Research classified by Journal of Economic Literature (JEL) codes

2012

• Frederico Belo & Xiaoji Lin, 2012, "The Inventory Growth Spread," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 1, pages 278-313.
• Dimitri Vayanos & Jiang Wang, 2012, "Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 5, pages 1339-1365.
• Bryan Kelly & Alexander Ljungqvist, 2012, "Testing Asymmetric-Information Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 5, pages 1366-1413.
• Rui Albuquerque, 2012, "Skewness in Stock Returns: Reconciling the Evidence on Firm Versus Aggregate Returns," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 5, pages 1630-1673.
• Stefan Nagel, 2012, "Evaporating Liquidity," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 7, pages 2005-2039.
• Hui Chen & Scott Joslin & Ngoc-Khanh Tran, 2012, "Rare Disasters and Risk Sharing with Heterogeneous Beliefs," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 7, pages 2189-2224.
• Hui Chen & Scott Joslin, 2012, "Generalized Transform Analysis of Affine Processes and Applications in Finance," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 7, pages 2225-2256.
• Dumiter Florin Cornel & Halmi Mirela & David Delia, 2012, "Foreign Direct Investments and Their Impact Upon Exterior Commerce. The Case of Romania," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 1109-1113, Decembre.
• Filip Angela-Maria & Pochea Maria Miruna, 2012, "Romanian Investment Funds Risk-Adjusted Performance Evaluation," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 1131-1135, Decembre.
• John Muellbauer & John Duca, 2012, "Tobin Lives: Integrating evolving credit market architecture into flow of funds based macro-models," Economics Series Working Papers, University of Oxford, Department of Economics, number 622, Sep.
• Thorsten Knauer & Christian Ledwig & Andreas Wömpener, 2012, "Zur Wertrelevanz freiwilliger Managementprognosen in Deutschland," Schmalenbach Journal of Business Research, Springer, volume 64, issue 2, pages 166-204, March, DOI: 10.1007/BF03372865.
• Timo Greggers & Peter Nippel, 2012, "Verwässerungsschutz bei Finanzierungsinstrumenten mit Optionselementen am Beispiel von Wandelanleihen," Schmalenbach Journal of Business Research, Springer, volume 64, issue 5, pages 494-521, August, DOI: 10.1007/BF03373699.
• B. Matemilola & A. Bany-Ariffin & W. Azman-Saini, 2012, "Financial Leverage and Shareholder’s Required Returns: Evidence from South Africa Corporate Sector," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), volume 18, issue 3, pages 601-612, March, DOI: 10.1007/s11300-012-0214-x.
• Christian Conrad, 2012, "Wirkungen der Abgeltungsteuer auf die Kapitalallokation — Anregungen für eine Reform," Wirtschaftsdienst, Springer;ZBW - Leibniz Information Centre for Economics, volume 92, issue 6, pages 399-405, June, DOI: 10.1007/s10273-012-1395-y.
• David C Broadstock & Hong Cao & Dayong Zhang, 2012, "Oil Shocks and their Impact on Energy Related Stocks in China," Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS), Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey, number 137, Jun.
• Nigel Stapledon, 2012, "Historical Housing-related Statistics for Australia 1881-2011 – A Short Note," Discussion Papers, School of Economics, The University of New South Wales, number 2012-52, Dec.
• Cheung, Stephen L. & Hedegaard, Morten & Palan, Stefan, 2012, "To See Is To Believe: Common Expectations In Experimental Asset Markets," Working Papers, University of Sydney, School of Economics, number 2012-10, May.
• Cheung, Stephen L. & Coleman, Andrew, 2012, "League-Table Incentives and Price Bubbles in Experimental Asset Markets," Working Papers, University of Sydney, School of Economics, number 2012-13, Nov.
• Sonali Das & Rangan Gupta & Patrick T. Kanda & Monique Reid & Christian K. Tipoy & Mulatu F. Zerihun, 2012, "Real Interest Rate Persistence in South Africa: Evidence and Implications," Working Papers, Stellenbosch University, Department of Economics, number 17/2012.
• Burkhard Heer & Alfred Maußner, 2012, "Log-normal approximation of the equity premium in the production model," Applied Economics Letters, Taylor & Francis Journals, volume 19, issue 5, pages 407-412, March, DOI: 10.1080/13504851.2011.581201.
• Simón Sosvilla-Rivero & Amalia Morales-Zumaquero, 2012, "Volatility in EMU sovereign bond yields: permanent and transitory components," Applied Financial Economics, Taylor & Francis Journals, volume 22, issue 17, pages 1453-1464, September, DOI: 10.1080/09603107.2012.661397.
• Chiara Peroni, 2012, "Testing linearity in term structures," Applied Financial Economics, Taylor & Francis Journals, volume 22, issue 8, pages 651-666, April, DOI: 10.1080/09603107.2011.621882.
• D Büttner & B. Hayo, 2012, "EMU-related news and financial markets in the Czech Republic, Hungary and Poland," Applied Economics, Taylor & Francis Journals, volume 44, issue 31, pages 4037-4053, November, DOI: 10.1080/00036846.2011.587775.
• John Cotter & Jim Hanly, 2012, "Hedging effectiveness under conditions of asymmetry," The European Journal of Finance, Taylor & Francis Journals, volume 18, issue 2, pages 135-147, February, DOI: 10.1080/1351847X.2011.574977.
• José Rangel & Robert Engle, 2012, "The Factor–Spline–GARCH Model for High and Low Frequency Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 109-124, DOI: 10.1080/07350015.2012.643132.
• Bruno Feunou & Roméo Tédongap, 2012, "A Stochastic Volatility Model With Conditional Skewness," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 4, pages 576-591, July, DOI: 10.1080/07350015.2012.715958.
• Michael Frömmel & Robinson Kruse, 2012, "Testing for a rational bubble under long memory," Quantitative Finance, Taylor & Francis Journals, volume 12, issue 11, pages 1723-1732, November, DOI: 10.1080/14697688.2011.578151.
• Stefan Thurner & J. Doyne Farmer & John Geanakoplos, 2012, "Leverage causes fat tails and clustered volatility," Quantitative Finance, Taylor & Francis Journals, volume 12, issue 5, pages 695-707, February, DOI: 10.1080/14697688.2012.674301.
• S�bastien Lleo & William T. Ziemba, 2012, "Stock market crashes in 2007--2009: were we able to predict them?," Quantitative Finance, Taylor & Francis Journals, volume 12, issue 8, pages 1161-1187, July, DOI: 10.1080/14697688.2012.709791.
• Murat Duran & Doruk Kucuksarac, 2012, "Are Swap and Bond Markets Alternatives to Each Other in Turkey?," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1223.
• Doruk Kucuksarac & Ozgur Ozel, 2012, "Rezerv Opsiyonu Mekanizmasi ve Optimal Rezerv Opsiyonu Katsayilarinin Hesaplanmasi," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1232.
• Laura Raisa MILOS, 2012, "Is the Romanian financial market prepared to support pension system reform?," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, volume 0, pages 295-299, May.
• Ian W. Marsh & Wolf Wagner, 2012, "Why is Price Discovery in Credit Default Swap Markets News-Specific?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-033/IV/DSF33, Apr.
• Marsch, I. & Wagner, W.B., 2012, "Why is Price Discovery in Credit Default Swap Markets News-Specific?," Discussion Paper, Tilburg University, Center for Economic Research, number 2012-006.
• Renneboog, L.D.R. & Spaenjers, C., 2012, "Hard assets : The return on rare diamonds and gems," Other publications TiSEM, Tilburg University, School of Economics and Management, number 32990d12-ac98-4f42-bad5-9.
• Flavio Bazzana & Luigi Mittone & Luciano Andreozzi, 2012, "The freeze-out bond exchange offer. An experimental approach," CEEL Working Papers, Cognitive and Experimental Economics Laboratory, Department of Economics, University of Trento, Italia, number 1204.
• Farhi, Emmanuel & Tirole, Jean, 2012, "Liquid Bundles," TSE Working Papers, Toulouse School of Economics (TSE), number 12-328, Jul, revised Oct 2013.
• Gollier, Christian, 2012, "Asset pricing with uncertain betas: A long-term perspective," TSE Working Papers, Toulouse School of Economics (TSE), number 12-354, Nov.
• Gollier, Christian, 2012, "Evaluation of long-dated assets : The role of parameter uncertainty," TSE Working Papers, Toulouse School of Economics (TSE), number 12-361, Nov, revised Sep 2015.
• Marcelo Bianconi & Joe A. Yoshino, 2012, "Empirical Estimation of the Cost of Equity: An Application to Selected Brazilian Utilities Companies," Discussion Papers Series, Department of Economics, Tufts University, Department of Economics, Tufts University, number 0765.
• Fabio C. Bagliano & Claudio Morana, 2012, "Determinants of US financial fragility conditions," Working papers, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino, number 011, Sep.
• Azra Zaimovic, 2012, "Systematic Risk Assesment Using Ols Method - The Case Of The Capital Market Of Bosnia And Herzegovina," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, volume 10, issue 1, pages 13-23.
• John Cotter & Stuart Gabriel & Richard Roll, 2012, "Can metropolitan housing risk be diversified? A cautionary tale from the recent boom and bust," Working Papers, Geary Institute, University College Dublin, number 201217, Aug.
• Thomas Conlon & John Cotter, 2012, "Downside risk and the energy hedger's horizon," Working Papers, Geary Institute, University College Dublin, number 201219, Sep.
• Shawkat Hammoudeh & Michael McAleer, 2012, "Risk Management and Financial Derivatives: An Overview," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-08, Apr.
• Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong, 2012, "Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-13, Jun.
• Pilar Abad Romero & María Dolores Robles Fernández, 2012, "Credit rating agencies and unsystematic risk: Is there a linkage?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-17, Jul.
• Ľuboš Pástor & Robert F. Stambaugh, 2012, "On the Size of the Active Management Industry," Journal of Political Economy, University of Chicago Press, volume 120, issue 4, pages 740-781, DOI: 10.1086/667987.
• Yiting Li & Guillaume Rocheteau & Pierre-Olivier Weill, 2012, "Liquidity and the Threat of Fraudulent Assets," Journal of Political Economy, University of Chicago Press, volume 120, issue 5, pages 000, DOI: 10.1086/668864.
• Andreas Fuster & Benjamin Hebert & David Laibson, 2012, "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," NBER Macroeconomics Annual, University of Chicago Press, volume 26, issue 1, pages 1-48, DOI: 10.1086/663989.
• YiLi Chien & Kanda Naknoi, 2012, "The Risk Premium and Long-Run Global Imbalances," Working papers, University of Connecticut, Department of Economics, number 2012-41, Nov.
• Hasan Cömert, 2012, "Decoupling between the Federal Funds Rate and Long-term Interest Rates: Decreasing Effectiveness of Monetary Policy in the U.S," Working Papers, Political Economy Research Institute, University of Massachusetts at Amherst, number wp295.
• Mary E. Barth & Javier Gomez-Biscarri & Ron Kasznik & Germán López-Espinosa, 2012, "Fair Value Accounting, Earnings Management and the use of Available-for-Sale Instruments by Bank Managers," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 05/12, Oct.
• Sergio Mayordomo & Juan Ignacio Peña & María Rodríguez-Moreno, 2012, "Liquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisis," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 23/12, Dec.
• Óscar Arce & Sergio Mayordomo, 2012, "Short Sales Constraints and Financial Stability: Evidence from the Spanish 2011 Ban," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 25/12, Dec.
• David Bicchetti & Nicolas Maystre, 2012, "The Synchronized And Long-Lasting Structural Change On Commodity Markets: Evidence From High Frequency Data," UNCTAD Discussion Papers, United Nations Conference on Trade and Development, number 208.
• Grigory V. Kalyagin & Vladimir A. Kozlov, 2012, "Coordination in Political Machinery under Dictatorship: Signals, Shirking and Repression," Working Papers, Moscow State University, Faculty of Economics, number 0001, May.
• Francisco Barillas & Kristoffer Nimark, 2012, "Speculation, risk premia and expectations in the yield curve," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1337, Aug, revised Nov 2013.
• Fengler, Matthias & Okhrin, Ostap, 2012, "Realized Copula," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1214, May.
• Mirkov, Nikola, 2012, "International Financial Transmission of the US Monetary Policy: An Empirical Assessment," Working Papers on Finance, University of St. Gallen, School of Finance, number 1201, Jan.
• Ammann, Manuel & Odoni, Sandro & Oesch, David, 2012, "An Alternative Three-Factor Model for International Markets: Evidence from the European Monetary Union," Working Papers on Finance, University of St. Gallen, School of Finance, number 1202, Aug.
• Mirkov, Nikola & Sutter, Barbara, 2012, "Central Bank Reserves and the Yield Curve at the ZLB," Working Papers on Finance, University of St. Gallen, School of Finance, number 1208, Oct.
• Xue-Zhong He & Lei Shi, 2012, "Heterogeneous Beliefs and the Performances of Optimal Portfolios," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 301, Mar.
• Xue-Zhong He & Lei Shi, 2012, "Heterogeneous Beliefs and the Cross-Section of Asset Returns," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 303, Mar.
• Susanne Griebsch & Kay Pilz, 2012, "A Stochastic Approach to the Valuation of Barrier Options in Heston's Stochastic Volatility Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 309, Jul.
• Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li, 2012, "An Evolutionary CAPM Under Heterogeneous Beliefs," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 315, Oct.
• Xue-Zhong He, 2012, "Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 316, Oct.
• Leonhard KNOLL & Jan HOCKER, 2012, "The Equity Risk Premium in Developed Capital Markets: Starting Signal for a New Modesty?," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 7, issue 1, pages 4-31.
• Monica Billio & Massimiliano Caporin & Loriana Pelizzon & Domenico Sartore, 2012, "CDS Industrial Sector Indices, credit and liquidity risk," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012_09.
• Eugenio Peluso & Alain Trannoy, 2012, "The Cake-eating problem: Non-linear sharing rules," Working Papers, University of Verona, Department of Economics, number 26/2012, Sep.
• Radulescu, Andrei, 2012, "The Public Debt Of Countries From Euro Zone. The Snowball Effect," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 16, issue 3, pages 95-103.
• Volodymyr Lugovskyy & Daniela Puzzello, & Steven Tucker & Arlington Williams, 2012, "Can Concentration Control Policies Eliminate Bubbles?," Working Papers in Economics, University of Waikato, number 12/13, Nov.
• Gozzi, Juan Carlos & Levine, Ross & Peria, Maria Soledad Martinez & Schmukler, Sergio L., 2012, "How firms use domestic and international corporate bond markets," Policy Research Working Paper Series, The World Bank, number 6209, Sep.
• Vilimir Yordanov, 2012, "The Bulgarian Foreign and Domestic Debt ??? A No-Arbitrage Macrofinancial View," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp1032, Mar.
• Tom Engsted & Bent Nielsen, 2012, "Testing for rational bubbles in a coexplosive vector autoregression," Econometrics Journal, Royal Economic Society, volume 15, issue 2, pages 226-254, June.
• Hans Dewachter & Priscilla Toffano, 2012, "Fiscal activism and the cost of debt financing," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 17, issue 1, pages 14-22, January.
• René Garcia & Richard Luger, 2012, "Risk aversion, intertemporal substitution, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 6, pages 1013-1036, September.
• Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012, "A comprehensive look at financial volatility prediction by economic variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 6, pages 956-977, September.
• Rohini Grover & Susan Thomas, 2012, "Liquidity Considerations in Estimating Implied Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 32, issue 8, pages 714-741, August.
• James D. Hamilton & Jing Cynthia Wu, 2012, "The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment," Journal of Money, Credit and Banking, Blackwell Publishing, volume 44, issue s1, pages 3-46, February, DOI: 10.1111/j.1538-4616.2011.00477.x.
• Olaf Stotz & Dominik Georgi, 2012, "A logit model of retail investors' individual trading decisions and their relations to insider trades," Review of Financial Economics, John Wiley & Sons, volume 21, issue 4, pages 159-167, November, DOI: 10.1016/j.rfe.2012.04.001.
• Kin‐Yip Ho & Lin Zheng & Zhaoyong Zhang, 2012, "Volume, volatility and information linkages in the stock and option markets," Review of Financial Economics, John Wiley & Sons, volume 21, issue 4, pages 168-174, November, DOI: 10.1016/j.rfe.2012.06.001.
• Dilip B. Madan, 2012, "Execution Costs And Efficient Execution Frontiers," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 01, pages 1-18, DOI: 10.1142/S2010495212500029.
• Robert Jarrow, 2012, "The Third Fundamental Theorem Of Asset Pricing," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 02, pages 1-11, DOI: 10.1142/S2010495212500078.
• William A Barnett & Unja Chae & John W Keating, 2012, "Forecast Design In Monetary Capital Stock Measurement," Global Journal of Economics (GJE), World Scientific Publishing Co. Pte. Ltd., volume 1, issue 01, pages 1-53, DOI: 10.1142/S225136121250005X.
• Jirô Akahori & Andrea Macrina, 2012, "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 15, issue 01, pages 1-15, DOI: 10.1142/S0219024911006553.
• Silvia Centanni & Marco Minozzo, 2012, "Monte Carlo Derivative Pricing With Partial Information In A Class Of Doubly Stochastic Poisson Processes With Marks," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 15, issue 03, pages 1-22, DOI: 10.1142/S0219024912500185.
• Álvaro Cartea & José Penalva, 2012, "Where is the Value in High Frequency Trading?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 03, pages 1-46, DOI: 10.1142/S2010139212500140.
• Martin D. D. Evans & Richard K. Lyons, 2012, "Exchange Rate Fundamentals and Order Flow," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 04, pages 1-63, DOI: 10.1142/S2010139212500188.
• Francesca Carrieri & Vihang Errunza & Sergei Sarkissian, 2012, "The Dynamics of Geographic versus Sectoral Diversification: Is There a Link to the Real Economy?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 04, pages 1-41, DOI: 10.1142/S201013921250019X.
• Edwin J Elton & Martin J Gruber (ed.), 2010, "Investments and Portfolio Performance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8034, ISBN: ARRAY(0x625e0930), March.
• Francis In & Sangbae Kim, 2012, "An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8431, ISBN: ARRAY(0x62e96a20), March.
• Matheus R Grasselli & Lane P Hughston (ed.), 2012, "Finance at Fields," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8507, ISBN: ARRAY(0x62c82380), March.
• Jirô Akahori & Andrea Macrina, 2012, "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Hamed Amini & Rama Cont & Andreea Minca, 2012, "Stress Testing The Resilience Of Financial Networks," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Attakrit Asvanunt & Mark Broadie & Suresh Sundaresan, 2012, "Managing Corporate Liquidity: Strategies And Pricing Implications," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• T. R. Bielecki & S. Crépey & M. Jeanblanc & B. Zargari, 2012, "Valuation And Hedging Of Cds Counterparty Exposure In A Markov Copula Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Dorje C. Brody & Lane P. Hughston & Andrea Macrina, 2012, "Information-Based Asset Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• René Carmona & Sergey Nadtochiy, 2012, "Tangent Models As A Mathematical Framework For Dynamic Calibration," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Patrick Cheridito & Michael Kupper, 2012, "Composition Of Time-Consistent Dynamic Monetary Risk Measures In Discrete Time," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Giuseppe Di Graziano & Lorenzo Torricelli, 2012, "Target Volatility Option Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Damir Filipović & Lane P. Hughston & Andrea Macrina, 2012, "Conditional Density Models For Asset Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Hans Föllmer & Irina Penner, 2012, "Monetary Valuation Of Cash Flows Under Knightian Uncertainty," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Marco Frittelli & Emanuela Rosazza Gianin, 2012, "On The Penalty Function And On Continuity Properties Of Risk Measures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Marco Frittelli & Marco Maggis, 2012, "Conditional Certainty Equivalent," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 13, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Pavel V. Gapeev, 2012, "Pricing Of Perpetual American Options In A Model With Partial Information," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 14, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Paul Gassiat & Huyên Pham & Mihai Sîrbu, 2012, "Optimal Investment On Finite Horizon With Random Discrete Order Flow In Illiquid Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 15, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Jim Gatheral & Alexander Schied, 2012, "Optimal Trade Execution Under Geometric Brownian Motion In The Almgren And Chriss Framework," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 16, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Jim Gatheral & Tai-Ho Wang, 2012, "The Heat-Kernel Most-Likely-Path Approximation," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 17, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Paul Glasserman & Qi Wu, 2012, "Forward And Future Implied Volatility," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 18, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Svante Janson & Sokhna M'Baye & Philip Protter, 2012, "Absolutely Continuous Compensators," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 19, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Dilip B. Madan & Wim Schoutens, 2012, "Conic Finance And The Corporate Balance Sheet," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 20, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Michael Monoyios & Andrew Ng, 2012, "Optimal Exercise Of An Executive Stock Option By An Insider," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 21, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• M. Musiela & T. Zariphopoulou, 2012, "Initial Investment Choice And Optimal Future Allocations Under Time-Monotone Performance Criteria," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 22, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Jan Obłój & Frédérik Ulmer, 2012, "Performance Of Robust Hedges For Digital Double Barrier Options," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 23, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Thorsten Schmidt & Jerzy Zabczyk, 2012, "Cdo Term Structure Modelling With Lévy Processes And The Relation To Market Models," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 24, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Janusz Gajda, 2012, "Modeling of short term interest rate based on tempered fractional Langevin equation," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/12/03.
• M Hashem Pesaran & Takashi Yamagata, 2012, "Testing CAPM with a Large Number of Assets," Discussion Papers, Department of Economics, University of York, number 12/05, Feb.
• Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2012, "The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation," Discussion Papers, Department of Economics, University of York, number 12/25, Sep.
• Adam Golinski & Peter Spencer, 2012, "The Meiselman forward interest rate revision regression as an Affine Term Structure Model," Discussion Papers, Department of Economics, University of York, number 12/27, Oct.
• Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2012, "Trend Following, Risk Parity and Momentum in Commodity Futures," Discussion Papers, Department of Economics, University of York, number 12/28, Oct.
• Alfonso Mendoza-Velazquez & Peter N. Smith, 2012, "Equity Returns and the Business Cycle: The Role of Supply and Demand Shocks," Discussion Papers, Department of Economics, University of York, number 12/36, Dec.
• Na Guo & Peter N. Smith, 2012, "Durable Consumption, Long-Run Risk and The Equity Premium," Discussion Papers, Department of Economics, University of York, number 12/37, Dec.
• Niemann, Rainer & Rünger, Silke, 2012, "Der Einfluss des Budgetbegleitgesetzes 2011 auf das Handelsvolumen am österreichischen Kapitalmarkt," arqus Discussion Papers in Quantitative Tax Research, arqus - Arbeitskreis Quantitative Steuerlehre, number 136.
• Westerhoff, Frank & Franke, Reiner, 2012, "Agent-based models for economic policy design: Two illustrative examples," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 88.
• Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2012, "The bull and bear market model of Huang and Day : Some extensions and new results," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 89.
• Taipalus, Katja, 2012, "Detecting asset price bubbles with time-series methods," Bank of Finland Scientific Monographs, Bank of Finland, number sm2012_047, December.
• Babecký, Jan & Komárek, Lubos & Komárková, Zlatuse, 2012, "Integration of Chinese and Russian stock markets with world markets: National and sectoral Perspectives," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 4/2012.
• Chen, Xi & Funke, Michael, 2012, "Real-time warning signs of emerging and collapsing Chinese house price bubbles," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 27/2012.
• Marsh, Ian W. & Wagner, Wolf, 2012, "Why is price discovery in credit default swap markets news-specific?," Bank of Finland Research Discussion Papers, Bank of Finland, number 6/2012.
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• Halberstadt, Arne & Stapf, Jelena, 2012, "An affine multifactor model with macro factors for the German term structure: Changing results during the recent crises," Discussion Papers, Deutsche Bundesbank, number 25/2012.
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• Tinschert, Jonas & Cremers, Heinz, 2012, "Fixed income strategies for trading and for asset management," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 191.
• Krones, Julia & Cremers, Heinz, 2012, "Eine Analyse des Credit Spreads und seiner Komponenten als Grundlage für Hedge Strategien mit Kreditderivaten," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 195.
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• Boysen-Hogrefe, Jens, 2012, "Die Zinslast des Bundes in der Schuldenkrise: Wie lukrativ ist der 'sichere Hafen'?," Kiel Working Papers, Kiel Institute for the World Economy, number 1780.
• Lux, Thomas, 2012, "Inference for systems of stochastic differential equations from discretely sampled data: A numerical maximum likelihood approach," Kiel Working Papers, Kiel Institute for the World Economy, number 1781.
• Detzer, Daniel, 2012, "New instruments for banking regulation and monetary policy after the crisis," IPE Working Papers, Berlin School of Economics and Law, Institute for International Political Economy (IPE), number 13/2012.
• Devaney, Steven & Holtemöller, Oliver & Schulz, Rainer, 2012, "Efficiency in the UK Commercial Property Market: A Long-run Perspective," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 15/2012.
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• Schuster, Philipp & Uhrig-Homburg, Marliese, 2012, "The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 45, DOI: 10.5445/IR/1000030964.
• Will, Matthias Georg & Prehn, Sören & Pies, Ingo & Glauben, Thomas, 2012, "Schadet oder nützt die Finanzspekulation mit Agrarrohstoffen? Ein Literaturüberblick zum aktuellen Stand der empirischen Forschung," Discussion Papers, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics, number 2012-26.
• Will, Matthias Georg & Prehn, Sören & Pies, Ingo & Glauben, Thomas, 2012, "Is financial speculation with agricultural commodities harmful or helpful? A literature review of current empirical research," Discussion Papers, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics, number 2012-27.
• Cebiroğlu, Gökhan & Horst, Ulrich, 2012, "Hidden liquidity: Determinants and impact," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-023.
• Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2012, "Local adaptive multiplicative error models for high-frequency forecasts," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-031.
• Fengler, Matthias R. & Okhrin, Ostap, 2012, "Realized copula," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-034.
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• Tam, Pui Sun & Tam, Pui I., 2012, "Rethinking stock market integration: Globalization, valuation and convergence," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-052.
• Härdle, Wolfgang Karl & Silyakova, Elena, 2012, "Implied basket correlation dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-066.
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• David R. Bell & Olivier Ledoit & Michael Wolf, 2012, "A new portfolio formation approach to mispricing of marketing performance indicators with an application to customer satisfaction," ECON - Working Papers, Department of Economics - University of Zurich, number 079, May, revised Dec 2013.
• Hammoudeh, S.M. & McAleer, M.J., 2012, "Risk Management and Financial Derivatives: An Overview," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2012-14, Apr.
• Franses, Ph.H.B.F. & Knecht, W., 2012, "The Late 1970's Bubble in Dutch Collectible Postage Stamps," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2013-02, Feb.