Research classified by Journal of Economic Literature (JEL) codes

2013

• Corrado Di Guilmi & Xue-Zhong He & Kai Li, 2013, "Herding, Trend Chasing and Market Volatility," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 337, Oct.
• Brian J. CURRY, 2013, "The Trouble with Rates in the Subdivision Development Method to Land Valuation," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 8, issue 2, pages 72-115.
• Andrea Berardi, 2013, "Inflation Risk Premia, Yield Volatility and Macro Factors," Working Papers, University of Verona, Department of Economics, number 27/2013, Dec.
• Silvo Dajcman, 2013, "Asymmetric Correlation of Sovereign Bond Yield Dynamics in the Eurozone," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 60, issue 6, pages 775-789.
• Richard S.Grossman & Ronan C. Lyons & Kevin Hjortshøj O’Rourke & Madalina A. Ursu, 2013, "A Monthly Stock Exchange Index for Ireland, 1864‐1930," Wesleyan Economics Working Papers, Wesleyan University, Department of Economics, number 2013-007, Oct.
• Amit Bhaduri, 2013, "What Remains of the Theory of Demand Management in a Globalising World?," wiiw Policy Notes, The Vienna Institute for International Economic Studies, wiiw, number 12, Dec.
• Boyan Jovanovic, 2013, "The 2012 Lawrence R. Klein Lecture: Bubbles In Prices Of Exhaustible Resources," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 54, issue 1, pages 1-34, February, DOI: 10.1111/iere.12000.
• Mordecai Avriel & Jens Hilscher & Alon Raviv, 2013, "Inflation Derivatives Under Inflation Target Regimes," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 33, issue 10, pages 911-938, October.
• Biao Guo & Qian Han & Doojin Ryu, 2013, "Is the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restriction," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 33, issue 7, pages 629-652, July.
• Bianca De Paoli & Pawel Zabczyk, 2013, "Cyclical Risk Aversion, Precautionary Saving, and Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, volume 45, issue 1, pages 1-36, February, DOI: 10.1111/j.1538-4616.2012.00560.x.
• Chang‐Jin Kim & Cheolbeom Park, 2013, "Disappearing Dividends: Implications for the Dividend–Price Ratio and Return Predictability," Journal of Money, Credit and Banking, Blackwell Publishing, volume 45, issue 5, pages 933-952, August, DOI: 10.1111/jmcb.12031.
• Mohammad R. Jahan‐Parvar & Xuan Liu & Philip Rothman, 2013, "Equity Returns and Business Cycles in Small Open Economies," Journal of Money, Credit and Banking, Blackwell Publishing, volume 45, issue 6, pages 1117-1146, September, DOI: 10.1111/jmcb.12046.
• 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.
• Geoffrey Poitras, 2013, "Partial Immunization Bounds And Non-Parallel Term Structure Shifts," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 02, pages 1-27, DOI: 10.1142/S2010495213500061.
• Josephine Sudiman & David Edmund Allen & Robert John Powell, 2013, "The Contribution Of Foreign Investors To Price Discovery In The Indonesian Stock Exchange," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 02, pages 1-24, DOI: 10.1142/S2010495213500085.
• John Driffill & Turalay Kenc & Martin Sola, 2013, "Real Options With Priced Regime-Switching Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 16, issue 05, pages 1-30, DOI: 10.1142/S0219024913500283.
• 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.
• Terence Tai-Leung Chong & Tau-Hing Lam, 2013, "How To Make A Profitable Trading Strategy More Profitable?," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 58, issue 03, pages 1-17, DOI: 10.1142/S0217590813500197.
• 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(0x639afdf8), March.
• John Y. Campbell & Yeung Lewis Chanb & M. Viceira, 2013, "A multivariate model of strategic asset allocation," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 39, in: Leonard C MacLean & William T Ziemba, "HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part II".
• 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".
• 马成虎 & 汪先珍, 2013, "中国股市价格的跳跃行为：基于上证综指高频数据的参数分析," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.
• Chenghu Ma & Jiankang Zhang, 2013, "Aggregation in Incomplete Market with General Utility Functions," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.
• Haitao Li & Xiaoxia Ye, 2013, "A Type of HJM Based Affine Model: Theory and Empirical Evidence," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.
• Linlin Niu, 2013, "An Affine Term Structure Model with Auxiliary Stochastic Volatility-Covolatility," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.
• Jason Shachat & Anand Srinivasan, 2013, "Informational Price Cascades and Non-aggregation of Asymmetric Information in Experimental Asset Markets," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.
• Biao Guo & Qian Han & Doojin Ryu, 2013, "Non-parametric Tests for the Martingale Restriction: A New Approach," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.
• Gregory C Chow & Shicheng Huang & Linlin Niu, 2013, "Econometric Analysis of Stock Price Co-movement in the Economic Integration of East Asia," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.
• Gengming Zeng & Linlin Niu, 2013, "中国实际利率与通胀预期的期限结构：基于无套利宏观金融模型的研究," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.
• Peter Spencer, 2013, "Modeling US bank CDS spreads during the Global Financial Crisis with a deferred filtration pricing model," Discussion Papers, Department of Economics, University of York, number 13/18, Jul.
• Peter Spencer, 2013, "The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models," Discussion Papers, Department of Economics, University of York, number 13/22, Aug.
• Peter Spencer, 2013, "The behavior of the hazard rate in the Gaussian structural default model under asymmetric information," Discussion Papers, Department of Economics, University of York, number 13/23, Aug.
• Jacob, Martin & Schütt, Harm, 2013, "Firm valuation and the uncertainty of future tax avoidance," arqus Discussion Papers in Quantitative Tax Research, arqus - Arbeitskreis Quantitative Steuerlehre, number 149.
• Schmitt, Noemi & Westerhoff, Frank, 2013, "Speculative behavior and the dynamics of interacting stock markets," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 90.
• Gwilym, Owain Ap & Wang, Qvigwei & Hasan, Iftekhar & Xie, Ru, 2013, "In search of concepts: The effects of speculative demand on returns and volume," Bank of Finland Research Discussion Papers, Bank of Finland, number 10/2013.
• Keiler, Sebastian & Eder, Armin, 2013, "CDS spreads and systemic risk: A spatial econometric approach," Discussion Papers, Deutsche Bundesbank, number 01/2013.
• Gündüz, Yalin & Nasev, Julia & Trapp, Monika, 2013, "The price impact of CDS trading," Discussion Papers, Deutsche Bundesbank, number 20/2013.
• Kliem, Martin & Uhlig, Harald, 2013, "Bayesian estimation of a DSGE model with asset prices," Discussion Papers, Deutsche Bundesbank, number 37/2013.
• Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2013, "Collateral requirements and asset prices," Discussion Papers, Deutsche Bundesbank, number 44/2013.
• Bleich, Dirk & Fendel, Ralf & Rülke, Jan-Christoph, 2013, "Monetary policy and stock market volatility," Discussion Papers, Deutsche Bundesbank, number 45/2013.
• Gündüz, Yalin & Nasev, Julia & Trapp, Monika, 2013, "The price impact of CDS trading," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 12-12 [rev.].
• Schuster, Philipp & Trapp, Monika & Uhrig-Homburg, Marliese, 2013, "A heterogeneous agents equilibrium model for the term structure of bond market liquidity," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-05.
• Schuster, Philipp & Trapp, Monika & Uhrig-Homburg, Marliese, 2013, "A heterogeneous agents equilibrium model for the term structure of bond market liquidity," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-05 [rev.].
• Bethke, Sebastian & Kempf, Alexander & Trapp, Monika, 2013, "The correlation puzzle: The interaction of bond and risk correlation," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-06.
• Cici, Gjergji & Gibson, Scott & Gunduz, Yalin & Merrick, John J., 2013, "Market transparency and the marking precision of bond mutual fund managers," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-07.
• Baule, Rainer & Korn, Olaf & Saßning, Sven, 2013, "Which beta is best? On the information content of option-implied betas," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-11.
• Aitken, Michael & Cumming, Douglas & Zhan, Feng, 2013, "Exchange trading rules, surveillance and insider trading," CFS Working Paper Series, Center for Financial Studies (CFS), number 2013/15.
• Aitken, Michael & Cumming, Douglas & Zhan, Feng, 2013, "High frequency trading and end-of-day price dislocation," CFS Working Paper Series, Center for Financial Studies (CFS), number 2013/16.
• Xiao, Tim, 2013, "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 19, issue 4, pages 259-277.
• Lakicevic, Milan & Shachmurove, Yochanan & Vulanovic, Milos, 2013, "Institutional changes of SPACs," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 68589, Feb.
• Khan, Mashrur Mustaque & Yousuf, Ahmed Sadek, 2013, "Macroeconomic Forces and Stock Prices: Evidence from the Bangladesh Stock Market," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 72453, Apr.
• Shah, Syed Noaman & Kebewar, Mazen, 2013, "US Corporate Bond Yield Spread. A default risk debate," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 73690, Mar.
• Vogel, Heinz-Dieter & Bannier, Christina E. & Heidorn, Thomas, 2013, "Functions and characteristics of corporate and sovereign CDS," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 203.
• Odermann, Alexander & Cremers, Heinz, 2013, "Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 204.
• Raddant, Matthias & Wagner, Friedrich, 2013, "Phase transition in the S&P stock market," Kiel Working Papers, Kiel Institute for the World Economy, number 1846.
• Falagiarda, Matteo & Reitz, Stefan, 2013, "Announcements of ECB unconventional programs: Implications for the sovereign risk of Italy," Kiel Working Papers, Kiel Institute for the World Economy, number 1866.
• Lux, Thomas, 2013, "Exact solutions for the transient densities of continuous-time Markov switching models: With an application to the poisson multifractal model," Kiel Working Papers, Kiel Institute for the World Economy, number 1871.
• von Schweinitz, Gregor, 2013, "Flight Patterns and Yields of European Government Bonds," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 10/2013.
• Will, Matthias Georg & Prehn, Sören & Pies, Ingo & Glauben, Thomas, 2013, "Does financial speculation with agricultural commodities cause hunger? A reply to our critics," Discussion Papers, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics, number 2013-25.
• Beckmann, Joscha & Belke, Ansgar & Kühl, Michael, 2013, "Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long-Run," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 428, DOI: 10.4419/86788484.
• Stein, Michael, 2013, "German Real Estate Funds – Changes in Return Distributions and Portfolio Favourability," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 454, DOI: 10.4419/86788512.
• Stein, Michael & Piazolo, Daniel & Stoyanov, Stoyan V., 2013, "Tail Parameters of Stable Distributions Using One Million Observations of Real Estate Returns from Five Continents," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 465, DOI: 10.4419/86788525.
• Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2014, "The dynamics of crises and the equity premium," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 11, revised 2014, DOI: 10.2139/ssrn.1633480.
• Brennan, Michael J. & Kraft, Holger, 2013, "Financing asset growth," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 26, DOI: 10.2139/ssrn.2308909.
• Branger, Nicole & Grüning, Patrick & Kraft, Holger & Meinerding, Christoph, 2013, "Asset pricing under uncertainty about shock propagation," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 34, DOI: 10.2139/ssrn.2360455.
• Kaustia, Markku & Rantapuska, Elias, 2013, "Does mood affect trading behavior?," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 4, DOI: 10.2139/ssrn.2209665.
• Vilkovz, Grigory & Xiaox, Yan, 2013, "Option-implied information and predictability of extreme returns," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 5, DOI: 10.2139/ssrn.2209654.
• Kraft, Holger & Schwartz, Eduardo S. & Weiss, Farina, 2017, "Growth options and firm valuation," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 6, revised 2017, DOI: 10.2139/ssrn.2224014.
• Bocart, Fabian Y. R. P. & Hafner, Christian M., 2013, "Fair re-valuation of wine as an investment," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-018.
• Lan, Hong & Meyer-Gohde, Alexander, 2013, "Decomposing risk in dynamic stochastic general equilibrium," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-022.
• Härdle, Wolfgang Karl & López-Cabrera, Brenda & Teng, Huei-wen, 2013, "State Price Densities implied from weather derivatives," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-026.
• Grammig, Joachim & Jank, Stephan, 2013, "Creative destruction and asset prices," University of Tübingen Working Papers in Business and Economics, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics, number 61.
• Moessinger, Marc-Daniel & Feld, Lars P. & Kalb, Alexander & Osterloh, Steffen, 2013, "Sovereign Bond Market Reactions to Fiscal Rules and No-Bailout Clauses The Swiss Experience," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79807.
• Westermann, Frank & Steinkamp, Sven, 2013, "On Creditor Seniority and Sovereign Bond Prices in Europe," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79848.
• Rengel, Malte & Herwartz, Helmut & Xu, Fang, 2013, "Persistence in the price-to-dividend ratio and its macroeconomic fundamentals," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79860.
• Zulehner, Christine & Elsinger, Helmut & Schmidt-Dengler, Philipp, 2013, "Competition in Austrian Treasury Auctions," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79963.
• Posch, Olaf & Schrimpf, Andreas, 2013, "Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79987.
• Chen, Wenjuan & Bettendorf, Timo, 2013, "Are There Bubbles in the Sterling-dollar Exchange Rate? New Evidence from Sequential ADF Tests," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 80002.
• Osterloh, Steffen & Heinemann, Friedrich & Kalb, Alexander, 2013, "Sovereign risk premia: The link between fiscal rules and stability culture," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 80043.
• Heinemann, Friedrich & Osterloh, Steffen & Kalb, Alexander, 2013, "Sovereign risk premia: The link between fiscal rules and stability culture," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 13-016.
• Kroencke, Tim A. & Schindler, Felix & Sebastian, Steffen & Theissen, Erik, 2013, "GDP mimicking portfolios and the cross-section of stock returns," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 13-026.
• Feld, Lars P. & Kalb, Alexander & Moessinger, Marc-Daniel & Osterloh, Steffen, 2013, "Sovereign bond market reactions to fiscal rules and no-bailout clauses: The Swiss experience," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 13-034.
• Kroencke, Tim A., 2013, "Asset pricing without garbage," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 13-071.
• Kroencke, Tim A. & Muehler, Grit & Sprietsma, Maresa, 2013, "Return and risk of human capital contracts," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 13-108.
• Raphael Flepp & Stephan Nüesch & Egon Franck, 2013, "Liquidity, Market Efficiency and the Influence of Noise Traders: Quasi-Experimental Evidence from the Betting Industry," Working Papers, University of Zurich, Department of Business Administration (IBW), number 341, Dec.
• Mathias Hoffmann & Rahel Suter, 2013, "Systematic consumption risk in currency returns," ECON - Working Papers, Department of Economics - University of Zurich, number 124, Jun.
• Aleksander Berentsen & Michael McBride & Guillaume Rocheteau, 2013, "Limelight on dark markets: theory and experimental evidence on liquidity and information," ECON - Working Papers, Department of Economics - University of Zurich, number 126, Jun, revised Apr 2015.
• David Hou Author-Name: David Skeie, 2013, "LIBOR: origins, economics, crisis, scandal and reform," The New Palgrave Dictionary of Economics, Palgrave Macmillan, chapter 1, in: Steven N. Durlauf & Lawrence E. Blume.
• Philippe Durand & Yalin Gündüz & Isabelle Thomazeau, 2013, "Estimating Endogenous Liquidity Using Transaction and Order Book Information," Palgrave Macmillan Books, Palgrave Macmillan, chapter 8, in: Jonathan A. Batten & Peter MacKay & Niklas Wagner, "Advances in Financial Risk Management", DOI: 10.1057/9781137025098_8.
• Leszek Czapiewski, 2013, "Company size, book-to-market and momentum effects, and other deviations from the CAPM - evidence from the Warsaw stock exchange," Business and Economic Horizons (BEH), Prague Development Center, volume 9, issue 3, pages 79-86, October.
• Milan Lakicevic & Yochanan Shachmurove & Milos Vulanovic, 2013, "On Mergers, Acquisitions and Liquidation Using Specified Purpose Acquisition Companies (SPACs)," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 13-013, Feb.
• Rilina Basu & Ranjanendra Narayan Nag, 2013, "Money, the Stock Market and the Macroeconomy: A Theoretical Analysis," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 52, issue 3, pages 235-246.
• Mubin, Muhammad & Lal, Irfan & Hussain, Adnan, 2013, "Determinant of Return on Assets and Return on Equity and Its Industry Wise Effects: Evidence from KSE (Karachi Stock Exchange)," MPRA Paper, University Library of Munich, Germany, number 106801, Nov.
• Balli, Faruk & Basher, Syed Abul & Jean Louis, Rosmy, 2013, "Sectoral equity returns and portfolio diversification opportunities across the GCC region," MPRA Paper, University Library of Munich, Germany, number 43687, Jan.
• Borenstein, Eliezer & Elkayam, David, 2013, "The equity premium in a small open economy, and an application to Israel," MPRA Paper, University Library of Munich, Germany, number 43909, Jan.
• García Muñoz, Luis Manuel, 2013, "CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions," MPRA Paper, University Library of Munich, Germany, number 44252, Feb.
• Han, Meng & He, Yeqi & Zhang, Hu, 2013, "A Note on Discounting and Funding Value Adjustments for Derivatives," MPRA Paper, University Library of Munich, Germany, number 44495, Feb.
• Füllbrunn, Sascha & Rau, Holger & Weitzel, Utz, 2013, "Do ambiguity effects survive in experimental asset markets?," MPRA Paper, University Library of Munich, Germany, number 44700, Feb.
• Sun, David & Tsai, Shih-Chuan, 2013, "Diversifying Risks in Bond Portfolios: A Cross-border Approach," MPRA Paper, University Library of Munich, Germany, number 44767, Dec, revised 09 Jan 2014.
• SHAH, Syed Muhammad Noaman Ahmed & KEBEWAR, mazen, 2013, "US Corporate Bond Yield Spread: A default risk debate," MPRA Paper, University Library of Munich, Germany, number 44887, Mar.
• El-khatib, Youssef & Hatemi-J, Abdulnasser, 2013, "On option pricing in illiquid markets with random jumps," MPRA Paper, University Library of Munich, Germany, number 45172, Mar.
• Moore, Kyle & Sun, Pengei & de Vries, Casper G. & Zhou, Chen, 2013, "The drivers of downside equity tail risk," MPRA Paper, University Library of Munich, Germany, number 45591, Feb.
• Moore, Kyle & Sun, Pengfei & de Vries, Casper G. & Zhou, Chen, 2013, "The cross-section of tail risks in stock returns," MPRA Paper, University Library of Munich, Germany, number 45592, Feb.
• Lamé, Gildas, 2013, "Was there a "Greenspan conundrum" in the Euro area ?," MPRA Paper, University Library of Munich, Germany, number 45870, Mar.
• Khan, Mashrur Mustaque & Yousuf, Ahmed Sadek, 2013, "Macroeconomic Forces and Stock Prices:Evidence from the Bangladesh Stock Market," MPRA Paper, University Library of Munich, Germany, number 46528, Apr.
• Deev, Oleg & Kajurova, Veronika & Stavarek, Daniel, 2013, "Testing rational speculative bubbles in Central European stock markets," MPRA Paper, University Library of Munich, Germany, number 46582, Feb.
• Xiao, Tim, 2013, "An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk," MPRA Paper, University Library of Munich, Germany, number 47104, May.
• Hannah, Lincoln, 2013, "Funding Cost and a New Capital Model," MPRA Paper, University Library of Munich, Germany, number 47111, May.
• Xiao, Tim, 2013, "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," MPRA Paper, University Library of Munich, Germany, number 47136, May.
• Pakos, Michal, 2013, "Long-Run Risk and Hidden Growth Persistence," MPRA Paper, University Library of Munich, Germany, number 47217, Apr.
• Xiao, Tim, 2013, "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," MPRA Paper, University Library of Munich, Germany, number 47366, May.
• Li, Minqiang & Mercurio, Fabio, 2013, "Closed-Form Approximation of Timer Option Prices under General Stochastic Volatility Models," MPRA Paper, University Library of Munich, Germany, number 47465.
• Omer, Muhammad & de Haan, Jakob & Scholtens, Bert, 2013, "Does Uncovered Interest rate Parity Hold After All?," MPRA Paper, University Library of Munich, Germany, number 47572, Jun.
• Ivanov, Sergei, 2013, "Interest rate paradox," MPRA Paper, University Library of Munich, Germany, number 47723, Jun.
• Sinha, Pankaj & Mathur, Kritika, 2013, "Price, Return and Volatility Linkages of Base Metal Futures traded in India," MPRA Paper, University Library of Munich, Germany, number 47864, Jun.
• François-Heude, Alain & Yousfi, Ouidad, 2013, "A Generalization of Gray and Whaley's Option," MPRA Paper, University Library of Munich, Germany, number 47908, Jun, revised 30 Jun 2013.
• François-Heude, Alain & Yousfi, Ouidad, 2013, "On the liquidity of CAC 40 index options Market," MPRA Paper, University Library of Munich, Germany, number 47921, Jun, revised 01 Jul 2013.
• Hearn, Bruce, 2013, "Size and liquidity effects in Nigeria: an industrial sector study," MPRA Paper, University Library of Munich, Germany, number 47975, Jan.
• Ndako, Umar Bida, 2013, "The Day of the Week effect on stock market returns and volatility: Evidence from Nigeria and South Africa," MPRA Paper, University Library of Munich, Germany, number 48076, Jul.
• Siddiqi, Hammad, 2013, "Analogy Making, Option Prices, and Implied Volatility," MPRA Paper, University Library of Munich, Germany, number 48862, Jul.
• Cantillo, Andres, 2013, "Survey of Literature on Portfolio Theory," MPRA Paper, University Library of Munich, Germany, number 49772, Aug.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013, "Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets," MPRA Paper, University Library of Munich, Germany, number 49921, Sep.
• Charlin, Ventura & Cifuentes, Arturo, 2013, "A new financial metric for the art market," MPRA Paper, University Library of Munich, Germany, number 50186, Sep.
• García Muñoz, Luis Manuel, 2013, "Interest rate modeling under multiple discounting curves," MPRA Paper, University Library of Munich, Germany, number 50357, Oct.
• Siddiqi, Hammad, 2013, "Mental Accounting: A Closed-Form Alternative to the Black Scholes Model," MPRA Paper, University Library of Munich, Germany, number 50759, Aug.
• Alves, Paulo, 2013, "The Fama French Model or the capital asset pricing model: international evidence," MPRA Paper, University Library of Munich, Germany, number 51434, revised 2013.
• Nath, Golaka, 2013, "Repo Market – A Tool to Manage Liquidity in Financial Institutions," MPRA Paper, University Library of Munich, Germany, number 51590, Nov.
• Nath, Golaka, 2013, "The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis," MPRA Paper, University Library of Munich, Germany, number 51591, Oct.
• Khan, Muhammad Irfan Khan & Meher, Muhammad Ayub Khan Mehar & Syed, Syed Muhammad Kashif, 2013, "Impact of Inflation on Dividend Policy: Synchronization of Capital Gain and Interest Rate," MPRA Paper, University Library of Munich, Germany, number 51593, Nov, revised 04 Nov 2013.
• Nath, Golaka, 2013, "Liquidity Issues in Indian Sovereign Bond Market," MPRA Paper, University Library of Munich, Germany, number 51633, May.
• Ogundipe, Adeyemi & Ogundipe, Oluwatomisin, 2013, "Oil Price and Exchange Rate Volatility in Nigeria," MPRA Paper, University Library of Munich, Germany, number 51668, Nov.
• Jäckel, Christoph, 2013, "Model uncertainty and expected return proxies," MPRA Paper, University Library of Munich, Germany, number 51978, Dec.
• Jensen, Mark J & Maheu, John M, 2013, "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," MPRA Paper, University Library of Munich, Germany, number 52132, Dec.
• Lee, Y. & So, Leh-chyan, 2013, "Enemies or Allies: Pricing counterparty credit risk for synthetic CDO tranches," MPRA Paper, University Library of Munich, Germany, number 52371.
• So, Leh-chyan, 2013, "Are Real Options “Real”? Isolating Uncertainty from Risk in Real Options Analysis," MPRA Paper, University Library of Munich, Germany, number 52493.
• Hiremath, Gourishankar S & Kumari, Jyoti, 2013, "Stock Returns Predictability and the Adaptive Market Hypothesis: Evidence from India," MPRA Paper, University Library of Munich, Germany, number 52581, Nov.
• Bai, Jushan & Ando, Tomohiro, 2013, "Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors," MPRA Paper, University Library of Munich, Germany, number 52785, Jul, revised Dec 2013.
• Jarraya, Bilel & Bouri, Abdelfettah, 2013, "Multiobjective optimization for the asset allocation of European nonlife insurance companies," MPRA Paper, University Library of Munich, Germany, number 53697, revised 2013.
• Jarraya, Bilel, 2013, "Asset allocation and portfolio optimization problems with metaheuristics: a literature survey," MPRA Paper, University Library of Munich, Germany, number 53698, revised 2013.
• Shaikh, Salman, 2013, "Investment Decisions by Analysts: A Case Study of KSE," MPRA Paper, University Library of Munich, Germany, number 53802, Dec.
• Nauta, Bert-Jan, 2013, "Discounting Cashflows from Illiquid Assets on Bank Balance Sheets," MPRA Paper, University Library of Munich, Germany, number 54781, Apr, revised 22 Oct 2013.
• Tomić, Bojan, 2013, "The application of the capital asset pricing model on the Croatian capital market," MPRA Paper, University Library of Munich, Germany, number 55764, revised 2013.
• Liu, Xiaochun, 2013, "Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach," MPRA Paper, University Library of Munich, Germany, number 55801, Dec.
• Kal, Süleyman Hilmi & Arslaner, Ferhat & Arslaner, Nuran, 2013, "Gold, Stock Price, Interest Rate and Exchange Rate Dynamics: An MS VAR Approach," MPRA Paper, University Library of Munich, Germany, number 56406, Mar.
• Kal, Süleyman Hilmi & Arslaner, Ferhat & Arslaner, Nuran, 2013, "Transitional Dynamics of Oil Prices," MPRA Paper, University Library of Munich, Germany, number 56407, Apr.
• Avino, Davide & Cotter, John, 2013, "Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability?," MPRA Paper, University Library of Munich, Germany, number 56782, Jun.
• Onour, Ibrahim, 2013, "Pricing the Cost of Deposit Insurance and Assessing Moral Hazard Effect: Evidence from Banking Sector in Sudan," MPRA Paper, University Library of Munich, Germany, number 57082.
• Rizvi, Syed Aun & Masih, Mansur, 2013, "Do Shariah (Islamic) Indices Provide a Safer Avenue in Crisis? Empirical Evidence from Dow Jones Indices using Multivariate GARCH-DCC," MPRA Paper, University Library of Munich, Germany, number 57701, May.
• Caspi, Itamar, 2013, "Rtadf: Testing for Bubbles with EViews," MPRA Paper, University Library of Munich, Germany, number 58791, Aug, revised 06 Sep 2014.
• Karkowska, Renata, 2013, "The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility," MPRA Paper, University Library of Munich, Germany, number 58802, Oct.
• Swastika, Purti & Dewandaru, Ginanjar & Masih, Mansur, 2013, "The Impact of Debt on Economic Growth: A Case Study of Indonesia," MPRA Paper, University Library of Munich, Germany, number 58837, Aug.
• Maria Caporale, Guglielmo & Gil-Alana, Luis & Plastun, Alex & Makarenko, Inna, 2013, "Long memory in the ukrainian stock market and financial crises," MPRA Paper, University Library of Munich, Germany, number 59061, Oct.
• Lof, Matthijs, 2013, "Essays on Expectations and the Econometrics of Asset Pricing," MPRA Paper, University Library of Munich, Germany, number 59064, May.
• Voloshyn, Ihor & Voloshyn, Mykyta, 2013, "Integrated risk management in a commercial market-maker bank using the 'cash flow at risk' approach," MPRA Paper, University Library of Munich, Germany, number 61562, Jan.
• Voloshyn, Ihor & Voloshyn, Mykyta, 2013, "Risk-adjusted pricing of bank’s assets based on cash flow matching matrix," MPRA Paper, University Library of Munich, Germany, number 61611, Dec.
• Genest, Benoit & Rego, David & Freon, Helene, 2013, "Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -," MPRA Paper, University Library of Munich, Germany, number 62908, Aug.
• Breckenfelder, Johannes, 2013, "Competition between high-frequency traders, and market quality," MPRA Paper, University Library of Munich, Germany, number 66715, Mar, revised Dec 2013.
• Okur, Mustafa & Cevik, Emrah Ismail, 2013, "Testing intraday volatility spillovers in Turkish capital markets: evidence from ISE," MPRA Paper, University Library of Munich, Germany, number 71477, revised 2013.
• Ripamonti, Alexandre, 2013, "Rational Valuation Formula (RVF) and Time Variability in Asset Rates of Return," MPRA Paper, University Library of Munich, Germany, number 79460.
• Butt, Prof. Khursheed A & Pandow, Bilal Ahmad, 2013, "An analysis into the Stock Selectivity skill of Indian Fund Managers," MPRA Paper, University Library of Munich, Germany, number 83500, revised 2013.
• Julian, Inchauspe & Helen, Cabalu, 2013, "What Drives the Shanghai Stock Market? An Examination of its Linkage to Macroeconomic Fundamentals," MPRA Paper, University Library of Munich, Germany, number 93049, Sep.
• Goodness C. Aye & Rangan Gupta & Alain Kaninda & Wendy Nyakabawo & Aarifah Razak, 2013, "House Price, Stock Price and Consumption in South Africa: A Structural VAR Approach," Working Papers, University of Pretoria, Department of Economics, number 201309, Feb.
• Nicholas Apergis & Beatrice D. Simo-Kengne & Rangan Gupta, 2013, "The Long-Run Relationship between Consumption, House Prices and Stock Prices in South Africa: Evidence from Provincial-Level Data," Working Papers, University of Pretoria, Department of Economics, number 201326, Jun.
• Xiao-lin Li & Mehmet Balcilar & Rangan Gupta & Tsangyao Chang, 2013, "The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling-Window Approach," Working Papers, University of Pretoria, Department of Economics, number 201345, Aug.
• Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013, "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers, University of Pretoria, Department of Economics, number 201351, Sep.
• Ahdi N. Ajmi & Goodness C. Aye & Mehmet Balcilar & Ghassen El Montasser & Rangan Gupta, 2013, "Causality between US Economic Policy and Equity Market Uncertainties: Evidence from Linear and Nonlinear Tests," Working Papers, University of Pretoria, Department of Economics, number 201358, Sep.
• Tsangyao Chang & Wen-Yi Chen & Rangan Gupta & Duc Khuong Nguyen, 2013, "Are Stock Prices Related to Political Uncertainty Index in OECD Countries? Evidence from Bootstrap Panel Causality Test," Working Papers, University of Pretoria, Department of Economics, number 201360, Oct.
• Robert G. Kuklik & Vladislav Vacek, 2013, "Volatility Asset Pricing Model as an Alternative Approach?," European Financial and Accounting Journal, Prague University of Economics and Business, volume 2013, issue 1, pages 39-66, DOI: 10.18267/j.efaj.95.
• Mark Huggett & Greg Kaplan, 2013, "The Money Value of a Man," Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies., number 1474, Jul.
• Alexandra Bratanova & Jacqueline Robinson & Liam Wagner, 2013, "New Technology Adoption for Russian Regional Energy Generation: Moscow Case Study," Energy Economics and Management Group Working Papers, School of Economics, University of Queensland, Australia, number 4-2013, Apr.
• Larry Epstein & Emmanuel Farhi & Tomasz Stralezcki, 2013, "How Much Would You Pay to Resolve Long-Run Risk?," Working Paper, Harvard University OpenScholar, number 106061, Jan.
• Gianni La Cava, 2013, "Liquidity Shocks and the US Housing Credit Crisis of 2007–2008," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2013-05, May.
• Ortiz, Marco, 2013, "Learning Through the Yield Curve," Working Papers, Banco Central de Reserva del Perú, number 2013-018, Dec.
• Charles Sutcliffe, 2013, "Trading Death: The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2013-06, Jul.
• Ogonna Nneji, 2013, "Liquidity Shocks and Stock Bubbles," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2013-07, Jul, revised Jan 2014.
• Frederico Belo & Xiaoji Lin & Maria Ana Vitorino, 2013, "Online Appendix to "Brand Capital and Firm Value"," Online Appendices, Review of Economic Dynamics, number 12-71.
• Conny Olovsson, 2013, "Code and data files for "How Does a Pay-as-you-go System Affect Asset Returns and the Equity Premium?"," Computer Codes, Review of Economic Dynamics, number 11-135, revised .
• Galina Vereshchagina, 2013, "Code files for "Preferences for Risk in Dynamic Models with Adjustment Costs Corresponding"," Computer Codes, Review of Economic Dynamics, number 11-155, revised .
• Doriana Ruffino, 2013, "Code and data files for "Resuscitating Businessman Risk: A Rationale for Familiarity-based Portfolios"," Computer Codes, Review of Economic Dynamics, number 11-295, revised .
• Frederico Belo & Xiaoji Lin & Maria Ana Vitorino, 2013, "Code and data files for "Brand Capital and Firm Value"," Computer Codes, Review of Economic Dynamics, number 12-71, revised .
• Emil Iantchev, 2013, "Asset-Pricing Implications of Biologically Based Non-Expected Utility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 16, issue 3, pages 497-510, July, DOI: 10.1010/j.red.2012.08.002.
• Eric Swanson, 2013, "Implications of Labor Market Frictions for Risk Aversion and Risk Premia," 2013 Meeting Papers, Society for Economic Dynamics, number 1137.
• Stefano Giglio & Ian Dew-Becker, 2013, "Asset pricing in the frequency domain: theory and empirics," 2013 Meeting Papers, Society for Economic Dynamics, number 1244.