number hal-02901914, Feb, DOI: 10.1007/s10436-009-0138-6.
• Jaksa Cvitanic & Elyès Jouini & Semyon Malamud & Clotilde Napp, 2012, "Financial Markets Equilibrium with Heterogeneous Agents," Post-Print, HAL, number halshs-00488537, Jan, DOI: 10.1093/rof/rfr018.
• Elyès Jouini & Clotilde Napp, 2012, "Behavioral biases and representative agent," Post-Print, HAL, number halshs-00550229, Jul, DOI: 10.1007/s11238-011-9274-3.
• Serge Darolles & Mathieu Vaissié, 2012, "The alpha and omega of fund of hedge fund added value," Post-Print, HAL, number halshs-00677718, Apr, DOI: 10.1016/j.jbankfin.2011.10.021.
• Hippolyte d'Albis & Emmanuel Thibault, 2012, "Ambiguous Life Expectancy and the Demand for Annuities," Post-Print, HAL, number halshs-00721281, Jul.
• Hippolyte d'Albis & Emmanuel Thibault, 2012, "Optimal annuitization, uncertain survival probabilities, and maxmin preferences," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-00670320, May, DOI: 10.1016/j.econlet.2011.12.045.
• Florin Bilbiie & Roland Straub, 2012, "Changes in the Output Euler Equation and Asset Markets Participation," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-00680647, Aug, DOI: 10.1016/j.jedc.2012.03.018.
• Rania Hentati & Jean-Luc Prigent, 2012, "Structured portfolio analysis under SharpeOmega ratio," Working Papers, HAL, number hal-00657327, Jan.
• Ulrich Hege & Dirk Bergemann & Liang Peng, 2012, "Venture Capital and Sequential Investments," Working Papers, HAL, number hal-00759784, Dec.
• Johan Hombert & David Thesmar, 2012, "Limits of Limits of Arbitrage: Theory and Evidence," Working Papers, HAL, number hal-00760761, Dec.
• René Tapsoba, 2012, "Does Inflation Targeting Matter for Attracting Foreign Direct Investment into Developing Countries?," Working Papers, HAL, number halshs-00667203, Feb.
• R. Khalfaoui & M. Boutahar, 2012, "Portfolio Risk Evaluation: An Approach Based on Dynamic Conditional Correlations Models and Wavelet Multi-Resolution Analysis," Working Papers, HAL, number halshs-00793068, Mar.
• Holmberg, Ulf & Sjögren, Tomas & Hellström, Jörgen, 2012, "Comparing Centralized and Decentralized Banking: A Study of the Risk-Return Profiles of Banks," Umeå Economic Studies, Umeå University, Department of Economics, number 838, Feb.
• Holmberg, Ulf & Lönnbark, Carl & Lundström, Christian, 2012, "Assessing the profitability of intraday opening range breakout strategies," Umeå Economic Studies, Umeå University, Department of Economics, number 845, Aug.
• Hara, Chiaki, 2012, "Asset prices, trading volumes, and investor welfare in markets with transaction costs," CIS Discussion paper series, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University, number 556, May.
• Warren Bailey & Lin Zheng & Yinggang Zhou, 2012, "What Makes the VIX Tick?," Working Papers, Hong Kong Institute for Monetary Research, number 222012, Sep.
• Beshears, John Leonard & Choi, James J. & Laibson, David I. & Madrian, Brigitte C., 2012, "Simplification and Saving," Scholarly Articles, Harvard University Department of Economics, number 9925399, Nov.
• Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012, "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-269, Dec.
• Karen C. Castro-González, 2012, "Portrait Of A Company: Defined Benefit Pension Plan Sponsors," Accounting & Taxation, The Institute for Business and Finance Research, volume 4, issue 1, pages 43-52.
• Santosh Kumar & Tavishi & Raju G & Ashish Khatua, 2012, "Behavioral Modeling Of Foreign Institutional Investor’S In Indian Equity Market," Global Journal of Business Research, The Institute for Business and Finance Research, volume 6, issue 1, pages 1-8.
• Po-Cheng Wu & Cheng-Kun Kuo & Chih-Wei Lee, 2012, "Evaluation Of Multi-Asset Value At Risk: Evidence From Taiwan," Global Journal of Business Research, The Institute for Business and Finance Research, volume 6, issue 4, pages 23-34.
• Kangrong Tan & Meifen Chu, 2012, "Estimation Of Portfolio Return And Value At Risk Using A Class Of Gaussian Mixture Distributions," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 1, pages 97-107.
• Deqing Diane Li & YingChou Lin & John Jin, 2012, "International Volatility Transmission Of Reit Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 3, pages 41-51.
• William J. Trainor, 2012, "Volatility and Compounding Effects on Beta and Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 4, pages 1-11.
• Gulser Meric & Christine Lentz & Wayne Smeltz & Ilhan Meric, 2012, "International Evidence on Market Linkages After the 2008 Stock Market Crash," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 4, pages 45-57.
• Márcio Laurini, 2012, "Generalized Tests of Investment Fund Performance," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2012-03, Mar.
• D'Albis, Hippolyte & Thibault, Emmanuel, 2012, "Ambiguous Life Expectancy and the Demand for Annuities," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 731, Jul.
• Gollier, Christian, 2012, "Asset pricing with uncertain betas: A long-term perspective," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 752, Nov.
• Gollier, Christian, 2012, "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 754, Nov, revised Sep 2015.
• Baixauli-Soler, J. Samuel & Alfaro-Cid, Eva & Fernández-Blanco, Matilde O., 2012, "A Naïve Approach To Speed Up Portfolio Optimization Problem Using A Multiobjective Genetic Algorithm / Una Aproximación Ingenua Para Acelerar El Programa De Optimización De Carteras Usando Un Algoritmo Genético Multiobjetivo," Investigaciones Europeas de Dirección y Economía de la Empresa (IEDEE), Academia Europea de Dirección y Economía de la Empresa (AEDEM), volume 18, issue 2, pages 126-131.
• James Banks & Rowena Crawford & Thomas Crossley & Carl Emmerson, 2012, "The effect of the financial crisis on older households in England," IFS Working Papers, Institute for Fiscal Studies, number W12/09, Apr.
• Roberto A. De Santis & Carlo A. Favero & Barbara Roffia, 2012, "Euro Area Money Demand and International Portfolio Allocation: A Contribution to Assessing Risks to Price Stability," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 432.
• Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2012, "Money Doctors," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 464.
• Hlouskova, Jaroslava & Tsigaris, Panagiotis, 2012, "Capital Income Taxation and Risk Taking under Prospect Theory," Economics Series, Institute for Advanced Studies, number 283, Feb.
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• Ulaş ÜNLÜ, 2012, "Dört faktörlü varlık fiyatlama modelinin İMKB’de test edilmesi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 27, issue 313, pages 57-83.
• Orhan ERDEM & Belma ÖZTÜRKKAL, 2012, "A tournament analysis of mutual funds in Turkey," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 27, issue 321, pages 39-56.