Research classified by Journal of Economic Literature (JEL) codes

2012

• Tsoukiàs, Alexis & D'Alpaos, Chiara (ed.), 2012, "Evaluating public policies : Normative models beyond cost benefit analysis," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/9265.
• Jouini, Elyès (ed.), 2012, "Le taux d'escompte à long terme en tenant compte de la production," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/9782.
• Ramona Mariana CALINICA & Daniel CALINICA, 2012, "Identification, Analysis, Modeling and Prediction of Time Series Characterizing the Indicators of Asset Structure in the Credit Institutions Operating in Romania," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 89-96.
• Marco Airaudo, 2012, "Complex Stock Price Dynamics and Recurrent Bubbles under the Spirit of Capitalism," DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade, number c017_036, Sep.
• Westerlund, Joakim & Narayan, Paresh, 2012, "Does the choice of estimator matter when forecasting returns?," Working Papers, Deakin University, Department of Economics, number fe_2012_01, Jan, DOI: 10.1016/j.jbankfin.2012.06.005.
• Thuraisamy, Kannan & Gannon, Gerard, 2012, "Modelling the Sovereign Linkages of Key Latin American Economies," Working Papers, Deakin University, Department of Economics, number fe_2012_03, Dec, DOI: 10.1016/j.intfin.2012.08.002.
• James L. Butkiewicz & Mihaela Solcan, 2012, "The Original Operation Twist: The War Finance Corporation's War Bond Purchase, 1918-1920," Working Papers, University of Delaware, Department of Economics, number 12-13.
• A. Ronald Gallant & Han Hong & Ahmed Khwaja, 2012, "Bayesian Estimation of a Dynamic Game with Endogenous, Partially Observed, Serially Correlated State," Working Papers, Duke University, Department of Economics, number 12-01.
• Rangan GUPTA & Roula INGLESI-LOTZ, 2012, "Macro Shocks and Real US Stock Prices with Special Focus on the “Great Recession”," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 12, issue 2.
• Lescourret, Laurence, 2012, "Non-Fundamental Information and Market-Makers' Behavior during the NASDAQ Preopening Session," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1212, Dec.
• Fernandez, Pablo & Aguirreamalloa, Javier, 2012, "La insolvencia de Lehman Brothers en septiembre de 2008: Sobre su previsibilidad y sobre algunos "profetas a posteriori"," IESE Research Papers, IESE Business School, number D/950, Mar.
• Fernandez, Pablo & Aguirreamalloa, Javier, 2012, "Bonos estructurados vendidos en España en los últimos años," IESE Research Papers, IESE Business School, number D/951, Mar.
• Fernandez, Pablo, 2012, "Ten badly explained topics in most corporate finance books," IESE Research Papers, IESE Business School, number D/954, May.
• Bianca De Paoli & Pawel Zabczyk, 2012, "Cyclical precautionary saving and monetary policy," Research Bulletin, European Central Bank, volume 16, pages 7-9.
• Michael A.S. Joyce & Matthew Tong, 2012, "QE and the Gilt Market: a Disaggregated Analysis," Economic Journal, Royal Economic Society, volume 122, issue 564, pages 348-384, November.
• Stefania D’Amico & William English & David López‐Salido & Edward Nelson, 2012, "The Federal Reserve's Large‐scale Asset Purchase Programmes: Rationale and Effects," Economic Journal, Royal Economic Society, volume 122, issue 564, pages 415-446, November.
• Bali, Turan G. & Cakici, Nusret & Chabi-Yo, Fousseni, 2012, "Does Aggregate Riskiness Predict Future Economic Downturns?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2012-09, May.
• Favilukis, Jack & Lin, Xiaoji, 2012, "Wage Rigidity: A Solution to Several Asset Pricing Puzzles," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2012-16, Sep.
• Belo, Frederico & Lin, Xiaoji & Bazdresch, Santiago, 2012, "Labor Hiring, Investment, and Stock Return Predictability in the Cross Section," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2012-17, Sep.
• Favilukis, Jack & Lin, Xiaoji, 2012, "Does Wage Rigidity Make Firms Riskier? Evidence from Long-Horizon Return Predictability," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2012-19, Oct.
• Hou, Kewei & Xue, Chen & Zhang, Lu, 2012, "Digesting Anomalies: An Investment Approach," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2012-21, Dec.
• Lin, Xiaoji, 2012, "Endogenous Technological Progress and the Cross Section of Stock Returns," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2012-22, Nov.
• Belo, Frederico & Lin, Xiaoji, 2012, "The Inventory Growth Spread," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2012-23, Nov.
• Chabi-Yo, Fousseni & Song, Zhaogang, 2012, "Probability Weighting of Rare Events and Currency Returns," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2012-24, Nov.
• Belo, Frederico & Lin, Xiaoji, 2012, "Labor Heterogeneity and Asset Prices: The Importance of Skilled Labor," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2012-25, Nov.
• Hou, Kewei & Loh, Roger, 2012, "Have We Solved the Idiosyncratic Volatility Puzzle?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2012-28, Dec.
• Allen, Franklin & Ngai, Victor, 2012, "In What Form Will the Eurozone Emerge from the Crisis?," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 12-13, Aug.
• Nengjiu Ju & Jianjun Miao, 2012, "Ambiguity, Learning, and Asset Returns," Econometrica, Econometric Society, volume 80, issue 2, pages 559-591, March, DOI: ECTA7618.
• Viktor Todorov & George Tauchen, 2012, "The Realized Laplace Transform of Volatility," Econometrica, Econometric Society, volume 80, issue 3, pages 1105-1127, May, DOI: ECTA9133.
• J. Hugonnier & S. Malamud & E. Trubowitz, 2012, "Endogenous Completeness of Diffusion Driven Equilibrium Markets," Econometrica, Econometric Society, volume 80, issue 3, pages 1249-1270, May, DOI: ECTA8783.
• Darrell Duffie & Bruno Strulovici, 2012, "Capital Mobility and Asset Pricing," Econometrica, Econometric Society, volume 80, issue 6, pages 2469-2509, November, DOI: ECTA8822.
• Saban Celik, 2012, "Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis," International Journal of Economics and Financial Issues, Econjournals, volume 2, issue 2, pages 141-178.
• Seyyed Ali Paytakhti Oskooe, 2012, "Nonlinear Adjustment of Emerging Stock Market Returns: Symmetrical or Asymmetrical," International Journal of Economics and Financial Issues, Econjournals, volume 2, issue 2, pages 179-183.
• Bettina Lis & Christian Ne ler & Jan Retzmann, 2012, "Oil and Cars: The Impact of Crude Oil Prices on the Stock Returns of Automotive Companies," International Journal of Economics and Financial Issues, Econjournals, volume 2, issue 2, pages 190-200.
• Sahbi FARHANI, 2012, "Tests of Parameters Instability: Theoretical Study and Empirical Analysis on Two Types of Models (ARMA Model and Market Model)," International Journal of Economics and Financial Issues, Econjournals, volume 2, issue 3, pages 246-266.
• Muhammed Monjurul Quadir, 2012, "The Effect of Macroeconomic Variables On Stock Returns on Dhaka Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, volume 2, issue 4, pages 480-487.
• Coakley, Jerry & Kuo, Jing-Ming & Wood, Andrew, 2012, "The School’s Out effect: A new seasonal anomaly!," The British Accounting Review, Elsevier, volume 44, issue 3, pages 133-143, DOI: 10.1016/j.bar.2012.07.003.
• Chong, Terence Tai-Leung & Lam, Tau-Hing & Yan, Isabel Kit-Ming, 2012, "Is the Chinese stock market really inefficient?," China Economic Review, Elsevier, volume 23, issue 1, pages 122-137, DOI: 10.1016/j.chieco.2011.08.003.
• Bian, Jiangze & Wang, Jun & Zhang, Ge, 2012, "Chinese block transactions and the market reaction," China Economic Review, Elsevier, volume 23, issue 1, pages 181-189, DOI: 10.1016/j.chieco.2011.10.001.
• Brown, James R. & Floros, Ioannis V., 2012, "Access to private equity and real firm activity: Evidence from PIPEs," Journal of Corporate Finance, Elsevier, volume 18, issue 1, pages 151-165, DOI: 10.1016/j.jcorpfin.2011.11.005.
• Shawky, Hany A. & Dai, Na & Cumming, Douglas, 2012, "Diversification in the hedge fund industry," Journal of Corporate Finance, Elsevier, volume 18, issue 1, pages 166-178, DOI: 10.1016/j.jcorpfin.2011.11.006.
• Barinov, Alexander, 2012, "Aggregate volatility risk: Explaining the small growth anomaly and the new issues puzzle," Journal of Corporate Finance, Elsevier, volume 18, issue 4, pages 763-781, DOI: 10.1016/j.jcorpfin.2012.05.005.
• Billio, Monica & Getmansky, Mila & Pelizzon, Loriana, 2012, "Dynamic risk exposures in hedge funds," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3517-3532, DOI: 10.1016/j.csda.2010.08.015.
• Lof, Matthijs, 2012, "Heterogeneity in stock prices: A STAR model with multivariate transition function," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 12, pages 1845-1854, DOI: 10.1016/j.jedc.2012.06.006.
• Boschi, Melisso & Goenka, Aditya, 2012, "Relative risk aversion and the transmission of financial crises," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 1, pages 85-99, DOI: 10.1016/j.jedc.2011.07.005.
• Orphanides, Athanasios & Wei, Min, 2012, "Evolving macroeconomic perceptions and the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 2, pages 239-254, DOI: 10.1016/j.jedc.2011.08.011.
• Davis, Graham A. & Cairns, Robert D., 2012, "Good timing: The economics of optimal stopping," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 2, pages 255-265, DOI: 10.1016/j.jedc.2011.09.008.
• Anderson, Evan W. & Hansen, Lars Peter & Sargent, Thomas J., 2012, "Small noise methods for risk-sensitive/robust economies," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 4, pages 468-500, DOI: 10.1016/j.jedc.2011.11.007.
• Zimper, Alexander, 2012, "Asset pricing in a Lucas fruit-tree economy with the best and worst in mind," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 4, pages 610-628, DOI: 10.1016/j.jedc.2011.11.006.
• Lin, Yueh-Neng & Chang, Chien-Hung, 2012, "Rejoinder to a remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 5, pages 716-718, DOI: 10.1016/j.jedc.2012.01.003.
• Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P. & Zwinkels, Remco C.J., 2012, "Explaining dispersion in foreign exchange expectations: A heterogeneous agent approach," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 5, pages 719-735, DOI: 10.1016/j.jedc.2012.01.005.
• Basu, Parantap & Gillman, Max & Pearlman, Joseph, 2012, "Inflation, human capital and Tobin's q," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 7, pages 1057-1074, DOI: 10.1016/j.jedc.2012.02.004.
• De Giorgi, Enrico G. & Legg, Shane, 2012, "Dynamic portfolio choice and asset pricing with narrow framing and probability weighting," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 7, pages 951-972, DOI: 10.1016/j.jedc.2012.01.010.
• He, Xue-Zhong & Li, Kai, 2012, "Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 7, pages 973-987, DOI: 10.1016/j.jedc.2012.02.002.
• Anufriev, Mikhail & Bottazzi, Giulio & Marsili, Matteo & Pin, Paolo, 2012, "Excess covariance and dynamic instability in a multi-asset model," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 8, pages 1142-1161, DOI: 10.1016/j.jedc.2012.03.015.
• Franke, Reiner & Westerhoff, Frank, 2012, "Structural stochastic volatility in asset pricing dynamics: Estimation and model contest," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 8, pages 1193-1211, DOI: 10.1016/j.jedc.2011.10.004.
• Lux, Thomas, 2012, "Estimation of an agent-based model of investor sentiment formation in financial markets," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 8, pages 1284-1302, DOI: 10.1016/j.jedc.2012.03.012.
• Yu Hsing, 2012, "Impacts of Macroeconomic Forces and External Shocks on Real Output for Indonesia," Economic Analysis and Policy, Elsevier, volume 42, issue 1, pages 97-104, March.
• Wang, Jinan & Chen, Langnan, 2012, "Liquidity-adjusted conditional capital asset pricing model," Economic Modelling, Elsevier, volume 29, issue 2, pages 361-368, DOI: 10.1016/j.econmod.2011.11.007.
• Lee, Chien-Chiang & Chien, Mei-Se & Lin, Tsoyu Calvin, 2012, "Dynamic modelling of real estate investment trusts and stock markets," Economic Modelling, Elsevier, volume 29, issue 2, pages 395-407, DOI: 10.1016/j.econmod.2011.11.008.
• Bao, Qunfang & Chen, Si & Li, Shenghong, 2012, "Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest," Economic Modelling, Elsevier, volume 29, issue 2, pages 471-477, DOI: 10.1016/j.econmod.2011.12.002.
• Kanas, Angelos, 2012, "Modelling the risk–return relation for the S&P 100: The role of VIX," Economic Modelling, Elsevier, volume 29, issue 3, pages 795-809, DOI: 10.1016/j.econmod.2011.10.010.
• Gupta, Rangan & Modise, Mampho P., 2012, "South African stock return predictability in the context data mining: The role of financial variables and international stock returns," Economic Modelling, Elsevier, volume 29, issue 3, pages 908-916, DOI: 10.1016/j.econmod.2011.12.013.
• Jawadi, Fredj & Khanniche, Sabrina, 2012, "Modeling hedge fund exposure to risk factors," Economic Modelling, Elsevier, volume 29, issue 4, pages 1003-1018, DOI: 10.1016/j.econmod.2012.02.003.
• Erdős, Péter & Ormos, Mihály, 2012, "Pricing of collectibles: Baedeker guidebooks," Economic Modelling, Elsevier, volume 29, issue 5, pages 1968-1978, DOI: 10.1016/j.econmod.2012.06.010.
• Grégoire, Philippe & Huang, Hui, 2012, "Information disclosure with leakages," Economic Modelling, Elsevier, volume 29, issue 5, pages 2005-2010, DOI: 10.1016/j.econmod.2012.04.023.
• Babikir, Ali & Gupta, Rangan & Mwabutwa, Chance & Owusu-Sekyere, Emmanuel, 2012, "Structural breaks and GARCH models of stock return volatility: The case of South Africa," Economic Modelling, Elsevier, volume 29, issue 6, pages 2435-2443, DOI: 10.1016/j.econmod.2012.06.038.
• Enenajor, Emanuella & Sebastian, Alex & Witmer, Jonathan, 2012, "An assessment of the Bank of Canada's term PRA facility," The North American Journal of Economics and Finance, Elsevier, volume 23, issue 1, pages 123-143, DOI: 10.1016/j.najef.2011.11.005.
• Veestraeten, Dirk, 2012, "Transition probabilities in a problem of stochastic process switching," Economics Letters, Elsevier, volume 114, issue 2, pages 201-204, DOI: 10.1016/j.econlet.2011.09.042.
• Quijano, Margot, 2012, "A refined consumption–wealth ratio and its role on time-varying consumption risk," Economics Letters, Elsevier, volume 115, issue 1, pages 88-90, DOI: 10.1016/j.econlet.2011.11.027.
• Zimper, Alexander & Hassan, Shakill, 2012, "Can industry regulators learn collusion structures from information-efficient asset markets?," Economics Letters, Elsevier, volume 116, issue 1, pages 1-4, DOI: 10.1016/j.econlet.2012.01.002.
• Breedon, Francis, 2012, "A variance decomposition of index-linked bond returns," Economics Letters, Elsevier, volume 116, issue 1, pages 49-51, DOI: 10.1016/j.econlet.2012.01.007.
• Cai, Charlie X. & Kyaw, Khine & Zhang, Qi, 2012, "Stock index return forecasting: The information of the constituents," Economics Letters, Elsevier, volume 116, issue 1, pages 72-74, DOI: 10.1016/j.econlet.2012.01.014.
• He, Xue-Zhong & Shi, Lei, 2012, "Disagreement, correlation and asset prices," Economics Letters, Elsevier, volume 116, issue 3, pages 512-515, DOI: 10.1016/j.econlet.2012.04.064.
• Gregory-Allen, Russell & Lu, Helen & Stork, Philip, 2012, "Asymmetric extreme tails and prospective utility of momentum returns," Economics Letters, Elsevier, volume 117, issue 1, pages 295-297, DOI: 10.1016/j.econlet.2012.05.040.
• Tabak, B.M. & Sollaci, A.B. & Gomes, G.M. & Cajueiro, D.O., 2012, "Forecasting the yield curve for the Euro region," Economics Letters, Elsevier, volume 117, issue 2, pages 513-516, DOI: 10.1016/j.econlet.2012.05.056.
• Emre Alper, C. & Fendoglu, Salih & Saltoglu, Burak, 2012, "MIDAS volatility forecast performance under market stress: Evidence from emerging stock markets," Economics Letters, Elsevier, volume 117, issue 2, pages 528-532, DOI: 10.1016/j.econlet.2012.05.037.

2011

• Gourio, Francois, 2011, "Credit Risk and Disaster Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 8201, Jan.
• Rigobon, Roberto & Pavlova, Anna, 2011, "International Macro-Finance," CEPR Discussion Papers, Centre for Economic Policy Research, number 8218, Jan.
• Albuquerque, Rui & Watugala, Sumudu, 2011, "Trade Credit and International Return Comovement," CEPR Discussion Papers, Centre for Economic Policy Research, number 8222, Feb.
• Ziegler, Alexandre & Schürhoff, Norman, 2011, "Variance risk, financial intermediation, and the cross-section of expected option returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 8268, Feb.
• Menkhoff, Lukas & Sarno, Lucio & Schrimpf, Paul & Schmeling, Maik, 2011, "Carry Trades and Global Foreign Exchange Volatility," CEPR Discussion Papers, Centre for Economic Policy Research, number 8291, Mar.
• Vives, Xavier & Cespa, Giovanni, 2011, "Expectations, Liquidity, and Short-term Trading," CEPR Discussion Papers, Centre for Economic Policy Research, number 8303, Mar.
• Kondor, Péter & Sadka, Ronnie & Kang, Namho, 2011, "Idiosyncratic Return Volatility in the Cross-Section of Stocks," CEPR Discussion Papers, Centre for Economic Policy Research, number 8307, Apr.
• Foucault, Thierry & Cespa, Giovanni, 2011, "Learning from Prices, Liquidity Spillovers, and Market Segmentation," CEPR Discussion Papers, Centre for Economic Policy Research, number 8350, Apr.
• Claessens, Stijn & Kose, M. Ayhan & Terrones, Marco, 2011, "Financial Cycles: What? How? When?," CEPR Discussion Papers, Centre for Economic Policy Research, number 8379, May.
• Giannitsarou, Chryssi & CHALLE, Edouard, 2011, "Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach," CEPR Discussion Papers, Centre for Economic Policy Research, number 8387, May.
• Kondor, Péter, 2011, "The more we know on the fundamental, the less we agree on the price," CEPR Discussion Papers, Centre for Economic Policy Research, number 8455, Jun.
• Timmermann, Allan & Ang, Andrew, 2011, "Regime Changes and Financial Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 8480, Jul.
• Backus, David & Zin, Stanley E. & Chernov, Mikhail, 2011, "Sources of entropy in representative agent models," CEPR Discussion Papers, Centre for Economic Policy Research, number 8488, Jul.
• Wickens, Michael R., 2011, "A DSGE model of banks and financial intermediation with default risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 8556, Sep.
• Kaniel, Ron & Kondor, Péter, 2011, "The delegated Lucas tree," CEPR Discussion Papers, Centre for Economic Policy Research, number 8578, Sep.
• Veronesi, Pietro & Pástor, LuboÅ¡, 2011, "Political Uncertainty and Risk Premia," CEPR Discussion Papers, Centre for Economic Policy Research, number 8601, Oct.
• Portes, Richard & Palladini, Giorgia, 2011, "Sovereign CDS and Bond Pricing Dynamics in the Euro-area," CEPR Discussion Papers, Centre for Economic Policy Research, number 8651, Nov.
• Broer, Tobias & Kero, Afroditi, 2011, "Great Moderation or Great Mistake: Can rising confidence in low macro-risk explain the boom in asset prices?," CEPR Discussion Papers, Centre for Economic Policy Research, number 8700, Dec.
• Beber, Alessandro & Driessen, Joost & Tuijp, Patrick, 2011, "Pricing Liquidity Risk with Heterogeneous Investment Horizons," CEPR Discussion Papers, Centre for Economic Policy Research, number 8710, Dec.
• Tavares, José & Sazedj, Sharmin, 2011, "Hope, Change, and Financial Markets: Can Obama's Words Drive the Market?," CEPR Discussion Papers, Centre for Economic Policy Research, number 8713, Dec.
• Gehrig, Thomas & Füss, Roland & Rindler, Philipp B, 2011, "Scattered Trust - Did the 2007-08 financial crisis change risk perceptions?," CEPR Discussion Papers, Centre for Economic Policy Research, number 8714, Dec.
• Thorsten Lehnert & Xisong Jin, 2011, "Large Portfolio Risk Management and Optimal Portfolio Allocation with Dynamic Copulas," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 11-10.
• Sascha F llbrunn & Ernan Haruvy, 2011, "The Takeover Game," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 11-5.
• Jos van Bommel & Peter Hoffmann, 2011, "Transparency and Ending Times of Call Auctions: A Comparison of Euronext and Xetra," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 11-9.
• Caroline JARDET & Alain MONFORT & Fulvio PEGORARO, 2011, "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working Papers, Center for Research in Economics and Statistics, number 2011-03.
• Alain Monfort & Olivier Féron, 2011, "Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options," Working Papers, Center for Research in Economics and Statistics, number 2011-12, Mar.
• Alain Monfort & Jean-Paul Renne, 2011, "Credit and Liquidity Risks in Euro-area Sovereign Yield Curves," Working Papers, Center for Research in Economics and Statistics, number 2011-26, Jul.
• Balbás, Beatriz & Balbás, Raquel, 2011, "CAPM-like formulae and good deal absence with ambiguous setting and coherent risk measure," IC3JM - Estudios = Working Papers, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM), number id-11-04.
• Figuerola-Ferretti, Isabel & Paraskevopoulos, Ioannis, 2011, "Pairing market risk with credit risk," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb110201, Feb.
• Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2011, "Good deals in markets with frictions," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb110302, Feb.
• Bottazzi, Jean-Marc & Luque, Jaime & Páscoa, Mário R., 2011, "Trading and rational security pricing bubbles," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1119, May.
• Bottazzi, Jean-Marc & Luque, Jaime & Pascoa, Mario R. & Sundaresan, Suresh, 2011, "The dollar squeeze of the financial crisis," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1139, Dec.
• Feunou, Bruno & Fontaine, Jean-Sébastien & Taamouti, Abderrahim & Tédongap, Roméo, 2011, "Risk premium, variance premium and the maturity structure of uncertainty," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1144, Nov.
• Gonzalo, Jesús & Taamouti, Abderrahim, 2011, "The reaction of stock market returns to anticipated unemployment," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1145, Jul.
• Mohamed EL HEDI AROURI & Philippe FOULQUIER & Julien FOUQUAU, 2011, "Oil Prices and Stock Markets in Europe: A Sector Perspective," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2011011, Mar.
• Junfeng Qiu, 2011, "Bank money, aggregate liquidity, and asset prices," Annals of Economics and Finance, Society for AEF, volume 12, issue 2, pages 295-346, November.
• Jizheng Huang & Heng-fu Zou, 2011, "Asset pricing and the Modigliani-Miller theorem with the spirit of capitalism," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 456.
• Heng-fu Zou, 2011, "The Spirit of Capitalism, Savings, Asset Pricing and Growth," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 502.
• Jun Tu & Guofu Zhou, 2011, "Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 715.
• Brevik, Frode & d’Addona, Stefano, 2010, "Information Quality and Stock Returns Revisited," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 45, issue 6, pages 1419-1446, December.
• Xiaohu Wang & Peter C.B. Phillips & Jun Yu, 2011, "Bias in Estimating Multivariate and Univariate Diffusions," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1778, Jan.
• Ana Fostel & John Geanakoplos, 2011, "Endogenous Leverage: VaR and Beyond," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1800, May.
• Ana Fostel & John Geanakoplos, 2011, "Tranching, CDS and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1809, Jul.
• Ana Fostel & John Geanakoplos, 2011, "Tranching, CDS and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1809R, Aug.
• Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2011, "Information Aggregation, Investment, and Managerial Incentives," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1816, Aug.
• Daniel Friedman & Shyam Sunder, 2011, "Risky Curves: From Unobservable Utility to Observable Opportunity Sets," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1819, Aug.
• Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2011, "A Theory of Asset Prices Based on Heterogeneous Information," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1827, Oct.
• John Geanakoplos, 2011, "Greek Debt and American Debt: Graduation Speech at the University of Athens Economics and Business School," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1837, Dec.
• John Geanakoplos & Lasse H. Pedersen, 2011, "Monitoring Leverage," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1838, Dec.
• Avouyi-Dovi, Sanvi (ed.), 2011, "Risque de crédit et volatilité des spreads sur le marché de la dette privée en euro," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/6316.
• Bouchard, Bruno (ed.), 2011, "Contrôle stochastique appliqué à la finance," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/7237.
• Alexis Cellier & Pierre Chollet & Jean-François Gajewski, 2011, "Les annonces de notations extrafinancières véhiculent-elles une information au marché?," Revue Finance Contrôle Stratégie, revues.org, volume 14, issue 3, pages 5-38, September.
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