Research classified by Journal of Economic Literature (JEL) codes

2011

• Christian Gollier & Edward Schlee, 2011, "Information And The Equity Premium," Journal of the European Economic Association, European Economic Association, volume 9, issue 5, pages 871-902, October, DOI: j.1542-4774.2011.01034.x.
• Efraim Benmelech & Nittai K. Bergman, 2011, "Bankruptcy and the Collateral Channel," Journal of Finance, American Finance Association, volume 66, issue 2, pages 337-378, April.
• Stefan Nagel & Kenneth J. Singleton, 2011, "Estimation and Evaluation of Conditional Asset Pricing Models," Journal of Finance, American Finance Association, volume 66, issue 3, pages 873-909, June.
• Viral V. Acharya & Douglas Gale & Tanju Yorulmazer, 2011, "Rollover Risk and Market Freezes," Journal of Finance, American Finance Association, volume 66, issue 4, pages 1177-1209, August.
• Thierry Foucault & David Sraer & David J. Thesmar, 2011, "Individual Investors and Volatility," Journal of Finance, American Finance Association, volume 66, issue 4, pages 1369-1406, August.
• Patrick Bolton & Hui Chen & Neng Wang, 2011, "A Unified Theory of Tobin's q, Corporate Investment, Financing, and Risk Management," Journal of Finance, American Finance Association, volume 66, issue 5, pages 1545-1578, October, DOI: j.1540-6261.2011.01681.x.
• David Backus & Mikhail Chernov & Ian Martin, 2011, "Disasters Implied by Equity Index Options," Journal of Finance, American Finance Association, volume 66, issue 6, pages 1969-2012, December, DOI: j.1540-6261.2011.01697.x.
• Tim Bollerslev & Viktor Todorov, 2011, "Tails, Fears, and Risk Premia," Journal of Finance, American Finance Association, volume 66, issue 6, pages 2165-2211, December, DOI: j.1540-6261.2011.01695.x.
• J. Ginger Meng & Gang Hu & Jushan Bai, 2011, "Olive: A Simple Method For Estimating Betas When Factors Are Measured With Error," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, volume 34, issue 1, pages 27-60, March.
• Michael R. King & Carol Osler & Dagfinn Rime, 2011, "Foreign exchange market structure, players and evolution," Working Paper, Norges Bank, number 2011/10, Aug.
• Kevin J. Lansing, 2011, "Asset pricing with concentrated ownership of capital," Working Paper, Norges Bank, number 2011/18, Dec.
• Martin Andreasen & Pawel Zabczyk, 2011, "An efficient method of computing higher-order bond price perturbation approximations," Bank of England Staff Working Paper series, Bank of England, number 416, Mar.
• Martin Andreasen, 2011, "How non-Gaussian shocks affect risk premia in non-linear DSGE models," Bank of England Staff Working Paper series, Bank of England, number 417, Mar.
• Bianca De Paoli & Pawel Zabczyk, 2011, "Cyclical risk aversion, precautionary saving and monetary policy," Bank of England Staff Working Paper series, Bank of England, number 418, Apr.
• Michael Hatcher, 2011, "Time-varying volatility, precautionary saving and monetary policy," Bank of England Staff Working Paper series, Bank of England, number 440, Oct.
• Pragyan Deb & Mark Manning & Gareth Murphy & Adrian Penalver & Aron Toth, 2011, "Financial Stability Paper No 9: Whither the Credit Ratings Industry?," Bank of England Financial Stability Papers, Bank of England, number 9, Mar.
• Heather D. Gibson & Stephan G. Hall & George S. Tavlas, 2011, "The Greek financial crisis: growing imbalances and sovereign spreads," Working Papers, Bank of Greece, number 124, Mar.
• Alexandros E. Milionis & Dimitra K. Patsouri, 2011, "A conditional CAPM; implications for the estimation of systematic risk," Working Papers, Bank of Greece, number 131, May.
• Polina Dovman & Sigal Ribon & Yossi Yakhin, 2011, "The Housing Market in Israel 2008-2010: Are House Prices A "Bubble"?," Bank of Israel Working Papers, Bank of Israel, number 2011.06, Jul.
• Ippei Fujiwara & Koji Takahashi, 2011, "Asian Financial Linkage: Macro-Finance Dissonance," Bank of Japan Working Paper Series, Bank of Japan, number 11-E-6, Aug.
• Hail Park, 2011, "Limits to Arbitrage in the Swap and Bond Markets: the Case of Korea," Working Papers, Economic Research Institute, Bank of Korea, number 2011-14, May.
• M. Marzo & L. Zhoushi & P. Zagaglia, 2011, "The Relationship Between Financial Risk Premia and Macroeconomic Volatility: Issues and Perspectives on the Run-Up to the Turmoil," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp732, Feb.
• M. Marzo & D. Ritelli & P. Zagaglia, 2011, "Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp797, Nov.
• A. Gabrielsen & M. Marzo & P. Zagaglia, 2011, "Measuring market liquidity: An introductory survey," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp802, Dec.
• Pierre Perron & Sungju Chun & Cosme Vodounou, 2011, "Sampling Interval and Estimated Betas: Implications for the Presence of Transitory Components in Stock Prices," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2011-055, Jan.
• Dahl Christian M & Iglesias Emma, 2011, "Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary," Journal of Time Series Econometrics, De Gruyter, volume 3, issue 1, pages 1-32, February, DOI: 10.2202/1941-1928.1093.
• Jens Hilscher & Mungo Wilson, 2011, "Credit ratings and credit risk," Working Papers, Brandeis University, Department of Economics and International Business School, number 31, Jun.
• Jens Hilscher & Joshua M. Pollet & Mungo Wilson, 2011, "Are credit default swaps a sideshow? Evidence that Information Flows from Equity to CDS Markets," Working Papers, Brandeis University, Department of Economics and International Business School, number 35, Jul, revised May 2013.
• Pavel Bandarchuk & Jens Hilscher, 2011, "Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics," Working Papers, Brandeis University, Department of Economics and International Business School, number 38, Sep.
• Guntram B. Wolff, 2011, "Rules and risk in the euro area," Bruegel Working Papers, Bruegel, number 615, Oct.
• Frederico Valle e Flister & Aureliano Angel Bressan & Hudson Fernandes Amaral, 2011, "Conditional CAPM in the Brazilian Market: a study of the Moment, Size and Book to Market effects between 1995 and 2008," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 1, pages 105-129.
• Rafael Barros de Rezende, 2011, "Giving Flexibility to the Nelson-Siegel Class of Term Structure Models," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 1, pages 27-49.
• Kelmara Mendes Vieira & João Luiz Becker, 2011, "Structural Equation Modeling Applied to the Reaction to Stock Dividends and Stock Splits: integrating signaling, liquidity and optimal price level," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 1, pages 69-104.
• José Renato Haas Ornelas & Marcelo Yoshio Takami, 2011, "Recovering Risk-Neutral Densities from Brazilian Interest Rate Options," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 1, pages 9-26.
• Denisard Cneio de Oliveira Alves & Joe Akira Yoshino & Paula Carvalho Pereda & Carla Jucá Amrein, 2011, "Modeling House Pricing in the Real Estate Market of São Paulo City," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 2, pages 167-187.
• Thiago Bergmann de Queiroz & Otávio Ribeiro de Medeiros & José Carneiro da Cunha Oliveira Neto, 2011, "Evidence of speculative bubbles on the BOVESPA: an application of the Kalman filter," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 2, pages 257-275.
• Marcelo Ganem & Tara Keshar Nanda Baidya, 2011, "Asymmetry and Risk Premia in the Brazilian Term Structure of Interest Rates," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 2, pages 277-301.
• Márcio André Veras Machado & Otávio Ribeiro de Medeiros, 2011, "Asset Pricing Model and the Liquidity Effect: Empirical Evidence in the Brazilian Stock Market," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 3, pages 383-412.
• Alan De Genaro Dario & Mariela Fernández, 2011, "Generating Interest Rate Stress Scenarios," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 3, pages 413-436.
• Christophe Boucher & Bertrand Maillet, 2011, "Une analyse temps-fréquences des cycles financiers," Revue économique, Presses de Sciences-Po, volume 62, issue 3, pages 441-450.
• Mohamed El Hédi Arouri & Philippe Foulquier & Julien Fouquau, 2011, "Oil Prices and Stock Markets in Europe: A Sector Perspective," Recherches économiques de Louvain, De Boeck Université, volume 77, issue 1, pages 5-30.
• Laurent Daniel & Pavel Diev, 2011, "Vers une agence européenne de la dette ?," Revue de l'OFCE, Presses de Sciences-Po, volume 0, issue 1, pages 253-275.
• Carlos Santos, 2011, "The Euro Sovereign Debt Crisis, Determinants of Default Probabilities and Implied Ratings in the CDS Market: An Econometric Analysis," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 02, May.
• Kennedy, Gerard & McIndoe Calder, Tara, 2011, "The Irish Mortgage Market: Stylised Facts, Negative Equity and Arrears," Research Technical Papers, Central Bank of Ireland, number 12/RT/11, Nov.
• Kelly, Robert, 2011, "The Good, The Bad and The Impaired - A Credit Risk Model of the Irish Mortgage Market," Research Technical Papers, Central Bank of Ireland, number 13/RT/11, Nov.
• Dunne, Peter & Forker, John & Zholos, Andrey, 2011, "The Value Relevance of Sentiment," Research Technical Papers, Central Bank of Ireland, number 5/RT/11, Mar.
• Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer, 2011, "Risk Spillovers in Oil-Related CDS, Stock and Credit Markets," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/17, Apr.
• Theodoros M. Diasakos, 2011, "Other Assets' Risk: Asset-Prices and Perceptions of Asset-Risk," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 210.
• Theodoros M. Diasakos, 2011, "A Simple Characterization of Dynamic Completeness in Continuous Time," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 211.
• Riccardo Giacomelli & Elisa Luciano, 2011, "Equilibrium price of immediacy and infrequent trade," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 221, revised 2013.
• David C. Allan & Philippe Bergevin, 2011, "Better Braking for ABS: Reform Proposals for the Asset-Backed Securities Market," e-briefs, C.D. Howe Institute, number 123, Sep.
• Friedman, Dan & Sunder, Shyam, 2011, "Risky Curves: From Unobservable Utility to Observable Opportunity Sets," Santa Cruz Department of Economics, Working Paper Series, Department of Economics, UC Santa Cruz, number qt36q158jt, Jun.
• Rodolfo Apreda, 2011, "Multiplicative models of financial returns an what we fail to get when they are disregarded," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 454, May.
• Klaus Adam & Albert Marcet, 2011, "Booms and Busts in Asset Prices," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp1059, Jul.
• Klaus Adam & Albert Marcet, 2011, "Internal Rationality, Imperfect Market Knowledge and Asset Prices," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp1068, Aug.
• Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2011, "Stock Market Volatility and Learning," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp1077, Sep.
• Giovanni Cespa & Xavier Vives, 2011, "Expectations, Liquidity, and Short-term Trading," CESifo Working Paper Series, CESifo, number 3390.
• Burkhard Heer & Alfred Maussner, 2011, "Asset Returns, the Business Cycle, and the Labor Market: A Sensitivity Analysis for the German Economy," CESifo Working Paper Series, CESifo, number 3391.
• Peter CAUWELS & Didier SORNETTE, 2011, "Quis pendit ipsa pretia: facebook valuation and diagnostic of a bubble based on nonlinear demographic dynamics," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-59, Oct.
• Brice Corgnet & Praveen Kujal & David Porter, 2011, "Reaction to Public Information in Markets: How Much Does Ambiguity Matter?," Working Papers, Chapman University, Economic Science Institute, number 11-01.
• Brice Corgnet & Praveen Kujal & David Porter, 2011, "The Effect of Reliability, Content and Timing of Public Announcements on Asset Trading Behavior," Working Papers, Chapman University, Economic Science Institute, number 11-02.
• Cary Deck & David Porter & Vernon L. Smith, 2011, "Double Bubbles in Assets Markets with Multiple Generations," Working Papers, Chapman University, Economic Science Institute, number 11-10.
• Jean-Marie Dufour & René Garcia & Abderrahim Taamouti, 2011, "Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility," CIRANO Working Papers, CIRANO, number 2011s-27, Feb.
• Ana Fostel & John Geanakoplos, 2011, "Tranching, CDS and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes," Levine's Working Paper Archive, David K. Levine, number 786969000000000168, Jul.
• Ana Fostel & John Geanakoplos, 2011, "Tranching, CDS and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes," Levine's Working Paper Archive, David K. Levine, number 786969000000000192, Aug.
• Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2011, "Information Aggregation, Investment, and Managerial Incentives," Levine's Working Paper Archive, David K. Levine, number 786969000000000197, Aug.
• Alexis Derviz, 2011, "Financial Frictions, Bubbles, and Macroprudential Policies," Working Papers, Czech National Bank, Research and Statistics Department, number 2011/04, Sep.
• Zlatuse Komarkova & Adam Gersl & Lubos Komarek, 2011, "Models for Stress Testing Czech Banks' Liquidity Risk," Working Papers, Czech National Bank, Research and Statistics Department, number 2011/11, Nov.
• Fiori Maccioni, 2011, "The risk neutral valuation paradox," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201112.
• Sergio Mayordomo & Juan Ignacio Peña & Juan Romo, 2011, "A New Test of Statistical Arbitrage with Applications to Credit Derivatives Markets," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 4.
• Sergio Mayordomo & Juan Ignacio Peña & Eduardo S. Schwartz, 2011, "Towards a common European Monetary Union risk free rate," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 5.
• Jairo Andr√©s Rend√≥n, 2011, "The Carry Trade Risk Factor on U.S. Stock Returns," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 9255, Nov.
• Santiago Alberto Camargo & Samuel Jaramillo GonzÔøΩlez, 2011, "La intervenci√≥n estatal en el mercado del suelo urbano. La reconstrucci√≥n del eje cafetero: El caso de Armenia," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 9299, Nov.
• Karen Juliet Leiton Rodr�guez, 2011, "Validez del Supuesto de Neutralidad del Horizonte de Tiempo en el CAPM y la Metodolog�a del Rango Reescalado: Aplicaci�n a Colombia," Borradores de Economia, Banco de la Republica, number 9016, Oct.
• Pamela A. Cardozo & Carlos A. Huertas C. & Juli�n A. Parra P. & Lina V. Pati�o Echeverri, 2011, "Mercado interbancario colombiano y manejo de liquidez del Banco de la Rep�blica," Borradores de Economia, Banco de la Republica, number 9017, Oct.
• Carlos Medina & Christian Posso & Jorge Andr�s Tamayo, 2011, "Costos de la violencia urbana y pol�ticas p�blicas: algunas lecciones de Medell�n," Borradores de Economia, Banco de la Republica, number 9076, Oct.
• Bernardo León & Andr�s Mora, 2011, "CDS: relación con índices accionarios y medida de riesgo," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 29, issue 64, pages 178-211, DOI: 10.32468/Espe.6405.
• Diego Alonso Agudelo Rueda, 2011, "Medidas intradiarias de liquidez y de costos de transacción asociados en la Bolsa de Valores de Colombia," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10662, Nov.
• Diego Alonso Agudelo Rueda & Milena Casta�o, 2011, "Do foreign portfolio flows increase risk in emerging stock markets? Evidence from six Latin American countries 1999 -2008," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10663, Dec.
• Thomas Goda & Photis Lysandrou, 2011, "The contribution of wealth concentration to the subprime crisis: a quantitative estimation," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10718, Dec.
• Thomas Goda & Photis Lysandrou & Chris Stewart, 2011, "The contribution of us bond demand to the us bond yield conundrum of 2004 to 2007: an empirical investigation," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10719, Dec.
• Werner Kristjanpoller Rodríguez & Mauricio Morales Jure, 2011, "Teoría de la asignación del precio por arbitraje aplicada al mercado accionario chileno," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• Jorge Mario Uribe Gil, 2011, "Contagio financiero: una metodología para su evaluación mediante coeficientes de dependencia asintótica," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• Charle Augusto Londono Henao & Yaneth María Cuan Jaramillo, 2011, "Modelos de precios de los activos: un ejercicio comparativo basado en redes neuronales aplicado al mercado de valores colombiano," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• César Corredor Velandia & Rafael de Jes�s Mej�a Pertuz, 2011, "Comportamiento sectorial del mercado de renta variable en Colombia: Una aplicación del modelo CAPM," Revista Economía y Región, Universidad Tecnológica de Bolívar, volume 5, issue 1, pages 109-144.
• Carlos Arturo Gómez Restrepo & Mario Garc�a Molina, 2011, "Supuestos implícitos en la utilización del capital Assets Pricing Model - Capm - para el cálculo del costo del capital propio - Equity-," Documentos Doctorado en Ciencias Económicas, Universidad Nacional de Colombia, FCE, CID, number 8905, Aug.
• Joseph Tham & Ignacio Velez Pareja & James Kolari, 2011, "Analytical Solution for Optimal Capital Structure in Perpetuities," Proyecciones Financieras y Valoración, Master Consultores, number 7857, Jan.
• Carlo Alberto Magni, 2011, "Addendum to "Average Internal Rate of Return and Investment Decisions: A New Perspective"," Proyecciones Financieras y Valoración, Master Consultores, number 8138, Mar.
• Ignacio V√©lez Pareja & Felipe Mejia-Pelaez & James W. Kolari, 2011, "Optimal Capital Structure for Finite Cash Flows," Proyecciones Financieras y Valoración, Master Consultores, number 8229, Mar.
• Carlo Alberto Magni & Flavio Pressacco & Patrizia Stucchi, 2011, "A Quasi-IRR for a Project Without IRR," Proyecciones Financieras y Valoración, Master Consultores, number 8249, Mar.
• Rafael Yesid Salas Perez & Juan David Gutierrez & Ignacio Velez Pareja, 2011, "Valor De Los Ahorros En Impuestos Por Deuda En Colombia: Un Estudio Emp√≠rico," Proyecciones Financieras y Valoración, Master Consultores, number 9263, Jul.
• 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.
• Aït-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2011, "Ultra high frequency volatility estimation with dependent microstructure noise," Journal of Econometrics, Elsevier, volume 160, issue 1, pages 160-175, January.
• Bollerslev, Tim & Gibson, Michael & Zhou, Hao, 2011, "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Journal of Econometrics, Elsevier, volume 160, issue 1, pages 235-245, January.
• Dueker, Michael J. & Psaradakis, Zacharias & Sola, Martin & Spagnolo, Fabio, 2011, "Multivariate contemporaneous-threshold autoregressive models," Journal of Econometrics, Elsevier, volume 160, issue 2, pages 311-325, February.
• Wang, Xiaohu & Phillips, Peter C.B. & Yu, Jun, 2011, "Bias in estimating multivariate and univariate diffusions," Journal of Econometrics, Elsevier, volume 161, issue 2, pages 228-245, April.
• Christensen, Jens H.E. & Diebold, Francis X. & Rudebusch, Glenn D., 2011, "The affine arbitrage-free class of Nelson-Siegel term structure models," Journal of Econometrics, Elsevier, volume 164, issue 1, pages 4-20, September.
• Todorov, Viktor & Tauchen, George & Grynkiv, Iaryna, 2011, "Realized Laplace transforms for estimation of jump diffusive volatility models," Journal of Econometrics, Elsevier, volume 164, issue 2, pages 367-381, October.
• Müller, Hans-Georg & Sen, Rituparna & Stadtmüller, Ulrich, 2011, "Functional data analysis for volatility," Journal of Econometrics, Elsevier, volume 165, issue 2, pages 233-245, DOI: 10.1016/j.jeconom.2011.08.002.
• Schmeling, Maik & Schrimpf, Andreas, 2011, "Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?," European Economic Review, Elsevier, volume 55, issue 5, pages 702-719, June.
• Lozano, Martín & Rubio, Gonzalo, 2011, "Evaluating alternative methods for testing asset pricing models with historical data," Journal of Empirical Finance, Elsevier, volume 18, issue 1, pages 136-146, January.
• Coroneo, Laura & Nyholm, Ken & Vidova-Koleva, Rositsa, 2011, "How arbitrage-free is the Nelson-Siegel model?," Journal of Empirical Finance, Elsevier, volume 18, issue 3, pages 393-407, June.
• Daouk, Hazem & Ng, David, 2011, "Is unlevered firm volatility asymmetric?," Journal of Empirical Finance, Elsevier, volume 18, issue 4, pages 634-651, September.
• Li, Yan & Yang, Liyan, 2011, "Testing conditional factor models: A nonparametric approach," Journal of Empirical Finance, Elsevier, volume 18, issue 5, pages 972-992, DOI: 10.1016/j.jempfin.2011.07.004.
• Bhar, Ramaprasad & Malliaris, A.G., 2011, "Oil prices and the impact of the financial crisis of 2007–2009," Energy Economics, Elsevier, volume 33, issue 6, pages 1049-1054, DOI: 10.1016/j.eneco.2011.01.016.
• Chevallier, Julien, 2011, "Nonparametric modeling of carbon prices," Energy Economics, Elsevier, volume 33, issue 6, pages 1267-1282, DOI: 10.1016/j.eneco.2011.03.003.
• Ziegler, Andreas & Busch, Timo & Hoffmann, Volker H., 2011, "Disclosed corporate responses to climate change and stock performance: An international empirical analysis," Energy Economics, Elsevier, volume 33, issue 6, pages 1283-1294, DOI: 10.1016/j.eneco.2011.03.007.
• Drelichman, Mauricio & Voth, Hans-Joachim, 2011, "Serial defaults, serial profits: Returns to sovereign lending in Habsburg Spain, 1566-1600," Explorations in Economic History, Elsevier, volume 48, issue 1, pages 1-19, January.
• Skinner, Frank S. & Mason, Andrew, 2011, "Covered interest rate parity in emerging markets," International Review of Financial Analysis, Elsevier, volume 20, issue 5, pages 355-363, DOI: 10.1016/j.irfa.2011.06.008.
• Bozos, Konstantinos & Nikolopoulos, Konstantinos & Ramgandhi, Ghanamaruthy, 2011, "Dividend signaling under economic adversity: Evidence from the London Stock Exchange," International Review of Financial Analysis, Elsevier, volume 20, issue 5, pages 364-374, DOI: 10.1016/j.irfa.2011.07.003.
• Fletcher, Jonathan, 2011, "Do optimal diversification strategies outperform the 1/N strategy in U.K. stock returns?," International Review of Financial Analysis, Elsevier, volume 20, issue 5, pages 375-385, DOI: 10.1016/j.irfa.2011.07.002.
• Delis, Manthos D. & Mylonidis, Nikolaos, 2011, "The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps," Finance Research Letters, Elsevier, volume 8, issue 3, pages 163-170, September.
• Fang, Ying & Ren, Yu & Yuan, Yufei, 2011, "Nonparametric estimation and testing of stochastic discount factor," Finance Research Letters, Elsevier, volume 8, issue 4, pages 196-205, DOI: 10.1016/j.frl.2011.04.001.
• Tangman, D.Y. & Thakoor, N. & Dookhitram, K. & Bhuruth, M., 2011, "Fast approximations of bond option prices under CKLS models," Finance Research Letters, Elsevier, volume 8, issue 4, pages 206-212, DOI: 10.1016/j.frl.2011.03.002.
• Khandani, Amir E. & Lo, Andrew W., 2011, "What happened to the quants in August 2007? Evidence from factors and transactions data," Journal of Financial Markets, Elsevier, volume 14, issue 1, pages 1-46, February.
• Durand, Robert B. & Lan, Yihui & Ng, Andrew, 2011, "Conditional beta: Evidence from Asian emerging markets," Global Finance Journal, Elsevier, volume 22, issue 2, pages 130-153, DOI: 10.1016/j.gfj.2011.10.004.
• Sabbaghi, Omid, 2011, "Asymmetric volatility and trading volume: The G5 evidence," Global Finance Journal, Elsevier, volume 22, issue 2, pages 169-181, DOI: 10.1016/j.gfj.2011.10.006.
• Bley, Jorg & Saad, Mohsen, 2011, "The effect of financial liberalization on stock-return volatility in GCC markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 21, issue 5, pages 662-685, DOI: 10.1016/j.intfin.2011.04.003.
• Högholm, Kenneth & Knif, Johan & Koutmos, Gregory & Pynnönen, Seppo, 2011, "Distributional asymmetry of loadings on market co-moments," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 21, issue 5, pages 851-866, DOI: 10.1016/j.intfin.2011.06.006.
• Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2011, "Asymmetric loss functions and the rationality of expected stock returns," International Journal of Forecasting, Elsevier, volume 27, issue 2, pages 413-437, DOI: 10.1016/j.ijforecast.2009.10.008.
• Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2011, "Asymmetric loss functions and the rationality of expected stock returns," International Journal of Forecasting, Elsevier, volume 27, issue 2, pages 413-437, April.
• Rajgopal, Shiva & Venkatachalam, Mohan, 2011, "Financial reporting quality and idiosyncratic return volatility," Journal of Accounting and Economics, Elsevier, volume 51, issue 1-2, pages 1-20, February.
• Rajgopal, Shiva & Venkatachalam, Mohan, 2011, "Financial reporting quality and idiosyncratic return volatility," Journal of Accounting and Economics, Elsevier, volume 51, issue 1, pages 1-20, DOI: 10.1016/j.jacceco.2010.06.001.
• Ng, Jeffrey, 2011, "The effect of information quality on liquidity risk," Journal of Accounting and Economics, Elsevier, volume 52, issue 2, pages 126-143, DOI: 10.1016/j.jacceco.2011.03.004.
• Sadka, Ronnie, 2011, "Liquidity risk and accounting information," Journal of Accounting and Economics, Elsevier, volume 52, issue 2, pages 144-152, DOI: 10.1016/j.jacceco.2011.08.007.
• Bach, Christian & Møller, Stig V., 2011, "Habit-based asset pricing with limited participation consumption," Journal of Banking & Finance, Elsevier, volume 35, issue 11, pages 2891-2901, November.
• Fischer, Andreas M. & Ranaldo, Angelo, 2011, "Does FOMC news increase global FX trading?," Journal of Banking & Finance, Elsevier, volume 35, issue 11, pages 2965-2973, November.
• Kang, Jangkoo & Kim, Tong Suk & Lee, Changjun & Min, Byoung-Kyu, 2011, "Macroeconomic risk and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3158-3173, DOI: 10.1016/j.jbankfin.2011.04.012.
• Huse, Cristian, 2011, "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3240-3252, DOI: 10.1016/j.jbankfin.2011.05.004.
• Narayan, Paresh Kumar & Sharma, Susan Sunila, 2011, "New evidence on oil price and firm returns," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3253-3262, DOI: 10.1016/j.jbankfin.2011.05.010.
• van Dijk, Mathijs A., 2011, "Is size dead? A review of the size effect in equity returns," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3263-3274, DOI: 10.1016/j.jbankfin.2011.05.009.
• Cartea, Álvaro & Karyampas, Dimitrios, 2011, "Volatility and covariation of financial assets: A high-frequency analysis," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3319-3334, DOI: 10.1016/j.jbankfin.2011.05.012.
• Florackis, Chris & Gregoriou, Andros & Kostakis, Alexandros, 2011, "Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3335-3350, DOI: 10.1016/j.jbankfin.2011.05.014.
• Ferreira, Eva & Gil-Bazo, Javier & Orbe, Susan, 2011, "Conditional beta pricing models: A nonparametric approach," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3362-3382, DOI: 10.1016/j.jbankfin.2011.05.016.
• Wagenvoort, Rien J.L.M. & Ebner, André & Morgese Borys, Magdalena, 2011, "A factor analysis approach to measuring European loan and bond market integration," Journal of Banking & Finance, Elsevier, volume 35, issue 4, pages 1011-1025, April.
• Al-Anaswah, Nael & Wilfling, Bernd, 2011, "Identification of speculative bubbles using state-space models with Markov-switching," Journal of Banking & Finance, Elsevier, volume 35, issue 5, pages 1073-1086, May.
• Dionne, Georges & Gauthier, Geneviève & Hammami, Khemais & Maurice, Mathieu & Simonato, Jean-Guy, 2011, "A reduced form model of default spreads with Markov-switching macroeconomic factors," Journal of Banking & Finance, Elsevier, volume 35, issue 8, pages 1984-2000, August.
• de Haan, Leo & Kakes, Jan, 2011, "Momentum or contrarian investment strategies: Evidence from Dutch institutional investors," Journal of Banking & Finance, Elsevier, volume 35, issue 9, pages 2245-2251, September.

2010

• Amengual, Dante & Sentana, Enrique, 2010, "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, volume 154, issue 1, pages 16-34, January.
• Todorov, Viktor & Bollerslev, Tim, 2010, "Jumps and betas: A new framework for disentangling and estimating systematic risks," Journal of Econometrics, Elsevier, volume 157, issue 2, pages 220-235, August.
• Bikbov, Ruslan & Chernov, Mikhail, 2010, "No-arbitrage macroeconomic determinants of the yield curve," Journal of Econometrics, Elsevier, volume 159, issue 1, pages 166-182, November.
• Magni, Carlo Alberto, 2010, "Residual income and value creation: An investigation into the lost-capital paradigm," European Journal of Operational Research, Elsevier, volume 201, issue 2, pages 505-519, March.
• Jahan-Parvar, Mohammad R. & Waters, George A., 2010, "Equity price bubbles in the Middle Eastern and North African Financial markets," Emerging Markets Review, Elsevier, volume 11, issue 1, pages 39-48, March.
• Anderson, Keith & Brooks, Chris & Katsaris, Apostolos, 2010, "Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector?," Journal of Empirical Finance, Elsevier, volume 17, issue 3, pages 345-361, June.
• Cheng, Ai-Ru & Jahan-Parvar, Mohammad R. & Rothman, Philip, 2010, "An empirical investigation of stock market behavior in the Middle East and North Africa," Journal of Empirical Finance, Elsevier, volume 17, issue 3, pages 413-427, June.
• Engsted, Tom & Pedersen, Thomas Q., 2010, "The dividend-price ratio does predict dividend growth: International evidence," Journal of Empirical Finance, Elsevier, volume 17, issue 4, pages 585-605, September.
• Fornari, Fabio, 2010, "Assessing the compensation for volatility risk implicit in interest rate derivatives," Journal of Empirical Finance, Elsevier, volume 17, issue 4, pages 722-743, September.
• Bekaert, Geert & Engstrom, Eric & Grenadier, Steven R., 2010, "Stock and bond returns with Moody Investors," Journal of Empirical Finance, Elsevier, volume 17, issue 5, pages 867-894, December.
• Cifarelli, Giulio & Paladino, Giovanna, 2010, "Oil price dynamics and speculation: A multivariate financial approach," Energy Economics, Elsevier, volume 32, issue 2, pages 363-372, March.
• Cotter, John & Hanly, Jim, 2010, "Time-varying risk aversion: An application to energy hedging," Energy Economics, Elsevier, volume 32, issue 2, pages 432-441, March.
• Lean, Hooi Hooi & McAleer, Michael & Wong, Wing-Keung, 2010, "Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach," Energy Economics, Elsevier, volume 32, issue 5, pages 979-986, September.
• Ferland, René & Gauthier, Geneviève & Lalancette, Simon, 2010, "A regime-switching term structure model with observable state variables," Finance Research Letters, Elsevier, volume 7, issue 2, pages 103-109, June.
• Menkhoff, Lukas & Schmeling, Maik, 2010, "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, volume 13, issue 1, pages 101-128, February.
• Ozsoylev, Han N. & Takayama, Shino, 2010, "Price, trade size, and information revelation in multi-period securities markets," Journal of Financial Markets, Elsevier, volume 13, issue 1, pages 49-76, February.
• Pavlova, Anna & Rigobon, Roberto, 2010, "An asset-pricing view of external adjustment," Journal of International Economics, Elsevier, volume 80, issue 1, pages 144-156, January.
• Alquist, Ron, 2010, "How important is liquidity risk for sovereign bond risk premia? Evidence from the London stock exchange," Journal of International Economics, Elsevier, volume 82, issue 2, pages 219-229, November.
• Gregoriou, Andros & Kontonikas, Alexandros, 2010, "The long-run relationship between stock prices and goods prices: New evidence from panel cointegration," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 20, issue 2, pages 166-176, April.
• Spencer, Peter & Liu, Zhuoshi, 2010, "An open-economy macro-finance model of international interdependence: The OECD, US and the UK," Journal of Banking & Finance, Elsevier, volume 34, issue 3, pages 667-680, March.
• Tang, Dragon Yongjun & Yan, Hong, 2010, "Market conditions, default risk and credit spreads," Journal of Banking & Finance, Elsevier, volume 34, issue 4, pages 743-753, April.
• Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2010, "Macroeconomic risks and characteristic-based factor models," Journal of Banking & Finance, Elsevier, volume 34, issue 6, pages 1383-1399, June.
• 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.
• Yu Chen & Thomas Cosimano & Alex Himonas, 2010, "Continuous time one-dimensional asset-pricing models with analytic price–dividend functions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 42, issue 3, pages 461-503, March, DOI: 10.1007/s00199-008-0404-2.
• Jamsheed Shorish, 2010, "Functional rational expectations equilibria in market games," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 43, issue 3, pages 351-376, June, DOI: 10.1007/s00199-009-0451-3.
• Dan Bernhardt & P. Seiler & B. Taub, 2010, "Speculative dynamics," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 44, issue 1, pages 1-52, July, DOI: 10.1007/s00199-009-0456-y.
• Bernard Cornet & Ramu Gopalan, 2010, "Arbitrage and equilibrium with portfolio constraints," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 45, issue 1, pages 227-252, October, DOI: 10.1007/s00199-009-0506-5.
• Todd Kravet & Terry Shevlin, 2010, "Accounting restatements and information risk," Review of Accounting Studies, Springer, volume 15, issue 2, pages 264-294, June, DOI: 10.1007/s11142-009-9103-x.
• Lee-Seok Hwang & Byungcherl Charlie Sohn, 2010, "Return predictability and shareholders’ real options," Review of Accounting Studies, Springer, volume 15, issue 2, pages 367-402, June, DOI: 10.1007/s11142-010-9119-2.
• Elisa Luciano & Patrizia Semeraro, 2010, "Multivariate Variance Gamma and Gaussian Dependence: a study with copulas," Springer Books, Springer, in: Marco Corazza & Claudio Pizzi, "Mathematical and Statistical Methods for Actuarial Sciences and Finance", DOI: 10.1007/978-88-470-1481-7_20.
• 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.