Research classified by Journal of Economic Literature (JEL) codes

2011

• Coroneo, Laura & Nyholm, Ken & Vidova-Koleva, Rositsa, 2011, "How arbitrage-free is the Nelson-Siegel model?," Journal of Empirical Finance, Elsevier, volume 18, issue 3, pages 393-407, June.
• Daouk, Hazem & Ng, David, 2011, "Is unlevered firm volatility asymmetric?," Journal of Empirical Finance, Elsevier, volume 18, issue 4, pages 634-651, September.
• Li, Yan & Yang, Liyan, 2011, "Testing conditional factor models: A nonparametric approach," Journal of Empirical Finance, Elsevier, volume 18, issue 5, pages 972-992, DOI: 10.1016/j.jempfin.2011.07.004.
• Bhar, Ramaprasad & Malliaris, A.G., 2011, "Oil prices and the impact of the financial crisis of 2007–2009," Energy Economics, Elsevier, volume 33, issue 6, pages 1049-1054, DOI: 10.1016/j.eneco.2011.01.016.
• Chevallier, Julien, 2011, "Nonparametric modeling of carbon prices," Energy Economics, Elsevier, volume 33, issue 6, pages 1267-1282, DOI: 10.1016/j.eneco.2011.03.003.
• Ziegler, Andreas & Busch, Timo & Hoffmann, Volker H., 2011, "Disclosed corporate responses to climate change and stock performance: An international empirical analysis," Energy Economics, Elsevier, volume 33, issue 6, pages 1283-1294, DOI: 10.1016/j.eneco.2011.03.007.
• Drelichman, Mauricio & Voth, Hans-Joachim, 2011, "Serial defaults, serial profits: Returns to sovereign lending in Habsburg Spain, 1566-1600," Explorations in Economic History, Elsevier, volume 48, issue 1, pages 1-19, January.
• Skinner, Frank S. & Mason, Andrew, 2011, "Covered interest rate parity in emerging markets," International Review of Financial Analysis, Elsevier, volume 20, issue 5, pages 355-363, DOI: 10.1016/j.irfa.2011.06.008.
• Bozos, Konstantinos & Nikolopoulos, Konstantinos & Ramgandhi, Ghanamaruthy, 2011, "Dividend signaling under economic adversity: Evidence from the London Stock Exchange," International Review of Financial Analysis, Elsevier, volume 20, issue 5, pages 364-374, DOI: 10.1016/j.irfa.2011.07.003.
• Fletcher, Jonathan, 2011, "Do optimal diversification strategies outperform the 1/N strategy in U.K. stock returns?," International Review of Financial Analysis, Elsevier, volume 20, issue 5, pages 375-385, DOI: 10.1016/j.irfa.2011.07.002.
• Delis, Manthos D. & Mylonidis, Nikolaos, 2011, "The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps," Finance Research Letters, Elsevier, volume 8, issue 3, pages 163-170, September.
• Fang, Ying & Ren, Yu & Yuan, Yufei, 2011, "Nonparametric estimation and testing of stochastic discount factor," Finance Research Letters, Elsevier, volume 8, issue 4, pages 196-205, DOI: 10.1016/j.frl.2011.04.001.
• Tangman, D.Y. & Thakoor, N. & Dookhitram, K. & Bhuruth, M., 2011, "Fast approximations of bond option prices under CKLS models," Finance Research Letters, Elsevier, volume 8, issue 4, pages 206-212, DOI: 10.1016/j.frl.2011.03.002.
• Khandani, Amir E. & Lo, Andrew W., 2011, "What happened to the quants in August 2007? Evidence from factors and transactions data," Journal of Financial Markets, Elsevier, volume 14, issue 1, pages 1-46, February.
• Durand, Robert B. & Lan, Yihui & Ng, Andrew, 2011, "Conditional beta: Evidence from Asian emerging markets," Global Finance Journal, Elsevier, volume 22, issue 2, pages 130-153, DOI: 10.1016/j.gfj.2011.10.004.
• Sabbaghi, Omid, 2011, "Asymmetric volatility and trading volume: The G5 evidence," Global Finance Journal, Elsevier, volume 22, issue 2, pages 169-181, DOI: 10.1016/j.gfj.2011.10.006.
• Bley, Jorg & Saad, Mohsen, 2011, "The effect of financial liberalization on stock-return volatility in GCC markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 21, issue 5, pages 662-685, DOI: 10.1016/j.intfin.2011.04.003.
• Högholm, Kenneth & Knif, Johan & Koutmos, Gregory & Pynnönen, Seppo, 2011, "Distributional asymmetry of loadings on market co-moments," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 21, issue 5, pages 851-866, DOI: 10.1016/j.intfin.2011.06.006.
• Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2011, "Asymmetric loss functions and the rationality of expected stock returns," International Journal of Forecasting, Elsevier, volume 27, issue 2, pages 413-437, DOI: 10.1016/j.ijforecast.2009.10.008.
• Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2011, "Asymmetric loss functions and the rationality of expected stock returns," International Journal of Forecasting, Elsevier, volume 27, issue 2, pages 413-437, April.
• Rajgopal, Shiva & Venkatachalam, Mohan, 2011, "Financial reporting quality and idiosyncratic return volatility," Journal of Accounting and Economics, Elsevier, volume 51, issue 1-2, pages 1-20, February.
• Rajgopal, Shiva & Venkatachalam, Mohan, 2011, "Financial reporting quality and idiosyncratic return volatility," Journal of Accounting and Economics, Elsevier, volume 51, issue 1, pages 1-20, DOI: 10.1016/j.jacceco.2010.06.001.
• Ng, Jeffrey, 2011, "The effect of information quality on liquidity risk," Journal of Accounting and Economics, Elsevier, volume 52, issue 2, pages 126-143, DOI: 10.1016/j.jacceco.2011.03.004.
• Sadka, Ronnie, 2011, "Liquidity risk and accounting information," Journal of Accounting and Economics, Elsevier, volume 52, issue 2, pages 144-152, DOI: 10.1016/j.jacceco.2011.08.007.
• Bach, Christian & Møller, Stig V., 2011, "Habit-based asset pricing with limited participation consumption," Journal of Banking & Finance, Elsevier, volume 35, issue 11, pages 2891-2901, November.
• Fischer, Andreas M. & Ranaldo, Angelo, 2011, "Does FOMC news increase global FX trading?," Journal of Banking & Finance, Elsevier, volume 35, issue 11, pages 2965-2973, November.
• Kang, Jangkoo & Kim, Tong Suk & Lee, Changjun & Min, Byoung-Kyu, 2011, "Macroeconomic risk and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3158-3173, DOI: 10.1016/j.jbankfin.2011.04.012.
• Huse, Cristian, 2011, "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3240-3252, DOI: 10.1016/j.jbankfin.2011.05.004.
• Narayan, Paresh Kumar & Sharma, Susan Sunila, 2011, "New evidence on oil price and firm returns," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3253-3262, DOI: 10.1016/j.jbankfin.2011.05.010.
• van Dijk, Mathijs A., 2011, "Is size dead? A review of the size effect in equity returns," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3263-3274, DOI: 10.1016/j.jbankfin.2011.05.009.
• Cartea, Álvaro & Karyampas, Dimitrios, 2011, "Volatility and covariation of financial assets: A high-frequency analysis," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3319-3334, DOI: 10.1016/j.jbankfin.2011.05.012.
• Florackis, Chris & Gregoriou, Andros & Kostakis, Alexandros, 2011, "Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3335-3350, DOI: 10.1016/j.jbankfin.2011.05.014.
• Ferreira, Eva & Gil-Bazo, Javier & Orbe, Susan, 2011, "Conditional beta pricing models: A nonparametric approach," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3362-3382, DOI: 10.1016/j.jbankfin.2011.05.016.
• Wagenvoort, Rien J.L.M. & Ebner, André & Morgese Borys, Magdalena, 2011, "A factor analysis approach to measuring European loan and bond market integration," Journal of Banking & Finance, Elsevier, volume 35, issue 4, pages 1011-1025, April.
• Al-Anaswah, Nael & Wilfling, Bernd, 2011, "Identification of speculative bubbles using state-space models with Markov-switching," Journal of Banking & Finance, Elsevier, volume 35, issue 5, pages 1073-1086, May.
• Dionne, Georges & Gauthier, Geneviève & Hammami, Khemais & Maurice, Mathieu & Simonato, Jean-Guy, 2011, "A reduced form model of default spreads with Markov-switching macroeconomic factors," Journal of Banking & Finance, Elsevier, volume 35, issue 8, pages 1984-2000, August.
• de Haan, Leo & Kakes, Jan, 2011, "Momentum or contrarian investment strategies: Evidence from Dutch institutional investors," Journal of Banking & Finance, Elsevier, volume 35, issue 9, pages 2245-2251, September.
• Bottazzi, Giulio & Devetag, Giovanna & Pancotto, Francesca, 2011, "Does volatility matter? Expectations of price return and variability in an asset pricing experiment," Journal of Economic Behavior & Organization, Elsevier, volume 77, issue 2, pages 124-146, February.
• N Blasco & P Corredor & S Ferreruela, 2011, "Detecting intentional herding: what lies beneath intraday data in the Spanish stock market," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, volume 62, issue 6, pages 1056-1066, June, DOI: 10.1057/jors.2010.34.
• Razvan Pascalau & Christian Thomann & Greg N. Gregoriou, 2011, "Unconditional Mean, Volatility, and the FOURIER-GARCH Representation," Palgrave Macmillan Books, Palgrave Macmillan, chapter 5, in: Greg N. Gregoriou & Razvan Pascalau, "Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models", DOI: 10.1057/9780230295209_5.
• Gabriel Rodríguez & Alfredo Vargas, 2011, "Impacto de Expectativas Políticas en los Retornos del Indice General de la Bolsa de Valores de Lima," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2011-323.
• Yochanan Shachmurove, 2011, "First-Round Entrepreneurial Investments: Where, When and Why?," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 11-017, Jun.
• Izabela Jonek-Kowalska & Marian Turek, 2011, "Possibilities Of Improving The Efficiency Of Mining Companies By Controlling Cost Of Coal," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 6, issue 2, pages 91-107, June, DOI: 10.12775/EQUIL2011.014.
• Attiya Y. Javid & Eatzaz Ahmad, 2011, "Asset Pricing Behaviour with Dual-Beta in Case of Pakistani Stock Market," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 50, issue 2, pages 95-118.
• Francois-Éric Racicot & Raymond Théoret, 2011, "Forecasting stochastic Volatility using the Kalman filter: An Application to Canadian Interest Rates and Price-Earnings Ratio," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp032011, Apr.
• Francois-Éric Racicot & Raymond Théoret, 2011, "Risk Procyclicality and Dynamic Hedge Fund Strategies," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp062011, Jul.
• Efthymiou, Vassilis A. & Leledakis, George N., 2011, "The price impact of the disposition effect on the ex-dividend day of NYSE and AMEX common stocks," MPRA Paper, University Library of Munich, Germany, number 28791, Feb.
• Shachat, Jason & Srivinasan, Anand, 2011, "Informational price cascades and non-aggregation of asymmetric information in experimental asset markets," MPRA Paper, University Library of Munich, Germany, number 30308, Apr.
• Lof, Matthijs, 2011, "Noncausality and Asset Pricing," MPRA Paper, University Library of Munich, Germany, number 30519, Apr.
• El-Khatib, Youssef & Abdulnasser, Hatemi-J, 2011, "On the calculation of price sensitivities with jump-diffusion structure," MPRA Paper, University Library of Munich, Germany, number 30596.
• Cocozza, Rosa & De Simone, Antonio, 2011, "One numerical procedure for two risk factors modeling," MPRA Paper, University Library of Munich, Germany, number 30859, May.
• Hellström, Jörgen & Lönnbark, Carl, 2011, "Identi�cation of jumps in �financial price series," MPRA Paper, University Library of Munich, Germany, number 30977.
• Pagliarani, Stefano & Pascucci, Andrea, 2011, "Analytical approximation of the transition density in a local volatility model," MPRA Paper, University Library of Munich, Germany, number 31107, May.
• Qayyum, Abdul & Anwar, Saba, 2011, "Impact of Monetary Policy on the Volatility of Stock Market in Pakistan," MPRA Paper, University Library of Munich, Germany, number 31188.
• Siddiqi, Hammad, 2011, "Thinking by analogy, systematic risk, and option prices," MPRA Paper, University Library of Munich, Germany, number 31316, Jun.
• Santos, Carlos, 2011, "The euro sovereign debt crisis, determinants of default probabilities and implied ratings in the CDS market: an econometric analysis," MPRA Paper, University Library of Munich, Germany, number 31341, May.
• Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2011, "Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data," MPRA Paper, University Library of Munich, Germany, number 31354, May.
• Leung, Charles Ka Yui & CHEUNG, W. Y. Patrick & TANG, C. H. Edward, 2011, "Financial Crisis and the Comovements of Housing Sub-markets: Do relationships change after a crisis?," MPRA Paper, University Library of Munich, Germany, number 31627, Jun.
• Puah, Chin-Hong & Liew, Samuel Wei-Siew, 2011, "White-collar crime and stock return: Empirical study from announcement effect," MPRA Paper, University Library of Munich, Germany, number 31748, Jun.
• Khalfaoui Rabeh, K & Boutahar Mohamed, B, 2011, "A time-scale analysis of systematic risk: wavelet-based approach," MPRA Paper, University Library of Munich, Germany, number 31938, Jun.
• Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2011, "Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data," MPRA Paper, University Library of Munich, Germany, number 32043, Jul.
• Syed ali, Raza & Syed tehseen, jawaid & Imtiaz, arif & Fahim, qazi, 2011, "Validity of capital asset pricing model: evidence from Karachi stock exchange," MPRA Paper, University Library of Munich, Germany, number 32737, Jun.
• Larson, Nathan, 2011, "Clustering on the same news sources in an asset market," MPRA Paper, University Library of Munich, Germany, number 32823, Aug.
• Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2011, "Valuación de acciones mexicanas mediante los modelos de Ohlson y Ohlson-Beta para firmas con ciclos de corto y largo plazos: Un análisis de cointegración
  [Valuation of Mexican stocks with the Olhso," MPRA Paper, University Library of Munich, Germany, number 33054, Jul.
• Prono, Todd, 2011, "When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models," MPRA Paper, University Library of Munich, Germany, number 33593, Sep.
• Cotter, John & Gabriel, Stuart & Roll, Richard, 2011, "Integration and contagion in US housing markets," MPRA Paper, University Library of Munich, Germany, number 34591.
• Hasan, Syed Akif & Subhani, Muhammad Imtiaz, 2011, "Which Matters the Most for the Trading Index? (Law and Order or Weather Conditions)," MPRA Paper, University Library of Munich, Germany, number 34736, revised 2011.
• Subhani, Muhammad Imtiaz & Hasan, Syed Akif & Mehar, Dr. Ayub & Osman, Ms. Amber, 2011, "Are the Major South Asian Equity Markets Co-Integrated?," MPRA Paper, University Library of Munich, Germany, number 34737, revised 2011.
• Janda, Karel & Vylezik, Tomas, 2011, "Financial Management of Weather Risk with Energy Derivatives," MPRA Paper, University Library of Munich, Germany, number 35037, Nov.
• Yan, Isabel K. & Chong, Terence & Lam, Tau-Hing, 2011, "Is the Chinese Stock Market Really Efficient," MPRA Paper, University Library of Munich, Germany, number 35219, Aug.
• Massmiliano, Marzo & Daniele, Ritelli & Paolo, Zagaglia, 2011, "Optimal trading execution with nonlinear market impact: an alternative solution method," MPRA Paper, University Library of Munich, Germany, number 35393, Nov.
• Bazdresch, Santiago, 2011, "Product differentiation and systematic risk: theory and empirical evidence," MPRA Paper, University Library of Munich, Germany, number 35504, Oct, revised 01 Nov 2011.
• Gabrielsen, Alexandros & Marzo, Massimiliano & Zagaglia, Paolo, 2011, "Measuring market liquidity: an introductory survey," MPRA Paper, University Library of Munich, Germany, number 35829, Dec.
• Jakas, Vicente, 2011, "Theory and empirics of an affine term structure model applied to European data," MPRA Paper, University Library of Munich, Germany, number 36029, Jul.
• Sun, David & Tsai, Shih-Chuan & Wang, Wei, 2011, "Behavioral investment strategy matters: a statistical arbitrage approach," MPRA Paper, University Library of Munich, Germany, number 37281, Aug, revised 16 Jan 2012.
• Rossi, Francesco, 2011, "U.K. cross-sectional equity data: do not trust the dataset! The case for robust investability filters," MPRA Paper, University Library of Munich, Germany, number 38303, Jul, revised Nov 2011.
• Faruque, Muhammad U, 2011, "An empirical investigation of the arbitrage pricing theory in a frontier stock market: evidence from Bangladesh," MPRA Paper, University Library of Munich, Germany, number 38675, Jun.
• Rossi, Francesco, 2011, "Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates," MPRA Paper, University Library of Munich, Germany, number 38682, Nov, revised 31 Mar 2012.
• Arash, Aloosh, 2011, "Variance Risk Premium Differentials and Foreign Exchange Returns," MPRA Paper, University Library of Munich, Germany, number 40829, Nov, revised 18 Aug 2012.
• Singh, Saurabh & Saharawat, Swati, 2011, "Hedging dynamics with gold futures," MPRA Paper, University Library of Munich, Germany, number 41472.
• Lazarevski, Dimche, 2011, "Foreign investors’ influence towards small stock exchanges boom and bust: Macedonian stock exchange case," MPRA Paper, University Library of Munich, Germany, number 41995, Sep.
• Marco, Bianchetti, 2011, "The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management," MPRA Paper, University Library of Munich, Germany, number 42247, Oct, revised 27 Oct 2012.
• Costa Junior, Celso Jose, 2011, "Avaliação de Bancos: Projeção das Demonstrações de Resultado do Exercício (DRE) com Enfoque em Modelos Econométricos
  [Valuation of Banks: Projection of Statements of Income for the Year with focus ," MPRA Paper, University Library of Munich, Germany, number 45524, Jul.
• Jiranyakul, Komain, 2011, "On the Risk-Return Tradeoff in the Stock Exchange of Thailand: New Evidence," MPRA Paper, University Library of Munich, Germany, number 45583, Jul.
• Diaw, Abdou & Bacha, Obiyathulla Ismath & Lahsasna, Ahcene, 2011, "Public Sector Funding and Debt Management: A Case for GDP-Linked Sukuk," MPRA Paper, University Library of Munich, Germany, number 46008, revised 2011.
• Zeballos, David, 2011, "Market Risk Measurement: Key Rate Duration as an asset allocation instrument," MPRA Paper, University Library of Munich, Germany, number 46057, Aug.
• Piasecki, Krzysztof, 2011, "Effectiveness of securities with fuzzy probabilistic return," MPRA Paper, University Library of Munich, Germany, number 46214, Jul.
• Piasecki, Krzysztof, 2011, "Rozmyte zbiory probabilistyczne jako narzędzie finansów behawioralnych
  [Fuzzy Probabilistic Sets as a Tool for Behavioural Finance]," MPRA Paper, University Library of Munich, Germany, number 46218, Jun.
• Lee, King Fuei, 2011, "Demographics and the Long-Horizon Returns of Dividend-Yield Strategies in the US," MPRA Paper, University Library of Munich, Germany, number 46350.
• Zaytsev, Alexander, 2011, "Эконометрический Анализ Динамики Российских Паевых Инвестиционных Фондов В Кризисный И Посткризисный Периоды
  [Econometric analysis of Russian mutual funds in crisis and postcrisis periods]," MPRA Paper, University Library of Munich, Germany, number 46437, Sep.
• Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2011, "Asymmetric Loss Functions and the Rationality of Expected Stock Returns," MPRA Paper, University Library of Munich, Germany, number 47343.
• Hiremath, Gourishankar S & Bandi, Kamaiah, 2011, "Testing Long Memory in Stock Returns of Emerging Markets: Some Further Evidence," MPRA Paper, University Library of Munich, Germany, number 48517.
• Kozmenko, Serhiy & Plastun, Oleksiy, 2011, "Mutual influence of exchange assets: analysis and estimation," MPRA Paper, University Library of Munich, Germany, number 50779, May.
• Konchitchki, Yaniv, 2011, "Inflation and Nominal Financial Reporting: Implications for Performance and Stock Prices," MPRA Paper, University Library of Munich, Germany, number 52928, May.
• Michailova, Julija & Schmidt, Ulrich, 2011, "Overconfidence and bubbles in experimental asset markets," MPRA Paper, University Library of Munich, Germany, number 63823, Sep, revised Oct 2014.
• Rizvi, Aoun & Ali, Syed Babar, 2011, "Risk Taking Behavior of Investors of Pakistan," MPRA Paper, University Library of Munich, Germany, number 64342, May.
• Anginer, Deniz & Mansi, Sattar & Warburton, A. Joseph & Yildizhan, Celim, 2011, "Firm Reputation and Cost of Debt Capital," MPRA Paper, University Library of Munich, Germany, number 64965, Jun, revised 05 Jun 2015.
• Carrasco-Gutierrez, Carlos Enrique & Piazza, Wagner, 2011, "Evaluating Asset Pricing Models in a Simulated Multifactor Approach," MPRA Paper, University Library of Munich, Germany, number 66063, revised 2012.
• Rangan Gupta & Mampho P. Modise, 2011, "Macroeconomic Variables and South African Stock Return Predictability," Working Papers, University of Pretoria, Department of Economics, number 201107, Mar.
• Rangan Gupta & Mampho P. Modise & Josine Uwilingiye, 2011, "Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors," Working Papers, University of Pretoria, Department of Economics, number 201122, Oct.
• David Havlíček, 2011, "The Analysis of the Relationship between Stock Returns and Inflation: A Consequence of Real Shocks or Money Illusion?
  [Analýza vztahu akciových výnosů a inflace: důsledek reálných šoků nebo peněžní iluze?]," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2011, issue 2, pages 37-57, DOI: 10.18267/j.cfuc.104.
• Alenka Kavkler & Mejra Festić, 2011, "Modelling Stock Exchange Index Returns in Different GDP Growth Regimes," Prague Economic Papers, Prague University of Economics and Business, volume 2011, issue 1, pages 3-22, DOI: 10.18267/j.pep.384.
• Luboš Komárek & Ivana Kubicová, 2011, "Možnosti identifikace bublin cen aktiv v české ekonomice
  [Methods of Identification Asset Price Bubbles In the Czech Economy]," Politická ekonomie, Prague University of Economics and Business, volume 2011, issue 2, pages 164-183, DOI: 10.18267/j.polek.779.
• Wei Xiong & Jialin Yu, 2011, "The Chinese Warrants Bubble," Working Papers, Princeton University, Department of Economics, Econometric Research Program., number 1398, Oct.
• YiLi Chien & Kanda Naknoi, 2011, "The Risk Premium and Long-Run Global Imbalances," Purdue University Economics Working Papers, Purdue University, Department of Economics, number 1266, Oct.
• Liam Wagner & John Foster, 2011, "Is There an Optimal Entry Time for Carbon Capture and Storage? A Case Study for Australia's National Electricity Market," Energy Economics and Management Group Working Papers, School of Economics, University of Queensland, Australia, number 07, May.
• Richard Finlay & Sebastian Wende, 2011, "Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2011-01, Mar.
• James Hansen, 2011, "Does Equity Mispricing Influence Household and Firm Decisions?," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2011-06, Dec.
• Bacchetta, Philippe & Tille, Cédric & Wincoop, Eric, 2011, "Self-Fulfilling Risk Panics," Working Papers, Banco Central de Reserva del Perú, number 2011-003, Feb.
• Carol Alexander & Stamatis Leontsinis, 2011, "Model Risk in Variance Swap Rates," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2011-10, May.
• Davide Avino & Emese Lazar & Simone Varotto, 2011, "Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2011-17, Jul.
• Jean Marc Bottazzi & Jaime Luque & Mario Pascoa, 2011, "Securities market theory: possession, repo and rehypothecation," 2011 Meeting Papers, Society for Economic Dynamics, number 1214.
• Stijn Van Nieuwerburgh & Hanno Lustig & Bryan Kelly, 2011, "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," 2011 Meeting Papers, Society for Economic Dynamics, number 1285.
• Jean Imbs & Giovanni Favara, 2011, "Credit Supply and the Price of Housing," 2011 Meeting Papers, Society for Economic Dynamics, number 1342.
• Hanno Lustig, 2011, "Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle," 2011 Meeting Papers, Society for Economic Dynamics, number 1443.
• Eric van Wincoop & Cédric Tille & Philippe Bacchetta, 2011, "Self-fulfilling risk panics," 2011 Meeting Papers, Society for Economic Dynamics, number 186.
• Xiaoji Lin & Jack Favilukis, 2011, "Micro Frictions, Asset Pricing, and Aggregate Implications," 2011 Meeting Papers, Society for Economic Dynamics, number 466.
• Pierre-Olivier Weill & Johan Hombert & Bruno Biais, 2011, "Trading and Liquidity with Limited Cognition," 2011 Meeting Papers, Society for Economic Dynamics, number 475.
• Péter Kondor & Ron Kaniel, 2011, "The delegated Lucas tree," 2011 Meeting Papers, Society for Economic Dynamics, number 580.
• Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2011, "Collateral Requirements and Asset Prices," 2011 Meeting Papers, Society for Economic Dynamics, number 737.
• Pietro Veronesi & Lubos Pastor, 2011, "Uncertainty about Government Policy and Stock Prices," 2011 Meeting Papers, Society for Economic Dynamics, number 86.
• Xavier Vives & Giovanni Cespa, 2011, "Higher Order Expectations, Illiquidity, and Short Term Trading," 2011 Meeting Papers, Society for Economic Dynamics, number 929.
• Chaido Dritsaki, 2011, "The Random Walk Hypothesis and Correlation in the Visegrad Countries Emerging Stock Markets," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 14, issue 40, pages 25-56, June.
• Nikola Gradojevic & Dragan Kukolj & Ramazan Gencay, 2011, "Clustering and Classification in Option Pricing," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, volume 3, issue 2, pages 109-128, October.
• Roberto Blanco & Fernando Restoy, 2011, "Have Real Interest Rates Really Fallen That Much In Spain?," Revista de Economia Aplicada, Universidad de Zaragoza, Departamento de Estructura Economica y Economia Publica, volume 19, issue 1, pages 153-170, Spring.
• Daniel Albalate & Germà Bel, 2011, "Cuando La Economía No Importa: Auge Y Esplendor De La Alta Velocidad En España," Revista de Economia Aplicada, Universidad de Zaragoza, Departamento de Estructura Economica y Economia Publica, volume 19, issue 1, pages 171-190, Spring.
• N. Apergis & E. Mamatzakis & C. Staikuras, 2011, "The Greek Sovereign Debt Crisis: Testing for Regime Changes," Working Paper series, Rimini Centre for Economic Analysis, number 16_11, Mar.
• Massimiliano Marzo & Daniele Ritelli & Paolo Zagaglia, 2011, "Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method," Working Paper series, Rimini Centre for Economic Analysis, number 52_11, Nov.
• Jianxin Wamg, 2011, "Forecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors," Asian Development Review, Asian Development Bank, volume 28, issue 2, pages 32-57.
• Rodney Paul & Andrew Weinbach & Brad Humphreys, 2011, "The Belief in the "Hot Hand" in the NFL: Evidence from Betting Volume Data," Working Papers, University of Alberta, Department of Economics, number 2011-16, Oct.
• Valentina Galvani & Stuart Landon, 2011, "Riding the Yield Curve: A Spanning Analysis," Working Papers, University of Alberta, Department of Economics, number 2011-19, Nov.
• Gulnora Raimova, 2011, "Variance reduction methods at the pricing of weather options," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 21, issue 1, pages 3-15.
• Ilhan Meric & Herbert E. Gishlick & Leonore S. Taga & Gulser Meric, 2011, "Risks, Returns, and Portfolio Diversification Benefits of Country Index Funds in Bear and Bull Markets," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 2, issue 1, pages 1-1.
• Cengiz Toraman & Cagatay Basarir & Mehmet Fatih Bayramoglu, 2011, "Determination of Factors Affecting the Price of Gold: A Study of MGARCH Model," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 2, issue 4, pages 1-37.
• Jingyuan Li & Georges Dionne, 2011, "A theoretical extension of the consumption-based CAPM model," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 10-8, May.
• Tiziana Caliman & Enrico Di Bella, 2011, "House Price Dynamics in Italy - La dinamica delle quotazioni immobiliari in Italia," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 64, issue 1, pages 37-65.
• Marco Bianchetti & Mattia Carlicchi, 2011, "Interest Rates After the Credit Crunch: Markets and Models Evolution," Journal of Financial Transformation, Capco Institute, volume 32, pages 35-48.
• Imad Moosa, 2011, "The Failure of Neoclassical Financial Economics: The Capital Asset Pricing Model and its Pillars as an Illustration," Journal of Financial Transformation, Capco Institute, volume 33, pages 69-76.
• Silvije Orsag & Lidija Dedi & Emil Mihalina, 2011, "Banks In Transition Countries As One Of Most Attractive Investments," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, volume 2, issue 1, pages 1-20.
• Beum-Jo Park, 2011, "Forecasting Volatility in Financial Markets Using a Bivariate Stochastic Volatility Model with Surprising Information," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 37-58, September.
• Radu CIOBANU & Sebastian Madalin MUNTEANU & Irina-Eugenia IAMANDI, 2011, "Financial Investment Management: Testing the Market Model on the Romanian Capital Market during the Post Financial Crisis," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 14, issue 1, pages 243-247, June.
• Mihai-Cristian DINICA, 2011, "The Real Options Attached to an Investment Project," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 14, issue 2, pages 511-518, December.
• Francesca Brusa, 2011, "Asset Pricing Puzzle: The Long-Run Risks Model's Approach," Rivista di Politica Economica, SIPI Spa, issue 4, pages 101-137, October-D.
• M. Fr Mmel & R. Kruse, 2011, "Testing for a rational bubble under long memory," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 11/722, May.
• Iwo Augustynski, 2011, "WPlYW GIElD sWIATOWYCH NA GloWNE INDEKSY GIElDOWE W POLSCE," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 7, issue 1, pages 1-12, April.
• Wiktor Patena, 2011, "Company Valuation. How to Deal with a Range of Values?," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 7, issue 3, pages 75-84, November.
• Rex A. McKenzie, 2011, "Casino Capitalism with Derivatives: Fragility and Instability in Contemporary Finance," Review of Radical Political Economics, Union for Radical Political Economics, volume 43, issue 2, pages 198-215, June.
• Gerasimos G. Rompotis, 2011, "ETFs vs. Mutual Funds: Evidence from the Greek Market," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, volume 9, issue 1, pages 67-84.
• Giovanni Cespa & Xavier Vives, 2011, "Higher Order Expectations, Illiquidity, and Short-term Trading," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 276, Mar.
• Giovanni Cespa & Thierry Focault, 2011, "Learning from Prices, Liquidity Spillovers, and Market Segmentation," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 284, Apr.
• Giovanni W. Puopolo, 2011, "The Dynamics of Tobin’s q," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 286, May, revised 10 May 2016.
• Sarah Draus, 2011, "Does Inter-Market Competition Lead to Less Regulation?," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 296, Nov.
• Sergio Andenmatten & Felix Brill, 2011, "Did the CDS Market Push up Risk Premia for Sovereign Credit?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 147, issue III, pages 275-302, September.
• Contreras Piedragil, Cesar Emilio & Venegas Martínez, Francisco, 2011, "Valuación de opciones sobre activos subyacentes con distribuciones estables / Options Valuation over Underlying Assets with Stable Distributions," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 1, issue 1, pages 55-71, enero-jun.
• Tore Selland Kleppe & Jun Yu & Hans J. skaug, 2011, "Simulated Maximum Likelihood Estimation for Latent Diffusion Models," Working Papers, Singapore Management University, School of Economics, number 10-2011, Aug.
• Yong Li & Jun Yu, 2011, "Bayesian Hypothesis Testing in Latent Variable Models," Working Papers, Singapore Management University, School of Economics, number 11-2011, Aug.
• Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2011, "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-02-2011, Apr.
• Tore Selland Kleppe & Jun Yu & Hans J. Skaug, 2011, "Simulated Maximum Likelihood Estimation for Latent Diffusion Models," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-04-2011, Jul.
• Andras Fulop & Junye Li & Jun Yu, 2011, "Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-10-2011, Dec.
• ABOSEDE, A. J. & OSENI, Jimoh Ezekiel, 2011, "Theoretical Analysis Of Firm And Market-Specific Proxies Of Information Asymmetry On Equity Prices In The Stock Markets," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, volume 1, issue 4, pages 1-10, June.
• Edward J. LUSK & Michael HALPERIN & Niya STEFANOVA & Atanas TETIKOV, 2011, "Investigation of: "Shopping in the Market-beta Mall"," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, volume 1, issue 5, pages 1-9, August.
• Andreas Reschreiter, 2011, "Real and nominal UK interest rates, ERM membership, and inflation targeting," Empirical Economics, Springer, volume 40, issue 3, pages 559-579, May, DOI: 10.1007/s00181-010-0345-z.
• Ye Bai & Christopher Green, 2011, "Determinants of cross-sectional stock return variations in emerging markets," Empirical Economics, Springer, volume 41, issue 1, pages 81-102, August, DOI: 10.1007/s00181-010-0437-9.
• Vasco Gabriel & Luis Martins, 2011, "Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship," Empirical Economics, Springer, volume 41, issue 3, pages 639-662, December, DOI: 10.1007/s00181-010-0401-8.
• Thomas Lux, 2011, "Sentiment dynamics and stock returns: the case of the German stock market," Empirical Economics, Springer, volume 41, issue 3, pages 663-679, December, DOI: 10.1007/s00181-010-0397-0.
• Jörg Rieger & Kirsten Rüchardt & Bodo Vogt, 2011, "Comparing High Frequency Data of Stocks that are Traded Simultaneously in the US and Germany: Simulated Versus Empirical Data," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 1, issue 2, pages 126-142, December, DOI: 10.14208/BF03353827.
• Tamara Teplova & Evgeniya Shutova, 2011, "A Higher Moment Downside Framework for Conditional and Unconditional Capm in the Russian Stock Market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 1, issue 2, pages 157-178, December, DOI: 10.14208/BF03353829.
• Leif Andersen, 2011, "Option pricing with quadratic volatility: a revisit," Finance and Stochastics, Springer, volume 15, issue 2, pages 191-219, June, DOI: 10.1007/s00780-010-0142-8.
• Paul Glasserman & Kyoung-Kuk Kim, 2011, "Gamma expansion of the Heston stochastic volatility model," Finance and Stochastics, Springer, volume 15, issue 2, pages 267-296, June, DOI: 10.1007/s00780-009-0115-y.
• Rafael Mendoza-Arriaga & Vadim Linetsky, 2011, "Pricing equity default swaps under the jump-to-default extended CEV model," Finance and Stochastics, Springer, volume 15, issue 3, pages 513-540, September, DOI: 10.1007/s00780-010-0139-3.
• Denis Belomestny, 2011, "Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates," Finance and Stochastics, Springer, volume 15, issue 4, pages 655-683, December, DOI: 10.1007/s00780-010-0132-x.
• Martin Forde & Antoine Jacquier, 2011, "The large-maturity smile for the Heston model," Finance and Stochastics, Springer, volume 15, issue 4, pages 755-780, December, DOI: 10.1007/s00780-010-0147-3.
• Martin Forde & Antoine Jacquier & Aleksandar Mijatović, 2011, "A note on essential smoothness in the Heston model," Finance and Stochastics, Springer, volume 15, issue 4, pages 781-784, December, DOI: 10.1007/s00780-011-0162-z.
• Robert Jarrow & Younes Kchia & Martin Larsson & Philip Protter, 2013, "Discretely sampled variance and volatility swaps versus their continuous approximations," Finance and Stochastics, Springer, volume 17, issue 2, pages 305-324, April, DOI: 10.1007/s00780-012-0183-2.
• Daniel Zanger, 2013, "Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing," Finance and Stochastics, Springer, volume 17, issue 3, pages 503-534, July, DOI: 10.1007/s00780-013-0204-9.
• Tim Leung & Qingshuo Song & Jie Yang, 2013, "Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing," Finance and Stochastics, Springer, volume 17, issue 4, pages 839-870, October, DOI: 10.1007/s00780-013-0213-8.
• Unyong Pyo, 2011, "Minimax price bounds in incomplete markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 3, pages 274-295, July, DOI: 10.1007/s12197-009-9108-0.
• Haigang Zhou & John Zhu, 2011, "Jump risk and cross section of stock returns: evidence from China’s stock market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 3, pages 309-331, July, DOI: 10.1007/s12197-009-9097-z.
• Jorge Brusa & Wayne Lee & Pu Liu, 2011, "Monday returns and asset pricing," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 3, pages 332-347, July, DOI: 10.1007/s12197-009-9100-8.
• Kam Chan & Yung Lo, 2011, "Credit ratings and long-term IPO performance," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 4, pages 473-483, October, DOI: 10.1007/s12197-010-9137-8.
• Ryuichi Yamamoto, 2011, "Volatility clustering and herding agents: does it matter what they observe?," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 6, issue 1, pages 41-59, May, DOI: 10.1007/s11403-010-0075-5.
• Peter Chinloy & Daniel Winkler, 2011, "Contracts, Labor Supply and Income Targeting," Journal of Labor Research, Springer, volume 32, issue 2, pages 113-135, June, DOI: 10.1007/s12122-011-9104-y.
• Mordecai Kurz & Maurizio Motolese, 2011, "Diverse beliefs and time variability of risk premia," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 47, issue 2, pages 293-335, June, DOI: 10.1007/s00199-010-0550-1.
• Wen-Chung Guo & Frank Wang & Ho-Mou Wu, 2011, "Financial leverage and market volatility with diverse beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 47, issue 2, pages 337-364, June, DOI: 10.1007/s00199-010-0548-8.
• William Branch & George Evans, 2011, "Monetary policy and heterogeneous expectations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 47, issue 2, pages 365-393, June, DOI: 10.1007/s00199-010-0539-9.
• John Dickhaut & Radhika Lunawat & Kira Pronin & Jack Stecher, 2011, "Decision making and trade without probabilities," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 48, issue 2, pages 275-288, October, DOI: 10.1007/s00199-011-0644-4.
• Han Ozsoylev & Jan Werner, 2011, "Liquidity and asset prices in rational expectations equilibrium with ambiguous information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 48, issue 2, pages 469-491, October, DOI: 10.1007/s00199-011-0648-0.
• Thorsten Hens & Terje Lensberg & Klaus Schenk-Hoppé & Peter Wöhrmann, 2011, "An evolutionary explanation of the value premium puzzle," Journal of Evolutionary Economics, Springer, volume 21, issue 5, pages 803-815, December, DOI: 10.1007/s00191-010-0213-1.
• Zhaojun Yang & Christian-Oliver Ewald & Olaf Menkens, 2011, "Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 74, issue 1, pages 93-120, August, DOI: 10.1007/s00186-011-0352-7.
• Steven J. Monahan, 2011, "Discussion of “Using earnings forecasts to simultaneously estimate firm-specific cost of equity and long-term growth”," Review of Accounting Studies, Springer, volume 16, issue 3, pages 458-463, September, DOI: 10.1007/s11142-011-9146-7.
• Stephen Lok & Scott Richardson, 2011, "Credit markets and financial information," Review of Accounting Studies, Springer, volume 16, issue 3, pages 487-500, September, DOI: 10.1007/s11142-011-9147-6.
• Alexander Nekrasov & Maria Ogneva, 2011, "Using earnings forecasts to simultaneously estimate firm-specific cost of equity and long-term growth," Review of Accounting Studies, Springer, volume 16, issue 3, pages 414-457, September, DOI: 10.1007/s11142-011-9159-2.