Research classified by Journal of Economic Literature (JEL) codes

2013

• 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.
• Suyash Bhatt, 2013, "An Intricate Multiple-Factor Approach To Evaluate Performance Of Indian Mutual Fund," European Journal of Business and Economics, Central Bohemia University, volume 8, issue 2, pages 1-51:8, July, DOI: 10.12955/ejbe.v8i2.374.
• Augustine Addo & Fidelis Sunzuoye, 2013, "The Impact of Treasury Bill Rate and Interest Rate On The Stock Market Returns: Case Of Ghana Stock Exchange," European Journal of Business and Economics, Central Bohemia University, volume 8, issue 2, pages 3781:8-3781, July, DOI: 10.12955/ejbe.v8i2.378.
• Tom Engsted & Thomas Q. Pedersen, 2013, "Housing market volatility in the OECD area: Evidence from VAR based return decompositions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-04, 02.
• Tom Engsted & Stig V. Møller & Magnus Sander, 2013, "Bond return predictability in expansions and recessions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-13, 04.
• Daniela Osterrieder, 2013, "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-17, 05.
• Nektarios Aslanidis & Charlotte Christiansen & Christos S. Savva, 2013, "Risk-Return Trade-Off for European Stock Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-31, Jul.
• Charlotte Christiansen, 2013, "Classifying Returns as Extreme: European Stock and Bond Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-37, Nov.
• Christian Bender & Mikko S. Pakkanen & Hasanjan Sayit, 2013, "Sticky continuous processes have consistent price systems," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-38, Aug.
• Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez, 2013, "Does Realized Skewness Predict the Cross-Section of Equity Returns?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-41, 02.
• Torben G. Andersen & Oleg Bondarenko, 2013, "Assessing Measures of Order Flow Toxicity via Perfect Trade Classification," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-43, 11.
• Peter Christoffersen & Du Du & Redouane Elkamhi, 2013, "Rare Disasters and Credit Market Puzzles," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-45, 05.
• Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois, 2013, "Dynamic Diversification in Corporate Credit," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-46, 11.
• Peter Christoffersen & Mathieu Fournier & Kris Jacobs, 2013, "The Factor Structure in Equity Options," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-47, 06.
• Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2013, "Illiquidity Premia in the Equity Options Market," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-48, 03.
• Peter Christoffersen & Vihang R. Errunza & Kris Jacobs & Xisong Jin, 2013, "Correlation Dynamics and International Diversification Benefits," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-49, Aug.
• Torben G. Andersen & Oleg Bondarenko & Viktor Todorov & George Tauchen, 2013, "The Fine Structure of Equity-Index Option Dynamics," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-52, Jan.
• Bell Fanon Ouelega, 2013, "State-Price Deflators and Risk-Neutral valuation of Life Insurance Liabilities," AAYE Policy Research Working Paper Series, Association of African Young Economists, number 11, Apr, revised Nov 2013.
• Bell Fanon Ouelega, 2013, "State-Price Deflators and Risk-Neutral valuation of Life Insurance Liabilities," AAYE Policy Research Working Paper Series, Association of African Young Economists, number 13_011, Apr, revised Nov 2013.
• Meysam Safari & M. Ariff & Shamsher M., 2013, "Do Debt Markets Price Sukuk and Conventional Bonds Differently? هل تُسَعِّر أسواق الدَّيْن الصكوك والسندات التقليدية بشكل مختلف؟," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., volume 26, issue 2, pages 113-149, July, DOI: 10.4197/Islec.26-2.4.
• Engin Topaloğlu, 2013, "Sorunlu Alacakların Tasfiyesinde Optimal İhale İştirak Politikası," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., volume 28, issue 98, pages 9-27, January.
• Zhiguo He & Arvind Krishnamurthy, 2013, "Intermediary Asset Pricing," American Economic Review, American Economic Association, volume 103, issue 2, pages 732-770, April.
• Alp Simsek, 2013, "Financial Innovation and Portfolio Risks," American Economic Review, American Economic Association, volume 103, issue 3, pages 398-401, May, DOI: 10.1257/aer.103.3.398.
• Pedro Bordalo & Nicola Gennaioli & Andrei Shleifer, 2013, "Salience and Asset Prices," American Economic Review, American Economic Association, volume 103, issue 3, pages 623-628, May, DOI: 10.1257/aer.103.3.623.
• Suleyman Basak & Anna Pavlova, 2013, "Asset Prices and Institutional Investors," American Economic Review, American Economic Association, volume 103, issue 5, pages 1728-1758, August.
• Andr? Kurmann & Christopher Otrok, 2013, "News Shocks and the Slope of the Term Structure of Interest Rates," American Economic Review, American Economic Association, volume 103, issue 6, pages 2612-2632, October.
• Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa, 2013, "Crises and Recoveries in an Empirical Model of Consumption Disasters," American Economic Journal: Macroeconomics, American Economic Association, volume 5, issue 3, pages 35-74, July, DOI: 10.1257/mac.5.3.35.
• James B. Bushnell & Howard Chong & Erin T. Mansur, 2013, "Profiting from Regulation: Evidence from the European Carbon Market," American Economic Journal: Economic Policy, American Economic Association, volume 5, issue 4, pages 78-106, November.
• Nicolas Coeurdacier & Hélène Rey, 2013, "Home Bias in Open Economy Financial Macroeconomics," Journal of Economic Literature, American Economic Association, volume 51, issue 1, pages 63-115, March, DOI: 10.1257/jel.51.1.63.
• Efthymios Argyropoulos & Elias Tzavalis, 2013, "Retrieving inaation expectations and risk premia e§ects from theterm structure of interest rates," Working Papers, Athens University Of Economics and Business, Department of Economics, number 201322.
• Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013, "The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 13-04, May.
• Richards, Timothy J. & Rickard, Bradley J., 2013, "Patents as Options: Path-Dependency and Patent Value," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C., Agricultural and Applied Economics Association, number 149725, DOI: 10.22004/ag.econ.149725.
• Dimson, Elroy & Rousseau, Peter L. & Spaenjers, Christophe, 2013, "The Price of Wine," Working Papers, American Association of Wine Economists, number 164656, Sep, DOI: 10.22004/ag.econ.164656.
• Arthur, Bruno R. & Katchova, Ani L., 2013, "Uncertainty and Value Premium: Evidence from the U.S. Agriculture Industry," 2013 Annual Meeting, February 2-5, 2013, Orlando, Florida, Southern Agricultural Economics Association, number 143198, Feb, DOI: 10.22004/ag.econ.143198.
• Siddiqi, Hammad, 2013, "Analogy Making In Complete and Incomplete Markets: A New Model for Pricing Contingent Claims," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 156934, Sep, DOI: 10.22004/ag.econ.156934.
• Siddiqi, Hammad, 2013, "Managing Option Trading Risk with Greeks when Analogy Making Matters," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 160607, Nov, DOI: 10.22004/ag.econ.160607.
• Siddiqi, Hammad, 2013, "Analogy Making in Complete and incomplete Markets: A New Model for Pricing Contingent Claims," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 160608, Sep, DOI: 10.22004/ag.econ.160608.
• Roger E.A. Farmer & Carine Nourry & Alain Venditti, 2013, "The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1311, Feb, revised 26 Feb 2013.
• Ana Preda, 2013, "Efficiency Of The Insurance Activity: Insurer Vs Insured," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 41, pages 20-25.
• Bocart, F. & Hafner, C., 2013, "Fair re-valuation of wine as an investment," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013003, Jan.
• Zoltán Monostori, 2013, "Crisis on the Hungarian government bond markets in the winter of 2011–2012: Was there a liquidity problem?," Society and Economy, Akadémiai Kiadó, Hungary, volume 35, issue 4, pages 539-550, December.
• Ciprian Codau, 2013, "Influencing Factors Of Valuation Multiples Of Companies," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 2, issue 15, pages 1-4.
• Mary FLETCHER, 2013, "Liquidity, Sentiment and Segmentation: A Survey of Closed-End Fund Literature," Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, volume 12, issue 4, pages 510-536, December.
• Anufriev, M. & Tuinstra, J., 2013, "The impact of short-selling constraints on financial market stability in a heterogeneous agents model," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 13-01.
• Stefan Nagel, 2013, "Empirical Cross-Sectional Asset Pricing," Annual Review of Financial Economics, Annual Reviews, volume 5, issue 1, pages 167-199, November.
• Adam V. Reed, 2013, "Short Selling," Annual Review of Financial Economics, Annual Reviews, volume 5, issue 1, pages 245-258, November.
• Peter Claeys & Borek Vašícek, 2013, "“How systemic is Spain for Europe?”," AQR Working Papers, University of Barcelona, Regional Quantitative Analysis Group, number 201301, Feb, revised Feb 2013.
• Marco Bianchetti & Mattia Carlicchi, 2013, "Markets Evolution After the Credit Crunch," Papers, arXiv.org, number 1301.7078, Jan.
• Ventura Charlin & Arturo Cifuentes, 2013, "A new financial metric for the art market," Papers, arXiv.org, number 1309.6929, Sep, revised Jul 2015.
• Arianna Agosto & Enrico Moretto, 2013, "Variance matters (in stochastic dividend discount models)," Papers, arXiv.org, number 1311.0236, Nov.
• Marc Busse & Michel Dacorogna & Marie Kratz, 2013, "The impact of systemic risk on the diversification benefits of a risk portfolio," Papers, arXiv.org, number 1312.0506, Dec.
• Heejoon Han & Dennis Kristensen, 2013, "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers, Institute for Fiscal Studies, number 18/13, May, DOI: 10.1920/wp.cem.2013.1813.
• Gianluca Mattarocci, 2013, "Real estate funds’ performance in the Italian market," BANCARIA, Bancaria Editrice, volume 2, pages 76-84, February.
• Alessandro Carretta & Vincenzo Farina & Albana Nako, 2013, "The impact of social networks and mass medias on financial news and investors’ perceptions," BANCARIA, Bancaria Editrice, volume 3, pages 77-85, March.
• Daniele Previtali, 2013, "Valuation methods for banks: should we take into account more risk?," BANCARIA, Bancaria Editrice, volume 4, pages 78-88, April.
• Samih Antoine Azar, 2013, "The Spurious Relation between Inflation Uncertainty and Stock Returns: Evidence from the U.S," Review of Economics & Finance, Better Advances Press, Canada, volume 3, pages 99-109, November.
• Jordan Jordanov & Marco Valentini, 2013, "Stock Market Indices and Sentiment Indicators: Correlations and Causality," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 3-24.
• Antonio Diez de los Rios, 2013, "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Staff Working Papers, Bank of Canada, number 13-10, DOI: 10.34989/swp-2013-10.
• Jianjian Jin, 2013, "Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics," Staff Working Papers, Bank of Canada, number 13-12, DOI: 10.34989/swp-2013-12.
• Sermin Gungor & Richard Luger, 2013, "Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances," Staff Working Papers, Bank of Canada, number 13-16, DOI: 10.34989/swp-2013-16.
• Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tedongap, 2013, "Which Parametric Model for Conditional Skewness?," Staff Working Papers, Bank of Canada, number 13-32, DOI: 10.34989/swp-2013-32.
• Valentina G. Bruno & Bahattin Buyuksahin & Michel A. Robe, 2013, "The Financialization of Food?," Staff Working Papers, Bank of Canada, number 13-39, DOI: 10.34989/swp-2013-39.
• Eric Ghysels & Pierre Guérin & Massimiliano Marcellino, 2013, "Regime Switches in the Risk-Return Trade-Off," Staff Working Papers, Bank of Canada, number 13-51, DOI: 10.34989/swp-2013-51.
• Doruk KUCUKSARAC & Ozgur OZEL, 2013, "The Overnight Currency Swap Rates and ISE Overnight Repo Rates," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 7, issue 2, pages 37-53.
• Emma Berenguer & Ricardo Gimeno & Juan M. Nave, 2013, "Term structure estimation, liquidity-induced heteroskedasticity and the price of liquidity risk," Working Papers, Banco de España, number 1308, May.
• Marcello Pericoli, 2013, "Macroeconomic and monetary policy surprises and the term structure of interest rates," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 927, Sep.
• Elizondo Rocío, 2013, "Forecasting the Term Structure of Interest Rates in Mexico Using an Affine Model," Working Papers, Banco de México, number 2013-03, Apr.
• José Eduardo Gómez G. & Jair Ojeda Joya & Catalina Rey Guerra & Natalia Sicard, 2013, "Testing for Bubbles in Housing Markets: New Results Using a New Method," Borradores de Economia, Banco de la Republica de Colombia, number 753, Jan, DOI: 10.32468/be.753.
• José E. Gómez-González & Luis Fernando Melo Velandia, 2013, "Efectos de “ángeles caídos” en el mercado accionario colombiano: estudio de eventos del caso Interbolsa," Borradores de Economia, Banco de la Republica de Colombia, number 779, Sep, DOI: 10.32468/be.779.
• Muhammad Nouman & Attaullah Shah, 2013, "Risk Adjusted Performance of Pakistani Mutual Funds," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, volume 5, issue 2, pages 65-77, October, DOI: dx.doi.org/10.22547/BER/5.2.5.
• Simon Dubecq & Alain Monfort & Jean-Paul Renne & Roussellet, G., 2013, "Credit and Liquidity in Interbank Rates: a Quadratic Approach," Working papers, Banque de France, number 446.
• Christian Gouri roux & Alain Monfort & Jean-Paul Renne, 2013, "Pricing Default Events: Surprise, Exogeneity and Contagion," Working papers, Banque de France, number 455.
• Christian Gouri roux & Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne, 2013, "Regime Switching and Bond Pricing," Working papers, Banque de France, number 456.
• Francisco Barillas & Kristoffer P. Nimark, 2015, "Speculation, Risk Premia and Expectations in the Yield Curve," Working Papers, Barcelona School of Economics, number 659, Sep.
• Giovanni Giusti & Charles Noussair & Hans-Joachim Voth, 2015, "Recreating the South Sea Bubble: Lessons from an Experiment in Financial History," Working Papers, Barcelona School of Economics, number 710, Sep.
• Luca Gambetti & Jordi Galí, 2015, "The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence," Working Papers, Barcelona School of Economics, number 724, Sep.
• Koresh Galil & Offer Moshe Shapir & Dan Amiram & Uri Ben-Zion, 2013, "The Determinants Of Cds Spreads," Working Papers, Ben-Gurion University of the Negev, Department of Economics, number 1318.
• Riedel, Frank & Herzberg, Frederik, 2017, "Existence of financial equilibria in continuous time with potentially complete markets," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 443, Mar.
• Santiago García-Verdú & Manuel Ramos-Francia, 2013, "Interventions and expected exchange rates in emerging market economies," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "Sovereign risk: a world without risk-free assets?".
• Stefan Avdjiev & Anastasia Kartasheva & Bilyana Bogdanova, 2013, "CoCos: a primer," BIS Quarterly Review, Bank for International Settlements, September.
• Dagfinn Rime & Andreas Schrimpf, 2013, "The anatomy of the global FX market through the lens of the 2013 Triennial Survey," BIS Quarterly Review, Bank for International Settlements, December.
• Masazumi Hattori & Andreas Schrimpf & Vladyslav Sushko, 2013, "The response of tail risk perceptions to unconventional monetary policy," BIS Working Papers, Bank for International Settlements, number 425, Sep.
• Jorge Ponce & Magdalena Tubio, 2013, "Precios de inmuebles. Aproximaciones metodológicas y aplicación empírica," Documentos de trabajo, Banco Central del Uruguay, number 2013005.
• Burkhard Heer & Alfred Maußner, 2013, "Asset Returns, the Business Cycle and the Labor Market," German Economic Review, Verein für Socialpolitik, volume 14, issue 3, pages 372-397, August.
• Alexandros Kontonikas & Alexandros Kostakis, 2013, "On Monetary Policy and Stock Market Anomalies," Journal of Business Finance & Accounting, Wiley Blackwell, volume 40, issue 7-8, pages 1009-1042, September.
• Jördis Hengelbrock & Erik Theissen & Christian Westheide, 2013, "Market Response to Investor Sentiment," Journal of Business Finance & Accounting, Wiley Blackwell, volume 40, issue 7-8, pages 901-917, September.
• Thierry Foucault & Ohad Kadan & Eugene Kandel, 2013, "Liquidity Cycles and Make/Take Fees in Electronic Markets," Journal of Finance, American Finance Association, volume 68, issue 1, pages 299-341, February, DOI: j.1540-6261.2012.01801.x.
• Alessandro Beber & Marco Pagano, 2013, "Short-Selling Bans Around the World: Evidence from the 2007–09 Crisis," Journal of Finance, American Finance Association, volume 68, issue 1, pages 343-381, February, DOI: j.1540-6261.2012.01802.x.
• Jessica A. Wachter, 2013, "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," Journal of Finance, American Finance Association, volume 68, issue 3, pages 987-1035, June.
• Loriano Mancini & Angelo Ranaldo & Jan Wrampelmeyer, 2013, "Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums," Journal of Finance, American Finance Association, volume 68, issue 5, pages 1805-1841, October.
• Steven N. Kaplan & Tobias J. Moskowitz & Berk A. Sensoy, 2013, "The Effects of Stock Lending on Security Prices: An Experiment," Journal of Finance, American Finance Association, volume 68, issue 5, pages 1891-1936, October.
• Tarek A. Hassan, 2013, "Country Size, Currency Unions, and International Asset Returns," Journal of Finance, American Finance Association, volume 68, issue 6, pages 2269-2308, December, DOI: 10.1111/jofi.12081.
• Nicolae Gârleanu & Lasse Heje Pedersen, 2013, "Dynamic Trading with Predictable Returns and Transaction Costs," Journal of Finance, American Finance Association, volume 68, issue 6, pages 2309-2340, December, DOI: 10.1111/jofi.12080.
• Itzhak Ben‐David & Francesco Franzoni & Augustin Landier & Rabih Moussawi, 2013, "Do Hedge Funds Manipulate Stock Prices?," Journal of Finance, American Finance Association, volume 68, issue 6, pages 2383-2434, December, DOI: 10.1111/jofi.12062.
• Raymond Kan & Cesare Robotti & Jay Shanken, 2013, "Pricing Model Performance and the Two‐Pass Cross‐Sectional Regression Methodology," Journal of Finance, American Finance Association, volume 68, issue 6, pages 2617-2649, December, DOI: 10.1111/jofi.12035.
• Alfonso Mendoza Velázquez & Peter N. Smith, 2013, "Equity Returns and the Business Cycle: the Role of Supply and Demand Shocks," Manchester School, University of Manchester, volume 81, issue , pages 100-124, September.
• Refet S. Gürkaynak & Jonathan H. Wright, 2013, "Identification and Inference Using Event Studies," Manchester School, University of Manchester, volume 81, issue , pages 48-65, September.
• M. Shahid Embrahim & Sourafel Girma & M. Eskander Shah & Jonathan Williams, 2013, "Rationalizing the Value Premium in Emerging Markets," Working Papers, Bangor Business School, Prifysgol Bangor University (Cymru / Wales), number 13010, Sep.
• Paolo Gelain & Kevin J. Lansing, 2013, "House prices, expectations, and time-varying fundamentals," Working Paper, Norges Bank, number 2013/05, Feb.
• Michael R. King & Carol Osler & Dagfinn Rime, 2013, "The market microstructure approach to foreign exchange - Looking back and looking forward," Working Paper, Norges Bank, number 2013/12, May.
• Christopher F. Baum & Dorothea Schäfer & Andreas Stephan, 2013, "Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises," Boston College Working Papers in Economics, Boston College Department of Economics, number 841, Nov, revised 30 Jan 2014.
• Martin Andreasen & Andrew Meldrum, 2013, "Likelihood inference in non-linear term structure models: the importance of the lower bound," Bank of England Staff Working Paper series, Bank of England, number 481, Dec.
• Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2013, "Fundamentally wrong: market pricing of sovereigns and the Greek financial crisis," Special Conference Papers, Bank of Greece, number 20, Jul.
• Eliezer Borenstein & David Elkayam, 2013, "The equity premium in a small open economy, and an application to Israel," Bank of Israel Working Papers, Bank of Israel, number 2013.03, Jan.
• Hibiki Ichiue & Yoichi Ueno, 2013, "Estimating Term Premia at the Zero Bound: An Analysis of Japanese, US, and UK Yields," Bank of Japan Working Paper Series, Bank of Japan, number 13-E-8, May.
• P. Manasse & L. Zavalloni, 2013, "Sovereign Contagion in Europe: Evidence from the CDS Market," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp863, Jan.
• Brian M. Lucey & Fergal A. O’Connor, 2013, "Do bubbles occur in the gold price? An investigation of gold lease rates and Markov Switching models," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 13, issue 3, pages 53-63, September.
• Sirajum Munira Sarwar & Gulnur Muradoglu, 2013, "Macroeconomic risks, idiosyncratic risks and momentum profits Patterns in Neighboring Areas," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 13, issue 4, pages 99-114, December.
• Larry G. Epstein & Emmanuel Farhi & Tomasz Strzaleck, 2013, "How Much Would You Pay to Resolve Long-Run Risk?," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2013-002, Feb.
• Chen Yuanyuan (Catherine), 2013, "A prior predictive analysis of the effects of Loss Aversion/Narrow Framing in a macroeconomic model for asset pricing," The B.E. Journal of Macroeconomics, De Gruyter, volume 13, issue 1, pages 581-607, September, DOI: 10.1515/bejm-2013-0018.
• Azis Iwan J. & Mitra Sabyasachi & Baluga Anthony, 2013, "Global Shock and Regional Spillovers," Peace Economics, Peace Science, and Public Policy, De Gruyter, volume 19, issue 2, pages 183-211, August, DOI: 10.1515/peps-2013-0014.
• Lof Matthijs, 2013, "Noncausality and asset pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 17, issue 2, pages 211-220, April, DOI: 10.1515/snde-2012-0035.
• Kalyvitis Sarantis & Panopoulou Ekaterini, 2013, "Estimating C-CAPM and the equity premium over the frequency domain," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 17, issue 5, pages 551-571, December, DOI: 10.1515/snde-2013-0019.
• Davide Pettenuzzo & Allan Timmermann & Rossen Valkanov, 2013, "Forecasting Stock Returns under Economic Constraints," Working Papers, Brandeis University, Department of Economics and International Business School, number 57, May.
• Rodrigo Fernandes Malaquias & William Eid Junior, 2013, "Market Efficiency and Performance of Multimarket Funds," Brazilian Review of Finance, Brazilian Society of Finance, volume 11, issue 1, pages 119-142.
• José Alves Dantas & Fernando Caio Galdi & Lúcio Rodrigues Capelletto & Otávio Ribeiro Medeiros, 2013, "Discretionary Actions in Measuring Derivatives as a Mechanism for Earnings Management in Banks," Brazilian Review of Finance, Brazilian Society of Finance, volume 11, issue 1, pages 17-48.
• Octavio Portolano Machado & Adriana Bruscato Bortoluzzo & Sérgio Ricardo Martins & Antonio Zoratto Sanvicente, 2013, "Inter-temporal CAPM: an empirical test with Brazilian market data," Brazilian Review of Finance, Brazilian Society of Finance, volume 11, issue 2, pages 149-180.
• Orleans Silva Martins & Edilson Paulo, 2013, "The probability of informed trading in the Brazilian stock market," Brazilian Review of Finance, Brazilian Society of Finance, volume 11, issue 2, pages 249-280.
• Fernanda Gomes Victor & Marcelo Scherer Perlin & Mauro Mastella, 2013, "Commonalities in Liquidity: Evidence and Intraday Patterns in the Brazilian Market," Brazilian Review of Finance, Brazilian Society of Finance, volume 11, issue 3, pages 375-398.
• Davide Pettenuzzo, 2013, "To Predict the Equity Market, Consult Economic Theory," Rosenberg Global Financial Briefs, Brandeis University, Rosenberg Institute of Global Finance, International Businesss School, number 8, revised 2014.
• CLAUDIU TIBERIU ALBULESCU & Daniel Goyeau & AVIRAL KUMAR TIWARI, 2013, "Revisiting The Financial Volatility–Derivative Products Relationship On Euronext.Liffe Using A Frequency Domain Analysis," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 56, issue 3-4, pages 349-364.
• Marie Brière & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2013, "Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when all Assets are Risky," Finance, Presses universitaires de Grenoble, volume 34, issue 1, pages 7-41.
• Dominique Dufour & Gregory Heem, 2013, "La valorisation des instruments financiers dans les banques européennes entre 2009 et 2011 : valeurs de marché ou valeurs issues de modèles ?," Revue d'économie financière, Association d'économie financière, volume 0, issue 4, pages 317-338.
• Ito, Ryoko, 2013, "Modeling Dynamic Diurnal Patterns in High-Frequency Financial Data," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1315, Jun.
• João Pinto & Manuel Marques & William Megginson, 2013, "A Comparative Analysis Of Ex Ante Credit Spreads: Structured Finance Versus Straight Debt Finance," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 05, Dec.
• Doran, David & Dunne, Peter & Monks, Allen & O'Reilly, Gerard, 2013, "Was the Securities Markets Programme Effective in Stabilizing Irish Sovereign Yields?," Research Technical Papers, Central Bank of Ireland, number 07/RT/13, Sep.
• Chia-Lin Chang & David Allen & Michael McAleer, 2013, "Recent Developments in Financial Economics and Econometrics: An Overview," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 13/06, Jan.
• Michael McAleer & Kim Radalj, 2013, "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 13/23, Jul.
• Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2013, "Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 13/30, Sep.
• Elisa Luciano & Marina Marena & Patrizia Semeraro, 2013, "Dependence Calibration and Portfolio Fit with FactorBased Time Changes," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 307, revised 2015.
• Athanasios Geromichalos & Lucas Herrenbrueck, 2013, "Monetary Policy, Asset Prices, and Liquidity in Over-the-Counter Markets," Working Papers, University of California, Davis, Department of Economics, number 262, Jun.
• Kevin Salyer & Athanasios Geromichalos & Lucas Herrenbrueck, 2013, "A Search-Theoretic Model of the Term Premium," Working Papers, University of California, Davis, Department of Economics, number 300, Jun.
• Christian Gollier, 2013, "Asset Pricing with Uncertain Betas: A Long-Term Perspective," CESifo Working Paper Series, CESifo, number 4072.
• Lars P. Feld & Alexander Kalb & Marc-Daniel Moessinger & Steffen Osterloh, 2013, "Sovereign Bond Market Reactions to Fiscal Rules and No-Bailout Clauses - The Swiss Experience," CESifo Working Paper Series, CESifo, number 4195.
• Pongrapeeporn Abhakorn & Peter N. Smith & Michael Wickens & Michael R. Wickens, 2013, "What do the Fama-French Factors Add to C-CAPM?," CESifo Working Paper Series, CESifo, number 4197.
• Mathias Hoffmann & Rahel Suter, 2013, "Systematic Consumption Risk in Currency Returns," CESifo Working Paper Series, CESifo, number 4273.
• Burkhard Heer & Alfred Maussner & Bernd Süssmuth, 2013, "Cyclical Asset Returns in the Consumption and Investment Goods Sector," CESifo Working Paper Series, CESifo, number 4364.
• Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013, "Was bewegt den DAX?," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 66, issue 23, pages 32-36, December.
• Zehra Eksi & Damir Filipović, 2013, "A Dynamic Affine Factor Model for the Pricing of Collateralized Debt Obligations," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-09, Mar.
• Martin Hoesli & Reka Kustrim, 2013, "Contagion Channels between Real Estate and Financial Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-12, Apr.
• Jan Kallsen & Johannes Muhle-Karbe, 2013, "The General Structure of Optimal Investment and Consumption with Small Transaction Costs," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-15, Apr.
• Halil Mete Soner & Mirjana Vukelja, 2013, "Utility Maximization in an Illiquid Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-17, Apr.
• Zehra Eksi & Damir Filipović, 2013, "On Dynamic Hedging of Single-Tranche Collateralized Debt Obligations," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-18, Apr.
• Antonio Mele & Yoshiki Obayashi & Catherine Shalen, 2013, "Dynamics of Interest Rate Swap and Equity Volatilities," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-23, Apr.
• Antonio Mele & Yoshiki Obayashi, 2013, "Credit Variance Swaps and Volatility Indexes," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-24, Apr.
• Antonio Mele & Yoshiki Obayashi, 2013, "Volatility Indexes and Contracts for Eurodollar and Related Deposits," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-25, Apr.
• Antonio Mele & Yoshiki Obayashi, 2013, "Volatility Indexes and Contracts for Government Bonds and Time Deposits," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-26, Apr.
• Antonio Mele & Yoshiki Obayashi, 2013, "The Price of Government Bond Volatility," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-27, Apr.
• Philip Böhme & Walt Pohl & Karl Schmedders, 2013, "The Perils of Performance Measurement in the German Mutual-Fund Industry," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-30, May.
• Nilufer Caliskan & Thorsten Hens, 2013, "Value and Patience: The Value Premium in a Dividend-Growth Model with Hyperbolic Discounting," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-32, Jun.
• Chris Bardgett & Elise Gourier & Markus Leippold, 2013, "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-40, Jul, revised Dec 2016.
• Zhiguo He & Arvind Krishnamurthy, 2013, "A Macroeconomic Framework for Quantifying Systemic Risk," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-42, Jan, revised Apr 2015.
• Ludovic Cales & Eric Jondeau & Michael Rockinger, 2013, "Long-Term Portfolio Management with a Structural Macroeconomic Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-45, Sep.
• Semyon Malamud & Marzena J. Rostek, 2013, "Decentralized Exchange," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-52, Sep, revised Apr 2018.
• Martin Hoesli & Elias Oikarinen, 2013, "Are Public and Private Asset Returns and Risks the Same? Evidence from Real Estate Data," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-56, Nov, revised Jan 2015.
• Julien Hugonnier & Rodolfo Prieto, 2013, "Asset Pricing with Arbitrage Activity," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-57, Nov.
• Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2013, "Margin Regulation and Volatility," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-59, Dec.
• Benjamin Junge & Anders B. Trolle, 2013, "Liquidity Risk in Credit Default Swap Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-65, Dec, revised Aug 2015.
• Priyank Gandhi & Benjamin Golez & Jens Carsten Jackwerth & Alberto Plazzi, 2017, "Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-53, Dec.