Research classified by Journal of Economic Literature (JEL) codes

2011

• Claudiu Tiberiu ALBULESCU, 2011, "Macro-Financial Risks and Central Banks: What Changes Has the Crisis Triggered?," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, volume 4, issue 3(15), pages 135-142.
• Krzysztof M. Piasecki, 2011, "Effectiveness of securities with fuzzy probabilistic return," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, volume 21, issue 2, pages 65-78.
• Franke, Reiner & Westerhoff, Frank, 2011, "Structural stochastic volatility in asset pricing dynamics: Estimation and model contest," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 78.
• Dieci, Roberto & Westerhoff, Frank, 2011, "On the inherent instability of international financial markets: Natural nonlinear interactions between stock and foreign exchange markets," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 79.
• Franke, Reiner & Westerhoff, Frank, 2011, "Why a simple herding model may generate the stylized facts of daily returns: Explanation and estimation," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 83.
• Westerhoff, Frank, 2011, "Interactions between the real economy and the stock market," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 84.
• Puzanova, Natalia, 2011, "A hierarchical model of tail dependent asset returns for assessing portfolio credit risk," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2011,16.
• Hanauer, Matthias & Kaserer, Christoph & Rapp, Marc Steffen, 2011, "Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2011-01.
• Artmann, Sabine & Finter, Philipp & Kempf, Alexander, 2011, "Determinants of expected stock returns: Large sample evidence from the German market," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 10-01 [rev.].
• Finter, Philipp & Niessen-Ruenzi, Alexandra & Ruenzi, Stefan, 2011, "The impact of investor sentiment on the German stock market," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 10-03 [rev.].
• Hengelbrock, Jördis & Theissen, Erik & Westheide, Christian, 2011, "Market response to investor sentiment," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-01.
• Jank, Stephan, 2011, "Mutual fund flows, expected returns, and the real economy," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-04.
• Heinrichs, Nicolas & Hess, Dieter & Homburg, Carsten & Lorenz, Michael & Sievers, Soenke, 2011, "Extended dividend, cash flow and residual income valuation models: Accounting for deviations from ideal conditions," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-11.
• Hess, Dieter & Immenkötter, Philipp, 2011, "Optimal leverage, its benefits, and the business cycle," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-12.
• Hess, Dieter & Orbe, Sebastian, 2011, "Irrationality or efficiency of macroeconomic survey forecasts? Implications from the anchoring bias test," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-13.
• Hengelbrock, Jördis & Theissen, Erik & Westheide, Christian, 2011, "Market response to investor sentiment," CFS Working Paper Series, Center for Financial Studies (CFS), number 2011/02.
• Hewicker, Harald & Cremers, Heinz, 2011, "Modellierung von Zinsstrukturkurven," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 165.
• Reicher, Christopher Phillip, 2011, "On the neutrality of credit-driven asset bubbles," Kiel Working Papers, Kiel Institute for the World Economy, number 1679.
• Michailova, Julija & Schmidt, Ulrich, 2011, "Overconfidence and bubbles in experimental asset markets," Kiel Working Papers, Kiel Institute for the World Economy, number 1729.
• Lux, Thomas & Morales-Arias, Leonardo & Sattarhoff, Cristina, 2011, "A Markov-switching multifractal approach to forecasting realized volatility," Kiel Working Papers, Kiel Institute for the World Economy, number 1737.
• Leövey, Andrés E. & Lux, Thomas, 2011, "Parameter estimation and forecasting for multiplicative lognormal cascades," Kiel Working Papers, Kiel Institute for the World Economy, number 1746.
• Will, Matthias Georg, 2011, "A new empirical approach to explain the stock market yield: A combination of dynamic panel estimation and factor analysis," Discussion Papers, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics, number 2011-8.
• 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.

2010

• Maurizio Polato & Josanco Floreani, 2010, "Distribution of Illiquid Financial Products: The Case of Italy," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), volume 16, issue 4, pages 848-859, February, DOI: 10.1007/s11300-009-0114-x.
• Adela Deaconu & Anuţa Buiga & Cristina Nistor, 2010, "The Value Relevance of Fair Value," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), volume 17, issue 1, pages 151-169, May, DOI: 10.1007/s11300-010-0131-9.
• Lieven Baele & Pilar Soriano, 2010, "The determinants of increasing equity market comovement: economic or financial integration?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 146, issue 3, pages 573-589, September, DOI: 10.1007/s10290-010-0060-z.
• Peter Julian A Cayton & Dennis S Mapa & Mary Therese A Lising, 2010, "Estimating Value At Risk Var Using Tivex Pot Models," Journal of Advanced Studies in Finance, ASERS Publishing, volume 1, issue 2, pages 152-170.
• Giulio Bottazzi & Pietro Dindo, 2010, "Evolution and market behavior with endogenous investment rules," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2010/20, Nov.
• Erling Røed Larsen, 2010, "Markets where buyers also are sellers. How realized home equity may work as an accelerator of house prices," Discussion Papers, Statistics Norway, Research Department, number 618, May.
• Vasco Gabriel & Luis Martins, 2010, "Cointegration Tests under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship," School of Economics Discussion Papers, School of Economics, University of Surrey, number 0910, Sep.
• Nigel Stapledon, 2010, "A History of Housing Prices in Australia 1880-2010," Discussion Papers, School of Economics, The University of New South Wales, number 2010-18, Nov.
• Manfred Gartner, 2010, "Predicting the presidential election cycle in US stock prices: guinea pigs versus the pros," Applied Economics Letters, Taylor & Francis Journals, volume 17, issue 18, pages 1759-1765, DOI: 10.1080/13504850903299602.
• Paul Soderlind, 2010, "Predicting stock price movements: regressions versus economists," Applied Economics Letters, Taylor & Francis Journals, volume 17, issue 9, pages 869-874, DOI: 10.1080/17446540802584871.
• Luciana Reis & Roberto Meurer & Sergio Da Silva, 2010, "Stock returns and foreign investment in Brazil," Applied Financial Economics, Taylor & Francis Journals, volume 20, issue 17, pages 1351-1361, DOI: 10.1080/09603107.2010.498342.
• Kurt Brannas & A. M. M. Shahiduzzaman Quoreshi, 2010, "Integer-valued moving average modelling of the number of transactions in stocks," Applied Financial Economics, Taylor & Francis Journals, volume 20, issue 18, pages 1429-1440, DOI: 10.1080/09603107.2010.498343.
• Michail Koubouros & Dimitrios Malliaropulos & Ekaterini Panopoulou, 2010, "Long-run cash flow and discount-rate risks in the cross-section of US returns," The European Journal of Finance, Taylor & Francis Journals, volume 16, issue 3, pages 227-244, DOI: 10.1080/13518470903102419.
• Alain Chaney & Martin Hoesli, 2010, "The interest rate sensitivity of real estate," Journal of Property Research, Taylor & Francis Journals, volume 27, issue 1, pages 61-85, May, DOI: 10.1080/09599916.2010.500815.
• Neil Crosby & Colin Lizieri & Patrick McAllister, 2010, "Means, motive and opportunity? Disentangling client influence on performance measurement appraisals," Journal of Property Research, Taylor & Francis Journals, volume 27, issue 2, pages 181-201, April, DOI: 10.1080/09599916.2010.499014.
• Youwei Li & Bas Donkers & Bertrand Melenberg, 2010, "Econometric analysis of microscopic simulation models," Quantitative Finance, Taylor & Francis Journals, volume 10, issue 10, pages 1187-1201, DOI: 10.1080/14697680903460176.
• D. Guegan & J. Zhang, 2010, "Change analysis of a dynamic copula for measuring dependence in multivariate financial data," Quantitative Finance, Taylor & Francis Journals, volume 10, issue 4, pages 421-430, DOI: 10.1080/14697680902933041.
• Denis Belomestny & John Schoenmakers, 2010, "A jump-diffusion Libor model and its robust calibration," Quantitative Finance, Taylor & Francis Journals, volume 11, issue 4, pages 529-546, DOI: 10.1080/14697680903295176.
• Turhan Korkmaz & Emrah I. Çevik & Elif Birkan & Nesrin ÖzataÇ, 2010, "Testing Capm using Markov Switching Model: The Case of Coal Firms," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, volume 23, issue 2, pages 44-59, January, DOI: 10.1080/1331677X.2010.11517411.
• Dungey, Mardi & Jeyasreedharan, Nagaratnam & Li, Tuo, 2010, "Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 10451, May, revised 30 May 2012.
• Harun Alp & Hakan Kara & Gursu Keles & Refet Gurkaynak & Musa Orak, 2010, "Turkiye�de Piyasa Gostergelerinden Para Politikasi Beklentilerinin Olculmesi," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1011.
• L.C.G. Pozzi & C.G. de Vries & J. Zenhorst, 2010, "World Equity Premium based Risk Aversion Estimates," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-007/2, Jan.
• Erik R. de Wit & Peter Englund & Marc Francke, 2010, "Price and Transaction Volume in the Dutch Housing Market," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-039/2, Apr.
• Casper van Ewijk & Henri L.F. de Groot & Coos Santing, 2010, "A Meta-Analysis of the Equity Premium," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-078/3, Aug.
• Alessandro Beber & Marco Pagano, 2010, "Short-Selling Bans around the World: Evidence from the 2007-09 Crisis," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-106/2/DSF 1, Oct.
• Erik R. de Wit, 2010, "Competing Risks in a Time on the Market Analysis," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-108/2, Oct.
• Yvonne Adema, 2010, "Pensions, Debt and Inflation Risk in a Monetary Union," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-109/2, Oct.
• Cem Cakmakli & Dick van Dijk, 2010, "Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-115/4, Nov.
• Mahmoud Botshekan & Roman Kraeussl & Andre Lucas, 2010, "Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-116/2/DSF 3, Nov.
• Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010, "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-705, Jan.
• Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010, "Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-744, May.
• Shin-ichi Fukuda, 2010, "Market-specific and Currency-specific Risk during the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-759, Sep.
• Denis Gromb & Dimitri Vayanos, 2010, "A Model of Financial Market Liquidity Based on Intermediary Capital," Journal of the European Economic Association, MIT Press, volume 8, issue 2-3, pages 456-466, 04-05.
• Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2010, "Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices," TSE Working Papers, Toulouse School of Economics (TSE), number 10-187, Jun.
• Biais, Bruno & Hombert, Johan & Weill, Pierre-Olivier, 2010, "Trading and Liquidity with Limited Cognition," TSE Working Papers, Toulouse School of Economics (TSE), number 10-242, Dec.
• Drelichman, Mauricio & Voth, Hans-Joachim, 2010, "Serial Defaults, Serial Profits: Returns to Sovereign Lending in Habsburg Spain, 1566-1600," Economics working papers, Vancouver School of Economics, number mauricio_drelichman-2010-, Apr, revised 04 Jul 2011.
• Carmine Trecroci, 2010, "Multifactors risk loadings and abnormal returns under uncertainty and learning," Working Papers, University of Brescia, Department of Economics, number 1011.
• John Cotter & Jim Hanly, 2010, "Hedging: Scaling and the Investor Horizon," Working Papers, Geary Institute, University College Dublin, number 201002, Jan.
• Don Bredin & Cal Muckley, 2010, "An Analysis of the EU Emission Trading Scheme," Working Papers, Geary Institute, University College Dublin, number 201003, Jan.
• Karl Case & John Cotter & Stuart Gabriel, 2010, "Housing Risk and Return: Evidence From a Housing Asset-Pricing Model," Working Papers, Geary Institute, University College Dublin, number 201005, Jan.
• John Cotter & Jim Hanly, 2010, "Time Varying Risk Aversion: An Application to Energy Hedging," Working Papers, Geary Institute, University College Dublin, number 201007, Jan.
• Erik Snowberg & Justin Wolfers, 2010, "Explaining the Favorite-Long Shot Bias: Is it Risk-Love or Misperceptions?," Journal of Political Economy, University of Chicago Press, volume 118, issue 4, pages 723-746, August, DOI: 10.1086/655844.
• Thomas Schroeder & Kwamie Dunbar, 2010, "Effectively Hedging the Interest Rate Risk of Wide Floating Rate Coupon Spreads," Working papers, University of Connecticut, Department of Economics, number 2010-05, Feb.
• Marie Briere & Alexandre Burgues & Ombretta Signori, 2010, "Volatility exposure for strategic asset allocation," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/169642, Mar.
• Lieven de Moor & Piet Sercu, 2010, "Country v sector effects in equity returns and the roles of geographical and firm-size coverage," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/191025, Nov.
• Francisco Peñaranda & Enrique Sentana, 2010, "A unifying approach to the empirical evaluation of asset pricing models," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1229, Jul.
• Fabio Tramontana & Frank Westerhoff & Laura Gardini, 2010, "On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders," Working Papers, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, number 1005, revised 2010.
• Mansor H. Ibrahim, 2010, "Short-horizon Asymmetry in Conditional Mean of Asean Stock Market Returns," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, volume 6, issue 2, pages 115-128.
• Ron Bird & Susan Thorp, 2010, "Hedge Fund Excess Returns Under Time-Varying Beta," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 9, Sep.
• Xue-Zhong He & Youwei Li, 2005, "Heterogeneity, Profitability and Autocorrelations," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 147, Jan.
• Xue-Zhong He & Lei Shi, 2010, "Differences in Opinion and Risk Premium," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 271, Feb.
• Jörg Kienitz & Manuel Wittke, 2010, "Option Valuation in Multivariate SABR Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 272, Feb.
• Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2010, "Time-Varying Beta: A Boundedly Rational Equilibrium Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 275, May.
• Leonardo Morales-Arias & Alexander Dross, 2010, "Adaptive Forecasting of Exchange Rates with Panel Data," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 285, Oct.
• Gheorghe NISTOROIU, 2010, "Valuation Review for Financial Audit," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 5, issue 1, pages 22-41.
• Peter BUTLER, 2010, "Beta or Total Beta? The Answer Depends on the "Company" It Keeps," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 5, issue 1, pages 4-21.
• Daniela POPESCU & Sven BIENERT & Christian SCHUTZENHOFER & Rodica BOAZU, 2010, "Proposed Methods for Valuation of Energy Efficient Buildings," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 5, issue 1, pages 42-57.
• Ignacio VELEZ-PAREJA & Joseph THAM, 2010, "Company's Valuation in an Emerging Economy - Case Study TIMANCO S.A," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 5, issue 2, pages 4-45.
• Felipe MEJIA-PELAEZ & Ignacio VELEZ-PAREJA, 2010, "Cost of Equity and Weighted Average Cost of Capital for Perpetuities, with Constant Growth," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 5, issue 2, pages 88-121.
• Benjamin Eden, 2010, "Consumption Smoothing and the Equity Premium," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 1011, Nov.
• Alessandro Fontana, 2010, "The Persistent Negative Cds-Bond Basis during the 2007/08 Financial Crisis," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2010_13.
• Silvia Centanni & Marco Minozzo, 2010, "Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks," Working Papers, University of Verona, Department of Economics, number 22/2010, Dec.
• Oehler Sincai, Iulia Monica, 2010, "Us Treasury Securities Market: Recent Evolutions, Short And Medium Term Prospects," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 14, issue 1, pages 150-165.
• Nikolaos Giannellis & Angelos Kanas & Athanasios P. Papadopoulos, 2010, "Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from the UK and the US," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 57, issue 4, pages 429-445.
• Anginer, Deniz & Yildizhan, Celim, 2010, "Is there a distress risk anomaly ? pricing of systematic default risk in the cross section of equity returns," Policy Research Working Paper Series, The World Bank, number 5319, Jan.
• Amit Bhaduri, 2010, "The Implications of Financial Asset and Housing Markets on Profit- and Wage-led Growth: Some Results in Comparative Statics," wiiw Working Papers, The Vienna Institute for International Economic Studies, wiiw, number 62, Feb.
• Amit Bhaduri, 2010, "A Contribution to the Theory of Financial Fragility and Crisis," wiiw Working Papers, The Vienna Institute for International Economic Studies, wiiw, number 65, May.
• Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2010, "New Keynesian Macroeconomics and the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, volume 42, issue 1, pages 33-62, February, DOI: 10.1111/j.1538-4616.2009.00277.x.
• Elisa Luciano & Patrizia Semeraro, 2010, "A Generalized Normal Mean-Variance Mixture For Return Processes In Finance," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 13, issue 03, pages 415-440, DOI: 10.1142/S0219024910005838.
• Rüdiger Kiesel & Matthias Scherer & Rudi Zagst (ed.), 2010, "Alternative Investments and Strategies," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7373, ISBN: ARRAY(0x62807c78), March.
• Gabriele Di Filippo, 2010, "Conventions in the Foreign Exchange Market:Do they really explain Exchange Rate Dynamics?," FIW Working Paper series, FIW, number 044, Jan.
• Dubravka Benaković & Petra Posedel, 2010, "Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market," EFZG Working Papers Series, Faculty of Economics and Business, University of Zagreb, number 1012, Dec.
• Huang, Haishi, 2010, "Convertible Bonds: Risks and Optimal Strategies," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 07/2010.
• Huang, Haishi, 2010, "Convertible Bonds: Default Risk and Uncertain Volatility," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 09/2010.
• Gerlach, Stefan & Schulz, Alexander & Wolff, Guntram B., 2010, "Banking and sovereign risk in the euro area," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2010,09.
• Eichler, Stefan & Karmann, Alexander & Maltritz, Dominik, 2010, "Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2010,01.
• Lengnick, Matthias & Wohltmann, Hans-Werner, 2010, "Agent-based financial markets and New Keynesian macroeconomics: A synthesis," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2010-10.
• Pütz, Alexander & Ruenzi, Stefan, 2010, "Overconfidence among professional investors: Evidence from mutual fund managers," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 08-08 [rev.].
• Artmann, Sabine & Finter, Philipp & Kempf, Alexander, 2010, "Determinants of expected stock returns: Large sample evidence from the German market," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 10-01.
• Finter, Philipp & Niessen-Ruenzi, Alexandra & Ruenzi, Stefan, 2010, "The impact of investor sentiment on the German stock market," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 10-03.
• Artmann, Sabine & Finter, Philipp & Kempf, Alexander & Koch, Stefan & Theissen, Erik, 2010, "The cross-Section of German stock returns: New data and new evidence," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 10-12.
• Grammig, Joachim G. & Jank, Stephan, 2010, "Creative destruction and asset prices," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 10-14.
• Jank, Stephan & Wedow, Michael, 2010, "Sturm und Drang in money market funds: When money market funds cease to be narrow," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 10-16.
• Jegadeesh, Narasimhan & Kräussl, Roman & Pollet, Joshua, 2010, "Risk and expected returns of private equity investments: Evidence based on market prices," CFS Working Paper Series, Center for Financial Studies (CFS), number 2010/04.
• Konijn, Sander J. J. & Kräussl, Roman & Lucas, André, 2010, "Blockholder dispersion and firm value," CFS Working Paper Series, Center for Financial Studies (CFS), number 2010/05.
• Draus, Sarah, 2010, "Does inter-market competition lead to less regulation?," CFS Working Paper Series, Center for Financial Studies (CFS), number 2010/13.
• Hendershott, Terrence & Menkveld, Albert J., 2010, "Price pressures," CFS Working Paper Series, Center for Financial Studies (CFS), number 2010/14.
• Botshekan, Mahmoud & Kräussl, Roman & Lucas, André, 2010, "Cash flow and discount rate risk in up and down markets: What is actually priced?," CFS Working Paper Series, Center for Financial Studies (CFS), number 2010/20.
• Verrier, Tatjana, 2010, "Selected Essays in Stock Market Liquidity. Innovative XLM Measure at the Frankfurt Stock Exchange: Cloudy Skies, Time of the Day and the Role of Designated Sponsors for Stock Market Liquidity," EconStor Theses, ZBW - Leibniz Information Centre for Economics, number 41600.
• Bernoth, Kerstin & Erdogan, Burcu, 2010, "Sovereign bond yield spreads: a time-varying coefficient approach," Discussion Papers, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics, number 289.
• Dreger, Christian & Zhang, Yanqun, 2010, "Is there a bubble in the Chinese housing market?," Discussion Papers, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics, number 290.
• Heidorn, Thomas & Kaiser, Dieter G. & Voinea, Andre, 2010, "The value-added of investable hedge fund indices," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 141.
• Hachicha, Nizar, 2010, "New sight of herding behavioural through trading volume," Economics Discussion Papers, Kiel Institute for the World Economy, number 2010-11.
• Stein, Jerome L., 2010, "Alan Greenspan, the quants and stochastic optimal control," Economics Discussion Papers, Kiel Institute for the World Economy, number 2010-17.
• Freeman, Mark C., 2010, "Yes, we should discount the far-distant future at its lowest possible rate: A resolution of the Weitzman-Gollier puzzle," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 4, pages 1-21, DOI: 10.5018/economics-ejournal.ja.2010-.
• Herwartz, Helmut & Morales-Arias, Leonardo, 2010, "An empirical analysis of the relationship between US monetary policy and international asset prices," Kiel Working Papers, Kiel Institute for the World Economy, number 1581.
• Reicher, Christopher Phillip, 2010, "Credit bubbles and land bubbles," Kiel Working Papers, Kiel Institute for the World Economy, number 1635.
• Morales-Arias, Leonardo & Dross, Alexander, 2010, "Adaptive forecasting of exchange rates with panel data," Kiel Working Papers, Kiel Institute for the World Economy, number 1656.
• Horst, Ulrich & Pirvu, Traian A. & Dos Reis, Gonçalo, 2010, "On securitization, market completion and equilibrium risk transfer," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-010.
• Horst, Ulrich & Naujokat, Felix, 2010, "Illiquidity and derivative valuation," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-011.
• Härdle, Wolfgang Karl & Trück, Stefan, 2010, "The dynamics of hourly electricity prices," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-013.
• Grith, Maria & Härdle, Wolfgang Karl & Schienle, Melanie, 2010, "Nonparametric estimation of risk-neutral densities," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-021.
• Guo, Mengmeng & Härdle, Wolfgang Karl, 2010, "Adaptive interest rate modelling," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-029.
• Song, Song & Härdle, Wolfgang Karl & Ritov, Ya'acov, 2010, "High dimensional nonstationary time series modelling with generalized dynamic semiparametric factor model," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-039.
• Härdle, Wolfgang Karl & Schulz, Rainer & Wang, Weining, 2010, "Prognose mit nichtparametrischen Verfahren," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-041.
• Grith, Maria & Krätschmer, Volker, 2010, "Parametric estimation of risk neutral density functions," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-045.
• Breuer, Wolfgang & Gürtler, Marc, 2010, "Implied rates of return, the discount rate effect, and market risk premia," Working Papers, Technische Universität Braunschweig, Institute of Finance, number IF33V3.
• Schulz, Frowin C., 2010, "Explaining time-varying risk of electricity forwards: trading activity and news announcements," Discussion Papers in Econometrics and Statistics, University of Cologne, Institute of Econometrics and Statistics, number 8/10.
• Schindler, Felix, 2010, "Further evidence on the (in-) efficiency of the U.S. housing market," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 10-004.
• Schindler, Felix, 2010, "How efficient is the U.K. housing market?," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 10-030.
• Schindler, Felix, 2010, "Market efficiency in the emerging securitized real estate markets," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 10-033.
• Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2010, "Macro expectations, aggregate uncertainty, and expected term premia," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 10-064.
• Lischewski, Judith & Voronkova, Svitlana, 2010, "Size, value and liquidity: Do they really matter on an emerging stock market?," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 10-070.
• Michael Magill & Martine Quinzii, 2010, "general equilibrium with incomplete markets," The New Palgrave Dictionary of Economics, Palgrave Macmillan, in: Steven N. Durlauf & Lawrence E. Blume.
• Pedro Silos, 2010, "housing wealth," The New Palgrave Dictionary of Economics, Palgrave Macmillan, in: Steven N. Durlauf & Lawrence E. Blume.
• Javier Pereda C., 2010, "Estimación de la curva de rendimiento cupón cero para el Perú y su uso para el análisis monetario," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, volume 33, issue 65, pages 103-132.
• Jules H. van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-Ramírez, 2010, "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 10-011, Mar.
• Emanuel Shachmurove & Yochanan Shachmurove, 2010, "Énvironmental Economics and Venture Capital," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 10-013, Apr.
• John Duffy, 2010, "A Dynamic General Equilibrium Approach to Asset Pricing Experiments," Working Paper, Department of Economics, University of Pittsburgh, number 398, Jun, revised Jun 2010.
• John Duffy & Sean Crockett, 2010, "An Experimental Test of the Lucas Asset Pricing Model," Working Paper, Department of Economics, University of Pittsburgh, number 504, Feb, revised May 2013.
• Ana Maria Bandeira, 2010, "Valorização de activos intangíveis resultantes de actividades de I&D," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 359, Feb.
• Ana Maria Bandeira & Óscar Afonso, 2010, "Value of intangibles arising from R&D activities," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 372, Apr.
• İmer-Ertunga, Evrim, 2010, "Küresel Mali̇ Dalgalanmalar: Geli̇şen Ülkeleri̇n Euro-Tahvi̇l Geti̇ri̇leri̇ Açisindan Bi̇r Değerlendi̇rme
  [The Effects of Global Liquidity from the point of Eurobond Returns of Some Emerging Market," MPRA Paper, University Library of Munich, Germany, number 116693.
• Todd, Prono, 2010, "Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper, University Library of Munich, Germany, number 20034, Jan.
• Alghalith, Moawia, 2010, "New methods of estimating stochastic volatility and the stock return," MPRA Paper, University Library of Munich, Germany, number 20303, Jan.
• Balakrishna, B S, 2010, "Levy Subordinator Model of Default Dependency," MPRA Paper, University Library of Munich, Germany, number 21386, Mar.
• Campbell, Gareth & Turner, John, 2010, "‘The Greatest Bubble in History’: Stock Prices during the British Railway Mania," MPRA Paper, University Library of Munich, Germany, number 21820, Mar.
• Campbell, Gareth, 2010, "Cross-Section of a ‘Bubble’: Stock Prices and Dividends during the British Railway Mania," MPRA Paper, University Library of Munich, Germany, number 21821, Mar.
• Campbell, Gareth, 2010, "Leveraging the British Railway Mania: Derivatives for the Individual Investor," MPRA Paper, University Library of Munich, Germany, number 21822, Mar.
• Guidi, Francesco & Gupta, Rakesh & Maheshwari, Suneel, 2010, "Weak-form market efficiency and calendar anomalies for Eastern Europe equity markets," MPRA Paper, University Library of Munich, Germany, number 21984.
• Li, Minqiang, 2010, "Asset Pricing - A Brief Review," MPRA Paper, University Library of Munich, Germany, number 22379.
• Balli, Faruk & Basher, Syed Abul & Ozer-Balli, Hatice, 2010, "From Home Bias to Euro Bias: Disentangling the Effects of Monetary Union on the European Financial Markets," MPRA Paper, University Library of Munich, Germany, number 22430, Apr.
• Fries, Christian P., 2010, "Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization," MPRA Paper, University Library of Munich, Germany, number 23082, May, revised 30 May 2010.
• Siddiqi, Hammad, 2010, "Coarse thinking, implied volatility, and the valuation of call and put options," MPRA Paper, University Library of Munich, Germany, number 23261, Jan.
• Onour, Ibrahim, 2010, "The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries," MPRA Paper, University Library of Munich, Germany, number 23332, Jun.
• Malhotra, Karan, 2010, "Autoregressive multifactor APT model for U.S. Equity Markets," MPRA Paper, University Library of Munich, Germany, number 23418, Apr.
• Cadogan, Godfrey, 2010, "Canonical Representation Of Option Prices and Greeks with Implications for Market Timing," MPRA Paper, University Library of Munich, Germany, number 23426, Jun.
• Nyberg, Henri, 2010, "QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles," MPRA Paper, University Library of Munich, Germany, number 23724, Apr.
• Kaizoji, Taisei, 2010, "Stock volatility in the periods of booms and stagnations," MPRA Paper, University Library of Munich, Germany, number 23727, Jun.
• Siddiqi, Hammad, 2010, "The relevance of coarse thinking for investors' willingness to pay: An experimental study," MPRA Paper, University Library of Munich, Germany, number 23924, Jul.
• Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2010, "Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation," MPRA Paper, University Library of Munich, Germany, number 24719.
• Waśniewski, Krzysztof, 2010, "Corporate strategies – the institutional approach," MPRA Paper, University Library of Munich, Germany, number 25190, Jun.
• Delis, Manthos D & Mylonidis, Nikolaos, 2010, "The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps," MPRA Paper, University Library of Munich, Germany, number 25270, Sep.
• Maryatmo, Rogatianus, 2010, "Pengaruh Jangka Pendek dan Jangka Panjang Perubahan Suku Bunga dan Kurs Rupiah Terhadap Harga Saham : Studi Empiris di Indonesia (2000:1 – 2010:4)," MPRA Paper, University Library of Munich, Germany, number 25532, Aug.
• Gavazza, Alessandro, 2010, "The role of trading frictions in real asset markets," MPRA Paper, University Library of Munich, Germany, number 25781, Jan.
• Alfaro, Rodrigo & Silva, Carmen Gloria, 2010, "Stock Index Volatility: the case of IPSA," MPRA Paper, University Library of Munich, Germany, number 25906, Mar, revised 31 Mar 2010.
• Alfaro, Rodrigo & Becerra, Juan Sebastian & Sagner, Andres, 2010, "Estimación de la estructura de tasas utilizando el modelo Dinámico Nelson Siegel: resultados para Chile y EEUU
  [The Dynamic Nelson-Siegel model: empirical results for Chile and US]," MPRA Paper, University Library of Munich, Germany, number 25912, Jun, revised 23 Jun 2010.
• Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong, 2010, "Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest," MPRA Paper, University Library of Munich, Germany, number 26277, Oct.
• Hasan, M.Emrul, 2010, "Behavioral approach to Arbitrage Pricing Theory," MPRA Paper, University Library of Munich, Germany, number 26343, Apr.
• Michailova, Julija, 2010, "Overconfidence and bubbles in experimental asset markets," MPRA Paper, University Library of Munich, Germany, number 26388.
• Rambaccussing, Dooruj, 2010, "A real-time trading rule," MPRA Paper, University Library of Munich, Germany, number 27148, Jun.
• Nicolau, Mihaela, 2010, "Financial Markets Interactions between Economic Theory and Practice," MPRA Paper, University Library of Munich, Germany, number 27322, Nov.
• Kucuk, Ugur N., 2010, "Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market," MPRA Paper, University Library of Munich, Germany, number 27428, May.
• Song, In Ho, 2010, "House Prices and Consumption," MPRA Paper, University Library of Munich, Germany, number 27481, Nov.
• Kontek, Krzysztof, 2010, "Linking Decision and Time Utilities," MPRA Paper, University Library of Munich, Germany, number 27541, Dec.
• Goyenko, Ruslan & Sarkissian, Sergei, 2010, "Flight to Liquidity and Global Equity Returns," MPRA Paper, University Library of Munich, Germany, number 27546.
• Bao, Qunfang & Li, Shenghong & Liu, Guimei, 2010, "Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing," MPRA Paper, University Library of Munich, Germany, number 27698, Aug, revised 27 Dec 2010.
• Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong, 2010, "Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest," MPRA Paper, University Library of Munich, Germany, number 28250, Oct, revised 27 Dec 2010.
• Nawar, Hashem, 2010, "Industry Concentration and the Cross-section of Stock Returns: Evidence from the UK," MPRA Paper, University Library of Munich, Germany, number 28440, Mar, revised Nov 2010.
• Lin, William & Sun, David & Tsai, Shih-Chuan, 2010, "Searching out of Trading Noise: A Study of Intraday Transactions Cost," MPRA Paper, University Library of Munich, Germany, number 28937, Jun, revised 14 Jan 2011.