Research classified by Journal of Economic Literature (JEL) codes

2011

• Shieldvie Halim & Rayenda Brahmana & Aldrin Herwany, 2011, "The Seasonality of Market Integration: The Case of Indonesia’s Stock Markets," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, volume 59, pages 177-190, August.
• Kiki Verico, 2011, "The Impact of Direct Bilateral Free Trade Agreement (BFTA) to ASEAN’s Intra-Regional Trade & Individual Country’s Investment Creation : The Case of Indonesia, Malaysia & Thailand 1988-2008," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, volume 59, pages 191-214, August.
• Thorsten Lehnert & Xisong Jin, 2011, "Large Portfolio Risk Management and Optimal Portfolio Allocation with Dynamic Copulas," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 11-10.
• Sascha F llbrunn & Ernan Haruvy, 2011, "The Takeover Game," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 11-5.
• Jos van Bommel, 2011, "Using Monte Carlo to Price Continuously Monitored Barrier Options on Discontinuously Traded Underlyings," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 11-7.
• Jos van Bommel & Peter Hoffmann, 2011, "Transparency and Ending Times of Call Auctions: A Comparison of Euronext and Xetra," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 11-9.
• Jörg Rieger & Kirsten Rüchardt & Bodo Vogt, 2011, "Arbitrage opportunities between NYSE and XETRA?: A comparison of simulation and high frequency data," FEMM Working Papers, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management, number 110005, Mar.
• Ulrich Oberndorfer & Marcus Wagner & Andreas Ziegler, 2011, "Does the Stock Market Value the Inclusion in a Sustainability Stock Index? An Event Study Analysis for German Firms," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201130.
• Thomas Flavin & Gerald P. Dwyer & Mardi Dungey, 2011, "Systematic and Liquidity Risk in Subprime-Mortgage Backed SecuritiesM," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n219-11.
• Magdalena Morgese Borys & Petr ZemÄÂik, 2011, "Size and Value Effects in the Visegrad Countries," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 47, issue 3, pages 50-68, May.
• Dimitrios D. Thomakos & Michail S. Koubouros, 2011, "The Role of Realised Volatility in the Athens Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, volume 15, issue 1-2, pages 87-124, March - J.
• Chris Edmond & Pierre-Olivier Weill, 2011, "Aggregate Implications of Micro Asset Market Segmentation," Department of Economics - Working Papers Series, The University of Melbourne, number 1117.
• Jakob B Madsen, 2011, "A q Model of House Prices," Monash Economics Working Papers, Monash University, Department of Economics, number 03-11, Jun.
• Jakob B Madsen, 2011, "A Repayment Model of House Prices," Monash Economics Working Papers, Monash University, Department of Economics, number 09-11, Jun.
• Carsten Burhop & Sergey Gelman, 2011, "Liquidity measures, liquidity drivers and expected returns on an early call auction market," Discussion Paper Series of the Max Planck Institute for Behavioral Economics, Max Planck Institute for Behavioral Economics, number 2011_19, Jul.
• Orhan Erdem & Elvan Ceyhan & Yusuf Varlı, 2011, "A New Correlation Coefficient for Bivariate Time-Series Data," Working Papers, Murat Sertel Center for Advanced Economic Studies, Istanbul Bilgi University, number 201101, Apr.
• Christophe Boucher & Bertrand Maillet, 2011, "Une analyse temps-fréquences des cycles financiers," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11003, Jan, DOI: 10.3917/reco.623.0441.
• Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011, "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11032, May.
• Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011, "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11032r, May, revised Aug 2012.
• Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011, "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11032rr, May, revised Jan 2015.
• Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011, "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11032rrr, May, revised Apr 2016, DOI: 10.3982/QE708.
• Yin Liao & Heather M. Anderson, 2011, "Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 9/11, Aug.
• Fabrizio Palmucci, 2011, "IPO underpricing: the price of liquidity," Banca Impresa Società, Società editrice il Mulino, issue 2, pages 237-260.
• Benjamin Born & Michael Ehrmann & Marcel Fratzscher, 2011, "Central bank communication on financial stability," NBP Working Papers, Narodowy Bank Polski, number 93.
• Adam Ashcraft & Nicolae Gârleanu & Lasse Heje Pedersen, 2011, "Two Monetary Tools: Interest Rates and Haircuts," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2010, volume 25".
• Andreas Fuster & Benjamin Hebert & David Laibson, 2011, "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2011, Volume 26".
• Harrison Hong & Motohiro Yogo, 2011, "What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?," NBER Working Papers, National Bureau of Economic Research, Inc, number 16712, Jan.
• Bernard Dumas & Karen K. Lewis & Emilio Osambela, 2011, "Differences of Opinion and International Equity Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 16726, Jan.
• Hans B. Christensen & Luzi Hail & Christian Leuz, 2011, "Capital-Market Effects of Securities Regulation: Prior Conditions, Implementation, and Enforcement," NBER Working Papers, National Bureau of Economic Research, Inc, number 16737, Jan.
• Laura Xiaolei Liu & Lu Zhang, 2011, "A Model of Momentum," NBER Working Papers, National Bureau of Economic Research, Inc, number 16747, Jan.
• Alexander David & Pietro Veronesi, 2011, "Investors' and Central Bank's Uncertainty Embedded in Index Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 16764, Feb.
• Ravi Jagannathan & Iwan Meier & Vefa Tarhan, 2011, "The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 16770, Feb.
• Nicolae Gârleanu & Lasse Heje Pedersen, 2011, "Margin-Based Asset Pricing and Deviations from the Law of One Price," NBER Working Papers, National Bureau of Economic Research, Inc, number 16777, Feb.
• Patrick Bayer & Christopher Geissler & Kyle Mangum & James W. Roberts, 2011, "Speculators and Middlemen: The Strategy and Performance of Investors in the Housing Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 16784, Feb.
• Andrew Ang & Sergiy Gorovyy & Gregory B. van Inwegen, 2011, "Hedge Fund Leverage," NBER Working Papers, National Bureau of Economic Research, Inc, number 16801, Feb.
• Patrick Bolton & Hui Chen & Neng Wang, 2011, "Market Timing, Investment, and Risk Management," NBER Working Papers, National Bureau of Economic Research, Inc, number 16808, Feb.
• Sydney C. Ludvigson, 2011, "Advances in Consumption-Based Asset Pricing: Empirical Tests," NBER Working Papers, National Bureau of Economic Research, Inc, number 16810, Feb.
• Viral V. Acharya & Lars A. Lochstoer & Tarun Ramadorai, 2011, "Limits to Arbitrage and Hedging: Evidence from Commodity Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 16875, Mar.
• Ian Martin, 2011, "Simple Variance Swaps," NBER Working Papers, National Bureau of Economic Research, Inc, number 16884, Mar.
• Carolin E. Pflueger & Luis M. Viceira, 2011, "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," NBER Working Papers, National Bureau of Economic Research, Inc, number 16892, Mar.
• Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2011, "The Short of It: Investor Sentiment and Anomalies," NBER Working Papers, National Bureau of Economic Research, Inc, number 16898, Mar.
• Carolin E. Pflueger & Luis M. Viceira, 2011, "Inflation-Indexed Bonds and the Expectations Hypothesis," NBER Working Papers, National Bureau of Economic Research, Inc, number 16903, Mar.
• Hui Chen & Scott Joslin, 2011, "Generalized Transform Analysis of Affine Processes and Applications in Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 16906, Mar.
• James D. Hamilton & Jing Cynthia Wu, 2011, "Testable Implications of Affine Term Structure Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 16931, Apr.
• Anthony W. Lynch & Oliver Randall, 2011, "Why Surplus Consumption in the Habit Model May be Less Persistent than You Think," NBER Working Papers, National Bureau of Economic Research, Inc, number 16950, Apr.
• James D. Hamilton & Jing Cynthia Wu, 2011, "The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment," NBER Working Papers, National Bureau of Economic Research, Inc, number 16956, Apr.
• G. William Schwert, 2011, "Stock Volatility During the Recent Financial Crisis," NBER Working Papers, National Bureau of Economic Research, Inc, number 16976, Apr.
• Andrew Ang & Francis A. Longstaff, 2011, "Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe," NBER Working Papers, National Bureau of Economic Research, Inc, number 16982, Apr.
• Martin Lettau & Sydney C. Ludvigson, 2011, "Shocks and Crashes," NBER Working Papers, National Bureau of Economic Research, Inc, number 16996, Apr.
• Corbett A. Grainger & Christopher Costello, 2011, "The Value of Secure Property Rights: Evidence from Global Fisheries," NBER Working Papers, National Bureau of Economic Research, Inc, number 17019, May.
• Simon Gilchrist & Egon Zakrajšek, 2011, "Credit Spreads and Business Cycle Fluctuations," NBER Working Papers, National Bureau of Economic Research, Inc, number 17021, May.
• Francois Gourio, 2011, "Credit Risk and Disaster Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 17026, May.
• Charles Engel, 2011, "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 17116, Jun.
• Xiaohong Chen & Jack Favilukis & Sydney C. Ludvigson, 2011, "An Estimation of Economic Models with Recursive Preferences," NBER Working Papers, National Bureau of Economic Research, Inc, number 17130, Jun.
• Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2011, "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," NBER Working Papers, National Bureau of Economic Research, Inc, number 17149, Jun.
• Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2011, "A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation," NBER Working Papers, National Bureau of Economic Research, Inc, number 17152, Jun.
• Chongyang Chen & Zhonglan Dai & Douglas Shackelford & Harold Zhang, 2011, "Does Financial Constraint Affect Shareholder Taxes and the Cost of Equity Capital?," NBER Working Papers, National Bureau of Economic Research, Inc, number 17169, Jun.
• Andrew Ang & Allan Timmermann, 2011, "Regime Changes and Financial Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 17182, Jun.
• Robin Greenwood & Samuel G. Hanson, 2011, "Issuer Quality and the Credit Cycle," NBER Working Papers, National Bureau of Economic Research, Inc, number 17197, Jul.
• Ngoc-Khanh Tran & Richard J. Zeckhauser, 2011, "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," NBER Working Papers, National Bureau of Economic Research, Inc, number 17199, Jul.
• David Backus & Mikhail Chernov & Stanley E. Zin, 2011, "Sources of Entropy in Representative Agent Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 17219, Jul.
• Karen K. Lewis, 2011, "Global Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 17261, Jul.
• Farley Grubb, 2011, "The Continental Dollar: Initial Design, Ideal Performance, and the Credibility of Congressional Commitment," NBER Working Papers, National Bureau of Economic Research, Inc, number 17276, Aug.
• François Gourio & Michael Siemer & Adrien Verdelhan, 2011, "International Risk Cycles," NBER Working Papers, National Bureau of Economic Research, Inc, number 17277, Aug.
• Xiaoji Lin & Lu Zhang, 2011, "Covariances versus Characteristics in General Equilibrium," NBER Working Papers, National Bureau of Economic Research, Inc, number 17285, Aug.
• Christopher Avery & Judith A. Chevalier & Richard J. Zeckhauser, 2011, "The "CAPS" Prediction System and Stock Market Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 17298, Aug.
• Andreas Fuster & Benjamin Hebert & David Laibson, 2011, "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 17301, Aug.
• Stephen A. Ross, 2011, "The Recovery Theorem," NBER Working Papers, National Bureau of Economic Research, Inc, number 17323, Aug.
• Robert J. Barro & José Ursúa, 2011, "Rare Macroeconomic Disasters," NBER Working Papers, National Bureau of Economic Research, Inc, number 17328, Aug.
• Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2011, "Information Aggregation, Investment, and Managerial Incentives," NBER Working Papers, National Bureau of Economic Research, Inc, number 17330, Aug.
• Jules H. van Binsbergen & Wouter Hueskes & Ralph Koijen & Evert B. Vrugt, 2011, "Equity Yields," NBER Working Papers, National Bureau of Economic Research, Inc, number 17416, Sep.
• Jakub W. Jurek & Erik Stafford, 2011, "Crashes and Collateralized Lending," NBER Working Papers, National Bureau of Economic Research, Inc, number 17422, Sep.
• Lubos Pastor & Pietro Veronesi, 2011, "Political Uncertainty and Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 17464, Sep.
• Ravi Jagannathan & Srikant Marakani, 2011, "Price Dividend Ratio Factors : Proxies for Long Run Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 17484, Oct.
• Yiting Li & Guillaume Rocheteau & Pierre-Olivier Weill, 2011, "Liquidity and the Threat of Fraudulent Assets," NBER Working Papers, National Bureau of Economic Research, Inc, number 17500, Oct.
• Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2011, "A Theory of Asset Pricing Based on Heterogeneous Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 17548, Oct.
• Andrew Ang & Dennis Kristensen, 2011, "Testing Conditional Factor Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 17561, Nov.
• Ian Martin, 2011, "The Lucas Orchard," NBER Working Papers, National Bureau of Economic Research, Inc, number 17563, Nov.
• Ian Martin, 2011, "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers, National Bureau of Economic Research, Inc, number 17564, Nov.
• Alex Edmans & Vivian W. Fang & Emanuel Zur, 2011, "The Effect of Liquidity on Governance," NBER Working Papers, National Bureau of Economic Research, Inc, number 17567, Nov.
• Ravi Bansal & Marcelo Ochoa, 2011, "Temperature, Aggregate Risk, and Expected Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 17575, Nov.
• Giorgia Palladini & Richard Portes, 2011, "Sovereign CDS and Bond Pricing Dynamics in the Euro-area," NBER Working Papers, National Bureau of Economic Research, Inc, number 17586, Nov.
• Yacine Ait-Sahalia & Jianqing Fan & Yingying Li, 2011, "The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency," NBER Working Papers, National Bureau of Economic Research, Inc, number 17592, Nov.
• Emiliano Pagnotta & Thomas Philippon, 2011, "Competing on Speed," NBER Working Papers, National Bureau of Economic Research, Inc, number 17652, Dec.
• Stefan Nagel, 2011, "Evaporating Liquidity," NBER Working Papers, National Bureau of Economic Research, Inc, number 17653, Dec.
• Eric van Wincoop, 2011, "International Contagion Through Leveraged Financial Institutions," NBER Working Papers, National Bureau of Economic Research, Inc, number 17686, Dec.
• Philip Bond & Alex Edmans & Itay Goldstein, 2011, "The Real Effects of Financial Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 17719, Dec.
• Jiang Cheng & Elyas Elyasiani & Jingyi (Jane) Jia, 2011, "Institutional Ownership Stability and Risk Taking: Evidence from the Life-Health Insurance Industry," NFI Working Papers, Indiana State University, Scott College of Business, Networks Financial Institute, number 2011-WP-14, Jul.
• M. Kabir Hassan & Yasser Alhenawi & Hesham Merdad, 2011, "The Relative Performance of Debt-restricted Real Estate Investment Trusts (REITs): Does Faith Matter?," NFI Working Papers, Indiana State University, Scott College of Business, Networks Financial Institute, number 2011-WP-16, Jul.
• Pablo Antolín & Stéphanie Payet & Edward Whitehouse & Juan Yermo, 2011, "The Role of Guarantees in Defined Contribution Pensions," OECD Working Papers on Finance, Insurance and Private Pensions, OECD Publishing, number 11, Sep, DOI: 10.1787/5kg52k5b0v9s-en.
• Stephan Barisitz, 2011, "Nonperforming Loans in CESEE – What Do They Comprise?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 46-68.
• Jesús Crespo Cuaresma & Jarko Fidrmuc & Mariya Hake, 2011, "Determinants of Foreign Currency Loans in CESEE Countries: A Meta-Analysis," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 69-87.
• Stefan Kerbl, 2011, "Regulatory Medicine Against Financial Market Instability: What Helps And What Hurts?," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 174, Oct.
• Petru Tunde Petra & Farkas Dalma - Zsuzsa & Furdek Balazs - Marton & Marton Noemi, Racz Timea Erzsebet, 2011, "Empirical Study Of The Probability Of Default In Case Of Romanian Companies Listed On Stock Exchange," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 515-523, July.
• Ruijun Bu & Ludovic Giet & Kaddour Hadri & Michel Lubrano, 2011, "Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 1, pages 198-236, Winter.
• Jaroslav Borovička & Mark Hendricks & José A. Scheinkman, 2011, "Risk-Price Dynamics," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 1, pages 3-65, Winter.
• Ruslan Bikbov & Mikhail Chernov, 2011, "Yield Curve and Volatility: Lessons from Eurodollar Futures and Options," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 1, pages 66-105, Winter.
• Patrick Bolton & Tano Santos & Jose A. Scheinkman, 2011, "Outside and Inside Liquidity," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 126, issue 1, pages 259-321.
• Tom Engsted & Stig V. Møller, 2011, "Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-07, Feb.
• Matt P. Dziubinski, 2011, "Option valuation with the simplified component GARCH model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-09, May.
• Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2011, "International Diversification Benefits with Foreign Exchange Investment Styles," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-10, Mar.
• Antonis Papapantoleon & John Schoenmakers & David Skovmand, 2011, "Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-22, Jun.
• Christian Bach, 2011, "Conservatism in Corporate Valuation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-32, Sep.
• Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2011, "Illiquidity Premia in the Equity Options Market," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-43, Apr.
• Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez, 2011, "Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-44, Jul.
• Torben G. Andersen & Oleg Bondarenko, 2011, "VPIN and the Flash Crash," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-50, Oct.
• Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen, 2011, "Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-51, Dec.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2011, "Parametric Inference and Dynamic State Recovery from Option Panels," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-11, May.
• Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern, 2011, "On the Time-Varying Relationship between Closed-End Fund Prices and Fundamentals: Bond vs. Equity Funds," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2011-07, Jul.
• Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern, 2011, "Fear and Closed-End Fund Discounts: Investor Sentiment Revisited," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2011-11, Aug.
• Alessandro Gavazza, 2011, "The Role of Trading Frictions in Real Asset Markets," American Economic Review, American Economic Association, volume 101, issue 4, pages 1106-1143, June.
• Jonathan H. Wright, 2011, "Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset," American Economic Review, American Economic Association, volume 101, issue 4, pages 1514-1534, June.
• John Y. Campbell & Stefano Giglio & Parag Pathak, 2011, "Forced Sales and House Prices," American Economic Review, American Economic Association, volume 101, issue 5, pages 2108-2131, August.
• Craig Burnside, 2011, "The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment," American Economic Review, American Economic Association, volume 101, issue 7, pages 3456-3476, December.
• Óscar Arce & David López-Salido, 2011, "Housing Bubbles," American Economic Journal: Macroeconomics, American Economic Association, volume 3, issue 1, pages 212-241, January.
• William A. Branch & George W. Evans, 2011, "Learning about Risk and Return: A Simple Model of Bubbles and Crashes," American Economic Journal: Macroeconomics, American Economic Association, volume 3, issue 3, pages 159-191, July.
• George J. Hall & Thomas J. Sargent, 2011, "Interest Rate Risk and Other Determinants of Post-WWII US Government Debt/GDP Dynamics," American Economic Journal: Macroeconomics, American Economic Association, volume 3, issue 3, pages 192-214, July.
• Simón Sosvilla-Rivero & Amalia Morales-Zumaquero, 2011, "Volatility in EMU sovereign bond yields: Permanent and transitory components," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 11-03, Apr.
• Maria PASCU-NEDELCU, 2011, "Merton Model For Assessing The Cost Of Capital, Mathematical Amount But Not Also Economic Amount Of Capm And Apt Models," Journal of Doctoral Research in Economics, The Bucharest University of Economic Studies, volume 3, issue 1, pages 47-61, March.
• Chambers, Robert G. & Grant, Simon & Polak, Ben & Quiggin, John, undated, "A Two-Parameter Model of Dispersion Aversion," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 151196, DOI: 10.22004/ag.econ.151196.
• Fogarty, James Joseph & Jones, Callum, undated, "Return to wine: A comparison of the hedonic, repeat sales, and hybrid approaches," Working Papers, University of Western Australia, School of Agricultural and Resource Economics, number 108668, DOI: 10.22004/ag.econ.108668.
• Leszek Czerwonka, 2011, "Announcement Of The Exchange Ratio Of The Merging Companies - Impact On The Acquiring Firms "," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 58, pages 83-90, november.
• Claudiu Tiberiu Albulescu & Daniel Goyeau, 2011, "Financial Volatility And Derivatives Products: A Bidirectional Relationship," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 2011, pages 57-69, july.
• Mihai Dragu, 2011, "Possible Means And Solutions For Avoiding Currency Wars," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 39, pages 211-216.
• Felicia Ramona Birau, 2011, "An Analysis Of Weak-Form Efficiency On The Bucharest Stock Exchange," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 3, issue 39, pages 194-205.
• Ioan E. NISTOR & Ioana RADU, 2011, "Global Tendencies in Investment Funds Market Development," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 13, pages 16-21, December.
• Maria-Miruna POCHEA & Angela-Maria FILIP, 2011, "The Early Exercise Premium for American Options. Empirical Study on Sibex Market," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 13, pages 188-197, December.
• M. Y. L. Li & S. M. F. Yen, 2011, "Re-examining covariance risk dynamics in international stock markets using quantile regression analysis," Acta Oeconomica, Akadémiai Kiadó, Hungary, volume 61, issue 1, pages 33-59, March.
• Jonathan E. Alevy, 2011, "Ambiguity in Individual Choice and Market Environments: On the Importance of Comparative Ignorance," Working Papers, University of Alaska Anchorage, Department of Economics, number 2011-04.
• Anufriev, M. & Hommes, C.H., 2011, "Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 11-06.
• Anufriev, M. & Bottazzi, G. & Marsili, M. & Pin, P., 2011, "Excess Covariance and Dynamic Instability in a Multi-Asset Model," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 11-09.
• Bulent Oz & Yucel Ayricay & Gokturk Kalkan, 2011, "Predicting Stock Returns With Financial Ratios: A Discriminant Analysis Application On The Ise 30 Index Stocks," Anadolu University Journal of Social Sciences, Anadolu University, volume 11, issue 3, pages 51-64, September.
• Rosangela Cavaleri & Eduardo Pontual Ribeiro, 2011, "Combinação de Previsões de Volatilidade: Um Estudo," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 12, issue 2, pages 239-261.
• Carolin E. Pflueger & Luis M. Viceira, 2011, "Inflation-Indexed Bonds and the Expectations Hypothesis," Annual Review of Financial Economics, Annual Reviews, volume 3, issue 1, pages 139-158, December.
• Christian Bluhm & Christoph Wagner, 2011, "Valuation and Risk Management of Collateralized Debt Obligations and Related Securities," Annual Review of Financial Economics, Annual Reviews, volume 3, issue 1, pages 193-222, December.
• Karen K. Lewis, 2011, "Global Asset Pricing," Annual Review of Financial Economics, Annual Reviews, volume 3, issue 1, pages 435-466, December.
• Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2011, "Predictability of Returns and Cash Flows," Annual Review of Financial Economics, Annual Reviews, volume 3, issue 1, pages 467-491, December.
• Colin A. Carter & Gordon C. Rausser & Aaron Smith, 2011, "Commodity Booms and Busts," Annual Review of Resource Economics, Annual Reviews, volume 3, issue 1, pages 87-118, October.
• Marco Bianchetti & Mattia Carlicchi, 2011, "Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR," Papers, arXiv.org, number 1103.2567, Mar, revised Apr 2012.
• Damir Filipovi'c & Eberhard Mayerhofer & Paul Schneider, 2011, "Density Approximations for Multivariate Affine Jump-Diffusion Processes," Papers, arXiv.org, number 1104.5326, Apr, revised Oct 2011.
• Damien Lamberton & Mohammed Mikou, 2011, "Exercise Boundary of the American Put Near Maturity in an Exponential L\'evy Model," Papers, arXiv.org, number 1105.0284, May.
• Martin Forde & Antoine Jacquier & Aleksandar Mijatovic, 2011, "A note on essential smoothness in the Heston model," Papers, arXiv.org, number 1107.4881, Jul.
• Craig Blackburn & Michael Sherris, 2011, "Consistent Dynamic Affine Mortality Model for Longevity Risk Applications," Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales, number 201107, May.
• Curcio, Domenico & Gianfrancesco, Igor, 2011, "A risk-adjusted pricing model for bank loans: Challenging issues from Basel II," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 4, issue 2, pages 117-145, March.
• Schröder, Thomas & Dunbar, Kwamie, 2011, "Effectively hedging the interest rate risk of wide floating-rate coupon spreads," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 4, issue 2, pages 162-179, March.
• Di Giorgio, Giorgio & Rotondi, Zeno, 2011, "Monetary policy, financial stability and interest rate rules," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 4, issue 3, pages 229-242, June.
• Matteo Mattei Gentili, 2011, "Euro and the nearly-sovereign debt," BANCARIA, Bancaria Editrice, volume 1, pages 15-17, January.
• Roberto Nicastro & Franco Tutino, 2011, "Italian banks’ profitability: improvement strategies, business models, constraints," BANCARIA, Bancaria Editrice, volume 9, pages 02-22, September.
• Johannes Vilsmeier, 2011, "Updating the Option Implied Probability of Default Methodology," Working Papers, Bavarian Graduate Program in Economics (BGPE), number 107, Oct.
• Francisco Rivadeneyra & Oumar Dissou, 2011, "A Model of the EFA Liabilities," Discussion Papers, Bank of Canada, number 11-11, DOI: 10.34989/sdp-2011-11.
• Ron Alquist & Olivier Gervais, 2011, "The Role of Financial Speculation in Driving the Price of Crude Oil," Discussion Papers, Bank of Canada, number 11-6, DOI: 10.34989/sdp-2011-6.
• Bruno Feunou & Roméo Tedongap, 2011, "A Stochastic Volatility Model with Conditional Skewness," Staff Working Papers, Bank of Canada, number 11-20, DOI: 10.34989/swp-2011-20.
• Anna Pomeranets & Daniel G. Weaver, 2011, "Security Transaction Taxes and Market Quality," Staff Working Papers, Bank of Canada, number 11-26, DOI: 10.34989/swp-2011-26.
• George Jiang & Ingrid Lo, 2011, "Private Information Flow and Price Discovery in the U.S. Treasury Market," Staff Working Papers, Bank of Canada, number 11-5, DOI: 10.34989/swp-2011-5.
• Katya Kartashova, 2011, "The Private Equity Premium Puzzle Revisited," Staff Working Papers, Bank of Canada, number 11-6, DOI: 10.34989/swp-2011-6.
• Benjamin M. Tabak & Daniel O. Cajueiro & Alexandre B. Sollaci, 2011, "Forecasting the Yield Curve for the Euro Region," Working Papers Series, Central Bank of Brazil, Research Department, number 247, Aug.
• Álvaro Cartea & José Penalva, 2011, "Where is the value in high frequency trading?," Working Papers, Banco de España, number 1111, May.
• Anton Nakov & Galo Nuño, 2011, "Learning from experience in the stock market," Working Papers, Banco de España, number 1132, Dec.
• Alessio Anzuini & Fabio Fornari, 2011, "Macroeconomic determinants of carry trade activity," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 817, Sep.
• Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2011, "Risk measures for autocorrelated hedge fund returns," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 831, Nov.
• García-Verdú Santiago, 2011, "On the Term Structure of Interest Rates of the Mexican Government," Working Papers, Banco de México, number 2011-18, Dec.
• Bernardo León & Andrés Mora, 2011, "CDS: relación con índices accionarios y medida de riesgo," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 29, issue 64, pages 178-211, July, DOI: 10.32468/Espe.6405.
• Todorov, Viktor & Tauchen, George, 2011, "Volatility Jumps," Journal of Business & Economic Statistics, American Statistical Association, volume 29, issue 3, pages 356-371.
• Edouard Challe & Giannitsarou, C., 2011, "Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach," Working papers, Banque de France, number 330.
• Alain Monfort & Jean-Paul Renne, 2011, "Default, liquidity and crises: an econometric framework," Working papers, Banque de France, number 340.
• Vladimir Borgy & Thomas Laubach & Jean-Stéphane Mésonnier & Jean-Paul Renne, 2011, "Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets," Working papers, Banque de France, number 350.
• Alain Monfort & Jean-Paul Renne, 2011, "Credit and liquidity risks in euro area sovereign yield curves," Working papers, Banque de France, number 352.
• Riedel, Frank, 2016, "Finance without probabilistic prior assumptions," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 450, Feb.
• Brangewitz, Sonja & Giraud, Gael, 2016, "Learning in Infinite Horizon Strategic Market Games with Collateral and Incomplete Information," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 456, Feb.
• Marie Brière & Ombretta Signori, 2011, "Inflation hedging portfolios in different regimes," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "Portfolio and risk management for central banks and sovereign wealth funds".
• Benjamin Born & Michael Ehrmann & Marcel Fratzscher, 2011, "Macroprudential policy and central bank communication," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "Macroprudential regulation and policy".
• Robert McCauley & Michela Scatigna, 2011, "Foreign exchange trading in emerging currencies: more financial, more offshore," BIS Quarterly Review, Bank for International Settlements, March.
• James J. Fogarty & Callum Jones, 2011, "Return To Wine: A Comparison Of The Hedonic, Repeat Sales And Hybrid Approaches," Australian Economic Papers, Wiley Blackwell, volume 50, issue 4, pages 147-156, December, DOI: j.1467-8454.2011.00416.x.
• Heinrich W. Ursprung & Christian Wiermann, 2011, "Reputation, Price, And Death: An Empirical Analysis Of Art Price Formation," Economic Inquiry, Western Economic Association International, volume 49, issue 3, pages 697-715, July.
• G. William Schwert, 2011, "Stock Volatility during the Recent Financial Crisis," European Financial Management, European Financial Management Association, volume 17, issue 5, pages 789-805, November, DOI: 10.1111/j.1468-036X.2011.00620.x.
• Huseyin Gulen & Yuhang Xing & Lu Zhang, 2011, "Value versus Growth: Time‐Varying Expected Stock Returns," Financial Management, Financial Management Association International, volume 40, issue 2, pages 381-407, June.
• Alexander Puetz & Stefan Ruenzi, 2011, "Overconfidence Among Professional Investors: Evidence from Mutual Fund Managers," Journal of Business Finance & Accounting, Wiley Blackwell, volume 38, issue 5-6, pages 684-712, June, DOI: j.1468-5957.2010.02237.x.
• Christian Gollier & Edward Schlee, 2011, "Information And The Equity Premium," Journal of the European Economic Association, European Economic Association, volume 9, issue 5, pages 871-902, October, DOI: j.1542-4774.2011.01034.x.
• Efraim Benmelech & Nittai K. Bergman, 2011, "Bankruptcy and the Collateral Channel," Journal of Finance, American Finance Association, volume 66, issue 2, pages 337-378, April.
• Stefan Nagel & Kenneth J. Singleton, 2011, "Estimation and Evaluation of Conditional Asset Pricing Models," Journal of Finance, American Finance Association, volume 66, issue 3, pages 873-909, June.
• Viral V. Acharya & Douglas Gale & Tanju Yorulmazer, 2011, "Rollover Risk and Market Freezes," Journal of Finance, American Finance Association, volume 66, issue 4, pages 1177-1209, August.
• Thierry Foucault & David Sraer & David J. Thesmar, 2011, "Individual Investors and Volatility," Journal of Finance, American Finance Association, volume 66, issue 4, pages 1369-1406, August.
• Patrick Bolton & Hui Chen & Neng Wang, 2011, "A Unified Theory of Tobin's q, Corporate Investment, Financing, and Risk Management," Journal of Finance, American Finance Association, volume 66, issue 5, pages 1545-1578, October, DOI: j.1540-6261.2011.01681.x.
• David Backus & Mikhail Chernov & Ian Martin, 2011, "Disasters Implied by Equity Index Options," Journal of Finance, American Finance Association, volume 66, issue 6, pages 1969-2012, December, DOI: j.1540-6261.2011.01697.x.
• Tim Bollerslev & Viktor Todorov, 2011, "Tails, Fears, and Risk Premia," Journal of Finance, American Finance Association, volume 66, issue 6, pages 2165-2211, December, DOI: j.1540-6261.2011.01695.x.
• J. Ginger Meng & Gang Hu & Jushan Bai, 2011, "Olive: A Simple Method For Estimating Betas When Factors Are Measured With Error," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, volume 34, issue 1, pages 27-60, March.
• Michael R. King & Carol Osler & Dagfinn Rime, 2011, "Foreign exchange market structure, players and evolution," Working Paper, Norges Bank, number 2011/10, Aug.
• Kevin J. Lansing, 2011, "Asset pricing with concentrated ownership of capital," Working Paper, Norges Bank, number 2011/18, Dec.
• Martin Andreasen & Pawel Zabczyk, 2011, "An efficient method of computing higher-order bond price perturbation approximations," Bank of England 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.