Research classified by Journal of Economic Literature (JEL) codes

2010

• 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.
• Douch, Mohamed & Bouaddi, Mohammed, 2010, "EQUITY Premium Puzzle in a Data-Rich Environment," MPRA Paper, University Library of Munich, Germany, number 29440, Dec.
• Vo, Xuan Vinh & Batten, Jonathan, 2010, "An Empirical Investigation of Liquidity and Stock Returns Relationship in Vietnam Stock Markets during Financial Crisis," MPRA Paper, University Library of Munich, Germany, number 29862, Jan, revised 10 Jan 2011.
• Vo, Xuan Vinh, 2010, "Foreign ownership in Vietnam stock markets - an empirical analysis," MPRA Paper, University Library of Munich, Germany, number 29863, Feb, revised 10 Jan 2011.
• Lof, Matthijs, 2010, "Heterogeneity in Stock Pricing: A STAR Model with Multivariate Transition Functions," MPRA Paper, University Library of Munich, Germany, number 30520, Jul.
• Kaizoji, Taisei (kaizoji@icu.ac.jp), 2010, "A behavioral model of bubbles and crashes," MPRA Paper, University Library of Munich, Germany, number 35655, Jan.
• MAKU, Olukayode E. & ATANDA, Akinwande Abdulmaliq, 2010, "Determinants of stock market performance in Nigeria: long-run analysis," MPRA Paper, University Library of Munich, Germany, number 35838.
• Salazar, Juan & Lambert, Annick, 2010, "fama and macbeth revisited: A Critique," MPRA Paper, University Library of Munich, Germany, number 35910, Dec.
• Théoret, Raymond & Racicot, François-Éric, 2010, "Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio," MPRA Paper, University Library of Munich, Germany, number 35911, Dec.
• Lerner, Peter, 2010, "Theoretical analysis of the bid-ask bounce and Related Phenomena," MPRA Paper, University Library of Munich, Germany, number 35929, Dec.
• Pascalau, Razvan & Thomann, Christian & Gregoriou, Greg N., 2010, "Unconditional mean, Volatility and the Fourier-Garch representation," MPRA Paper, University Library of Munich, Germany, number 35932, Dec.
• cole, Chip & Edwards, Jeffrey A., 2010, "Competition on MARS? A study of broker-dealer competition in the U.S. municipal auction rate securities market," MPRA Paper, University Library of Munich, Germany, number 36444.
• Stefanescu, Razvan & Dumitriu, Ramona, 2010, "Impact of the global crisis on the linkages between the interest rates and the stock prices in Romania," MPRA Paper, University Library of Munich, Germany, number 36716, Apr, revised 16 Feb 2011.
• Bejan, Camelia & Bidian, Florin, 2010, "Limited enforcement, bubbles and trading in incomplete markets," MPRA Paper, University Library of Munich, Germany, number 36819, Jun, revised 20 Feb 2012.
• Pasaribu, Rowland Bismark Fernando, 2010, "Pemilihan Model Asset Pricing
  [Asset pricing model selection: Indonesian Stock Exchange]," MPRA Paper, University Library of Munich, Germany, number 36978, Dec.
• Pasaribu, Rowland Bismark Fernando, 2010, "Anomali Overreaction di bursa efek Indonesia: Penelitian Saham LQ-45
  [Overreaction Anomaly in Indonesia Stock Exchange: Case Study of LQ-45 Stocks]," MPRA Paper, University Library of Munich, Germany, number 36998, Apr.
• Lin, William & Tsai, Shih-Chuan & Sun, David, 2010, "Search costs and investor trading activity: evidences from limit order book," MPRA Paper, University Library of Munich, Germany, number 37284, Aug, revised Aug 2011.
• Lin, William & Sun, David & Tsai, Shih-Chuan, 2010, "Does trading remove or bring frictions?," MPRA Paper, University Library of Munich, Germany, number 37285, Aug, revised Jan 2011.
• Hiremath, Gourishankar S & Bandi, Kamaiah, 2010, "Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test," MPRA Paper, University Library of Munich, Germany, number 46502.
• Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2010, "Macroeconomic Risks and Characteristic-Based Factor Models," MPRA Paper, University Library of Munich, Germany, number 47344.
• Hiremath, Gourishankar S & Bandi, Kamaiah, 2010, "Long Memory in Stock Market Volatility:Evidence from India," MPRA Paper, University Library of Munich, Germany, number 48519.
• Radkov, Petar, 2010, "The Mean Reversion Stochastic Processes Applications in Risk Management," MPRA Paper, University Library of Munich, Germany, number 60159, Jul.
• Korkmaz, Turhan & Cevik, Emrah Ismail & Birkan, Elif & Özataç, Nesrin, 2010, "Testing CAPM using Markov switching model: the case of coal firms," MPRA Paper, University Library of Munich, Germany, number 71479, revised 2010.
• Korkmaz, Turhan & Cevik, Emrah Ismail & Gurkan, Serhan, 2010, "Testing the international capital asset pricing model with Markov switching model in emerging markets," MPRA Paper, University Library of Munich, Germany, number 71481, revised 2010.
• Chadwick, Meltem, 2010, "Modelling Time-varying Bond Risk Premia for Utilities Industry," MPRA Paper, University Library of Munich, Germany, number 75840.
• Chadwick, Meltem, 2010, "Performance of Bayesian Latent Factor Models in Measuring Pricing Errors," MPRA Paper, University Library of Munich, Germany, number 79060, Dec.
• Trabelsi, Mohamed Ali, 2010, "Overreaction and Portfolio Selection Strategies in the Tunisian stock market," MPRA Paper, University Library of Munich, Germany, number 81258, revised 2010.
• Trabelsi, Mohamed Ali, 2010, "Sélection de portefeuille via la stratégie de sur-réaction
  [Portfolio selection via the overreaction strategy]," MPRA Paper, University Library of Munich, Germany, number 81472, revised 2010.
• Trabelsi, Mohamed Ali, 2010, "Choix de portefeuille: comparaison des différentes stratégies
  [Portfolio selection: comparison of different strategies]," MPRA Paper, University Library of Munich, Germany, number 82946, Dec, revised 01 Dec 2010.
• Rangan Gupta & Mampho P. Modise, 2010, "South African Stock Return Predictability in the Context of Data Mining: The Role of Financial Variables and International Stock Returns," Working Papers, University of Pretoria, Department of Economics, number 201027, Dec.
• Riona Arjoon & Mariette Botes & Laban K. Chesang & Rangan Gupta, 2010, "The Long-Run Relationship between Inflation and Real Stock Prices: Empirical Evidence from South Africa," Working Papers, University of Pretoria, Department of Economics, number 201028, Dec.
• Ali Babikir & Rangan Gupta & Chance Mwabutwa & Emmanuel Owusu-Sekyere, 2010, "Structural Breaks and GARCH Models of Stock Return Volatility: The Case of South Africa," Working Papers, University of Pretoria, Department of Economics, number 201030, Dec.
• Karel Brůna, 2010, "Monetary Policy Implementation and Liquidity Management of the Czech Banking System," European Financial and Accounting Journal, Prague University of Economics and Business, volume 2010, issue 3, pages 15-41, DOI: 10.18267/j.efaj.53.
• Martin Lux & Petr Sunega, 2010, "Udržitelnost vývoje cen bytů v České republice
  [The Sustainability of House Price Trends in the Czech Republic]," Politická ekonomie, Prague University of Economics and Business, volume 2010, issue 2, pages 225-252, DOI: 10.18267/j.polek.728.
• Patrick Bolton & Tano Santos & Jose A. Scheinkman, 2010, "Outside And Inside Liquidity," Working Papers, Princeton University, Department of Economics, Econometric Research Program., number 1395, Apr.
• Jean-Guillaume Sahuc & Julien Matheron & Patrick Fève, 2010, "La TVA sociale : bonne ou mauvaise idée ?," Économie et Prévision, Programme National Persée, volume 193, issue 2, pages 1-19, DOI: 10.3406/ecop.2010.8031.
• Franklin Allen & Elena Carletti, 2010, "La comptabilité mark-to-market en période de crise," Revue d'Économie Financière, Programme National Persée, volume 100, issue 4, pages 201-209, DOI: 10.3406/ecofi.2010.5831.
• Emmanuelle Dubocage & Valérie Revest, 2010, "Une analyse conventionnaliste du prix d’offre des start-up sur le Nouveau Marché français," Revue d'Économie Financière, Programme National Persée, volume 96, issue 1, pages 215-231, DOI: 10.3406/ecofi.2010.5386.
• Luciana Barbosa & Sónia Costa, 2010, "Determinants of the sovereign bond yield spreads in the Euro Area in the context of the economic and financial crisis," Working Papers, Banco de Portugal, Economics and Research Department, number w201022.
• Francisco Venegas Martinez & Salvador Cruz Ake, 2010, "Productos derivados sobre bienes de consumo," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., volume 6, issue 2, pages 25-54, Enero-Jun.
• Werner Kristjanpoller Rodriguez & Carolina Liberona Maturana, 2010, "Comparacion de modelos de prediccion de retornos accionarios en el Mercado Accionario Chileno: capm, fama y french y reward beta," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., volume 7, issue 1, pages 119-138, Julio - D.
• Ralf Becker & Adam Clements, 2010, "Volatility and the role of order book structure," NCER Working Paper Series, National Centre for Econometric Research, number 64, Oct.
• Francisco Palomino, 2010, "Code and data files for "Bond Risk Premiums and Optimal Monetary Policy"," Computer Codes, Review of Economic Dynamics, number 09-159, revised .
• Claudio Campanale & Rui Castro & Gian Luca Clementi, 2010, "Asset Pricing in a Production Economy with Chew-Dekel Preferences," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 13, issue 2, pages 379-402, April, DOI: 10.1016/j.red.2009.06.005.
• Eva Carceles-Poveda & Daniele Coen Pirani, 2010, "Owning Capital or Being Shareholders: An Equivalence Result with Incomplete Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 13, issue 3, pages 537-558, July, DOI: 10.1016/j.red.2009.08.001.
• Nicolae B. Garleanu & Lasse Heje Pedersen & Adam B. Ashcraft, 2010, "Two Monetary Tools: Interest-Rates and Haircuts," 2010 Meeting Papers, Society for Economic Dynamics, number 1102.
• Yuliy Sannikov & Markus K. Brunnermeier, 2010, "A Macroeconomic Model with a Financial Sector," 2010 Meeting Papers, Society for Economic Dynamics, number 1114.
• Francois Gourio, 2010, "Credit risk and Disaster risk," 2010 Meeting Papers, Society for Economic Dynamics, number 112.
• William T. Gavin & Parantap Basu, 2010, "Negative Correlation between Stock and Futures Returns: An Unexploited Hedging Opportunity?," 2010 Meeting Papers, Society for Economic Dynamics, number 1163.
• Tracy Yue Wang & David Hirshleifer & Bing Han, 2010, "Investor Overconfidence and the Forward Discount Puzzle," 2010 Meeting Papers, Society for Economic Dynamics, number 1201.
• Arvind Krishnamurhty & Zhiguo He, 2010, "Intermediary Asset Pricing," 2010 Meeting Papers, Society for Economic Dynamics, number 1327.
• Tamon Asonuma, 2010, "Serial Default and Debt Renegotiation," 2010 Meeting Papers, Society for Economic Dynamics, number 169.
• Thomas J. Sargent & George J. Hall, 2010, "Interest rate risk and other determinants of post WWII U.S. government debt/GDP dynamics," 2010 Meeting Papers, Society for Economic Dynamics, number 208.
• Hyun Song Shin & Erkko Etula & Tobias Adrian, 2010, "Risk Appetite and Exchange Rates," 2010 Meeting Papers, Society for Economic Dynamics, number 311.
• Manuel S. Santos & Miguel A. Iraola, 2010, "Long-Term Asset Price Volatility and Macroeconomic Fluctuations," 2010 Meeting Papers, Society for Economic Dynamics, number 374.
• Alessandro Gavazza, 2010, "An Empirical Equilibrium Model of a Decentralized Asset Market," 2010 Meeting Papers, Society for Economic Dynamics, number 379.
• Mark Huggett, 2010, "Human Capital Values and Returns: Bounds Implied By Earnings and Asset Returns Data," 2010 Meeting Papers, Society for Economic Dynamics, number 564.
• Neng Wang & Hui Chen & Patrick Bolton, 2010, "A unified theory of Tobin's q, corporate investment, financing, and risk management," 2010 Meeting Papers, Society for Economic Dynamics, number 609.
• Christopher Otrok & Andre Kurmann, 2010, "News Shocks and the Slope of the Term Structure of Interest Rates," 2010 Meeting Papers, Society for Economic Dynamics, number 72.
• Sydney Ludvigson & Stijn Van Nieuwerburgh & Jack Favilukis, 2010, "The Macroeconomic E¤ects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium," 2010 Meeting Papers, Society for Economic Dynamics, number 733.
• Stefania Garetto & Jose Luis Fillat, 2010, "Risk, Returns, and Multinational Production," 2010 Meeting Papers, Society for Economic Dynamics, number 777.
• Cosmin Ilut & Peter Benczur, 2010, "Evidence for Relational Contracts in Sovereign Bank Lending," 2010 Meeting Papers, Society for Economic Dynamics, number 91.
• Cristina Del Río & Rafael Santamaría, 2010, "Dinámica Del Volumen, Información Y Estructura De Propiedad," Revista de Economia Aplicada, Universidad de Zaragoza, Departamento de Estructura Economica y Economia Publica, volume 18, issue 1, pages 121-149, Spring.
• Natividad Blasco De Las Heras & Sandra Ferreruela Garcés & Pilar Corredor Casado, 2010, "Una Explicación Del Efecto Herding Desde El Mercado De Derivados," Revista de Economia Aplicada, Universidad de Zaragoza, Departamento de Estructura Economica y Economia Publica, volume 18, issue 3, pages 161-196, Winter.
• Paola Brighi & Stefano d'Addona & Antonio Carlo Francesco Della Bina, 2010, "Too Small or too Low? New Evidence on the 4-Factor Model," Working Paper series, Rimini Centre for Economic Analysis, number 31_10, Jan.
• Michael McAleer & Marcelo Cunha Medeiros, 2010, "Forecasting Realized Volatility with Linear and Nonlinear Models," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 568, Mar.
• Brad Humphreys, 2010, "Prices, Point Spreads and Profits: Evidence from the National Football League," Working Papers, University of Alberta, Department of Economics, number 2010-05, Feb.
• Brad Humphreys & Rodney Paul & Andrew Weinbach, 2010, "Consumption Benefits and Gambling: Evidence From the NCAA Basketball Betting Market," Working Papers, University of Alberta, Department of Economics, number 2010-07, Mar.
• Olfa Maalaoui Chun & Georges Dionne & Pascal François, 2010, "Credit spread changes within switching regimes," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 09-1, Oct.
• Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2010, "A reduced form model of default spreads with Markov-switching macroeconomic factors," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 10-6, Nov.
• Chae-Shick Chung, 2010, "The Role and Magnitude of Order Flows in Seoul Foreign Market," East Asian Economic Review, Korea Institute for International Economic Policy, volume 14, issue 1, pages 237-260, DOI: 10.11644/KIEP.JEAI.2010.14.1.214.
• A. Mansur M. Masih & Vicky Ryan, 2010, "An Analysis of the Dynamic Linkages between the Cash Rate and the Government Yield Curve: A Case Study - Un’analisi della relazione dinamica tra cash rate e curva dei rendimenti dei titoli pubblici: s," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 63, issue 3, pages 329-359.
• Rien Wagenvoort & Sanne Zwart, 2010, "Uncovering the Common Risk Free Rate in the European Monetary Union," Economic and Financial Reports, European Investment Bank, Economics Department, number 2010/5, Sep.
• Joachim Lang & Reinhard Madlener, 2010, "Relevance of Risk Capital and Margining for the Valuation of Power Plants: Cash Requirements for Credit Risk Mitigation," FCN Working Papers, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN), number 1/2010, Feb.
• Enno Bellmann & Joachim Lang & Reinhard Madlener, 2010, "Cost Evaluation of Credit Risk Securitization in the Electricity Industry: Credit Default Acceptance vs. Margining Costs," FCN Working Papers, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN), number 13/2010, Sep.
• Hans Blommestein, 2010, "Risk Management after the Great Crash," Journal of Financial Transformation, Capco Institute, volume 28, pages 1-19.
• Jerome Stein, 2010, "A critique of Alan Greenspan’s retrospective on the crisis," Journal of Financial Transformation, Capco Institute, volume 30, pages 9-21.
• Sinisa Bogdan & Suzana Baresa & Sasa Ivanovic, 2010, "Portfolio Analysis Based On The Example Of Zagreb Stock Exchange," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, volume 1, issue 1, pages 39-52.
• Su, Chi Wei & Chang, Hsu Ling, 2010, "Asymmetric Adjustment in the Lending-Deposit Rate Spread: Evidence from Eastern European Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 165-175, July.
• Cristian PAUN & Stefan UNGUREANU, 2010, "Managerial Approach of International Initial Public Offerings Valuation," REVISTA DE MANAGEMENT COMPARAT INTERNATIONAL/REVIEW OF INTERNATIONAL COMPARATIVE MANAGEMENT, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 11, issue 5, pages 905-915, December.
• Mahdi SALEHI & Saeid Jabarzadeh KANGARLOUEI, 2010, "An Investigation of the Effect of Audit Quality on Accrual Reliability of Listed Companies on Tehran Stock Exchange," REVISTA DE MANAGEMENT COMPARAT INTERNATIONAL/REVIEW OF INTERNATIONAL COMPARATIVE MANAGEMENT, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 11, issue 5, pages 940-960, December.
• Karl E. Case & John Cotter & Stuart A. Gabriel, 2010, "Housing risk and return : evidence from a housing asset-pricing model," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/2562, May.
• Maurice J. Roche & Michael J. Moore, 2010, "For Rich or for Poor: When does Uncovered Interest Parity Hold?," Working Papers, Toronto Metropolitan University, Department of Economics, number 015, May.
• Mieczyslaw Kowerski, 2010, "The Analysis of an Investment Risk Within Emerging Capital Markets. The Case of the Warsaw Stock Exchange," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 6, issue 4, pages 1-23, December.
• Wiktor Cwynar, 2010, "INDEKS QUASI-BETA: WYKORZYSTANIE WIELOWYMIAROWEJ ANALIZY PORoWNAWCZEJ DO WYZNACZANIA INDEKSU RYZYKA INWESTYCJI W AKCJE NA GPW W WARSZAWIE," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 6, issue special, pages 1-14, December.
• Wiktor Patena, 2010, "ZASTOSOWANIE TECHNIK ITERACYJNYCH W WYCENIE PRZEDSIeBIORSTWA – WYCENA EMCINSMED S.A," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 6, issue special, pages 15-27, December.
• Ryan Bartens & Shakill Hassan, 2010, "Value, size and momentum portfolios in real time: the cross section of South African stocks," Australian Journal of Management, Australian School of Business, volume 35, issue 2, pages 181-202, August, DOI: 10.1177/0312896210370081.
• Jayadev M. & Joshy Jacob, 2010, "Default Risk Characteristics of Poll-Based Bond Spreads," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 9, issue 1, pages 51-70, April, DOI: 10.1177/097265271000900103.
• Jianhua Zhang & Clas Wihlborg, 2010, "CAPM in Up and Down Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 9, issue 2, pages 229-255, August, DOI: 10.1177/097265271000900205.
• Chokri Mamoghli & Sami Daboussi, 2010, "Capital Asset Pricing Models and Performance Measures in the Downside Risk Framework," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 9, issue 2, pages 95-130, August, DOI: 10.1177/097265271000900201.
• Mohamed Abdelaziz Eissa & Georgios Chortareas & Andrea Cipollini, 2010, "Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 9, issue 3, pages 257-284, December, DOI: 10.1177/097265271000900301.
• David Vines, 2010, "The Global Macroeconomic Crisis and G20 Macroeconomic Policy Coordination," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, volume 4, issue 2, pages 157-175, May, DOI: 10.1177/097380101000400202.
• Claudio Raddatz & Sergio Schmukler, 2010, "Pension Funds And Capital Market Development: How Much Bang For The Buck?," Working Papers, Superintendencia de Pensiones, number 38, Feb, revised Feb 2010.
• Mathias Hoffmann & Rahel Suter, 2010, "The Swiss Franc Exchange Rate and Deviations from Uncovered Interest Parity: Global vs Domestic Factors," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 146, issue I, pages 349-371, March.
• Kevin Ross & Tommaso Mancini Griffoli, 2010, "Discussion: The Swiss Franc Exchange Rate and Deviations from Uncovered Interest Parity: Global vs Domestic Factors," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 146, issue I, pages 373-384, March.
• Schröder, Thomas & Dunbar, Kwamie, 2010, "Effectively Hedging the Interest Rate Risk of Wide Floating Rate Coupon Spreads," Working Papers, Sacred Heart University, John F. Welch College of Business, number 2010001, Mar.
• Tore Selland Kleppe & Jun Yu & Hans J. Skaug, 2010, "Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time," Working Papers, Singapore Management University, School of Economics, number 13-2010, Jan.
• Qiankun Zhou & Jun Yu, 2010, "Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes," Working Papers, Singapore Management University, School of Economics, number 20-2010, Jan.
• Loriano Mancini & Angelo Ranaldo & Jan Wrampelmeyer, 2010, "Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums," Working Papers, Swiss National Bank, number 2010-03.
• Ariane Szafarz, 2010, "Financial Crises in Efficient Markets: How Fundamentalists Fuel Volatility," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 10-052, Nov.
• Don BREDIN & Cal MUCKLEY, 2010, "Is There a Stochastic Trend in European Union Emission Trading Scheme Prices?," Sosyoekonomi Journal, Sosyoekonomi Society, issue 2010-EN.
• Denis Belomestny & G. Milstein & John Schoenmakers, 2010, "Sensitivities for Bermudan options by regression methods," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 33, issue 2, pages 117-138, November, DOI: 10.1007/s10203-009-0101-z.
• Catherine Kyrtsou & Michel Terraza, 2010, "Seasonal Mackey–Glass–GARCH process and short-term dynamics," Empirical Economics, Springer, volume 38, issue 2, pages 325-345, April, DOI: 10.1007/s00181-009-0268-8.
• Qin Xiao & Donghyun Park, 2010, "Seoul housing prices and the role of speculation," Empirical Economics, Springer, volume 38, issue 3, pages 619-644, June, DOI: 10.1007/s00181-009-0282-x.
• Stefan Klößner, 2010, "A high-low-based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns," Finance and Stochastics, Springer, volume 14, issue 1, pages 1-12, January, DOI: 10.1007/s00780-009-0088-x.
• Jean Jacod & Philip Protter, 2010, "Risk-neutral compatibility with option prices," Finance and Stochastics, Springer, volume 14, issue 2, pages 285-315, April, DOI: 10.1007/s00780-009-0109-9.
• Christa Cuchiero & Martin Keller-Ressel & Josef Teichmann, 2012, "Polynomial processes and their applications to mathematical finance," Finance and Stochastics, Springer, volume 16, issue 4, pages 711-740, October, DOI: 10.1007/s00780-012-0188-x.
• Stefan Gerhold & Paolo Guasoni & Johannes Muhle-Karbe & Walter Schachermayer, 2014, "Transaction costs, trading volume, and the liquidity premium," Finance and Stochastics, Springer, volume 18, issue 1, pages 1-37, January, DOI: 10.1007/s00780-013-0210-y.
• Jinbin Wang & Nan Li, 2010, "Exchange rate pass-through: The case of China," Frontiers of Economics in China, Springer;Higher Education Press, volume 5, issue 3, pages 356-374, September, DOI: 10.1007/s11459-010-0102-4.
• Ying Zhang & Peggy Swanson, 2010, "Are day traders bias free?—evidence from internet stock message boards," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 34, issue 1, pages 96-112, January, DOI: 10.1007/s12197-008-9063-1.
• Ming-Shiun Pan, 2010, "Autocorrelation, return horizons, and momentum in stock returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 34, issue 3, pages 284-300, July, DOI: 10.1007/s12197-008-9072-0.
• Richard Cebula & Pablo Cuellar, 2010, "Recent evidence on the impact of government budget deficits on the ex ante real interest rate yield on Moody’s Baa-rated corporate bonds," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 34, issue 3, pages 301-307, July, DOI: 10.1007/s12197-008-9074-y.
• Anufriev, Mikhail & Dindo, Pietro, 2010, "Wealth-driven selection in a financial market with heterogeneous agents," Journal of Economic Behavior & Organization, Elsevier, volume 73, issue 3, pages 327-358, March.
• Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2010, "On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders," Journal of Economic Behavior & Organization, Elsevier, volume 74, issue 3, pages 187-205, June.
• Corgnet, Brice & Kujal, Praveen & Porter, David, 2010, "The effect of reliability, content and timing of public announcements on asset trading behavior," Journal of Economic Behavior & Organization, Elsevier, volume 76, issue 2, pages 254-266, November.
• 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," Journal of Economics and Business, Elsevier, volume 62, issue 5, pages 347-366, September.
• Hintermann, Beat, 2010, "Allowance price drivers in the first phase of the EU ETS," Journal of Environmental Economics and Management, Elsevier, volume 59, issue 1, pages 43-56, January.
• Gollier, Christian, 2010, "Ecological discounting," Journal of Economic Theory, Elsevier, volume 145, issue 2, pages 812-829, March.
• Martins-da-Rocha, V. Filipe & Riedel, Frank, 2010, "On equilibrium prices in continuous time," Journal of Economic Theory, Elsevier, volume 145, issue 3, pages 1086-1112, May.
• Ábrahám, Árpád & Cárceles-Poveda, Eva, 2010, "Endogenous trading constraints with incomplete asset markets," Journal of Economic Theory, Elsevier, volume 145, issue 3, pages 974-1004, May.
• Huang, Jennifer & Wang, Jiang, 2010, "Market liquidity, asset prices, and welfare," Journal of Financial Economics, Elsevier, volume 95, issue 1, pages 107-127, January.
• Albuquerque, Rui & Schroth, Enrique, 2010, "Quantifying private benefits of control from a structural model of block trades," Journal of Financial Economics, Elsevier, volume 96, issue 1, pages 33-55, April.
• Lewellen, Jonathan & Nagel, Stefan & Shanken, Jay, 2010, "A skeptical appraisal of asset pricing tests," Journal of Financial Economics, Elsevier, volume 96, issue 2, pages 175-194, May.
• Aït-Sahalia, Yacine & Kimmel, Robert L., 2010, "Estimating affine multifactor term structure models using closed-form likelihood expansions," Journal of Financial Economics, Elsevier, volume 98, issue 1, pages 113-144, October.
• Jermann, Urban J., 2010, "The equity premium implied by production," Journal of Financial Economics, Elsevier, volume 98, issue 2, pages 279-296, November.
• De Jonghe, Olivier, 2010, "Back to the basics in banking? A micro-analysis of banking system stability," Journal of Financial Intermediation, Elsevier, volume 19, issue 3, pages 387-417, July.
• Iqbal, Javed & Brooks, Robert & Galagedera, Don U.A., 2010, "Testing conditional asset pricing models: An emerging market perspective," Journal of International Money and Finance, Elsevier, volume 29, issue 5, pages 897-918, September.
• Moore, Michael J. & Roche, Maurice J., 2010, "Solving exchange rate puzzles with neither sticky prices nor trade costs," Journal of International Money and Finance, Elsevier, volume 29, issue 6, pages 1151-1170, October.
• Engsted, Tom & Hyde, Stuart & Møller, Stig V., 2010, "Habit formation, surplus consumption and return predictability: International evidence," Journal of International Money and Finance, Elsevier, volume 29, issue 7, pages 1237-1255, November.
• Schrimpf, Andreas, 2010, "International stock return predictability under model uncertainty," Journal of International Money and Finance, Elsevier, volume 29, issue 7, pages 1256-1282, November.
• Menkhoff, Lukas & Schmeling, Maik, 2010, "Trader see, trader do: How do (small) FX traders react to large counterparties' trades?," Journal of International Money and Finance, Elsevier, volume 29, issue 7, pages 1283-1302, November.
• Nitschka, Thomas, 2010, "Cashflow news, the value premium and an asset pricing view on European stock market integration," Journal of International Money and Finance, Elsevier, volume 29, issue 7, pages 1406-1423, November.
• Sonnemans, Joep & Tuinstra, Jan, 2010, "Positive expectations feedback experiments and number guessing games as models of financial markets," Journal of Economic Psychology, Elsevier, volume 31, issue 6, pages 964-984, December.
• Palczewski, Jan & Schenk-Hoppé, Klaus Reiner, 2010, "Market selection of constant proportions investment strategies in continuous time," Journal of Mathematical Economics, Elsevier, volume 46, issue 2, pages 248-266, March.
• Brito, Paulo & Dilão, Rui, 2010, "Equilibrium price dynamics in an overlapping-generations exchange economy," Journal of Mathematical Economics, Elsevier, volume 46, issue 3, pages 343-355, May.
• Galvani, Valentina & Troitsky, Vladimir G., 2010, "Options and efficiency in spaces of bounded claims," Journal of Mathematical Economics, Elsevier, volume 46, issue 4, pages 616-619, July.
• Uhlig, Harald, 2010, "A model of a systemic bank run," Journal of Monetary Economics, Elsevier, volume 57, issue 1, pages 78-96, January.
• Bekaert, Geert & Engstrom, Eric, 2010, "Inflation and the stock market: Understanding the "Fed Model"," Journal of Monetary Economics, Elsevier, volume 57, issue 3, pages 278-294, April.
• Shin, Sangheon & Soydemir, Gökçe, 2010, "Exchange-traded funds, persistence in tracking errors and information dissemination," Journal of Multinational Financial Management, Elsevier, volume 20, issue 4-5, pages 214-234, December.
• Johansson, Anders C., 2010, "Asian sovereign debt and country risk," Pacific-Basin Finance Journal, Elsevier, volume 18, issue 4, pages 335-350, September.
• Saleem, Kashif & Vaihekoski, Mika, 2010, "Time-varying global and local sources of market and currency risks in Russian stock market," International Review of Economics & Finance, Elsevier, volume 19, issue 4, pages 686-697, October.
• Bissoondoyal-Bheenick, Emawtee & Brooks, Robert D., 2010, "Does volume help in predicting stock returns? An analysis of the Australian market," Research in International Business and Finance, Elsevier, volume 24, issue 2, pages 146-157, June.
• Dasgupta, Amil & Prat, Andrea & Verardo, Michela, 2010, "The price impact of institutional herding," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119088, Dec.
• Anton, Miguel & Polk, Christopher, 2010, "Connected stocks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 43098, Mar.
• Chabakauri, Georgy, 2010, "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 43142, Mar.
• Ferreira García, María Eva & Gil Bazo, Javier & Orbe Mandaluniz, Susan, 2010, "Conditional beta pricing models: A nonparametric approach," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984.
• Erich Kirchler & Boris Maciejovsky & Martin Weber, 2010, "Framing Effects, Selective Information and Market Behavior: An Experimental Analysis," Chapters, Edward Elgar Publishing, chapter 1, in: Brian Bruce, "Handbook of Behavioral Finance".
• Blasco, Natividad & Corredor, Pilar & Ferreruela, Sandra, 2010, "¿Influyen los tigres asiáticos en el comportamiento gregario español?," El Trimestre Económico, Fondo de Cultura Económica, volume 77, issue 306, pages 423-444, abril-jun, DOI: http://dx.doi.org/10.20430/ete.v77i.
• Ferruz, Luis & Muñoz, Fernando & Vargas, María, 2010, "Sesgos en los modelos de sincronización tradicionales," El Trimestre Económico, Fondo de Cultura Económica, volume 77, issue 308, pages 937-976, octubre-d, DOI: http://dx.doi.org/10.20430/ete.v77i.
• Tore Selland Kleppe & Jun Yu & H.J. Skaug, 2010, "Simulated maximum likelihood estimation of continuous time stochastic volatility models," Advances in Econometrics, Emerald Group Publishing Limited, "Maximum Simulated Likelihood Methods and Applications", DOI: 10.1108/S0731-9053(2010)0000026009.
• Jesper Rangvid & Maik Schmeling & Andreas Schrimpf, 2010, "Dividend predictability around the world," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-03, Jan.
• Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard, 2010, "Pitfalls in VAR based return decompositions: A clarification," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-09, Feb.
• Torben G. Andersen & Luca Benzoni, 2010, "Stochastic Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-10, Feb.
• Tim Bollerslev & Viktor Todorov, 2010, "Estimation of Jump Tails," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-16, Apr.
• Tom Engsted & Bent Nielsen, 2010, "Testing for rational bubbles in a co-explosive vector autoregression," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-25, Jun.
• Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard, 2010, "The log-linear return approximation, bubbles, and predictability," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-37, Jul.
• Thomas Q. Pedersen, 2010, "Predictable return distributions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-38, Jul.
• Antonis Papapantoleon & David Skovmand, 2010, "Picard Approximation of Stochastic Differential Equations and Application to Libor Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-40, Jul.
• Christian Bach & Stig Vinther Møller, 2010, "Habit-based Asset Pricing with Limited Participation Consumption," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-46, Jun.