Research classified by Journal of Economic Literature (JEL) codes

2011

• Paul Glasserman & Kyoung-Kuk Kim, 2011, "Gamma expansion of the Heston stochastic volatility model," Finance and Stochastics, Springer, volume 15, issue 2, pages 267-296, June, DOI: 10.1007/s00780-009-0115-y.
• Rafael Mendoza-Arriaga & Vadim Linetsky, 2011, "Pricing equity default swaps under the jump-to-default extended CEV model," Finance and Stochastics, Springer, volume 15, issue 3, pages 513-540, September, DOI: 10.1007/s00780-010-0139-3.
• Denis Belomestny, 2011, "Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates," Finance and Stochastics, Springer, volume 15, issue 4, pages 655-683, December, DOI: 10.1007/s00780-010-0132-x.
• Martin Forde & Antoine Jacquier, 2011, "The large-maturity smile for the Heston model," Finance and Stochastics, Springer, volume 15, issue 4, pages 755-780, December, DOI: 10.1007/s00780-010-0147-3.
• Martin Forde & Antoine Jacquier & Aleksandar Mijatović, 2011, "A note on essential smoothness in the Heston model," Finance and Stochastics, Springer, volume 15, issue 4, pages 781-784, December, DOI: 10.1007/s00780-011-0162-z.
• Robert Jarrow & Younes Kchia & Martin Larsson & Philip Protter, 2013, "Discretely sampled variance and volatility swaps versus their continuous approximations," Finance and Stochastics, Springer, volume 17, issue 2, pages 305-324, April, DOI: 10.1007/s00780-012-0183-2.
• Daniel Zanger, 2013, "Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing," Finance and Stochastics, Springer, volume 17, issue 3, pages 503-534, July, DOI: 10.1007/s00780-013-0204-9.
• Tim Leung & Qingshuo Song & Jie Yang, 2013, "Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing," Finance and Stochastics, Springer, volume 17, issue 4, pages 839-870, October, DOI: 10.1007/s00780-013-0213-8.
• Unyong Pyo, 2011, "Minimax price bounds in incomplete markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 3, pages 274-295, July, DOI: 10.1007/s12197-009-9108-0.
• Haigang Zhou & John Zhu, 2011, "Jump risk and cross section of stock returns: evidence from China’s stock market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 3, pages 309-331, July, DOI: 10.1007/s12197-009-9097-z.
• Jorge Brusa & Wayne Lee & Pu Liu, 2011, "Monday returns and asset pricing," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 3, pages 332-347, July, DOI: 10.1007/s12197-009-9100-8.
• Kam Chan & Yung Lo, 2011, "Credit ratings and long-term IPO performance," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 4, pages 473-483, October, DOI: 10.1007/s12197-010-9137-8.
• Ryuichi Yamamoto, 2011, "Volatility clustering and herding agents: does it matter what they observe?," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 6, issue 1, pages 41-59, May, DOI: 10.1007/s11403-010-0075-5.
• Peter Chinloy & Daniel Winkler, 2011, "Contracts, Labor Supply and Income Targeting," Journal of Labor Research, Springer, volume 32, issue 2, pages 113-135, June, DOI: 10.1007/s12122-011-9104-y.
• Mordecai Kurz & Maurizio Motolese, 2011, "Diverse beliefs and time variability of risk premia," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 47, issue 2, pages 293-335, June, DOI: 10.1007/s00199-010-0550-1.
• Wen-Chung Guo & Frank Wang & Ho-Mou Wu, 2011, "Financial leverage and market volatility with diverse beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 47, issue 2, pages 337-364, June, DOI: 10.1007/s00199-010-0548-8.
• William Branch & George Evans, 2011, "Monetary policy and heterogeneous expectations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 47, issue 2, pages 365-393, June, DOI: 10.1007/s00199-010-0539-9.
• John Dickhaut & Radhika Lunawat & Kira Pronin & Jack Stecher, 2011, "Decision making and trade without probabilities," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 48, issue 2, pages 275-288, October, DOI: 10.1007/s00199-011-0644-4.
• Han Ozsoylev & Jan Werner, 2011, "Liquidity and asset prices in rational expectations equilibrium with ambiguous information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 48, issue 2, pages 469-491, October, DOI: 10.1007/s00199-011-0648-0.
• Thorsten Hens & Terje Lensberg & Klaus Schenk-Hoppé & Peter Wöhrmann, 2011, "An evolutionary explanation of the value premium puzzle," Journal of Evolutionary Economics, Springer, volume 21, issue 5, pages 803-815, December, DOI: 10.1007/s00191-010-0213-1.
• Zhaojun Yang & Christian-Oliver Ewald & Olaf Menkens, 2011, "Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 74, issue 1, pages 93-120, August, DOI: 10.1007/s00186-011-0352-7.
• Steven J. Monahan, 2011, "Discussion of “Using earnings forecasts to simultaneously estimate firm-specific cost of equity and long-term growth”," Review of Accounting Studies, Springer, volume 16, issue 3, pages 458-463, September, DOI: 10.1007/s11142-011-9146-7.
• Stephen Lok & Scott Richardson, 2011, "Credit markets and financial information," Review of Accounting Studies, Springer, volume 16, issue 3, pages 487-500, September, DOI: 10.1007/s11142-011-9147-6.
• Alexander Nekrasov & Maria Ogneva, 2011, "Using earnings forecasts to simultaneously estimate firm-specific cost of equity and long-term growth," Review of Accounting Studies, Springer, volume 16, issue 3, pages 414-457, September, DOI: 10.1007/s11142-011-9159-2.
• Ying Cao & Linda A. Myers & Theodore Sougiannis, 2011, "Does earnings acceleration convey information?," Review of Accounting Studies, Springer, volume 16, issue 4, pages 812-842, December, DOI: 10.1007/s11142-011-9150-y.
• Yonca Ertimur & Volkan Muslu & Frank Zhang, 2011, "Why are recommendations optimistic? Evidence from analysts’ coverage initiations," Review of Accounting Studies, Springer, volume 16, issue 4, pages 679-718, December, DOI: 10.1007/s11142-011-9163-6.
• Joscha Beckmann & Ansgar Belke & Michael Kühl, 2011, "The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 147, issue 1, pages 11-40, April, DOI: 10.1007/s10290-010-0074-6.
• Giulio Bottazzi & Pietro Dindo, 2011, "Selection in asset markets: the good, the bad, and the unknown," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2011/11, May.
• David Backus & Mikhail Chernov & Stanley Zin, 2011, "Sources of Entropy in Representative Agent Models," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 11-21.
• Cheung, Stephen L. & Palan, Stefan, 2011, "Two heads are less bubbly than one: Team decision-making in an experimental asset market," Working Papers, University of Sydney, School of Economics, number 2011-08, Sep.
• Guglielmo Maria Caporale & Luis Gil-Alana, 2011, "The weekly structure of US stock prices," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 23, pages 1757-1764, DOI: 10.1080/09603107.2011.562168.
• Gabe de Bondt & Tuomas Peltonen & Daniel Santabarbara, 2011, "Booms and busts in China's stock market: estimates based on fundamentals," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 5, pages 287-300, DOI: 10.1080/09603107.2010.530218.
• Gerald Cheang & Carl Chiarella, 2011, "Exchange Options Under Jump-Diffusion Dynamics," Applied Mathematical Finance, Taylor & Francis Journals, volume 18, issue 3, pages 245-276, DOI: 10.1080/1350486X.2010.505390.
• William Lin & Shih-Chuan Tsai & David Sun, 2011, "Price informativeness and predictability: how liquidity can help," Applied Economics, Taylor & Francis Journals, volume 43, issue 17, pages 2199-2217, DOI: 10.1080/00036840903153812.
• Riona Arjoon & Mariëtte Botes & Laban K. Chesang & Rangan Gupta, 2011, "The long-run relationship between inflation and real stock prices: empirical evidence from South Africa," Journal of Business Economics and Management, Taylor & Francis Journals, volume 13, issue 4, pages 600-613, July, DOI: 10.3846/16111699.2011.620162.
• Viktor Todorov & George Tauchen, 2011, "Volatility Jumps," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 29, issue 3, pages 356-371, July, DOI: 10.1198/jbes.2010.08342.
• José Gonzalo Rangel & Robert F. Engle, 2011, "The Factor--Spline--GARCH Model for High and Low Frequency Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 109-124, May, DOI: 10.1080/07350015.2012.643132.
• Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti, 2011, "Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 2, pages 275-287, October, DOI: 10.1080/07350015.2011.638831.
• Keith Anderson & Chris Brooks & Sotiris Tsolacos, 2011, "Testing for Periodically Collapsing Rational Speculative Bubbles in U.S. REITs," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, volume 17, issue 3, pages 227-241, January, DOI: 10.1080/10835547.2011.12089906.
• Carlo Magni, 2011, "Addendum to “Average Internal Rate of Return and Investment Decisions: A New Perspective”," The Engineering Economist, Taylor & Francis Journals, volume 56, issue 2, pages 181-182, DOI: 10.1080/0013791X.2011.573658.
• Dungey, Mardi & Dwyer, Gerald P. & Flavin, Thomas, 2011, "Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 11817, Aug.
• Kurmas Akdogan & Meltem Gulenay Chadwick, 2011, "Nonlinearities in CDS-Bond Basis (CDS-Bono Farkinin Dogrusal Olmayan Duzeltme Hareketi)," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1113.
• Murat Duran & Eda Gulsen & Refet Gurkaynak, 2011, "Turkiye Icin Getiri Egrileri Kullanilarak Enflasyon Telafisi Tahmin Edilmesi," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1122.
• Christos Grose, 2011, "The Determinants of Cash Flows in Greek Bond Mutual Funds," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 4, issue 1, pages 55-77, March.
• Emmanuel Anoruo, 2011, "Testing for Linear and Nonlinear Causality between Crude Oil Price Changes and Stock Market Returns," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 4, issue 3, pages 75-92, December.
• Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2011, "Risk Measures for Autocorrelated Hedge Fund Returns," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-084/2/DSF 23, May.
• Arjen Siegmann & Denitsa Stefanova, 2011, "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-150/2/DSF27, Oct.
• Humphery-Jenner, M., 2011, "High Frequency Trading, Information, and Takeovers," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-047.
• Renneboog, L.D.R. & Spaenjers, C., 2011, "Hard Assets : The Returns on Rare Diamonds and Gems," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-056.
• Pataracchia, B., 2011, "Ambiguity and Volatility : Asset Pricing Implications," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-042.
• Renneboog, L.D.R. & Spaenjers, C., 2011, "The Dutch grey market," Other publications TiSEM, Tilburg University, School of Economics and Management, number 0633541a-6421-442a-b1e6-a.
• Renneboog, L.D.R. & Spaenjers, C., 2011, "Hard Assets : The Returns on Rare Diamonds and Gems," Other publications TiSEM, Tilburg University, School of Economics and Management, number 2312b4fe-233c-44a4-82a1-5.
• Jan Antell & Mika Vaihekoski, 2011, "Pricing currency risk in the stock market: Empirical evidence from Finland and Sweden 1970-2009," Discussion Papers, Aboa Centre for Economics, number 63, Jan.
• Ben-David, Itzhak & Franzoni, Francesco & Landier, Augustin & Moussawi, Rabih, 2011, "Do Hedge Funds Manipulate Stock Prices?," TSE Working Papers, Toulouse School of Economics (TSE), number 11-221, Feb.
• Drelichman, Mauricio & Voth, Hans-Joachim, 2011, "Risk Sharing with the Monarch: Contingent Debt and Excusable Defaults in the Age of Philip II, 1556-1598," Economics working papers, Vancouver School of Economics, number mauricio_drelichman-2011-, Jul, revised 06 Jun 2012.
• Sergio Andenmatten & Felix Brill, 2011, "Measuring Co-Movements of CDS Premia during the Greek Debt Crisis," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp1104, Jul.
• Don Bredin & John Cotter, 2011, "Volatility and Irish Exports," Working Papers, Geary Institute, University College Dublin, number 200416, Jun.
• John Cotter & Jim Hanly, 2011, "Re-evaluating Hedging Performance," Working Papers, Geary Institute, University College Dublin, number 200518, Jun.
• John Cotter & Francois Longin, 2011, "Implied Correlation from VaR," Working Papers, Geary Institute, University College Dublin, number 200618, 07.
• John Cotter & Jim Hanly, 2011, "Hedging Effectiveness under Conditions of Asymmetry," Working Papers, Geary Institute, University College Dublin, number 200843, 07.
• John Cotter & Jim Hanly, 2011, "A Utility Based Approach to Energy Hedging," Working Papers, Geary Institute, University College Dublin, number 201106, Mar.
• John Cotter & Stuart Gabriel & Richard Roll, 2011, "Integration and Contagion in US Housing Markets," Working Papers, Geary Institute, University College Dublin, number 201131, Nov.
• Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio, 2011, "Why do variance swaps exist?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-06.
• Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio, 2011, "Variance Swaps and Intertemporal Asset Pricing," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-08.
• Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer, 2011, "Risk Spillovers in Oil-Related CDS, Stock and Credit Markets," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-12.
• Pilar Abad & Antonio Diaz & M. Dolores Robles-Fernandez, 2011, "Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-36.
• Pilar Abad & Antonio Diaz & M. Dolores Robles-Fernandez, 2011, "Determinants of trading activity after rating actions in the Corporate Debt Market," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-37.
• Simón Sosvilla-Rivero & Amalia Morales-Zumaquero, 2011, "Volatility in EMU sovereign bond yields: Permanent and transitory components," Working Papers del Instituto Complutense de Estudios Internacionales, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales, number 1106.
• Stijn Claessens & M. Ayhan Kose & Marco E. Terrones, 2011, "Financial Cycles: What? How? When?," NBER International Seminar on Macroeconomics, University of Chicago Press, volume 7, issue 1, pages 303-344, DOI: 10.1086/658308.
• Isaac Ehrlich & Jong Kook Shin & Yong Yin, 2011, "Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets," Journal of Human Capital, University of Chicago Press, volume 5, issue 3, pages 255-301, DOI: 10.1086/662546.
• Diego Gianelli, 2011, "El traspaso de las tasas de interés en el sistema bancario uruguayo," Documentos de Trabajo (working papers), Department of Economics - dECON, number 0411, Jan.
• Shaun Hargreaves Heap & Daniel John Zizzo, 2011, "Emotions and chat in a financial markets experiment," Working Paper series, University of East Anglia, Centre for Behavioural and Experimental Social Science (CBESS), School of Economics, University of East Anglia, Norwich, UK., number 11-11, Mar.
• Anika Sedyaning Wikanti, 2011, "Contagion Effects Of Us Financial Crisis On Indonesia," Economic Journal of Emerging Markets, Universitas Islam Indonesia, volume 3, issue 2, pages 125-137.
• Yosandi Yulius, 2011, "Determinants Of Ori001 Type Government Bond," Economic Journal of Emerging Markets, Universitas Islam Indonesia, volume 3, issue 2, pages 179-188.
• James Crotty, 2011, "The Realism of Assumptions Does Matter: Why Keynes-Minsky Theory Must Replace Efficient Market Theory as the Guide to Financial Regulation Policy," Working Papers, Political Economy Research Institute, University of Massachusetts at Amherst, number wp255.
• Jayati Ghosh & James Heintz & Robert Pollin, 2011, "Speculation on Commodities Futures Markets and Destabilization Of Global Food Prices: Exploring the Connections," Working Papers, Political Economy Research Institute, University of Massachusetts at Amherst, number wp269.
• James Crotty, 2011, "The Realism of Assumptions Does Matter: Why Keynes-Minsky Theory Must Replace Efficient Market Theory as the Guide to Financial Regulation Policy," UMASS Amherst Economics Working Papers, University of Massachusetts Amherst, Department of Economics, number 2011-05, Mar.
• Germán López-Espinosa & Antonio Moreno & Fernando Pérez de Gracia, 2011, "Banks Net Interest Margin in the 2000s: A Macro-Accounting International Perspective," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 11/11, Oct.
• Magomet Yandiev, 2011, "The Damped Fluctuations as a Base of Market Quotations," Working Papers, Moscow State University, Faculty of Economics, number 0003, Aug.
• Mauricio Drelichman & Joachim Voth, 2011, "Serial defaults, serial profits: Returns to sovereign lending in Habsburg Spain, 1566-1600," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1262, Jan.
• Aslanidis, Nektarios & Christiansen, Charlotte, 2011, "Quantiles of the Realized Stock-Bond Correlation," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/151809.
• Aslanidis, Nektarios & Christiansen, Charlotte, 2011, "Smooth Transition Patterns in the Realized Stock- Bond Correlation," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/152138.
• Marek SPIÅ Ã K & Roman Å PERKA, 2011, "Financial Market Simulation Based On Intelligent Agents €“ Case Study," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 6, issue 3(17)/ Fa, pages 249-256.
• Giulio Tarditi, 2011, "Affine Term Structure Constraints on Euribor data," Department of Economics University of Siena, Department of Economics, University of Siena, number 613, Jun.
• Shaun P. Hargreaves Heap & Daniel John Zizzo, 2011, "Emotions and Chat in a Financial Markets Experiment," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 10, Mar.
• Ron Bird & Harry Liem & Susan Thorp, 2011, "Infrastructure: Real Assets and Real Returns," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 11, Sep.
• Ron Bird & Harry Liem & Susan Thorp, 2011, "Private Equity: Strategies for Improving Performance," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 12, Sep.
• Ron Bird & Krishna Reddy & Danny Yeung, 2011, "The Relationship Between Uncertainty and the Market Reaction to Information: How is it Influenced by Market and Stock-Specific Characteristics?," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 14, Sep.
• Ron Bird & Daniel Choi & Danny Yeung, 2011, "Market Uncertainty and Sentiment, and the Post-Earnings Announcement Drift," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 15, Sep.
• Carl Chiarella & Xue-Zhong He & Weihong Huang & Huanhuan Zheng, 2011, "Estimating Behavioural Heterogeneity Under Regime Switching," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 290, May.
• Xue-Zhong He & Kai Li, 2011, "Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 291, Jun.
• Dan Luo & Iris Biefang-Frisancho Mariscal & Peter Howells, 2011, "The effect of monetary policy on investors’ risk perception: Evidence from the UK and Germany," Working Papers, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol, number 1107, May.
• Sorin V. STAN, 2011, "Frequently Asked Questions (FAQ) on Valuation of Business Intangible Assets," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 6, issue 1, pages 4-17.
• Carmen LIPARA, 2011, "Investment Recommendations Made by Financial Analysts and Their Impact upon the Price Evolution of the Shares Listed on the Bucharest Stock Exchange," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 6, issue 2, pages 100-123.
• Sergei Vasilievich CHEREMUSHKIN, 2011, "How to Ensure Consistency between Discount Rates and Cash Flows?," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 6, issue 2, pages 4-45.
• Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2011, "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2011_21.
• Raddatz, Claudio & Schmukler, Sergio L., 2011, "Deconstructing herding : evidence from pension fund investment behavior," Policy Research Working Paper Series, The World Bank, number 5700, Jun.
• Anginer, Deniz & Demirguc-Kunt, Asli, 2011, "Has the global banking system become more fragile over time ?," Policy Research Working Paper Series, The World Bank, number 5849, Oct.
• Kenneth Kuttner, 2011, "Monetary Policy and Asset Price Volatility: Should We Refill the Bernanke-Gertler Prescription?," Department of Economics Working Papers, Department of Economics, Williams College, number 2011-04, May, revised Jun 2011.
• Sara LaLumia & James Sallee, 2011, "The Value of Honesty: Empirical Estimates from the Case of the Missing Children," Department of Economics Working Papers, Department of Economics, Williams College, number 2011-05, Jun.
• Christian Dreger & Yanqun Zhang, 2011, "Is there a bubble in the Chinese housing market?," ERSA conference papers, European Regional Science Association, number ersa11p261, Sep.
• John Geweke & Gianni Amisano, 2011, "Hierarchical Markov normal mixture models with applications to financial asset returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 26, issue 1, pages 1-29, January/F.
• Orazio P. Attanasio & Monica Paiella, 2011, "Intertemporal consumption choices, transaction costs and limited participation in financial markets: reconciling data and theory," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 26, issue 2, pages 322-343, March.
• Cristiana Mǎnescu, 2011, "Stock returns in relation to environmental, social and governance performance: Mispricing or compensation for risk?," Sustainable Development, John Wiley & Sons, Ltd., volume 19, issue 2, pages 95-118, March/Apr.
• Szymon Grabowski, 2011, "Balance sheet effect in the Polish economy," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 55, Jul.
• Jianxin Wang, 2011, "Forecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors," Asian Development Review (ADR), World Scientific Publishing Co. Pte. Ltd., volume 28, issue 02, pages 32-57, December, DOI: 10.1142/S0116110511500090.
• Man Fu & Prasad V. Bidarkota, 2011, "The Present Value Model With Stochastic Discount Rate And An Ann Process For Broad Dividends," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 01, pages 1-20, DOI: 10.1142/S2010495211500011.
• Jinghan Cai & Hongbing Ouyang & Michael Chak Sham Wong, 2011, "The Bear Market In China: Which Trades Push The Stock Prices Down?," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 01, pages 1-22, DOI: 10.1142/S2010495211500023.
• D. E. Allen & R. J. Powell & A. K. Singh, 2011, "Quantile Regression As A Tool For Portfolio Investment Decisions During Times Of Financial Distress," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 01, pages 1-19, DOI: 10.1142/S2010495211500035.
• George Tauchen, 2011, "Stochastic Volatility in General Equilibrium," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 1, issue 04, pages 707-731, DOI: 10.1142/S2010139211000237.
• Thorsten Rheinländer & Jenny Sexton, 2011, "Hedging Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8062, ISBN: ARRAY(0x6305c978), May.
• William A. Barnett & Shu Wu, 2011, "On User Costs of Risky Monetary Assets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, "Financial Aggregation And Index Number Theory".
• William A. Barnett & Unja Chae & John W. Keating, 2011, "The Discounted Economic Stock of Money with VAR Forecasting," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, "Financial Aggregation And Index Number Theory".
• William A. Barnett, 2011, "Multilateral Aggregation-Theoretic Monetary Aggregation over Heterogeneous Countries," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, "Financial Aggregation And Index Number Theory".
• 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.
• David Hirshleifer & Sonya S. Lim & Siew Hong Teoh, 2011, "Limited Investor Attention and Stock Market Misreactions to Accounting Information," The Review of Asset Pricing Studies, Society for Financial Studies, volume 1, issue 1, pages 35-73.
• George M. Constantinides & Anisha Ghosh, 2011, "Asset Pricing Tests with Long-run Risks in Consumption Growth," The Review of Asset Pricing Studies, Society for Financial Studies, volume 1, issue 1, pages 96-136.
• Yili Chien & Harold Cole & Hanno Lustig, 2011, "A Multiplier Approach to Understanding the Macro Implications of Household Finance," The Review of Economic Studies, Review of Economic Studies Ltd, volume 78, issue 1, pages 199-234.
• Fernando Restoy & Philippe Weil, 2011, "Approximate Equilibrium Asset Prices," Review of Finance, European Finance Association, volume 15, issue 1, pages 1-28.
• H. Henry Cao & Bing Han & David Hirshleifer & Harold H. Zhang, 2011, "Fear of the Unknown: Familiarity and Economic Decisions," Review of Finance, European Finance Association, volume 15, issue 1, pages 173-206.
• Jakub W. Jurek & Luis M. Viceira, 2011, "Optimal Value and Growth Tilts in Long-Horizon Portfolios," Review of Finance, European Finance Association, volume 15, issue 1, pages 29-74.
• Richard A. Lambert & Christian Leuz & Robert E. Verrecchia, 2011, "Information Asymmetry, Information Precision, and the Cost of Capital," Review of Finance, European Finance Association, volume 16, issue 1, pages 1-29.
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• Tim Bollerslev & Natalia Sizova & George Tauchen, 2011, "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," Review of Finance, European Finance Association, volume 16, issue 1, pages 31-80.
• Bo-Young Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2011, "Option-Implied Measures of Equity Risk," Review of Finance, European Finance Association, volume 16, issue 2, pages 385-428.
• James S. Doran & Danling Jiang & David R. Peterson, 2011, "Gambling Preference and the New Year Effect of Assets with Lottery Features," Review of Finance, European Finance Association, volume 16, issue 3, pages 685-731.
• Albert Lee Chun, 2011, "Expectations, Bond Yields, and Monetary Policy," The Review of Financial Studies, Society for Financial Studies, volume 24, issue 1, pages 208-247.
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• Gabriel Rodríguez & Alfredo Vargas, 2011, "Impacto de Expectativas Políticas en los Retornos del Indice General de la Bolsa de Valores de Lima," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2011-323.
• Yochanan Shachmurove, 2011, "First-Round Entrepreneurial Investments: Where, When and Why?," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 11-017, Jun.
• Izabela Jonek-Kowalska & Marian Turek, 2011, "Possibilities Of Improving The Efficiency Of Mining Companies By Controlling Cost Of Coal," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 6, issue 2, pages 91-107, June, DOI: 10.12775/EQUIL2011.014.
• Attiya Y. Javid & Eatzaz Ahmad, 2011, "Asset Pricing Behaviour with Dual-Beta in Case of Pakistani Stock Market," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 50, issue 2, pages 95-118.
• Francois-Éric Racicot & Raymond Théoret, 2011, "Forecasting stochastic Volatility using the Kalman filter: An Application to Canadian Interest Rates and Price-Earnings Ratio," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp032011, Apr.
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