Research classified by Journal of Economic Literature (JEL) codes

2009

• Eva Carceles-Poveda & Daniele Coen Pirani, 2009, "Code and data files for "Owning Capital or being Shareholders: an equivalence result with Incomplete Markets"," Computer Codes, Review of Economic Dynamics, number 08-124, revised .
• Eva Carceles-Poveda, 2009, "Asset Prices and Business Cycles under Market Incompleteness," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 12, issue 3, pages 405-422, July, DOI: 10.1016/j.red.2008.07.004.
• Martin Lettau & Sydney Ludvigson, 2009, "Euler Equation Errors," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 12, issue 2, pages 255-283, April, DOI: 10.1016/j.red.2008.11.004.
• Francois Gourio, 2009, "Disaster risk and business cycles," 2009 Meeting Papers, Society for Economic Dynamics, number 1176.
• Stavros Panageas & Leonid Kogan & Nicolae Garleanu, 2009, "The Demographics of Innovation and Asset Returns," 2009 Meeting Papers, Society for Economic Dynamics, number 140.
• Stephen Ross & Mark Westerfield & Jiang Wang & Leonid Kogan, 2009, "Market Selection," 2009 Meeting Papers, Society for Economic Dynamics, number 274.
• Mikhail Chernov & Ruslan Bikbov, 2009, "Monetary Policy Regimes and the Term Structure of Interest Rates," 2009 Meeting Papers, Society for Economic Dynamics, number 334.
• Vladimir Yankov & Egon Zakrajsek & Simon Gilchrist, 2009, "Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets," 2009 Meeting Papers, Society for Economic Dynamics, number 514.
• Arvind Krishnamurthy & Zhiguo He, 2009, "A Model of Capital and Crises," 2009 Meeting Papers, Society for Economic Dynamics, number 85.
• Bruno Strulovici & Darrell Duffie, 2009, "Capital Mobility and Asset Pricing," 2009 Meeting Papers, Society for Economic Dynamics, number 87.
• Pierre-Olivier Weill & Bruno Biais, 2009, "Liquidity shocks and order book dynamics," 2009 Meeting Papers, Society for Economic Dynamics, number 89.
• Nikola Gradojevic & Ramazan Gencay & Dragan Kukolj, 2009, "Option Pricing with Modular Neural Networks," Working Paper series, Rimini Centre for Economic Analysis, number 32_09, Jan.
• André Ventura & Marcio Gomes Pinto Garcia, 2009, "Mercados futuro e à vista de câmbio no Brasil: O rabo balança o cachorro," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 563, Nov.
• Donghyun Park & Qin Xiao, 2009, "Housing Prices and the Role of Speculation: The Case of Seoul," ADB Economics Working Paper Series, Asian Development Bank, number 146, Jan.
• Valentina Galvani & Vladimir Troitsky, 2009, "Options and Efficiency in Spaces of Bounded Claims," Working Papers, University of Alberta, Department of Economics, number 2009-04, Jan.
• Georges Dionne, 2009, "Structured finance, risk management, and the recent financial crisis," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 09-6, Oct.
• Sang Hoon Kang & Seong-Min Yoon, 2009, "Modeling and Forecasting the Volatility of Eastern European Emerging Markets," East Asian Economic Review, Korea Institute for International Economic Policy, volume 13, issue 1, pages 113-132, DOI: 10.11644/KIEP.JEAI.2009.13.1.198.
• Min (Kevin) Zhao, 2009, "Short Sale Constraints and Stock Misvaluation: Daily Evidence on the Nasdaq," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 62, issue 4, pages 505-530.
• Rien Wagenvoort & André Ebner & Magdalena Morgese Borys, 2009, "EFR 2009-01 A factor analysis approach to measuring European loan and bond market integration," Economic and Financial Reports, European Investment Bank, Economics Department, number 2009/1, Nov.
• Martin Shmalz & Masayuki Fujita & Oliver Sawodny, 2009, "Directed Gossip Algorithms, Consensus Problems, and Stability Effects of Noise Trading," European Journal of Economic and Social Systems, Lavoisier, volume 22, issue 1, pages 43-61.
• Mauro Politi & Enrico Scalas, 2009, "From Renewal Theory to High-Frequency Finance," European Journal of Economic and Social Systems, Lavoisier, volume 22, issue 1, pages 83-98.
• Amalia Di Iorio, 2009, "Testing the Integration of the US and Chinese Stock Markets in a Fama-French Framework," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 24, pages 435-454.
• Sarat Dhal, 2009, "Global Crisis and the Integration of India’s Stock Market," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 24, pages 778-805.
• Kevin Lansing, 2009, "Speculative Bubbles and Overreaction to Technological Innovation," Journal of Financial Transformation, Capco Institute, volume 26, pages 51-54.
• Shahin Shojai & George Feiger, 2009, "Economists’ hubris – the case of asset pricing," Journal of Financial Transformation, Capco Institute, volume 27, pages 9-13.
• Pablo Fernandez, 2009, "The equity premium in 150 textbooks," Journal of Financial Transformation, Capco Institute, volume 27, pages 14-18.
• Bernd Schmid & Rudi Zagst & Stefan Antes & Fayssal El Moufatich, 2009, "Modeling and pricing of credit derivatives using macroeconomic information," Journal of Financial Transformation, Capco Institute, volume 26, pages 60-68.
• Zaizhi Wang, 2009, "Effective parameters for stochastic volatility models," Journal of Financial Transformation, Capco Institute, volume 26, pages 108-115.
• Kuntara Pukthuanthong, 2009, "Who benefits from market integration? A comparative study of Yankee IPOs from high and low integrated markets," Journal of Financial Transformation, Capco Institute, volume 26, pages 116-130.
• Vasile, Emilia & Armeanu, Dan, 2009, "Empirical Study On The Performances Of Black-Scholes Model For Evaluating European Options," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 6, issue 1, pages 48-62, March.
• Andreea ZAMFIR, 2009, "The promotion of renewable energy sources: European experiences and steps forward," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 12, issue 1, pages 152-167, June.
• Mihai BOTEZATU, 2009, "Comparable investment capital," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 12, issue 1, pages 180-192, June.
• BOTEZATU Mihai, 2009, "Capital investments in options contracts and straddle contracts," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 12, issue 2 Special, pages 12-18, July.
• Shishir MATHUR, 2009, "Financing Community Facilities: A Case Study Of The Parks And Recreational General Obligation Bond Measure Of San Jose, California," Theoretical and Empirical Researches in Urban Management, Research Centre in Public Administration and Public Services, Bucharest, Romania, volume 4, issue 2(11), pages 34-49, May.
• Donal Bredin & Cal Muckley, 2009, "An analysis of the EU Emission Trading Scheme," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/2568.
• John Cotter & Jim Hanly, 2009, "Hedging : scaling and the investor horizon," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/2597, Aug.
• John Cotter & Jim Hanly, 2009, "Time varying risk aversion : an application to energy hedging," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/2599, Aug.
• O. De Jonghe, 2009, "Back to the Basics in Banking? A Micro-Analysis of Banking System Stability," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 09/579, Apr.
• Maurice J. Roche & Michael J. Moore, 2009, "Solving Exchange Rate Puzzles with neither Sticky Prices nor Trade Costs," Working Papers, Toronto Metropolitan University, Department of Economics, number 001, Oct.
• Cathy Ning & Stephen Sapp, 2009, "Segmentation across International Equity, Bond, and Foreign Exchange Markets," Working Papers, Toronto Metropolitan University, Department of Economics, number 010, Nov.
• Inwon Jang & David Kim, 2009, "The Dynamics of the Credit Spread and Monetary Policy," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 8, issue 2, pages 109-131, May, DOI: 10.1177/097265270900800202.
• Kapil Gupta & Balwinder Singh, 2009, "Information Memory and Pricing Efficiency of Futures Contracts," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 8, issue 2, pages 191-250, May, DOI: 10.1177/097265270900800205.
• Deepak Jadhav & T.V. Ramanathan & U.V. Naik-Nimbalkar, 2009, "Modified Estimators of the Expected Shortfall," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 8, issue 2, pages 87-107, May, DOI: 10.1177/097265270900800201.
• Parantap Basu & Max Gillman & Joseph Pearlman, 2009, "Inflation, Human Capital and Tobin's q," CDMA Conference Paper Series, Centre for Dynamic Macroeconomic Analysis, number 0904, May.
• Alessandro Beber & Marco Pagano, 2009, "Short-Selling Bans around the World: Evidence from the 2007-09 Crisis," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 241, May, revised 03 Sep 2011.
• Manuel Ammann & Michael Steiner, 2009, "The Performance of Actively and Passively Managed Swiss Equity Funds," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 145, issue I, pages 1-36, March.
• Anand Bansal & J.S. Pasricha, 2009, "Foreign Institutional Investor'S Impact On Stock Prices In India," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 1, issue 2 (Octobe, pages 174-182.
• Peter C. B. Phillips & Jun Yu, 2009, "Dating the Timeline of Financial Bubbles During the Subprime Crisis," Working Papers, Singapore Management University, School of Economics, number 18-2009, Nov.
• Tore Selland KLEPPE & Jun YU & Hans J. SKAUG, 2009, "Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models," Working Papers, Singapore Management University, School of Economics, number 20-2009, Jun.
• Peter C.B.Phillips & Jun Yu, 2009, "Dating the Timeline of Financial Bubbles During the Subprime Crisis," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-07-2009, Apr.
• Tore Selland Kleppe & Hans J. Skaug & Jun Yu, 2009, "Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-09-2009, Jun.
• James Cooley, 2009, "Stock Market Returns and Partisan Political Business Cycles," Departmental Working Papers, Southern Methodist University, Department of Economics, number 0902, Apr.
• Christian Hott, 2009, "Explaining House Price Fluctuations," Working Papers, Swiss National Bank, number 2009-05.
• Christian Hott, 2009, "Banks and Real Estate Prices," Working Papers, Swiss National Bank, number 2009-08.
• Thomas Hemmelgarn & Gaëtan Nicodème, 2009, "Tax Co-ordination in Europe: Assessing the First Years of the EU-Savings Taxation Directive," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 09-023.RS.
• Marie Briere & Ombretta Signori, 2009, "Inflation-hedging portfolios in Different Regimes," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 09-047.RS.
• Ariane Szafarz, 2009, "How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 09-048.RS.
• Brad R. Humphreys & Yang Seung Lee, 2009, "Franchise Values in North American Professional Sports Leagues: Evidence from a Repeat Sales Method," Working Papers, International Association of Sports Economists;North American Association of Sports Economists, number 0914, Nov.
• Enzo Giacomini & Wolfgang Härdle & Volker Krätschmer, 2009, "Dynamic semiparametric factor models in risk neutral density estimation," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 93, issue 4, pages 387-402, December, DOI: 10.1007/s10182-009-0115-4.
• Enzo Giacomini & Michael Handel & Wolfgang K. Härdle, 2009, "Time Dependent Relative Risk Aversion," Contributions to Economics, Springer, in: Georg Bol & Svetlozar T. Rachev & Reinhold Würth, "Risk Assessment", DOI: 10.1007/978-3-7908-2050-8_3.
• Roberto Monte & Barbara Trivellato, 2009, "An equilibrium model of insider trading in continuous time," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 32, issue 2, pages 83-128, November, DOI: 10.1007/s10203-009-0093-8.
• Luis Muga & Rafael Santamaría, 2009, "Momentum, market states and investor behavior," Empirical Economics, Springer, volume 37, issue 1, pages 105-130, September, DOI: 10.1007/s00181-008-0225-y.
• Alexander Schied & Torsten Schöneborn, 2009, "Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets," Finance and Stochastics, Springer, volume 13, issue 2, pages 181-204, April, DOI: 10.1007/s00780-008-0082-8.
• J. Anderluh & J. Weide, 2009, "Double-sided Parisian option pricing," Finance and Stochastics, Springer, volume 13, issue 2, pages 205-238, April, DOI: 10.1007/s00780-009-0090-3.
• Rainer Avikainen, 2009, "On irregular functionals of SDEs and the Euler scheme," Finance and Stochastics, Springer, volume 13, issue 3, pages 381-401, September, DOI: 10.1007/s00780-009-0099-7.
• Mariko Ninomiya & Syoiti Ninomiya, 2009, "A new higher-order weak approximation scheme for stochastic differential equations and the Runge–Kutta method," Finance and Stochastics, Springer, volume 13, issue 3, pages 415-443, September, DOI: 10.1007/s00780-009-0101-4.
• Oleg Kudryavtsev & Sergei Levendorskiǐ, 2009, "Fast and accurate pricing of barrier options under Lévy processes," Finance and Stochastics, Springer, volume 13, issue 4, pages 531-562, September, DOI: 10.1007/s00780-009-0103-2.
• Xi Chen & Robert Kohn, 2011, "Asset price bubbles from heterogeneous beliefs about mean reversion rates," Finance and Stochastics, Springer, volume 15, issue 2, pages 221-241, June, DOI: 10.1007/s00780-010-0124-x.
• Paolo Guasoni & Emmanuel Lépinette & Miklós Rásonyi, 2012, "The fundamental theorem of asset pricing under transaction costs," Finance and Stochastics, Springer, volume 16, issue 4, pages 741-777, October, DOI: 10.1007/s00780-012-0185-0.
• Carole Bernard & Zhenyu Cui & Martin Forde & Antoine Jacquier & Don McLeish & Aleksandar Mijatović, 2013, "Correction note for ‘The large-maturity smile for the Heston model’," Finance and Stochastics, Springer, volume 17, issue 1, pages 223-224, January, DOI: 10.1007/s00780-012-0197-9.
• Damien Lamberton & Mohammed Mikou, 2013, "Exercise boundary of the American put near maturity in an exponential Lévy model," Finance and Stochastics, Springer, volume 17, issue 2, pages 355-394, April, DOI: 10.1007/s00780-012-0194-z.
• Jocelyne Bion-Nadal & Giulia Nunno, 2013, "Dynamic no-good-deal pricing measures and extension theorems for linear operators on L ∞," Finance and Stochastics, Springer, volume 17, issue 3, pages 587-613, July, DOI: 10.1007/s00780-012-0195-y.
• Tiziana Caliman, 2009, "The risk of falling house prices in Italy," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), volume 56, issue 4, pages 401-423, December, DOI: 10.1007/s12232-009-0068-7.
• Pauline Barrieu & Olivier Scaillet, 2009, "A Primer on Weather Derivatives," International Series in Operations Research & Management Science, Springer, chapter 0, in: Jerzy A. Filar & Alain Haurie, "Uncertainty and Environmental Decision Making", DOI: 10.1007/978-1-4419-1129-2_5.
• Dennis Halcoussis & Anton Lowenberg & G. Phillips, 2009, "The Obama effect," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 33, issue 3, pages 324-329, July, DOI: 10.1007/s12197-009-9077-3.
• Faruk Balli, 2009, "Spillover effects on government bond yields in euro zone. Does full financial integration exist in European government bond markets?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 33, issue 4, pages 331-363, October, DOI: 10.1007/s12197-008-9029-3.
• Raphaël Espinoza & Charles. Goodhart & Dimitrios Tsomocos, 2009, "State prices, liquidity, and default," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 39, issue 2, pages 177-194, May, DOI: 10.1007/s00199-008-0343-y.
• Patrick Leoni, 2009, "Market crashes, speculation and learning in financial markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 39, issue 2, pages 217-229, May, DOI: 10.1007/s00199-007-0310-z.
• Stephan Eberl, 2009, "Weitere Erkenntnisse zum Steuervorteil von Fremdkapital nach der Unternehmensteuerreform 2008," Schmalenbach Journal of Business Research, Springer, volume 61, issue 3, pages 251-282, May, DOI: 10.1007/BF03372822.
• Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2009, "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Spanish Economic Review, Springer;Spanish Economic Association, volume 11, issue 2, pages 141-164, June, DOI: 10.1007/s10108-008-9049-3.
• Giulio Bottazzi & Giovanna Devetag & Francesca Pancotto, 2009, "Does Volatility matter? Expectations of price return and variability in an asset pricing experiment," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2009/02, Mar.
• Andrea Petrella & Sandro Sapio, 2009, "How does market architecture affect price dynamics ? A time series analysis of the Italian day-ahead electricity prices," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2009/20, Dec.
• David Backus & Mikhail Chernov & Ian Martin, 2009, "Disasters Implied by Equity Index Options," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 09-14.
• Leonardo Becchetti & Rocco Ciciretti, 2009, "Corporate social responsibility and stock market performance," Applied Financial Economics, Taylor & Francis Journals, volume 19, issue 16, pages 1283-1293, DOI: 10.1080/09603100802584854.
• Claudio Morana, 2009, "Realized betas and the cross-section of expected returns," Applied Financial Economics, Taylor & Francis Journals, volume 19, issue 17, pages 1371-1381, DOI: 10.1080/09603100802599597.
• Joachim Grammig & Andreas Schrimpf & Michael Schuppli, 2009, "Long-horizon consumption risk and the cross-section of returns: new tests and international evidence," The European Journal of Finance, Taylor & Francis Journals, volume 15, issue 5-6, pages 511-532, DOI: 10.1080/13518470902872285.
• Dominique Guegan & Jing Zang, 2009, "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," The European Journal of Finance, Taylor & Francis Journals, volume 15, issue 7-8, pages 777-795, DOI: 10.1080/13518470902895344.
• Anders Johansson, 2009, "An analysis of dynamic risk in the Greater China equity markets," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, volume 7, issue 3, pages 299-320, DOI: 10.1080/14765280903073165.
• Denis Belomestny & Grigori Milstein & Vladimir Spokoiny, 2009, "Regression methods in pricing American and Bermudan options using consumption processes," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 3, pages 315-327, DOI: 10.1080/14697680802165736.
• Matthias Fengler, 2009, "Arbitrage-free smoothing of the implied volatility surface," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 4, pages 417-428, DOI: 10.1080/14697680802595585.
• Demosthenes Tambakis, 2009, "Feedback trading and intermittent market turbulence," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 4, pages 477-489, DOI: 10.1080/14697680802448785.
• George Woodward & Heather Anderson, 2009, "Does beta react to market conditions? Estimates of 'bull' and 'bear' betas using a nonlinear market model with an endogenous threshold parameter," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 8, pages 913-924, DOI: 10.1080/14697680802595643.
• Thomas Hemmelgarn & Gaetan Nicodeme, 2009, "Tax Co-ordination in Europe: Assessing the First Years of the EU-Savings Taxation Directive," Taxation Papers, Directorate General Taxation and Customs Union, European Commission, number 18, Jun.
• Falko Juessen & Ludger Linnemann & Andreas Schabert, 2009, "Default Risk Premia on Government Bonds in a Quantitative Macroeconomic Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-102/2, Nov.
• De Jonghe, O.G., 2009, "Back to Basics in Banking? A Micro-Analysis of Banking System Stability," Discussion Paper, Tilburg University, Center for Economic Research, number 2009-45 S.
• De Jonghe, O.G., 2009, "Back to Basics in Banking? A Micro-Analysis of Banking System Stability," Other publications TiSEM, Tilburg University, School of Economics and Management, number 9650fd91-53ee-4ed5-9786-6.
• Michael McAleer & Marcelo C. Medeiros, 2009, "Forecasting Realized Volatility with Linear and Nonlinear Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-686, Oct.
• Katya Malinova & Andreas Park, 2009, "Liquidity, Volume, and Price Behavior: The Impact of Order vs. Quote Based Trading," Working Papers, University of Toronto, Department of Economics, number tecipa-358, May.
• Katya Malinova & Andreas Park, 2009, "Intraday Trading Patterns: The Role of Timing," Working Papers, University of Toronto, Department of Economics, number tecipa-365, Aug.
• Abul Shamsuddin & Jae H Kim, 2009, "Short-Horizon Return Predictability in International Equity Markets," Working Papers, School of Economics, La Trobe University, number 2009.01.
• Gollier, Christian, 2009, "Ecological Discounting," TSE Working Papers, Toulouse School of Economics (TSE), number 09-062, Jul.
• Biais, Bruno & Rochet, Jean-Charles & Woolley, Paul, 2009, "The Lifecycle of the Financial Sector and Other Speculative Industries," TSE Working Papers, Toulouse School of Economics (TSE), number 09-031, Apr.
• Biais, Bruno & Weill, Pierre-Olivier, 2009, "Liquidity Shocks and Order Book Dynamics," TSE Working Papers, Toulouse School of Economics (TSE), number 09-037, May.
• Gollier, Christian & Weitzman, Martin L., 2009, "How Should the Distant Future be Discounted When Discount Rates are Uncertain?," TSE Working Papers, Toulouse School of Economics (TSE), number 09-107, Nov.
• Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2009, "La TVA sociale: bonne ou mauvaise idée?," TSE Working Papers, Toulouse School of Economics (TSE), number 09-038, May.
• Jacques Drèze & Oussama Lachiri & Enrico Minelli, 2009, "Stock Prices, Anticipations and Investment in General Equilibrium," Working Papers, University of Brescia, Department of Economics, number 0916.
• Juan-Ángel Jiménez-Martín & Alfonso Novales Cinca, 2009, "State-Uncertainty preferences and the Risk Premium in the Exchange rate market," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-17.
• João F. Gomes & Leonid Kogan & Motohiro Yogo, 2009, "Durability of Output and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, volume 117, issue 5, pages 941-986, DOI: 10.1086/648882.
• Narayana Kocherlakota & Luigi Pistaferri, 2009, "Asset Pricing Implications of Pareto Optimality with Private Information," Journal of Political Economy, University of Chicago Press, volume 117, issue 3, pages 555-590, June, DOI: 10.1086/599761.
• Yu-chin Chen & Kwok Ping Tsang, 2009, "What Does the Yield Curve Tell Us About Exchange Rate Predictability?," Working Papers, University of Washington, Department of Economics, number UWEC-2009-04, Feb.
• Yu-chin Chen & Kwok Ping Tsang, 2009, "A Macro-Finance Approach to Exchange Rate Determination," Working Papers, University of Washington, Department of Economics, number UWEC-2009-24-R, Dec, revised May 2010.
• Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009, "Multivariate Contemporaneous Threshold Autoregressive Models," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2009-03, Mar.
• Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009, "Contemporaneous-Threshold Smooth Transition GARCH Models," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2009-06, Jun.
• John Driffill & Martin Sola & Turalay Kenc, 2009, "Real Options with Priced Regime-Switching Risk," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2009-09, Sep.
• Marie Briere & Ombretta Signori, 2009, "Do inflation-linked bonds still diversify?," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/169891, Mar.
• Erie Febrian & Aldrin Herwany, 2009, "The Performance Of Asset Pricing Models Before, During, And After Financial Crisis In Emerging Market: Evidence From Indonesia," Working Papers in Business, Management and Finance, Department of Management and Business, Padjadjaran University, number 200902, Feb, revised Feb 2009.
• Francisco Peñaranda, 2009, "Understanding portfolio efficiency with conditioning information," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1146, Jan, revised Oct 2011.
• Enrico G. De Giorgi & Shane Legg, 2009, "Portfolio Selection with Narrow Framing: Probability Weighting Matters," University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen, number 2009-12, Jun.
• Jury Falini, 2009, "Pricing caps with HJM models: the benefits of humped volatility," Department of Economics University of Siena, Department of Economics, University of Siena, number 563, Aug.
• Longbing Cao & Xue-Zhong He, 2009, "Developing actionable trading agents," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2009-5, Jan.
• Min Zheng & Duo Wang & Xue-Zhong He, 2009, "Asymmetry of technical analysis and market price volatility," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2009-6, Jan.
• Xue-Zhong He & Lei Shi, 2009, "Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 244, Jan.
• Carl Chiarella & Xue-Zhong He & Paolo Pellizzari, 2009, "A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 251, Jul.
• Daniel MANATE & Paval FARCAS, 2009, "The Fundamental Analysis of Financial Instruments in the Context of Diverse Investing Styles," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 4, issue 2, pages 108-129.
• Benjamin Eden, 2009, "Liquidity Premium and International Seigniorage Payments," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0901, Jan.
• Christophe Rault & ohamed El Hedi AROURI, 2009, "Oil prices and stock markets: what drives what in the Gulf Corporation Council countries?," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp960, Jun.
• Christophe Rault & Mohamed El Hedi AROURI, 2009, "On the influence of oil prices on stock markets: Evidence from panel analysis in GCC countries," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp961, Jun.
• Xiaohong Chen & Sydney C. Ludvigson, 2009, "Land of addicts? an empirical investigation of habit‐based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 24, issue 7, pages 1057-1093, November, DOI: 10.1002/jae.1091.
• Antonio Diez De Los Rios, 2009, "Can Affine Term Structure Models Help Us Predict Exchange Rates?," Journal of Money, Credit and Banking, Blackwell Publishing, volume 41, issue 4, pages 755-766, June, DOI: 10.1111/j.1538-4616.2009.00230.x.
• Joachim Grammig & Andreas Schrimpf, 2009, "Asset pricing with a reference level of consumption: New evidence from the cross‐section of stock returns," Review of Financial Economics, John Wiley & Sons, volume 18, issue 3, pages 113-123, August, DOI: 10.1016/j.rfe.2009.04.004.
• Marco Taboga, 2009, "Macro‐finance VARs and bond risk premia: A caveat," Review of Financial Economics, John Wiley & Sons, volume 18, issue 4, pages 163-171, October, DOI: 10.1016/j.rfe.2009.06.002.
• Supriyo De, 2009, "Intangible Determinants Of Market Value In The New Economy: A Dynamic Panel Data Analysis Of The Indian Software Industry," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 54, issue 03, pages 379-398, DOI: 10.1142/S0217590809003392.
• Martijn Cremers & Hongjun Yan, 2009, "Uncertainty and Valuations," Yale School of Management Working Papers, Yale School of Management, number amz2383, Mar, revised 01 May 2009.
• John Campbell & Robert Shiller & Luis Viceira, 2009, "Understanding Inflation-Indexed Bond Markets," Yale School of Management Working Papers, Yale School of Management, number amz2587, May.
• Natividad Blasco & Pilar Corredor & Sandra Ferreruela, 2009, "Detecting intentional herding: what lies beneath intraday data in the spanish stock market," Documentos de Trabajo, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza, number dt2009-01, Jan.
• Westerhoff, Frank, 2009, "A simple agent-based financial market model: Direct interactions and comparisons of trading profits," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 61.
• Dieci, Roberto & Westerhoff, Frank, 2009, "A simple model of a speculative housing market," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 62.
• Witte, Björn-Christopher, 2009, "Temporal information gaps and market efficiency: A dynamic behavioral analysis," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 64.
• Bohl, Martin T. & Schuppli, Michael & Siklos, Pierre L., 2009, "Stock return seasonalities and investor structure: Evidence from China's B-share markets," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 20/2009.
• Uhlenbrock, Birgit, 2009, "Financial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2009,08.
• Fecht, Falko & Wedow, Michael, 2009, "The dark and the bright side of liquidity risks: evidence from open-end real estate funds in Germany," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2009,10.
• Hamerle, Alfred & Liebig, Thilo & Schropp, Hans-Jochen, 2009, "Systematic risk of CDOs and CDO arbitrage," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2009,13.
• Ernst, Cornelia & Stange, Sebastian & Kaserer, Christoph, 2009, "Measuring market liquidity risk - which model works best?," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2009-01.
• Stange, Sebastian & Kaserer, Christoph, 2009, "Market liquidity risk: an overview," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2009-04.
• Lahr, Henry & Kaserer, Christoph, 2009, "Net asset value discounts in listed private equity funds," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2009-12.
• Erdogan, Burcu, 2009, "How does European Integration affect the European Stock Markets?," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 80.
• Grammig, Joachim & Schrimpf, Andreas, 2009, "Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returns," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 07-05.
• Pütz, Alexander & Ruenzi, Stefan, 2009, "Overconfidence among professional investors: Evidence from mutual fund managers," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 08-08.
• Boonenkamp, Ute & Kempf, Alexander & Homburg, Carsten, 2009, "Fundamental information in technical trading strategies," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 08-12.
• Grammig, Joachim G. & Schrimpf, Andreas & Schuppli, Michael, 2009, "Long-horizon consumption risk and the cross-section of returns: New tests and international evidence," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-02.
• Yadav, Pradeep K. & Bardong, Florian & Bartram, Söhnke M., 2009, "Informed trading, information asymmetry and pricing of information risk: Empirical evidence from the NYSE," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-08.
• Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese, 2009, "The term structure of illiquidity premia," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-14.
• Trapp, Monika, 2009, "Trading the bond-CDS basis: The role of credit risk and liquidity," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-16.
• Packham, Natalie & Schlögl, Lutz & Schmidt, Wolfgang M., 2009, "Credit dynamics in a first passage time model with jumps," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 21.
• Packham, Natalie & Schlögl, Lutz & Schmidt, Wolfgang M., 2009, "Credit gap risk in a first passage time model with jumps," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 22.
• Möbert, Jochen, 2009, "Unterschiedliche Markteinschätzungen von Spekulanten als Determinante des Rohölpreises," Research Notes, Deutsche Bank Research, number 32.
• Möbert, Jochen, 2009, "Do speculators drive crude oil prices? Dispersion in beliefs as a price determinant," Research Notes, Deutsche Bank Research, number 32e.
• Cremers, Heinz & Walzner, Jens, 2009, "Modellierung des Kreditrisikos im Einwertpapierfall," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 126.
• Cremers, Heinz & Walzner, Jens, 2009, "Modellierung des Kreditrisikos im Portfoliofall," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 127.
• Freeman, Mark C., 2009, "Yes, we should discount the far-distant future at its lowest possible rate: a resolution of the Weitzman-Gollier puzzle," Economics Discussion Papers, Kiel Institute for the World Economy, number 2009-42.
• Gollier, Christian, 2009, "Should We Discount the Far-Distant Future at Its Lowest Possible Rate?," Economics Discussion Papers, Kiel Institute for the World Economy, number 2009-7.
• Gollier, Christian, 2009, "Should we Discount the Far-Distant Future at its Lowest Possible Rate?," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 3, pages 1-14, DOI: 10.5018/economics-ejournal.ja.2009-.
• Lux, Thomas, 2009, "Mass psychology in action: identification of social interaction effects in the German stock market," Kiel Working Papers, Kiel Institute for the World Economy, number 1514.
• Lux, Thomas & Morales-Arias, Leonardo, 2009, "Forecasting volatility under fractality, regime-switching, long memory and student-t innovations," Kiel Working Papers, Kiel Institute for the World Economy, number 1532.
• Aßmann, Christian & Boysen-Hogrefe, Jens, 2009, "Determinants of government bond spreads in the Euro Area: in good times as in bad," Kiel Working Papers, Kiel Institute for the World Economy, number 1548.
• Nellinger, Ludwig, 2009, "Über die Natur und das Wesen des Geldes: Johann Heinrich von Thünens unveröffentlichter Beitrag zur Geldtheorie," Thuenen-Series of Applied Economic Theory, University of Rostock, Institute of Economics, number 110.
• Beckmann, Joscha & Belke, Ansgar & Kühl, Michael, 2009, "How Stable Are Monetary Models of the Dollar-Euro Exchange Rate? - A Time-varying Coefficient Approach," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 134.
• Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009, "CDO pricing with copulae," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-013.
• Cao, Ji & Härdle, Wolfgang Karl & Mungo, Julius, 2009, "A joint analysis of the KOSPI 200 option and ODAX option markets dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-019.
• Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009, "CDO and HAC," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-038.
• Grith, Maria & Härdle, Wolfgang Karl & Park, Juhyun, 2009, "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-041.
• Krätschmer, Volker & Schoenmakers, John G. M., 2009, "Representations for optimal stopping under dynamic monetary utility functionals," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-055.
• Schindler, Felix, 2009, "Volatilitätseffekte am US-amerikanischen Häusermarkt," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 09-048.
• Schindler, Felix & Rottke, Nico & Füss, Roland, 2009, "Testing the predictability and efficiency of securitized real estate markets," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 09-054.
• Steiner, Christian & Groß, Anne & Entorf, Horst, 2009, "Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 09-010.
• Ang, Andrew & Hodrick, Robert J. & Xing, Yuhang & Zhang, Xiaoyan, 2009, "High idiosyncratic volatility and low returns: International and further U.S. evidence," Journal of Financial Economics, Elsevier, volume 91, issue 1, pages 1-23, January.
• Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2009, "Risk, uncertainty, and asset prices," Journal of Financial Economics, Elsevier, volume 91, issue 1, pages 59-82, January.