Research classified by Journal of Economic Literature (JEL) codes

2013

• 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.
• Kyle Moore & Pengfei Sun & Casper de Vries & Chen Zhou, 2013, "Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk," Working Papers, Chapman University, Economic Science Institute, number 13-13.
• Marlène Isoré & Urszula Szczerbowicz, 2013, "Disaster Risk in a New Keynesian Model," Working Papers, CEPII research center, number 2013-12, Apr.
• Varvara Isyuk, 2013, "Financial versus demand shocks in stock price returns of U.S. non-financial firms in the crisis of 2007," International Economics, CEPII research center, issue 133, pages 29-49.
• Georges Dionne & Olfa Maalaoui Chun, 2013, "Default and liquidity regimes in the bond market during the 2002-2012 period," Canadian Journal of Economics, Canadian Economics Association, volume 46, issue 4, pages 1160-1195, November, DOI: 10.1111/caje.12057.
• Max Bruche & Anatoli Segura, 2013, "Debt Maturity and the Liquidity of Secondary Debt Markets," Working Papers, CEMFI, number wp2013_1303, Apr.
• Ludmila D. SOBOL, 2013, "Provocări Implicate De Evaluarea Companiilor," Management Intercultural, Romanian Foundation for Business Intelligence, Editorial Department, issue 27, pages 98-107, February.
• Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek, 2013, "Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory," Working Papers, Czech National Bank, Research and Statistics Department, number 2013/14, Dec.
• Jos� Eduardo G�mez & Jair Ojeda Ojeda & 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, number 10456, Jan.
• Jos� E. G�mez-Gonz�lez & Luis Fernando Melo Velandia, 2013, "Efectos de ��ngeles ca�dos� en el mercado accionario colombiano: estudio de eventos del caso Interbolsa," Borradores de Economia, Banco de la Republica, number 10977, Sep.
• Luis Guillermo Herrera Cardona & Darwin C�rdenas Giraldo, 2013, "Modelos de valoración de opciones sobre títulos de renta fija: aplicación al mercado colombiano," Estudios Gerenciales, Universidad Icesi.
• Harold Stevens Ávila Aguirre, 2013, "Comportamiento de la demanda de dinero en Colombia durante el periodo 2000: I-2010: IV," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia.
• Mauricio Lopera C. & Favi�n Gonz�lez & Charle Augusto Londo�o, 2013, "Efectos de la política monetaria sobre la valoración de activos en el mercado accionario colombiano (2004-2012)," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE, issue 22, pages 179-196.
• Andrés Mauricio Gómez Sánchez & Jos� Gabriel Astaiza G�mez, 2013, "Ciclo económico y prima por riesgo en el mercado accionario colombiano," Revista Ecos de Economía, Universidad EAFIT.
• Ignacio Velez-Pareja, Joseph Tham Rauf Ibragimov & Ignacio V√©lez-Pareja & Joseph Tham, 2013, "Mejora de la Medici√≥n del Desempeno con el VEA (EVA) Operativo Y Total (Sharpening Performance Measurement with the Operating and Total EVA)," Proyecciones Financieras y Valoración, Master Consultores, number 10720, Mar.
• Ignacio Velez-Pareja, Joseph Tham Rauf Ibragimov & Ignacio V√©lez-Pareja & Joseph Tham, 2013, "EVA Performance Measurement is Faulty: So You May Be Persuaded to Switch to a Robust OEVA-TEVA Alternative," Proyecciones Financieras y Valoración, Master Consultores, number 10721, Feb.
• Ignacio V√©lez-Pareja, 2013, "Cost of Capital and Cash Flows for SMEs," Proyecciones Financieras y Valoración, Master Consultores, number 10983, Nov.
• Carlo Alberto Magni, 2013, "Generalized Makeham's Formula and Economic Profitability," Proyecciones Financieras y Valoración, Master Consultores, number 10992, Sep.
• BOCART, Fabian & HAFNER, Christian, 2013, "Fair re-valuation of wine as an investment," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2013025, May.
• WANG, Kent & WANG, Shin-Huei & PAN, Zheyao, 2013, "Can federal reserve policy deviation explain response patterns of financial markets over time?," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2013029, Jul.
• DAO, Nguyen-Thang & DAVILA, Julio, 2013, "Can geography lock a society in stagnation?," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2013030, Jul.
• Rob Aalbers, 2013, "Optimal Discount Rates for Investments in Mitigation and Adaptation," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 257, Sep.
• Farmer, Roger & Nourry, Carine & Venditti, Alain, 2013, "The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World," CEPR Discussion Papers, Centre for Economic Policy Research, number 9283, Jan.
• Hellwig, Christian & Tsyvinski, Aleh & Albagli, Elias, 2013, "A Theory of Asset Prices based on Heterogeneous Information," CEPR Discussion Papers, Centre for Economic Policy Research, number 9291, Jan.
• Wolff, Christian & Lehnert, Thorsten & Lin, Yuehao, 2013, "Skewness Risk Premium: Theory and Empirical Evidence," CEPR Discussion Papers, Centre for Economic Policy Research, number 9349, Feb.
• Beber, Alessandro & Brandt, Michael & Luisi, Maurizio, 2013, "Distilling the Macroeconomic News Flow," CEPR Discussion Papers, Centre for Economic Policy Research, number 9360, Feb.
• Timmermann, Allan & Pettenuzzo, Davide & Valkanov, Rossen, 2013, "Forecasting Stock Returns under Economic Constraints," CEPR Discussion Papers, Centre for Economic Policy Research, number 9377, Mar.
• Wright, Jonathan & Gürkaynak, Refet, 2013, "Identification and Inference Using Event Studies," CEPR Discussion Papers, Centre for Economic Policy Research, number 9388, Mar.
• Vayanos, Dimitri & Guibaud, Stéphane & Nosbusch, Yves, 2013, "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," CEPR Discussion Papers, Centre for Economic Policy Research, number 9407, Mar.
• Uppal, Raman & Bhamra, Harjoat Singh, 2013, "Asset Prices with Heterogeneity in Preferences and Beliefs," CEPR Discussion Papers, Centre for Economic Policy Research, number 9459, May.
• Dumas, Bernard & Buss, Adrian, 2013, "The Dynamic Properties of Financial-Market Equilibrium with Trading Fees," CEPR Discussion Papers, Centre for Economic Policy Research, number 9524, Jun.
• Beber, Alessandro & Brandt, Michael & Luisi, Maurizio, 2013, "Economic Cycles and Expected Stock Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 9528, Jun.
• Koskinen, Yrjö & Albuquerque, Rui & Zhang, Chendi, 2013, "Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence," CEPR Discussion Papers, Centre for Economic Policy Research, number 9533, Jul.
• Beber, Alessandro & Brandt, Michael & Luisi, Maurizio, 2013, "Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals," CEPR Discussion Papers, Centre for Economic Policy Research, number 9538, Jul.
• Sarno, Lucio & Della Corte, Pasquale, 2013, "Volatility Risk Premia and Exchange Rate Predictability," CEPR Discussion Papers, Centre for Economic Policy Research, number 9549, Jul.
• Padula, Mario & Pettinicchi, Yuri, 2013, "Providing financial education: a general equilibrium approach," CEPR Discussion Papers, Centre for Economic Policy Research, number 9556, Jul.
• Guiso, Luigi & Zingales, Luigi & Sapienza, Paola, 2013, "Time Varying Risk Aversion," CEPR Discussion Papers, Centre for Economic Policy Research, number 9589, Aug.
• Nagel, Stefan & Korteweg, Arthur, 2013, "Risk-Adjusting the Returns to Venture Capital," CEPR Discussion Papers, Centre for Economic Policy Research, number 9610, Aug.
• Backus, David & Zin, Stanley E. & Chernov, Mikhail & Zviadadze, Irina, 2013, "Monetary policy risk: Rules vs. discretion," CEPR Discussion Papers, Centre for Economic Policy Research, number 9611, Aug.
• Voth, Hans-Joachim & Giusti, Giovanni & Noussair, Charles, 2013, "Recreating the South Sea Bubble: Lessons from an Experiment in Financial History," CEPR Discussion Papers, Centre for Economic Policy Research, number 9652, Sep.
• Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel, 2013, "Price Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis," CEPR Discussion Papers, Centre for Economic Policy Research, number 9659, Sep.
• Ghysels, Eric & Marcellino, Massimiliano, 2013, "Regime Switches in the Risk-Return Trade-off," CEPR Discussion Papers, Centre for Economic Policy Research, number 9698, Oct.
• Bianchi, Francesco, 2013, "Methods for Measuring Expectations and Uncertainty in Markov-Switching Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 9705, Oct.
• Nimark, Kristoffer P & Barillas, Francisco, 2013, "Speculation, Risk Premia and Expectations in the Yield Curve," CEPR Discussion Papers, Centre for Economic Policy Research, number 9755, Nov.
• Pedersen, Lasse Heje & Frazzini, Andrea & Kabiller, David, 2013, "Buffett?s Alpha," CEPR Discussion Papers, Centre for Economic Policy Research, number 9769, Dec.
• Moskowitz, Tobias J & Pedersen, Lasse Heje & Koijen, Ralph & Vrugt, Evert B., 2013, "Carry," CEPR Discussion Papers, Centre for Economic Policy Research, number 9771, Dec.
• Ghysels, Eric & Manganelli, Simone & , & Idier, Julien, 2013, "A high frequency assessment of the ECB Securities Markets Programme," CEPR Discussion Papers, Centre for Economic Policy Research, number 9778, Dec.
• Fabian Irek & Thorsten Lehnert, 2013, "Do Fund Investors Know that Risk is Sometimes not Priced?," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 13-1.
• Thorsten Lehnert & Yuehao Lin & Nicolas Martelin, 2013, "Stein s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior?," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 13-11.
• Tibor Neugebauer & Sascha Füllbrunn, 2013, "Deflating Bubbles in Experimental Asset Markets: Comparative Statics of Margin Regulations," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 13-14.
• Claudio Morana, 2013, "Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 138, Dec.
• Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2013, "Pricing Default Events : Surprise, Exogeneity and Contagion," Working Papers, Center for Research in Economics and Statistics, number 2013-03, Jan.
• Christian Gouriéroux & Jean-Cyprien Heam & Alain Monfort, 2013, "Liquidation Equilibrium with Seniority and Hidden CDO," Working Papers, Center for Research in Economics and Statistics, number 2013-06, Feb.
• Gildas Lamé, 2013, "Was there a "Greenspan conundrum" in the Euro Area ?," Working Papers, Center for Research in Economics and Statistics, number 2013-07, Mar.
• Christian Gouriéroux & Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne, 2013, "Regime Switching and Bond Pricing," Working Papers, Center for Research in Economics and Statistics, number 2013-48, Jun.
• Daisuke Nagakura & Lena Mareen Korber & Ippei Fujiwara, 2013, "Asymmetry in government bond returns," AJRC Working Papers, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University, number 1301.
• Julián Andrada-Félix & Adrián Fernández-Pérez & Fernando Fernández-Rodríguez, 2013, "La estructura temporal de los tipos de interés: conceptos y procedimientos de estimación," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 36, issue 101, pages 53-63, Agosto.
• Xiangbo Liu & Zijun Liu & Zhigang Qiu, 2013, "Stock Market Manipulation in the Presence of Fund Flows," Annals of Economics and Finance, Society for AEF, volume 14, issue 2, pages 483-491, November.
• Jizheng Huang & Heng-fu Zou, 2013, "Asset Pricing, Capital Structure and the Spirit of Capitalism in a Production Economy," Annals of Economics and Finance, Society for AEF, volume 14, issue 2, pages 367-384, November.
• Lanne, Markku & Saikkonen, Pentti, 2013, "Noncausal Vector Autoregression," Econometric Theory, Cambridge University Press, volume 29, issue 3, pages 447-481, June.
• Lynch, Anthony W. & Wachter, Jessica A., 2013, "Using Samples of Unequal Length in Generalized Method of Moments Estimation," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 48, issue 1, pages 277-307, February.
• DeMiguel, Victor & Plyakha, Yuliya & Uppal, Raman & Vilkov, Grigory, 2013, "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 48, issue 6, pages 1813-1845, December.
• Babecký, Jan & Komárek, Luboš & Komárková, Zlatuše, 2013, "Convergence of Returns on Chinese and Russian Stock Markets with World Markets: National and Sectoral Perspectives," National Institute Economic Review, National Institute of Economic and Social Research, volume 223, issue , pages 16-34, February.
• Chen, Xi & Funke, Michael, 2013, "Real-Time Warning Signs of Emerging and Collapsing Chinese House Price Bubbles," National Institute Economic Review, National Institute of Economic and Social Research, volume 223, issue , pages 39-48, February.
• Ana Fostel & John Geanakoplos, 2013, "Financial Innovation, Collateral and Investment," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1903, Jul.
• Ana Fostel & John Geanakoplos, 2013, "Financial Innovation, Collateral and Investment," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1903R, Jul, revised Mar 2015.
• Ana Fostel & John Geanakoplos, 2013, "Reviewing the Leverage Cycle," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1918, Sep.
• Monfort, Alain (ed.), 2013, "Regime switching in bond yield and spread dynamics," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/13651.
• Hong Lan & Alexander Meyer-Gohde, 2013, "Dynare add-on for "Decomposing Risk in Dynamic Stochastic General Equilibrium"," QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles, number 197, revised .
• Hans-Helmut Kotz & Dorothea Schäfer, 2013, "Rating-Agenturen: fehlbar und überfordert," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 82, issue 4, pages 135-162, DOI: 10.3790/vjh.82.4.135.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2013, "Long Memory in the Ukrainian Stock Market," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1279.
• Christopher F. Baum & Margarita Karpava & Dorothea Schäfer & Andreas Stephan, 2013, "Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1333.
• Anna Creti & Zied Ftiti & Khaled Guesmi, 2013, "Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2013-11.
• Henri Audigé, 2013, "A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2013-2.
• Matthias Kruttli & Andrew J. Patton & Tarun Ramadorai, 2013, "The Impact of Hedge Funds on Asset Markets," Working Papers, Duke University, Department of Economics, number 13-27.
• Ippei Fuijwara & Lena Mareen Korber & Daisuke Nagakura, 2013, "Asymmetry in Government Bond Returns," Finance Working Papers, East Asian Bureau of Economic Research, number 23399, Mar.
• Ippei Fuijwara & Lena Mareen Korber & Daisuke Nagakura, 2013, "Asymmetry in Government Bond Returns," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 23399, Mar.
• Banerjee, Anurag N. & Chevillon, Guillaume & Kratz, Marie, 2013, "Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1314, Sep.
• Kratz , Marie, 2013, "There is a VaR Beyond Usual Approximations," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1317, Nov.
• Busse, Marc & Dacorogna, Michel & Kratz, Marie, 2013, "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1321, Dec.
• Calvet , Laurent E. & Fearnley, Marcus & Adlai J. , Fisher & Markus, Leippold, 2013, "What's Beneath the Surface? Option Pricing with Multifrequency Latent States," HEC Research Papers Series, HEC Paris, number 969, Jan.
• Morellec , Erwan & Valta , Philip & Zhdanov , Alexei, 2013, "Financing Investment: The Choice between Bonds and Bank Loans," HEC Research Papers Series, HEC Paris, number 1010, Dec.
• Dimson, Elroy & Rousseau, Peter L. & Spaenjers, Christophe, 2013, "The Price of Wine," HEC Research Papers Series, HEC Paris, number 1019, Dec.
• Laura Coroneo & Domenico Giannone & Michèle Modugno, 2013, "Unspanned Macroeconomic Factors in the Yields Curve," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2013-07, Jan.
• Thiago De Oliveira Souza, 2013, "Discount Rates, Market Frictions and the Mystery of the Size Premium," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2013-43, Nov.
• Salines, Marion & Glöckler, Gabriel & Gade, Thomas & Strodthoff, Steffen, 2013, ""Loose lips sinking markets?": the impact of political communication on sovereign bond spreads," Occasional Paper Series, European Central Bank, number 150, Jul.