Research classified by Journal of Economic Literature (JEL) codes

2013

• 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(0x5f923ac8), May.
• 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.
• Bollerslev, Tim & Todorov, Viktor & Li, Sophia Zhengzi, 2013, "Jump tails, extreme dependencies, and the distribution of stock returns," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 307-324, DOI: 10.1016/j.jeconom.2012.08.014.
• Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2013, "Chi-squared tests for evaluation and comparison of asset pricing models," Journal of Econometrics, Elsevier, volume 173, issue 1, pages 108-125, DOI: 10.1016/j.jeconom.2012.11.002.
• Bikbov, Ruslan & Chernov, Mikhail, 2013, "Monetary policy regimes and the term structure of interest rates," Journal of Econometrics, Elsevier, volume 174, issue 1, pages 27-43, DOI: 10.1016/j.jeconom.2013.01.002.
• Filipović, Damir & Mayerhofer, Eberhard & Schneider, Paul, 2013, "Density approximations for multivariate affine jump-diffusion processes," Journal of Econometrics, Elsevier, volume 176, issue 2, pages 93-111, DOI: 10.1016/j.jeconom.2012.12.003.
• Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2013, "Macro-expectations, aggregate uncertainty, and expected term premia," European Economic Review, Elsevier, volume 58, issue C, pages 58-80, DOI: 10.1016/j.euroecorev.2012.11.005.
• Zervou, Anastasia S., 2013, "Financial market segmentation, stock market volatility and the role of monetary policy," European Economic Review, Elsevier, volume 63, issue C, pages 256-272, DOI: 10.1016/j.euroecorev.2013.06.005.
• Kinnunen, Jyri, 2013, "Dynamic return predictability in the Russian stock market," Emerging Markets Review, Elsevier, volume 15, issue C, pages 107-121, DOI: 10.1016/j.ememar.2012.12.001.
• Kang, Hankil & Kang, Jangkoo & Lee, Changjun, 2013, "Do the production-based factors capture the time-varying patterns in stock returns?," Emerging Markets Review, Elsevier, volume 15, issue C, pages 122-135, DOI: 10.1016/j.ememar.2013.01.002.
• Blitz, David & Pang, Juan & van Vliet, Pim, 2013, "The volatility effect in emerging markets," Emerging Markets Review, Elsevier, volume 16, issue C, pages 31-45, DOI: 10.1016/j.ememar.2013.02.004.
• Riedel, Christoph & Thuraisamy, Kannan S. & Wagner, Niklas, 2013, "Credit cycle dependent spread determinants in emerging sovereign debt markets," Emerging Markets Review, Elsevier, volume 17, issue C, pages 209-223, DOI: 10.1016/j.ememar.2013.03.002.
• Antypas, Antonios & Koundouri, Phoebe & Kourogenis, Nikolaos, 2013, "Aggregational Gaussianity and barely infinite variance in financial returns," Journal of Empirical Finance, Elsevier, volume 20, issue C, pages 102-108, DOI: 10.1016/j.jempfin.2012.11.003.
• Du, Ding, 2013, "Another look at the cross-section and time-series of stock returns: 1951 to 2011," Journal of Empirical Finance, Elsevier, volume 20, issue C, pages 130-146, DOI: 10.1016/j.jempfin.2012.12.001.
• Muñoz, Francisco, 2013, "Liquidity and firm investment: Evidence for Latin America," Journal of Empirical Finance, Elsevier, volume 20, issue C, pages 18-29, DOI: 10.1016/j.jempfin.2012.10.001.
• Perron, Pierre & Chun, Sungju & Vodounou, Cosme, 2013, "Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices," Journal of Empirical Finance, Elsevier, volume 20, issue C, pages 42-62, DOI: 10.1016/j.jempfin.2012.10.002.
• Bodson, Laurent & Cavenaile, Laurent & Sougné, Danielle, 2013, "A global approach to mutual funds market timing ability," Journal of Empirical Finance, Elsevier, volume 20, issue C, pages 96-101, DOI: 10.1016/j.jempfin.2012.11.001.
• Prokopczuk, Marcel & Siewert, Jan B. & Vonhoff, Volker, 2013, "Credit risk in covered bonds," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 102-120, DOI: 10.1016/j.jempfin.2012.12.003.
• Blau, Benjamin M. & Pinegar, J. Michael, 2013, "Are short sellers incrementally informed prior to earnings announcements?," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 142-155, DOI: 10.1016/j.jempfin.2013.01.005.
• Zinna, Gabriele, 2013, "Sovereign default risk premia: Evidence from the default swap market," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 15-35, DOI: 10.1016/j.jempfin.2012.12.006.
• Becker, Christoph & Schmidt, Wolfgang M., 2013, "Stressing correlations and volatilities — A consistent modeling approach," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 174-194, DOI: 10.1016/j.jempfin.2012.12.009.
• Cheng, Teng Yuan & Lee, Chun I & Lin, Chao Hsien, 2013, "An examination of the relationship between the disposition effect and gender, age, the traded security, and bull–bear market conditions," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 195-213, DOI: 10.1016/j.jempfin.2013.01.003.
• Fernández-Amador, Octavio & Gächter, Martin & Larch, Martin & Peter, Georg, 2013, "Does monetary policy determine stock market liquidity? New evidence from the euro zone," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 54-68, DOI: 10.1016/j.jempfin.2012.12.008.
• Wagner, Niklas & Winter, Elisabeth, 2013, "A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter?," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 69-85, DOI: 10.1016/j.jempfin.2012.12.005.
• Abhakorn, Pongrapeeporn & Smith, Peter N. & Wickens, Michael R., 2013, "What do the Fama–French factors add to C-CAPM?," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 113-127, DOI: 10.1016/j.jempfin.2013.04.002.
• Li, Minqiang, 2013, "An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 128-139, DOI: 10.1016/j.jempfin.2013.04.004.
• Baele, Lieven & Londono, Juan M., 2013, "Understanding industry betas," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 30-51, DOI: 10.1016/j.jempfin.2013.02.003.
• Huang, Rachel J. & Miao, Jerry C.Y. & Tzeng, Larry Y., 2013, "Does mortality improvement increase equity risk premiums? A risk perception perspective," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 67-77, DOI: 10.1016/j.jempfin.2013.03.002.
• Kim, Hwagyun & Park, Hail, 2013, "Term structure dynamics with macro-factors using high frequency data," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 78-93, DOI: 10.1016/j.jempfin.2013.03.003.
• Rossi, Eduardo & Santucci de Magistris, Paolo, 2013, "Long memory and tail dependence in trading volume and volatility," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 94-112, DOI: 10.1016/j.jempfin.2013.03.004.
• Chelley-Steeley, Patricia & Lambertides, Neophytos & Savva, Christos S., 2013, "Illiquidity shocks and the comovement between stocks: New evidence using smooth transition," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 1-15, DOI: 10.1016/j.jempfin.2013.04.001.
• Ammann, Manuel & Buesser, Ralf, 2013, "Variance risk premiums in foreign exchange markets," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 16-32, DOI: 10.1016/j.jempfin.2013.04.006.
• Post, Thierry & Kopa, Miloš, 2013, "Aggregate investor preferences and beliefs: A comment," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 187-190, DOI: 10.1016/j.jempfin.2013.06.003.
• Lambert, M. & Hübner, G., 2013, "Comoment risk and stock returns," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 191-205, DOI: 10.1016/j.jempfin.2013.07.001.
• Romano, Joseph P. & Wolf, Michael, 2013, "Testing for monotonicity in expected asset returns," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 93-116, DOI: 10.1016/j.jempfin.2013.05.001.
• Koop, Gary & Tole, Lise, 2013, "Modeling the relationship between European carbon permits and certified emission reductions," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 166-181, DOI: 10.1016/j.jempfin.2013.10.005.
• Gourieroux, C. & Monfort, A., 2013, "Linear-price term structure models," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 24-41, DOI: 10.1016/j.jempfin.2013.07.004.
• Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013, "Valuation of collateralized debt obligations with hierarchical Archimedean copulae," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 42-62, DOI: 10.1016/j.jempfin.2013.08.001.
• Anderson, Robert M. & Eom, Kyong Shik & Hahn, Sang Buhm & Park, Jong-Ho, 2013, "Autocorrelation and partial price adjustment," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 78-93, DOI: 10.1016/j.jempfin.2013.08.003.
• Awartani, Basel & Maghyereh, Aktham Issa, 2013, "Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries," Energy Economics, Elsevier, volume 36, issue C, pages 28-42, DOI: 10.1016/j.eneco.2012.11.024.
• Conlon, Thomas & Cotter, John, 2013, "Downside risk and the energy hedger's horizon," Energy Economics, Elsevier, volume 36, issue C, pages 371-379, DOI: 10.1016/j.eneco.2012.09.012.
• Koch, Nicolas & Bassen, Alexander, 2013, "Valuing the carbon exposure of European utilities. The role of fuel mix, permit allocation and replacement investments," Energy Economics, Elsevier, volume 36, issue C, pages 431-443, DOI: 10.1016/j.eneco.2012.09.019.
• Lammerding, Marc & Stephan, Patrick & Trede, Mark & Wilfling, Bernd, 2013, "Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach," Energy Economics, Elsevier, volume 36, issue C, pages 491-502, DOI: 10.1016/j.eneco.2012.10.006.
• Hammoudeh, Shawkat & Liu, Tengdong & Chang, Chia-Lin & McAleer, Michael, 2013, "Risk spillovers in oil-related CDS, stock and credit markets," Energy Economics, Elsevier, volume 36, issue C, pages 526-535, DOI: 10.1016/j.eneco.2012.10.010.
• Ewald, Christian-Oliver & Nawar, Roy & Siu, Tak Kuen, 2013, "Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance," Energy Economics, Elsevier, volume 36, issue C, pages 97-107, DOI: 10.1016/j.eneco.2012.12.004.
• Talbot, Edward & Artiach, Tracy & Faff, Robert, 2013, "What drives the commodity price beta of oil industry stocks?," Energy Economics, Elsevier, volume 37, issue C, pages 1-15, DOI: 10.1016/j.eneco.2013.01.004.
• Bohl, Martin T. & Kaufmann, Philipp & Stephan, Patrick M., 2013, "From hero to zero: Evidence of performance reversal and speculative bubbles in German renewable energy stocks," Energy Economics, Elsevier, volume 37, issue C, pages 40-51, DOI: 10.1016/j.eneco.2013.01.006.
• Fink, Jason D. & Fink, Kristin E., 2013, "Hurricane forecast revisions and petroleum refiner equity returns," Energy Economics, Elsevier, volume 38, issue C, pages 1-11, DOI: 10.1016/j.eneco.2013.02.005.
• Cifarelli, Giulio, 2013, "Smooth transition regime shifts and oil price dynamics," Energy Economics, Elsevier, volume 38, issue C, pages 160-167, DOI: 10.1016/j.eneco.2013.03.006.
• Sklavos, Konstantinos & Dam, Lammertjan & Scholtens, Bert, 2013, "The liquidity of energy stocks," Energy Economics, Elsevier, volume 38, issue C, pages 168-175, DOI: 10.1016/j.eneco.2013.02.015.
• Asteriou, Dimitrios & Bashmakova, Yuliya, 2013, "Assessing the impact of oil returns on emerging stock markets: A panel data approach for ten Central and Eastern European Countries," Energy Economics, Elsevier, volume 38, issue C, pages 204-211, DOI: 10.1016/j.eneco.2013.02.011.
• Chang, Kuang-Liang & Yu, Shih-Ti, 2013, "Does crude oil price play an important role in explaining stock return behavior?," Energy Economics, Elsevier, volume 39, issue C, pages 159-168, DOI: 10.1016/j.eneco.2013.05.008.
• Coulon, Michael & Powell, Warren B. & Sircar, Ronnie, 2013, "A model for hedging load and price risk in the Texas electricity market," Energy Economics, Elsevier, volume 40, issue C, pages 976-988, DOI: 10.1016/j.eneco.2013.05.020.
• Vivian, Andrew & Wohar, Mark E., 2013, "The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?," International Review of Financial Analysis, Elsevier, volume 26, issue C, pages 40-50, DOI: 10.1016/j.irfa.2012.05.002.
• Realdon, Marco, 2013, "Credit risk, valuation and fundamental analysis," International Review of Financial Analysis, Elsevier, volume 27, issue C, pages 77-90, DOI: 10.1016/j.irfa.2012.10.001.
• Verousis, Thanos & ap Gwilym, Owain, 2013, "Trade size clustering and the cost of trading at the London Stock Exchange," International Review of Financial Analysis, Elsevier, volume 27, issue C, pages 91-102, DOI: 10.1016/j.irfa.2012.08.007.
• Floros, Christos & Kizys, Renatas & Pierdzioch, Christian, 2013, "Financial crises, the decoupling–recoupling hypothesis, and the risk premium on the Greek stock index futures market," International Review of Financial Analysis, Elsevier, volume 28, issue C, pages 166-173, DOI: 10.1016/j.irfa.2013.02.005.
• Li, Bob & Boo, Yee Ling & Ee, Mong Shan & Chen, Cindy, 2013, "A re-examination of firm's attributes and share returns: Evidence from the Chinese A-shares market," International Review of Financial Analysis, Elsevier, volume 28, issue C, pages 174-181, DOI: 10.1016/j.irfa.2013.02.007.
• Baradarannia, M. Reza & Peat, Maurice, 2013, "Liquidity and expected returns—Evidence from 1926–2008," International Review of Financial Analysis, Elsevier, volume 29, issue C, pages 10-23, DOI: 10.1016/j.irfa.2013.03.007.
• Ciner, Cetin & Gurdgiev, Constantin & Lucey, Brian M., 2013, "Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates," International Review of Financial Analysis, Elsevier, volume 29, issue C, pages 202-211, DOI: 10.1016/j.irfa.2012.12.001.
• Gębka, Bartosz & Wohar, Mark E., 2013, "The determinants of quantile autocorrelations: Evidence from the UK," International Review of Financial Analysis, Elsevier, volume 29, issue C, pages 51-61, DOI: 10.1016/j.irfa.2013.03.010.
• Cho, Sungjun, 2013, "New return anomalies and new-Keynesian ICAPM," International Review of Financial Analysis, Elsevier, volume 29, issue C, pages 87-106, DOI: 10.1016/j.irfa.2013.04.003.
• Davies, Richard & Fletcher, Mary & Marshall, Andrew, 2013, "Investigating the role of illiquidity in explaining the UK closed-end country fund discount," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 121-130, DOI: 10.1016/j.irfa.2013.07.014.
• Levy, Tamir & Qadan, Mahmod & Yagil, Joseph, 2013, "Predicting the limit-hit frequency in futures contracts," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 141-148, DOI: 10.1016/j.irfa.2013.06.004.
• Mouselli, Sulaiman & Jaafar, Aziz & Goddard, John, 2013, "Accruals quality, stock returns and asset pricing: Evidence from the UK," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 203-213, DOI: 10.1016/j.irfa.2013.08.006.
• Avino, Davide & Lazar, Emese & Varotto, Simone, 2013, "Price discovery of credit spreads in tranquil and crisis periods," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 242-253, DOI: 10.1016/j.irfa.2013.08.002.
• Battaglia, Francesca & Gallo, Angela, 2013, "Securitization and systemic risk: An empirical investigation on Italian banks over the financial crisis," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 274-286, DOI: 10.1016/j.irfa.2013.03.002.
• Dorsman, André & Gounopoulos, Dimitrios, 2013, "European Sovereign Debt Crisis and the performance of Dutch IPOs," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 308-319, DOI: 10.1016/j.irfa.2013.07.003.
• Dbouk, Wassim & Jamali, Ibrahim & Kryzanowski, Lawrence, 2013, "The January effect for individual corporate bonds," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 69-77, DOI: 10.1016/j.irfa.2013.06.001.
• Miffre, Joëlle & Brooks, Chris & Li, Xiafei, 2013, "Idiosyncratic volatility and the pricing of poorly-diversified portfolios," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 78-85, DOI: 10.1016/j.irfa.2013.05.007.
• Ludvigson, Sydney C., 2013, "Advances in Consumption-Based Asset Pricing: Empirical Tests," Handbook of the Economics of Finance, Elsevier, chapter 0, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance", DOI: 10.1016/B978-0-44-459406-8.00012-3.
• Duffee, Gregory R., 2013, "Bond Pricing and the Macroeconomy," Handbook of the Economics of Finance, Elsevier, chapter 0, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance", DOI: 10.1016/B978-0-44-459406-8.00013-5.
• G.M. Constantinides & M. Harris & R. M. Stulz (ed.), 2013, "Handbook of the Economics of Finance," Handbook of the Economics of Finance, Elsevier, number 2-a.
• G.M. Constantinides & M. Harris & R. M. Stulz (ed.), 2013, "Handbook of the Economics of Finance," Handbook of the Economics of Finance, Elsevier, number 2-b.
• Guthrie, Graeme, 2013, "A value premium without operating leverage," Finance Research Letters, Elsevier, volume 10, issue 1, pages 1-11, DOI: 10.1016/j.frl.2012.10.001.
• Golbabai, A. & Ballestra, L.V. & Ahmadian, D., 2013, "Superconvergence of the finite element solutions of the Black–Scholes equation," Finance Research Letters, Elsevier, volume 10, issue 1, pages 17-26, DOI: 10.1016/j.frl.2012.09.002.
• Guidolin, Massimo & McMillan, David G. & Wohar, Mark E., 2013, "Time varying stock return predictability: Evidence from US sectors," Finance Research Letters, Elsevier, volume 10, issue 1, pages 34-40, DOI: 10.1016/j.frl.2012.07.002.
• Chen, Rui & Du, Ke, 2013, "A generalised arbitrage-free Nelson–Siegel model: The impact of unspanned stochastic volatility," Finance Research Letters, Elsevier, volume 10, issue 1, pages 41-48, DOI: 10.1016/j.frl.2012.07.001.
• Carmichael, Benoıˆt & Coën, Alain, 2013, "Asset pricing with skewed-normal return," Finance Research Letters, Elsevier, volume 10, issue 2, pages 50-57, DOI: 10.1016/j.frl.2013.01.001.
• Dev, Pritha, 2013, "Transfer of information by an informed trader," Finance Research Letters, Elsevier, volume 10, issue 2, pages 58-71, DOI: 10.1016/j.frl.2013.01.002.
• Smith, Godfrey, 2013, "Simulated testing of nonparametric measure changes for hedging European options," Finance Research Letters, Elsevier, volume 10, issue 2, pages 93-101, DOI: 10.1016/j.frl.2012.11.002.
• Galvani, Valentina & Gubellini, Stefano, 2013, "Mean–variance dominant trading strategies," Finance Research Letters, Elsevier, volume 10, issue 3, pages 142-150, DOI: 10.1016/j.frl.2013.05.005.
• Jarrow, Robert A., 2013, "The zero-lower bound on interest rates: Myth or reality?," Finance Research Letters, Elsevier, volume 10, issue 4, pages 151-156, DOI: 10.1016/j.frl.2013.08.003.
• Shafer, Michael & Yildirim, Yildiray, 2013, "Operational risk and equity prices," Finance Research Letters, Elsevier, volume 10, issue 4, pages 157-168, DOI: 10.1016/j.frl.2013.05.001.
• Bergeron, Claude, 2013, "Dividend sensitivity to economic factors, stock valuation, and long-run risk," Finance Research Letters, Elsevier, volume 10, issue 4, pages 184-195, DOI: 10.1016/j.frl.2013.07.004.
• Obizhaeva, Anna A. & Wang, Jiang, 2013, "Optimal trading strategy and supply/demand dynamics," Journal of Financial Markets, Elsevier, volume 16, issue 1, pages 1-32, DOI: 10.1016/j.finmar.2012.09.001.
• Valseth, Siri, 2013, "Price discovery in government bond markets," Journal of Financial Markets, Elsevier, volume 16, issue 1, pages 127-151, DOI: 10.1016/j.finmar.2012.04.005.
• Li, Yuanzhi & Zhong, Zhaodong (Ken), 2013, "Investing in Chapter 11 stocks: Trading, value, and performance," Journal of Financial Markets, Elsevier, volume 16, issue 1, pages 33-60, DOI: 10.1016/j.finmar.2012.09.006.
• Gao, Feng & Song, Fengming & Wang, Jun, 2013, "Rational expectations equilibrium with uncertain proportion of informed traders," Journal of Financial Markets, Elsevier, volume 16, issue 3, pages 387-413, DOI: 10.1016/j.finmar.2012.04.001.
• Blitz, David & Huij, Joop & Lansdorp, Simon & Verbeek, Marno, 2013, "Short-term residual reversal," Journal of Financial Markets, Elsevier, volume 16, issue 3, pages 477-504, DOI: 10.1016/j.finmar.2012.10.005.
• Raviv, Alon & Sisli-Ciamarra, Elif, 2013, "Executive compensation, risk taking and the state of the economy," Journal of Financial Stability, Elsevier, volume 9, issue 1, pages 55-68, DOI: 10.1016/j.jfs.2012.12.003.
• Bohl, Martin T. & Klein, Arne C. & Siklos, Pierre L., 2013, "Are short sellers positive feedback traders? Evidence from the global financial crisis," Journal of Financial Stability, Elsevier, volume 9, issue 3, pages 337-346, DOI: 10.1016/j.jfs.2012.11.004.
• Iannotta, Giuliano & Nocera, Giacomo & Resti, Andrea, 2013, "Do investors care about credit ratings? An analysis through the cycle," Journal of Financial Stability, Elsevier, volume 9, issue 4, pages 545-555, DOI: 10.1016/j.jfs.2012.11.006.
• Kim, Jinyong & Kim, Yong-Cheol, 2013, "Financial crisis and a transmission mechanism of external shocks: The signaling role of the Korean Monetary Stabilization Bond," Journal of Financial Stability, Elsevier, volume 9, issue 4, pages 682-694, DOI: 10.1016/j.jfs.2012.06.002.
• Sun, Changyou, 2013, "On the market risk of securitized timberlands," Journal of Forest Economics, Elsevier, volume 19, issue 2, pages 110-127, DOI: 10.1016/j.jfe.2012.11.002.
• Gourio, François & Siemer, Michael & Verdelhan, Adrien, 2013, "International risk cycles," Journal of International Economics, Elsevier, volume 89, issue 2, pages 471-484, DOI: 10.1016/j.jinteco.2011.10.001.
• Dahlquist, Magnus & Hasseltoft, Henrik, 2013, "International Bond Risk Premia," Journal of International Economics, Elsevier, volume 90, issue 1, pages 17-32, DOI: 10.1016/j.jinteco.2012.11.008.
• Pézier, Jacques & Scheller, Johanna, 2013, "Best portfolio insurance for long-term investment strategies in realistic conditions," Insurance: Mathematics and Economics, Elsevier, volume 52, issue 2, pages 263-274, DOI: 10.1016/j.insmatheco.2013.01.001.
• Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W., 2013, "Pricing inflation products with stochastic volatility and stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, volume 52, issue 2, pages 286-299, DOI: 10.1016/j.insmatheco.2013.01.003.
• Ziveyi, Jonathan & Blackburn, Craig & Sherris, Michael, 2013, "Pricing European options on deferred annuities," Insurance: Mathematics and Economics, Elsevier, volume 52, issue 2, pages 300-311, DOI: 10.1016/j.insmatheco.2013.01.004.
• Blackburn, Craig & Sherris, Michael, 2013, "Consistent dynamic affine mortality models for longevity risk applications," Insurance: Mathematics and Economics, Elsevier, volume 53, issue 1, pages 64-73, DOI: 10.1016/j.insmatheco.2013.04.007.
• Magni, Carlo Alberto, 2013, "Generalized Makeham’s formula and economic profitability," Insurance: Mathematics and Economics, Elsevier, volume 53, issue 3, pages 747-756, DOI: 10.1016/j.insmatheco.2013.09.014.
• Thuraisamy, Kannan & Gannon, Gerard, 2013, "Modelling the sovereign linkages of key Latin American economies," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 23, issue C, pages 222-239, DOI: 10.1016/j.intfin.2012.08.002.
• Alzahrani, Ahmed A. & Gregoriou, Andros & Hudson, Robert, 2013, "Price impact of block trades in the Saudi stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 23, issue C, pages 322-341, DOI: 10.1016/j.intfin.2012.11.003.
• Chen, Yangyang & Koutsantony, Constantine & Truong, Cameron & Veeraraghavan, Madhu, 2013, "Stock price response to S&P 500 index inclusions: Do options listings and options trading volume matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 23, issue C, pages 379-401, DOI: 10.1016/j.intfin.2012.09.008.
• Gębka, Bartosz & Wohar, Mark E., 2013, "International herding: Does it differ across sectors?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 23, issue C, pages 55-84, DOI: 10.1016/j.intfin.2012.09.003.
• Gurun, Ayfer, 2013, "Business strategy and financial consequences: The case of antidumping filings," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 24, issue C, pages 127-138, DOI: 10.1016/j.intfin.2012.11.006.
• Meng, Lei & Verousis, Thanos & ap Gwilym, Owain, 2013, "A substitution effect between price clustering and size clustering in credit default swaps," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 24, issue C, pages 139-152, DOI: 10.1016/j.intfin.2012.11.011.
• Durand, Robert B. & Koh, SzeKee & Limkriangkrai, Manapon, 2013, "Saints versus Sinners. Does morality matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 24, issue C, pages 166-183, DOI: 10.1016/j.intfin.2012.12.002.
• Papavassiliou, Vassilios G., 2013, "A new method for estimating liquidity risk: Insights from a liquidity-adjusted CAPM framework," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 24, issue C, pages 184-197, DOI: 10.1016/j.intfin.2012.12.003.
• Murtazashvili, Irina & Vozlyublennaia, Nadia, 2013, "When do characteristics-sorted factors mechanically explain returns?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 25, issue C, pages 119-143, DOI: 10.1016/j.intfin.2013.01.006.
• Balli, Faruk & Basher, Syed Abul & Jean Louis, Rosmy, 2013, "Sectoral equity returns and portfolio diversification opportunities across the GCC region," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 25, issue C, pages 33-48, DOI: 10.1016/j.intfin.2013.01.001.
• Li, Hong, 2013, "Integration versus segmentation in China's stock market: An analysis of time-varying beta risks," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 25, issue C, pages 88-105, DOI: 10.1016/j.intfin.2013.01.007.
• Smales, Lee A., 2013, "Bond futures and order imbalance," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 26, issue C, pages 113-132, DOI: 10.1016/j.intfin.2013.05.006.
• Antonakakis, Nikolaos & Vergos, Konstantinos, 2013, "Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 26, issue C, pages 258-272, DOI: 10.1016/j.intfin.2013.06.004.
• Klein, Arne C., 2013, "Time-variations in herding behavior: Evidence from a Markov switching SUR model," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 26, issue C, pages 291-304, DOI: 10.1016/j.intfin.2013.06.006.
• Levy, Tamir & Yagil, Joseph, 2013, "Changing the methodology of equity indices—The case of the Tel-Aviv Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 26, issue C, pages 91-99, DOI: 10.1016/j.intfin.2013.04.001.
• Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013, "Liquidity measurement in frontier markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 27, issue C, pages 1-12, DOI: 10.1016/j.intfin.2013.07.011.
• Goda, Thomas & Lysandrou, Photis & Stewart, Chris, 2013, "The contribution of US bond demand to the US bond yield conundrum of 2004–2007: An empirical investigation," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 27, issue C, pages 113-136, DOI: 10.1016/j.intfin.2013.07.012.
• Nartea, Gilbert V. & Wu, Ji & Liu, Zhentao, 2013, "Does idiosyncratic volatility matter in emerging markets? Evidence from China," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 27, issue C, pages 137-160, DOI: 10.1016/j.intfin.2013.09.002.
• Philippas, Dionisis & Siriopoulos, Costas, 2013, "Putting the “C” into crisis: Contagion, correlations and copulas on EMU bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 27, issue C, pages 161-176, DOI: 10.1016/j.intfin.2013.09.008.
• Bozos, Konstantinos & Koutmos, Dimitrios & Song, Wei, 2013, "Beta risk and price synchronicity of bank acquirers’ common stock following merger announcements," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 27, issue C, pages 47-58, DOI: 10.1016/j.intfin.2013.07.007.
• Morales-Arias, Leonardo & Moura, Guilherme V., 2013, "Adaptive forecasting of exchange rates with panel data," International Journal of Forecasting, Elsevier, volume 29, issue 3, pages 493-509, DOI: 10.1016/j.ijforecast.2012.10.007.
• Hwang, Lee-Seok & Lee, Woo-Jong & Lim, Seung-Yeon & Park, Kyung-Ho, 2013, "Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN," Journal of Accounting and Economics, Elsevier, volume 55, issue 2, pages 148-167, DOI: 10.1016/j.jacceco.2013.01.005.
• Barth, Mary E. & Konchitchki, Yaniv & Landsman, Wayne R., 2013, "Cost of capital and earnings transparency," Journal of Accounting and Economics, Elsevier, volume 55, issue 2, pages 206-224, DOI: 10.1016/j.jacceco.2013.01.004.
• Baber, William R. & Gore, Angela K. & Rich, Kevin T. & Zhang, Jean X., 2013, "Accounting restatements, governance and municipal debt financing," Journal of Accounting and Economics, Elsevier, volume 56, issue 2, pages 212-227, DOI: 10.1016/j.jacceco.2013.08.003.
• Zhang, Qi & Cai, Charlie X. & Keasey, Kevin, 2013, "Market reaction to earnings news: A unified test of information risk and transaction costs," Journal of Accounting and Economics, Elsevier, volume 56, issue 2, pages 251-266, DOI: 10.1016/j.jacceco.2013.08.002.
• Aono, Kohei & Iwaisako, Tokuo, 2013, "The consumption–wealth ratio, real estate wealth, and the Japanese stock market," Japan and the World Economy, Elsevier, volume 25, issue , pages 39-51, DOI: 10.1016/j.japwor.2012.11.001.
• 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.