Research classified by Journal of Economic Literature (JEL) codes

2011

• Fernandez, Pablo & del Campo, Javier, 2011, "Market risk premium used in 2010 by analysts and companies: A survey with 2.400 answers," IESE Research Papers, IESE Business School, number D/912, Mar.
• Fernandez, Pablo, 2011, "201 preguntas sobre finanzas," IESE Research Papers, IESE Business School, number D/913, Mar.
• Fernandez, Pablo, 2011, "WACC: Definition, misconceptions and errors," IESE Research Papers, IESE Business School, number D/914, Mar.
• Cespa, Giovanni & Vives, Xavier, 2011, "Higher order expectations, illiquidity, and short-term trading," IESE Research Papers, IESE Business School, number D/915, Jul.
• Fernandez, Pablo & Aguirreamalloa, Javier & Corres, Luis, 2011, "US market risk premium used in 2011 by professors, analysts and companies: A survey with 5.731 answers," IESE Research Papers, IESE Business School, number D/918, May.
• Fernandez, Pablo & Aguirreamalloa, Javier & Corres, Luis, 2011, "Market risk premium used in 56 countries in 2011: A survey with 6,014 answers," IESE Research Papers, IESE Business School, number D/920, May.
• Fernandez, Pablo & Aguirreamalloa, Javier & Corres, Luis, 2011, "Prima de riesgo del mercado utilizada para España: Encuesta 2011," IESE Research Papers, IESE Business School, number D/921, May.
• Tran, Ngoc-Khanh & Zeckhauser, Richard J., 2011, "The Behavior of Savings and Asset Prices When Preferences and Beliefs Are Heterogeneous," Working Paper Series, Harvard University, John F. Kennedy School of Government, number rwp11-026, Jul.
• Avery, Christopher & Chevalier, Judith & Zeckhauser, Richard J., 2011, "The "CAPS" Prediction System and Stock Market Returns," Working Paper Series, Harvard University, John F. Kennedy School of Government, number rwp11-028, Jul.
• Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011, "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2011-11, Jun.
• Ben-David, Itzhak & Hirshleifer, David, 2011, "Beyond the Disposition Effect: Do Investors Really Like Gains More Than Losses?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2011-13, Jun.
• Lin, Xiaoji & Zhang, Lu, 2011, "Covariances versus Characteristics in General Equilibrium," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2011-15, Jul.
• Ben-David, Itzhak & Franzoni, Francesco & Landier, Augustin & Moussawi, Rabih, 2011, "Do Hedge Funds Manipulate Stock Prices?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2011-5, Feb.
• Bartram, Sohnke M. & Brown, Gregory & Stulz, Rene M., 2011, "Why Are U.S. Stocks More Volatile?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2011-6, Feb.
• Kuehn, Lars-Alexander & Petrosky-Nadeau, Nicolas & Zhang, Lu, 2011, "An Equilibrium Asset Pricing Model with Labor Market Search," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2012-01, Dec.
• Gale, Douglas & Yorulmazer, Tanju, 2011, "Liquidity Hoarding," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 11-33, Mar.
• Edmans, Alex & Fang, Vivian W. & Zur, Emanuel, 2011, "The Effect of Liquidity on Governance," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 11-60, Nov.
• P. Gagliardini & C. Gourieroux & E. Renault, 2011, "Efficient Derivative Pricing by the Extended Method of Moments," Econometrica, Econometric Society, volume 79, issue 4, pages 1181-1232, July.
• Robert J. Barro & Tao Jin, 2011, "On the Size Distribution of Macroeconomic Disasters," Econometrica, Econometric Society, volume 79, issue 5, pages 1567-1589, September, DOI: ECTA8827.
• Tim Bollerslev & Viktor Todorov, 2011, "Estimation of Jump Tails," Econometrica, Econometric Society, volume 79, issue 6, pages 1727-1783, November, DOI: ECTA9240.
• Rajnish Mehra & Facundo Piguillem & Edward C. Prescott, 2011, "Costly financial intermediation in neoclassical growth theory," Quantitative Economics, Econometric Society, volume 2, issue 1, pages 1-36, March.
• Peter C. B. Phillips & Jun Yu, 2011, "Dating the timeline of financial bubbles during the subprime crisis," Quantitative Economics, Econometric Society, volume 2, issue 3, pages 455-491, November, DOI: QE82.
• Abdul Haque & Hung-Chun Liu & Fakhar-Un-Nisa, 2011, "Testing the Weak Form Efficiency of Pakistani Stock Market (2000 2010)," International Journal of Economics and Financial Issues, Econjournals, volume 1, issue 4, pages 153-162.
• Arghyrou, Michael G. & Kontonikas, Alexandros, 2011, "The EMU sovereign-debt crisis: fundamentals, expectations and contagion," SIRE Focus Papers, Scottish Institute for Research in Economics (SIRE), number 2011-01.
• Dooruj Rambaccussing, 2011, "Do Mean Reverting based trading strategies outperform Buy and Hold?," Working Papers, Department of Applied Economics II, Universidad de Valencia, number 1113, May.
• De Cesari, Amedeo & Espenlaub, Susanne & Khurshed, Arif, 2011, "Stock repurchases and treasury share sales: Do they stabilize price and enhance liquidity?," Journal of Corporate Finance, Elsevier, volume 17, issue 5, pages 1558-1579, DOI: 10.1016/j.jcorpfin.2011.08.002.
• Oechssler, Jörg & Schmidt, Carsten & Schnedler, Wendelin, 2011, "On the ingredients for bubble formation: Informed traders and communication," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 11, pages 1831-1851, DOI: 10.1016/j.jedc.2011.05.009.
• Kraft, Holger & Kühn, Christoph, 2011, "Large traders and illiquid options: Hedging vs. manipulation," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 11, pages 1898-1915, DOI: 10.1016/j.jedc.2011.06.001.
• Yamamoto, Ryuichi, 2011, "Order aggressiveness, pre-trade transparency, and long memory in an order-driven market," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 11, pages 1938-1963, DOI: 10.1016/j.jedc.2011.06.009.
• Shaliastovich, Ivan & Tauchen, George, 2011, "Pricing of the time-change risks," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 6, pages 843-858, June.
• Posch, Olaf, 2011, "Risk premia in general equilibrium," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 9, pages 1557-1576, September.
• Stein, Jerome L., 2011, "The crisis, Fed, Quants and stochastic optimal control," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 272-280, January.
• Lee, Yuan-Ming & Wang, Kuan-Min, 2011, "The effectiveness of the sunshine effect in Taiwan's stock market before and after the 1997 financial crisis," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 710-727, January.
• Stein, Jerome L., 2011, "The crisis, Fed, Quants and stochastic optimal control," Economic Modelling, Elsevier, volume 28, issue 1, pages 272-280, DOI: 10.1016/j.econmod.2010.09.002.
• Lee, Yuan-Ming & Wang, Kuan-Min, 2011, "The effectiveness of the sunshine effect in Taiwan's stock market before and after the 1997 financial crisis," Economic Modelling, Elsevier, volume 28, issue 1, pages 710-727, DOI: 10.1016/j.econmod.2010.05.008.
• Reschreiter, Andreas, 2011, "The effects of the monetary policy regime shift to inflation targeting on the real interest rate in the United Kingdom," Economic Modelling, Elsevier, volume 28, issue 1, pages 754-759, DOI: 10.1016/j.econmod.2010.04.009.
• Chevallier, Julien, 2011, "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, volume 28, issue 6, pages 2634-2656, DOI: 10.1016/j.econmod.2011.08.003.
• Schindler, Felix & Kröncke, Tim-Alexander, 2011, "International Diversification with Securitized Real Estate and the Veiling Glare from Currency Risk," VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis, Verein für Socialpolitik / German Economic Association, number 48705.
• Kroencke, Tim Alexander & Schindler, Felix, 2011, "International diversification with securitized real estate and the veiling glare from currency risk," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 11-012.
• Kroencke, Tim Alexander & Schindler, Felix & Schrimpf, Andreas, 2011, "International diversification benefits with foreign exchange investment styles," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 11-028.
• Joseph P. Romano & Michael Wolf, 2011, "Testing for monotonicity in expected asset returns," ECON - Working Papers, Department of Economics - University of Zurich, number 017, May, revised Jan 2013.
• Tom Engsted & Stig V. Møller, 2011, "Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-07, Feb.
• Matt P. Dziubinski, 2011, "Option valuation with the simplified component GARCH model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-09, May.
• Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2011, "International Diversification Benefits with Foreign Exchange Investment Styles," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-10, Mar.
• Antonis Papapantoleon & John Schoenmakers & David Skovmand, 2011, "Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-22, Jun.
• Christian Bach, 2011, "Conservatism in Corporate Valuation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-32, Sep.
• Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2011, "Illiquidity Premia in the Equity Options Market," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-43, Apr.
• Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez, 2011, "Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-44, Jul.
• Torben G. Andersen & Oleg Bondarenko, 2011, "VPIN and the Flash Crash," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-50, Oct.
• Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen, 2011, "Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-51, Dec.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2011, "Parametric Inference and Dynamic State Recovery from Option Panels," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-11, May.
• Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern, 2011, "On the Time-Varying Relationship between Closed-End Fund Prices and Fundamentals: Bond vs. Equity Funds," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2011-07, Jul.
• Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern, 2011, "Fear and Closed-End Fund Discounts: Investor Sentiment Revisited," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2011-11, Aug.
• Alessandro Gavazza, 2011, "The Role of Trading Frictions in Real Asset Markets," American Economic Review, American Economic Association, volume 101, issue 4, pages 1106-1143, June.
• Jonathan H. Wright, 2011, "Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset," American Economic Review, American Economic Association, volume 101, issue 4, pages 1514-1534, June.
• John Y. Campbell & Stefano Giglio & Parag Pathak, 2011, "Forced Sales and House Prices," American Economic Review, American Economic Association, volume 101, issue 5, pages 2108-2131, August.
• Craig Burnside, 2011, "The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment," American Economic Review, American Economic Association, volume 101, issue 7, pages 3456-3476, December.
• Óscar Arce & David López-Salido, 2011, "Housing Bubbles," American Economic Journal: Macroeconomics, American Economic Association, volume 3, issue 1, pages 212-241, January.
• William A. Branch & George W. Evans, 2011, "Learning about Risk and Return: A Simple Model of Bubbles and Crashes," American Economic Journal: Macroeconomics, American Economic Association, volume 3, issue 3, pages 159-191, July.
• George J. Hall & Thomas J. Sargent, 2011, "Interest Rate Risk and Other Determinants of Post-WWII US Government Debt/GDP Dynamics," American Economic Journal: Macroeconomics, American Economic Association, volume 3, issue 3, pages 192-214, July.
• Simón Sosvilla-Rivero & Amalia Morales-Zumaquero, 2011, "Volatility in EMU sovereign bond yields: Permanent and transitory components," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 11-03, Apr.
• Maria PASCU-NEDELCU, 2011, "Merton Model For Assessing The Cost Of Capital, Mathematical Amount But Not Also Economic Amount Of Capm And Apt Models," Journal of Doctoral Research in Economics, The Bucharest University of Economic Studies, volume 3, issue 1, pages 47-61, March.
• Chambers, Robert G. & Grant, Simon & Polak, Ben & Quiggin, John, , "A Two-Parameter Model of Dispersion Aversion," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 151196, DOI: 10.22004/ag.econ.151196.
• Fogarty, James Joseph & Jones, Callum, , "Return to wine: A comparison of the hedonic, repeat sales, and hybrid approaches," Working Papers, University of Western Australia, School of Agricultural and Resource Economics, number 108668, DOI: 10.22004/ag.econ.108668.
• Leszek Czerwonka, 2011, "Announcement Of The Exchange Ratio Of The Merging Companies - Impact On The Acquiring Firms "," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 58, pages 83-90, november.
• Claudiu Tiberiu Albulescu & Daniel Goyeau, 2011, "Financial Volatility And Derivatives Products: A Bidirectional Relationship," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 2011, pages 57-69, july.
• Mihai Dragu, 2011, "Possible Means And Solutions For Avoiding Currency Wars," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 39, pages 211-216.
• Felicia Ramona Birau, 2011, "An Analysis Of Weak-Form Efficiency On The Bucharest Stock Exchange," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 3, issue 39, pages 194-205.
• Ioan E. NISTOR & Ioana RADU, 2011, "Global Tendencies in Investment Funds Market Development," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 13, pages 16-21, December.
• Maria-Miruna POCHEA & Angela-Maria FILIP, 2011, "The Early Exercise Premium for American Options. Empirical Study on Sibex Market," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 13, pages 188-197, December.
• M. Y. L. Li & S. M. F. Yen, 2011, "Re-examining covariance risk dynamics in international stock markets using quantile regression analysis," Acta Oeconomica, Akadémiai Kiadó, Hungary, volume 61, issue 1, pages 33-59, March.
• Jonathan E. Alevy, 2011, "Ambiguity in Individual Choice and Market Environments: On the Importance of Comparative Ignorance," Working Papers, University of Alaska Anchorage, Department of Economics, number 2011-04.
• Anufriev, M. & Hommes, C.H., 2011, "Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 11-06.
• Anufriev, M. & Bottazzi, G. & Marsili, M. & Pin, P., 2011, "Excess Covariance and Dynamic Instability in a Multi-Asset Model," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 11-09.
• Bulent Oz & Yucel Ayricay & Gokturk Kalkan, 2011, "Predicting Stock Returns With Financial Ratios: A Discriminant Analysis Application On The Ise 30 Index Stocks," Anadolu University Journal of Social Sciences, Anadolu University, volume 11, issue 3, pages 51-64, September.
• Rosangela Cavaleri & Eduardo Pontual Ribeiro, 2011, "Combinação de Previsões de Volatilidade: Um Estudo," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 12, issue 2, pages 239-261.
• Carolin E. Pflueger & Luis M. Viceira, 2011, "Inflation-Indexed Bonds and the Expectations Hypothesis," Annual Review of Financial Economics, Annual Reviews, volume 3, issue 1, pages 139-158, December.
• Christian Bluhm & Christoph Wagner, 2011, "Valuation and Risk Management of Collateralized Debt Obligations and Related Securities," Annual Review of Financial Economics, Annual Reviews, volume 3, issue 1, pages 193-222, December.
• Karen K. Lewis, 2011, "Global Asset Pricing," Annual Review of Financial Economics, Annual Reviews, volume 3, issue 1, pages 435-466, December.
• Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2011, "Predictability of Returns and Cash Flows," Annual Review of Financial Economics, Annual Reviews, volume 3, issue 1, pages 467-491, December.
• Colin A. Carter & Gordon C. Rausser & Aaron Smith, 2011, "Commodity Booms and Busts," Annual Review of Resource Economics, Annual Reviews, volume 3, issue 1, pages 87-118, October.
• Marco Bianchetti & Mattia Carlicchi, 2011, "Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR," Papers, arXiv.org, number 1103.2567, Mar, revised Apr 2012.
• Damir Filipovi'c & Eberhard Mayerhofer & Paul Schneider, 2011, "Density Approximations for Multivariate Affine Jump-Diffusion Processes," Papers, arXiv.org, number 1104.5326, Apr, revised Oct 2011.
• Damien Lamberton & Mohammed Mikou, 2011, "Exercise Boundary of the American Put Near Maturity in an Exponential L\'evy Model," Papers, arXiv.org, number 1105.0284, May.
• Martin Forde & Antoine Jacquier & Aleksandar Mijatovic, 2011, "A note on essential smoothness in the Heston model," Papers, arXiv.org, number 1107.4881, Jul.
• Craig Blackburn & Michael Sherris, 2011, "Consistent Dynamic Affine Mortality Model for Longevity Risk Applications," Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales, number 201107, May.
• Curcio, Domenico & Gianfrancesco, Igor, 2011, "A risk-adjusted pricing model for bank loans: Challenging issues from Basel II," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 4, issue 2, pages 117-145, March.
• Schröder, Thomas & Dunbar, Kwamie, 2011, "Effectively hedging the interest rate risk of wide floating-rate coupon spreads," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 4, issue 2, pages 162-179, March.
• Di Giorgio, Giorgio & Rotondi, Zeno, 2011, "Monetary policy, financial stability and interest rate rules," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 4, issue 3, pages 229-242, June.
• Matteo Mattei Gentili, 2011, "Euro and the nearly-sovereign debt," BANCARIA, Bancaria Editrice, volume 1, pages 15-17, January.
• Roberto Nicastro & Franco Tutino, 2011, "Italian banks’ profitability: improvement strategies, business models, constraints," BANCARIA, Bancaria Editrice, volume 9, pages 02-22, September.
• Johannes Vilsmeier, 2011, "Updating the Option Implied Probability of Default Methodology," Working Papers, Bavarian Graduate Program in Economics (BGPE), number 107, Oct.
• Francisco Rivadeneyra & Oumar Dissou, 2011, "A Model of the EFA Liabilities," Discussion Papers, Bank of Canada, number 11-11, DOI: 10.34989/sdp-2011-11.
• Ron Alquist & Olivier Gervais, 2011, "The Role of Financial Speculation in Driving the Price of Crude Oil," Discussion Papers, Bank of Canada, number 11-6, DOI: 10.34989/sdp-2011-6.
• Bruno Feunou & Roméo Tedongap, 2011, "A Stochastic Volatility Model with Conditional Skewness," Staff Working Papers, Bank of Canada, number 11-20, DOI: 10.34989/swp-2011-20.
• Anna Pomeranets & Daniel G. Weaver, 2011, "Security Transaction Taxes and Market Quality," Staff Working Papers, Bank of Canada, number 11-26, DOI: 10.34989/swp-2011-26.
• George Jiang & Ingrid Lo, 2011, "Private Information Flow and Price Discovery in the U.S. Treasury Market," Staff Working Papers, Bank of Canada, number 11-5, DOI: 10.34989/swp-2011-5.
• Katya Kartashova, 2011, "The Private Equity Premium Puzzle Revisited," Staff Working Papers, Bank of Canada, number 11-6, DOI: 10.34989/swp-2011-6.
• Benjamin M. Tabak & Daniel O. Cajueiro & Alexandre B. Sollaci, 2011, "Forecasting the Yield Curve for the Euro Region," Working Papers Series, Central Bank of Brazil, Research Department, number 247, Aug.
• Álvaro Cartea & José Penalva, 2011, "Where is the value in high frequency trading?," Working Papers, Banco de España, number 1111, May.
• Anton Nakov & Galo Nuño, 2011, "Learning from experience in the stock market," Working Papers, Banco de España, number 1132, Dec.
• Alessio Anzuini & Fabio Fornari, 2011, "Macroeconomic determinants of carry trade activity," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 817, Sep.
• Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2011, "Risk measures for autocorrelated hedge fund returns," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 831, Nov.
• García-Verdú Santiago, 2011, "On the Term Structure of Interest Rates of the Mexican Government," Working Papers, Banco de México, number 2011-18, Dec.
• Bernardo León & Andrés Mora, 2011, "CDS: relación con índices accionarios y medida de riesgo," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 29, issue 64, pages 178-211, July, DOI: 10.32468/Espe.6405.
• Todorov, Viktor & Tauchen, George, 2011, "Volatility Jumps," Journal of Business & Economic Statistics, American Statistical Association, volume 29, issue 3, pages 356-371.
• Edouard Challe & Giannitsarou, C., 2011, "Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach," Working papers, Banque de France, number 330.
• Alain Monfort & Jean-Paul Renne, 2011, "Default, liquidity and crises: an econometric framework," Working papers, Banque de France, number 340.
• Vladimir Borgy & Thomas Laubach & Jean-Stéphane Mésonnier & Jean-Paul Renne, 2011, "Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets," Working papers, Banque de France, number 350.
• Alain Monfort & Jean-Paul Renne, 2011, "Credit and liquidity risks in euro area sovereign yield curves," Working papers, Banque de France, number 352.
• Riedel, Frank, 2016, "Finance without probabilistic prior assumptions," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 450, Feb.
• Brangewitz, Sonja & Giraud, Gael, 2016, "Learning in Infinite Horizon Strategic Market Games with Collateral and Incomplete Information," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 456, Feb.
• Marie Brière & Ombretta Signori, 2011, "Inflation hedging portfolios in different regimes," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "Portfolio and risk management for central banks and sovereign wealth funds".
• Benjamin Born & Michael Ehrmann & Marcel Fratzscher, 2011, "Macroprudential policy and central bank communication," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "Macroprudential regulation and policy".
• Robert McCauley & Michela Scatigna, 2011, "Foreign exchange trading in emerging currencies: more financial, more offshore," BIS Quarterly Review, Bank for International Settlements, March.
• James J. Fogarty & Callum Jones, 2011, "Return To Wine: A Comparison Of The Hedonic, Repeat Sales And Hybrid Approaches," Australian Economic Papers, Wiley Blackwell, volume 50, issue 4, pages 147-156, December, DOI: j.1467-8454.2011.00416.x.
• Heinrich W. Ursprung & Christian Wiermann, 2011, "Reputation, Price, And Death: An Empirical Analysis Of Art Price Formation," Economic Inquiry, Western Economic Association International, volume 49, issue 3, pages 697-715, July.
• G. William Schwert, 2011, "Stock Volatility during the Recent Financial Crisis," European Financial Management, European Financial Management Association, volume 17, issue 5, pages 789-805, November, DOI: 10.1111/j.1468-036X.2011.00620.x.
• Huseyin Gulen & Yuhang Xing & Lu Zhang, 2011, "Value versus Growth: Time‐Varying Expected Stock Returns," Financial Management, Financial Management Association International, volume 40, issue 2, pages 381-407, June.
• Alexander Puetz & Stefan Ruenzi, 2011, "Overconfidence Among Professional Investors: Evidence from Mutual Fund Managers," Journal of Business Finance & Accounting, Wiley Blackwell, volume 38, issue 5-6, pages 684-712, June, DOI: j.1468-5957.2010.02237.x.
• Christian Gollier & Edward Schlee, 2011, "Information And The Equity Premium," Journal of the European Economic Association, European Economic Association, volume 9, issue 5, pages 871-902, October, DOI: j.1542-4774.2011.01034.x.
• Efraim Benmelech & Nittai K. Bergman, 2011, "Bankruptcy and the Collateral Channel," Journal of Finance, American Finance Association, volume 66, issue 2, pages 337-378, April.
• Stefan Nagel & Kenneth J. Singleton, 2011, "Estimation and Evaluation of Conditional Asset Pricing Models," Journal of Finance, American Finance Association, volume 66, issue 3, pages 873-909, June.
• Viral V. Acharya & Douglas Gale & Tanju Yorulmazer, 2011, "Rollover Risk and Market Freezes," Journal of Finance, American Finance Association, volume 66, issue 4, pages 1177-1209, August.
• Thierry Foucault & David Sraer & David J. Thesmar, 2011, "Individual Investors and Volatility," Journal of Finance, American Finance Association, volume 66, issue 4, pages 1369-1406, August.
• Patrick Bolton & Hui Chen & Neng Wang, 2011, "A Unified Theory of Tobin's q, Corporate Investment, Financing, and Risk Management," Journal of Finance, American Finance Association, volume 66, issue 5, pages 1545-1578, October, DOI: j.1540-6261.2011.01681.x.
• David Backus & Mikhail Chernov & Ian Martin, 2011, "Disasters Implied by Equity Index Options," Journal of Finance, American Finance Association, volume 66, issue 6, pages 1969-2012, December, DOI: j.1540-6261.2011.01697.x.
• Tim Bollerslev & Viktor Todorov, 2011, "Tails, Fears, and Risk Premia," Journal of Finance, American Finance Association, volume 66, issue 6, pages 2165-2211, December, DOI: j.1540-6261.2011.01695.x.
• J. Ginger Meng & Gang Hu & Jushan Bai, 2011, "Olive: A Simple Method For Estimating Betas When Factors Are Measured With Error," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, volume 34, issue 1, pages 27-60, March.
• Michael R. King & Carol Osler & Dagfinn Rime, 2011, "Foreign exchange market structure, players and evolution," Working Paper, Norges Bank, number 2011/10, Aug.
• Kevin J. Lansing, 2011, "Asset pricing with concentrated ownership of capital," Working Paper, Norges Bank, number 2011/18, Dec.
• Martin Andreasen & Pawel Zabczyk, 2011, "An efficient method of computing higher-order bond price perturbation approximations," Bank of England working papers, Bank of England, number 416, Mar.
• Martin Andreasen, 2011, "How non-Gaussian shocks affect risk premia in non-linear DSGE models," Bank of England working papers, Bank of England, number 417, Mar.
• Bianca De Paoli & Pawel Zabczyk, 2011, "Cyclical risk aversion, precautionary saving and monetary policy," Bank of England working papers, Bank of England, number 418, Apr.
• Michael Hatcher, 2011, "Time-varying volatility, precautionary saving and monetary policy," Bank of England working papers, Bank of England, number 440, Oct.
• Pragyan Deb & Mark Manning & Gareth Murphy & Adrian Penalver & Aron Toth, 2011, "Financial Stability Paper No 9: Whither the Credit Ratings Industry?," Bank of England Financial Stability Papers, Bank of England, number 9, Mar.
• Heather D. Gibson & Stephan G. Hall & George S. Tavlas, 2011, "The Greek financial crisis: growing imbalances and sovereign spreads," Working Papers, Bank of Greece, number 124, Mar.
• Alexandros E. Milionis & Dimitra K. Patsouri, 2011, "A conditional CAPM; implications for the estimation of systematic risk," Working Papers, Bank of Greece, number 131, May.
• Polina Dovman & Sigal Ribon & Yossi Yakhin, 2011, "The Housing Market in Israel 2008-2010: Are House Prices A "Bubble"?," Bank of Israel Working Papers, Bank of Israel, number 2011.06, Jul.
• Ippei Fujiwara & Koji Takahashi, 2011, "Asian Financial Linkage: Macro-Finance Dissonance," Bank of Japan Working Paper Series, Bank of Japan, number 11-E-6, Aug.
• Hail Park, 2011, "Limits to Arbitrage in the Swap and Bond Markets: the Case of Korea," Working Papers, Economic Research Institute, Bank of Korea, number 2011-14, May.
• M. Marzo & L. Zhoushi & P. Zagaglia, 2011, "The Relationship Between Financial Risk Premia and Macroeconomic Volatility: Issues and Perspectives on the Run-Up to the Turmoil," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp732, Feb.
• M. Marzo & D. Ritelli & P. Zagaglia, 2011, "Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp797, Nov.
• A. Gabrielsen & M. Marzo & P. Zagaglia, 2011, "Measuring market liquidity: An introductory survey," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp802, Dec.
• Pierre Perron & Sungju Chun & Cosme Vodounou, 2011, "Sampling Interval and Estimated Betas: Implications for the Presence of Transitory Components in Stock Prices," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2011-055, Jan.
• Dahl Christian M & Iglesias Emma, 2011, "Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary," Journal of Time Series Econometrics, De Gruyter, volume 3, issue 1, pages 1-32, February, DOI: 10.2202/1941-1928.1093.
• Jens Hilscher & Mungo Wilson, 2011, "Credit ratings and credit risk," Working Papers, Brandeis University, Department of Economics and International Business School, number 31, Jun.
• Jens Hilscher & Joshua M. Pollet & Mungo Wilson, 2011, "Are credit default swaps a sideshow? Evidence that Information Flows from Equity to CDS Markets," Working Papers, Brandeis University, Department of Economics and International Business School, number 35, Jul, revised May 2013.
• Pavel Bandarchuk & Jens Hilscher, 2011, "Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics," Working Papers, Brandeis University, Department of Economics and International Business School, number 38, Sep.
• Guntram B. Wolff, 2011, "Rules and risk in the euro area," Bruegel Working Papers, Bruegel, number 615, Oct.
• Frederico Valle e Flister & Aureliano Angel Bressan & Hudson Fernandes Amaral, 2011, "Conditional CAPM in the Brazilian Market: a study of the Moment, Size and Book to Market effects between 1995 and 2008," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 1, pages 105-129.
• Rafael Barros de Rezende, 2011, "Giving Flexibility to the Nelson-Siegel Class of Term Structure Models," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 1, pages 27-49.
• Kelmara Mendes Vieira & João Luiz Becker, 2011, "Structural Equation Modeling Applied to the Reaction to Stock Dividends and Stock Splits: integrating signaling, liquidity and optimal price level," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 1, pages 69-104.
• José Renato Haas Ornelas & Marcelo Yoshio Takami, 2011, "Recovering Risk-Neutral Densities from Brazilian Interest Rate Options," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 1, pages 9-26.
• Denisard Cneio de Oliveira Alves & Joe Akira Yoshino & Paula Carvalho Pereda & Carla Jucá Amrein, 2011, "Modeling House Pricing in the Real Estate Market of São Paulo City," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 2, pages 167-187.
• Thiago Bergmann de Queiroz & Otávio Ribeiro de Medeiros & José Carneiro da Cunha Oliveira Neto, 2011, "Evidence of speculative bubbles on the BOVESPA: an application of the Kalman filter," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 2, pages 257-275.
• Marcelo Ganem & Tara Keshar Nanda Baidya, 2011, "Asymmetry and Risk Premia in the Brazilian Term Structure of Interest Rates," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 2, pages 277-301.
• Márcio André Veras Machado & Otávio Ribeiro de Medeiros, 2011, "Asset Pricing Model and the Liquidity Effect: Empirical Evidence in the Brazilian Stock Market," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 3, pages 383-412.
• Alan De Genaro Dario & Mariela Fernández, 2011, "Generating Interest Rate Stress Scenarios," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 3, pages 413-436.
• Christophe Boucher & Bertrand Maillet, 2011, "Une analyse temps-fréquences des cycles financiers," Revue économique, Presses de Sciences-Po, volume 62, issue 3, pages 441-450.
• Mohamed El Hédi Arouri & Philippe Foulquier & Julien Fouquau, 2011, "Oil Prices and Stock Markets in Europe: A Sector Perspective," Recherches économiques de Louvain, De Boeck Université, volume 77, issue 1, pages 5-30.
• Laurent Daniel & Pavel Diev, 2011, "Vers une agence européenne de la dette ?," Revue de l'OFCE, Presses de Sciences-Po, volume 0, issue 1, pages 253-275.
• Carlos Santos, 2011, "The Euro Sovereign Debt Crisis, Determinants of Default Probabilities and Implied Ratings in the CDS Market: An Econometric Analysis," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 02, May.
• Kennedy, Gerard & McIndoe Calder, Tara, 2011, "The Irish Mortgage Market: Stylised Facts, Negative Equity and Arrears," Research Technical Papers, Central Bank of Ireland, number 12/RT/11, Nov.
• Kelly, Robert, 2011, "The Good, The Bad and The Impaired - A Credit Risk Model of the Irish Mortgage Market," Research Technical Papers, Central Bank of Ireland, number 13/RT/11, Nov.
• Dunne, Peter & Forker, John & Zholos, Andrey, 2011, "The Value Relevance of Sentiment," Research Technical Papers, Central Bank of Ireland, number 5/RT/11, Mar.
• Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer, 2011, "Risk Spillovers in Oil-Related CDS, Stock and Credit Markets," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/17, Apr.
• Theodoros M. Diasakos, 2011, "Other Assets' Risk: Asset-Prices and Perceptions of Asset-Risk," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 210.
• Theodoros M. Diasakos, 2011, "A Simple Characterization of Dynamic Completeness in Continuous Time," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 211.
• Riccardo Giacomelli & Elisa Luciano, 2011, "Equilibrium price of immediacy and infrequent trade," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 221, revised 2013.
• David C. Allan & Philippe Bergevin, 2011, "Better Braking for ABS: Reform Proposals for the Asset-Backed Securities Market," e-briefs, C.D. Howe Institute, number 123, Sep.
• Friedman, Dan & Sunder, Shyam, 2011, "Risky Curves: From Unobservable Utility to Observable Opportunity Sets," Santa Cruz Department of Economics, Working Paper Series, Department of Economics, UC Santa Cruz, number qt36q158jt, Jun.
• Rodolfo Apreda, 2011, "Multiplicative models of financial returns an what we fail to get when they are disregarded," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 454, May.
• Klaus Adam & Albert Marcet, 2011, "Booms and Busts in Asset Prices," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp1059, Jul.
• Klaus Adam & Albert Marcet, 2011, "Internal Rationality, Imperfect Market Knowledge and Asset Prices," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp1068, Aug.
• Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2011, "Stock Market Volatility and Learning," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp1077, Sep.
• Giovanni Cespa & Xavier Vives, 2011, "Expectations, Liquidity, and Short-term Trading," CESifo Working Paper Series, CESifo, number 3390.
• Burkhard Heer & Alfred Maussner, 2011, "Asset Returns, the Business Cycle, and the Labor Market: A Sensitivity Analysis for the German Economy," CESifo Working Paper Series, CESifo, number 3391.
• Peter CAUWELS & Didier SORNETTE, 2011, "Quis pendit ipsa pretia: facebook valuation and diagnostic of a bubble based on nonlinear demographic dynamics," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-59, Oct.
• Brice Corgnet & Praveen Kujal & David Porter, 2011, "Reaction to Public Information in Markets: How Much Does Ambiguity Matter?," Working Papers, Chapman University, Economic Science Institute, number 11-01.
• Brice Corgnet & Praveen Kujal & David Porter, 2011, "The Effect of Reliability, Content and Timing of Public Announcements on Asset Trading Behavior," Working Papers, Chapman University, Economic Science Institute, number 11-02.
• Cary Deck & David Porter & Vernon L. Smith, 2011, "Double Bubbles in Assets Markets with Multiple Generations," Working Papers, Chapman University, Economic Science Institute, number 11-10.
• Jean-Marie Dufour & René Garcia & Abderrahim Taamouti, 2011, "Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility," CIRANO Working Papers, CIRANO, number 2011s-27, Feb.
• Ana Fostel & John Geanakoplos, 2011, "Tranching, CDS and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes," Levine's Working Paper Archive, David K. Levine, number 786969000000000168, Jul.
• Ana Fostel & John Geanakoplos, 2011, "Tranching, CDS and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes," Levine's Working Paper Archive, David K. Levine, number 786969000000000192, Aug.
• Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2011, "Information Aggregation, Investment, and Managerial Incentives," Levine's Working Paper Archive, David K. Levine, number 786969000000000197, Aug.
• Alexis Derviz, 2011, "Financial Frictions, Bubbles, and Macroprudential Policies," Working Papers, Czech National Bank, Research and Statistics Department, number 2011/04, Sep.
• Zlatuse Komarkova & Adam Gersl & Lubos Komarek, 2011, "Models for Stress Testing Czech Banks' Liquidity Risk," Working Papers, Czech National Bank, Research and Statistics Department, number 2011/11, Nov.
• Fiori Maccioni, 2011, "The risk neutral valuation paradox," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201112.
• Sergio Mayordomo & Juan Ignacio Peña & Juan Romo, 2011, "A New Test of Statistical Arbitrage with Applications to Credit Derivatives Markets," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 4.
• Sergio Mayordomo & Juan Ignacio Peña & Eduardo S. Schwartz, 2011, "Towards a common European Monetary Union risk free rate," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 5.
• Jairo Andr√©s Rend√≥n, 2011, "The Carry Trade Risk Factor on U.S. Stock Returns," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 9255, Nov.