Research classified by Journal of Economic Literature (JEL) codes

2010

• Schulz, Frowin C., 2010, "Explaining time-varying risk of electricity forwards: trading activity and news announcements," Discussion Papers in Econometrics and Statistics, University of Cologne, Institute of Econometrics and Statistics, number 8/10.
• Schindler, Felix, 2010, "Further evidence on the (in-) efficiency of the U.S. housing market," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 10-004.
• Schindler, Felix, 2010, "How efficient is the U.K. housing market?," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 10-030.
• Schindler, Felix, 2010, "Market efficiency in the emerging securitized real estate markets," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 10-033.
• Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2010, "Macro expectations, aggregate uncertainty, and expected term premia," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 10-064.
• Lischewski, Judith & Voronkova, Svitlana, 2010, "Size, value and liquidity: Do they really matter on an emerging stock market?," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 10-070.
• Blasco, Natividad & Corredor, Pilar & Ferreruela, Sandra, 2010, "¿Influyen los tigres asiáticos en el comportamiento gregario español?," El Trimestre Económico, Fondo de Cultura Económica, volume 77, issue 306, pages 423-444, abril-jun, DOI: http://dx.doi.org/10.20430/ete.v77i.
• Ferruz, Luis & Muñoz, Fernando & Vargas, María, 2010, "Sesgos en los modelos de sincronización tradicionales," El Trimestre Económico, Fondo de Cultura Económica, volume 77, issue 308, pages 937-976, octubre-d, DOI: http://dx.doi.org/10.20430/ete.v77i.
• Tore Selland Kleppe & Jun Yu & H.J. Skaug, 2010, "Simulated maximum likelihood estimation of continuous time stochastic volatility models," Advances in Econometrics, Emerald Group Publishing Limited, "Maximum Simulated Likelihood Methods and Applications", DOI: 10.1108/S0731-9053(2010)0000026009.
• Mohamed Ali Trabelsi, 2010, "Overreaction and portfolio‐selection strategies in the Tunisian stock market," Journal of Risk Finance, Emerald Group Publishing Limited, volume 11, issue 3, pages 310-322, May, DOI: 10.1108/15265941011043675.
• Lean, H.H. & McAleer, M.J. & Wong, W.-K., 2010, "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-11, Feb.
• Lean, H.H. & McAleer, M.J. & Wong, W.-K., 2010, "Investor preferences for oil spot and futures based on mean-variance and stochastic dominance," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-37, May.
• Morten Balling, Jan Marc Berk and Marc-Olivier Strauss-Kahn (ed.), 2010, "The Quest for Stability: the view of financial institutions," SUERF Studies, SUERF - The European Money and Finance Forum, number 2010/3, ISBN: ARRAY(0x97179f38), May.
• Mohamed El Hedi Arouri & Christophe Rault, 2010, "On The Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries," Working Papers, Economic Research Forum, number 538, Jan, revised 08 Jan 2010.
• Nikolaos SARIANNIDIS & Grigoris GIANNARAKIS & Nicolaos LITINAS & George KONTEOS, 2010, "Á GARCH Examination of Macroeconomic Effects on U.S. Stock Market: A Distinction Between the Total Market Index and the Sustainability Index," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1, pages 129-142.
• Nicolae Marinescu & Monica Raileanu Szeles, 2010, "A Comparative Analysis of Romanian and Greek Exports in the Process of EU-Integration," European Research Studies Journal, European Research Studies Journal, volume 0, issue 2, pages 113-124.
• Hans DEWACHTER & Priscilla TOFFANO, 2010, "Fiscal activism and the cost of debt financing," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number ces10.13, Apr.
• Anna Iara & Guntram B. Wolff, 2010, "Rules and risk in the euro area: does rules-based national fiscal governance contain sovereign bond spreads?," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 433, Dec.
• Staffan Linden, 2010, "The Price and Risk Effects of Option Introductions on the Nordic Markets," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 434, Dec.
• Hiroaki Ohno, 2010, "Risk-Sharing Externalities and Its Implications for Equity Premium in an Infinite-Horizon Economy," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, volume 4, issue 2, pages 168-188, June.
• Francisco J. De Pena & Carlos Forner & Germán López-Espinosa, 2010, "Fundamentals and the Origin of Fama-French Factors: The Case of the Spanish Market," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 60, issue 5, pages 426-446, December.
• Jiri Novak & Dalibor Petr, 2010, "CAPM Beta, Size, Book-to-Market, and Momentum in Realized Stock Returns," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 60, issue 5, pages 447-460, December.
• Hsu-Ling Chang & Chi-Wei Su, 2010, "The Lending-Deposit Rate Relationship in Eastern European Countries: Evidence from the Rank Test for Non-linear Cointegration," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 60, issue 6, pages 534-544, December.
• Petra Kolouchová & Jirí Novák, 2010, "Cost of Equity Estimation Techniques Used by Valuation Experts," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2010/08, May, revised May 2010.
• Jinbin Wang & Nan Li, 2010, "Exchange Rate Pass-Through: The Case of China," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 5, issue 3, pages 356-374, September.
• Jingtao Yi, 2010, "China’s Equilibrium Exchange Rate Dynamics 1994–2004: A Cointegration Analysis," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 5, issue 3, pages 375-392, September.
• Cristiana Cerqueira Leal, Manuel J. Rocha Armada, João L. C. Duque, 2010, "Are All Individual Investors Equally Prone to the Disposition Effect All the Time? New Evidence from a Small Market," Frontiers in Finance and Economics, SKEMA Business School, volume 7, issue 2, pages 38-68, October.
• Brian Baturevich, Gulnur Muradoglu, 2010, "Would You Follow MM or a Profitable Trading Strategy?," Frontiers in Finance and Economics, SKEMA Business School, volume 7, issue 2, pages 69-89, October.
• José Fillat & Stefania Garetto, 2010, "Risk, returns, and multinational production," Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston, number QAU10-5.
• Martin Saldias Zambrana, 2010, "Systemic risk analysis using forward-looking distance-to-default series," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1005, DOI: 10.26509/frbc-wp-201005.
• Athanasios Orphanides & Min Wei, 2010, "Evolving macroeconomic perceptions and the term structure of interest rates," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2010-01.
• Stefania D'Amico & Don H. Kim & Min Wei, 2010, "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2010-19.
• Song Han & Dan Li, 2010, "The fragility of discretionary liquidity provision - lessons from the collapse of the auction rate securities market," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2010-50.
• Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010, "Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules," Working Papers, Federal Reserve Bank of St. Louis, number 2010-008, DOI: 10.20955/wp.2010.008.
• Christopher J. Neely, 2010, "The large scale asset purchases had large international effects," Working Papers, Federal Reserve Bank of St. Louis, number 2010-018, DOI: 10.20955/wp.2010.018.
• Michael J. Dueker & Laura E. Jackson & Michael T. Owyang & Martin Sola, 2010, "A Time-Varying Threshold STAR Model with Applications," Working Papers, Federal Reserve Bank of St. Louis, number 2010-029, revised 10 Aug 2022, DOI: 10.20955/wp.2010.029.
• Mark Huggett & Greg Kaplan, 2010, "Human capital values and returns: bounds implied by earnings and asset returns data," Staff Report, Federal Reserve Bank of Minneapolis, number 448.
• Michael J. Fleming & Warren B. Hrung & Frank M. Keane, 2010, "Repo market effects of the Term Securities Lending Facility," Staff Reports, Federal Reserve Bank of New York, number 426.
• Paolo Guasoni & Gur Huberman & Zhenyu Wang, 2010, "Performance maximization of actively managed funds," Staff Reports, Federal Reserve Bank of New York, number 427.
• Suresh Sundaresan & Zhenyu Wang, 2010, "Design of contingent capital with a stock price trigger for mandatory conversion," Staff Reports, Federal Reserve Bank of New York, number 448, May.
• Satyajit Chatterjee & Burcu Eyigungor, 2010, "Maturity, indebtedness, and default risk," Working Papers, Federal Reserve Bank of Philadelphia, number 10-12.
• Simone Salotti & Luigi Marattin, 2010, "The Euro-dividend: public debt and interest rates in the Monetary Union," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2010-04, Feb.
• Miguel Anton, & Christopher Polk, 2010, "Connected Stocks," FMG Discussion Papers, Financial Markets Group, number dp651, Mar.
• Mark Huggett and Greg Kaplan, 2010, "Human Capital Values and Returns:Bounds Implied By Earnings and Asset Returns Data," Working Papers, Georgetown University, Department of Economics, number gueconwpa~10-10-02, Jul.
• Philippe Bacchetta & Cedric Tille & Eric van Wincoop, 2010, "Self-Fulfilling Risk Panics," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 17-2010, Jun.
• Michael G. Arghyrou & Alexandros Kontonikas, 2010, "The EMU sovereign-debt crisis: Fundamentals, expectations and contagion," Working Papers, Business School - Economics, University of Glasgow, number 2010_25, Sep.
• Alexandros Kontonikas & Alexandros Kostakis, 2010, "On monetary policy and stock market anomalies," Working Papers, Business School - Economics, University of Glasgow, number 2010_29, Nov.
• Ana Cunha & José Moreira, 2010, "Relevância informativa das Despesas de Investigação e Desenvolvimento: um estudo para o caso português," Notas Económicas, Faculty of Economics, University of Coimbra, issue 31, pages 06-23, June.
• Bin Li & Benjamin Liu & Eduardo Roca, 2010, "An Empirical Investigation of Consumption CAPMs in the Australian Market," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201011, Nov.
• Zoltam Murgulov & Eduardo Roca, 2010, "Can Information Made Publicly Available Explain Long-Term Performance of New Economy Seasoned Equity Offers?," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201013.
• Mei Li & Frank Milne, 2010, "A Large Trader in Bubbles and Crashes: an Application to Currency Attacks," Working Papers, University of Guelph, Department of Economics and Finance, number 1004, Jan.
• Ana Fostel & John Geanakoplos, 2010, "Why does Bad News Increase Volatility and Decrease Leverage?," Working Papers, The George Washington University, Institute for International Economic Policy, number 2010-18, Jun.
• Bernard Cornet & Ramu Gopalan, 2010, "Arbitrage and equilibrium with portfolio constraints," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00629777, DOI: 10.1007/s00199-009-0506-5.
• Dominique Guegan & Jing Zhang, 2010, "Change analysis of a dynamic copula for measuring dependence in multivariate financial data," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00368334, Apr, DOI: 10.1080/14697680902933041.
• Jean-Marc Bottazzi & Jaime Luque & Mário Páscoa, 2010, "Re-hypotecation of securities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00476004, Mar.
• Bernard Cornet & Ramu Gopalan, 2010, "Arbitrage and equilibrium with portfolio constraints," Post-Print, HAL, number hal-00629777, DOI: 10.1007/s00199-009-0506-5.
• Ruslan Bikbov & Mikhail Chernov, 2010, "No-arbitrage macroeconomic determinants of the yield curve," Post-Print, HAL, number hal-00732517, Sep, DOI: 10.1016/j.jeconom.2010.05.004.
• Bianca de Paoli & Alasdair Scott & Olaf Weeken, 2010, "Asset pricing implications of a new keynesian model," Post-Print, HAL, number hal-00732761, Sep, DOI: 10.1016/j.jedc.2010.05.012.
• Bart Frijns & Thorsten Lehnert & Remco C.J. Zwinkels, 2010, "Behavioral heterogeneity in the option market," Post-Print, HAL, number hal-00736742, Sep, DOI: 10.1016/j.jedc.2010.05.009.
• Patrick Fève & Julien Matheron & Jean-Guillaume Sahuc, 2010, "La TVA Sociale : Bonne ou Mauvaise Idée ?," Post-Print, HAL, number hal-01612720.
• Brice Corgnet & Praveen Kujal & David Porter, 2010, "The effect of reliability, content and timing of public announcements on asset trading behavior," Post-Print, HAL, number hal-02311959, Nov, DOI: 10.1016/j.jebo.2010.06.014.
• Bernard Cornet & Ramu Gopalan, 2010, "Arbitrage and equilibrium with portfolio constraints," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-00629777, DOI: 10.1007/s00199-009-0506-5.
• Nicolas Coeurdacier & Hélène Rey, 2010, "Home bias in open economy financial macroeconomics," Sciences Po Economics Publications (main), HAL, number hal-01069440, Sep.
• Mohamed El Hedi Arouri & Christophe Rault, 2010, "Les effets des fluctuations du prix du pétrole sur les marchés boursiers dans les pays du Golfe," Working Papers, HAL, number hal-00507825, Aug.
• Marie Bernhart & Peter Tankov & Xavier Warin, 2010, "A finite dimensional approximation for pricing moving average options," Working Papers, HAL, number hal-00554216, Nov.
• Yves Jégourel & Samuel Maveyraud, 2010, "An assessment of variances and covariances of European SRI funds returns : does the intensity of extra-financial negative screening matter?," Working Papers, HAL, number hal-00646542, Mar.
• Nicolas Coeurdacier & Hélène Rey, 2010, "Home bias in open economy financial macroeconomics," Working Papers, HAL, number hal-01069440, Sep.
• Michel Aglietta & Wladimir Andreff & Bastien Drut, 2010, "Floating European football clubs in the stock market," Working Papers, HAL, number hal-04140902.
• Hubert de La Bruslerie & Jessica Fouilloux, 2010, "Interest Term Premiums and C-CAPM: A Test of a Parsimonious Model," Working Papers, HAL, number halshs-00536924.
• Elyès Jouini & Clotilde Napp, 2010, "Gurus and beliefs manipulation," Working Papers, HAL, number halshs-00555609, Dec.
• Parantap Basu & Max Gillman & Joseph Pearlman, 2010, "Inflation, Human Capital and Tobin's q," KRTK-KTI WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 1017, Sep.
• Johansson, Anders C., 2010, "Stock and Bond Relationships in Asia," Working Paper Series, Stockholm School of Economics, China Economic Research Center, number 2010-14, Apr.
• Lundtofte, Frederik & Leoni, Patrick, 2010, "Growth Forecasts, Belief Manipulation and Capital Markets," Working Papers, Lund University, Department of Economics, number 2010:8, Jul, revised 30 May 2012.
• Aase, Knut K. & Bjuland, Terje & Øksendal, Bernt, 2010, "Strategic Insider Trading Equilibrium: A Filter Theory Approach," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2010/9, Aug.
• De Graeve, Ferre & Dossche, Maarten & Emiris, Marina & Sneessens, Henri & Wouters, Raf, 2010, "Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 236, Jan.
• Rydqvist, Kristian, 2010, "Tax Arbitrage with Risk and Effort Aversion - Swedish Lottery Bonds 1970-1990," SIFR Research Report Series, Institute for Financial Research, number 70, Apr.
• Lu, Ching-Chih & Chollete, Loran, 2010, "Bankruptcy and the size effect," UiS Working Papers in Economics and Finance, University of Stavanger, number 2010/6, Nov.
• Matthew S. Yiu & Wai-Yip Alex Ho & Lu Jin, 2010, "Dynamic Correlation Analysis of Financial Spillover to Asian and Latin American Markets in Global Financial Turmoil," Working Papers, Hong Kong Monetary Authority, number 1001, Apr.
• Ashvin Ahuja & Lillian Cheung & Gaofeng Han & Nathan Porter & Wenlang Zhang, 2010, "Are House Prices Rising Too Fast in China?," Working Papers, Hong Kong Monetary Authority, number 1008, Dec.
• Eric Girardin & Dijun Tan & Woon K. Wong, 2010, "Information Content of Order Flow and Cross-market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets," Working Papers, Hong Kong Institute for Monetary Research, number 022010, Jan.
• Isaac Ehrlich & Jong Kook Shin & Yong Yin, 2010, "Human Capital, Endogenous Information Acquisition,and Home Bias in Financial Markets," Working Papers, Hong Kong Institute for Monetary Research, number 202010, Jul.
• Yu-chin Chen & Kwok Ping Tsang & Wen Jen Tsay, 2010, "Home Bias in Currency Forecasts," Working Papers, Hong Kong Institute for Monetary Research, number 272010, Oct.
• Philippe Bacchetta & Cedric Tille & Eric van Wincoop, 2010, "Self-Fulfilling Risk Panics," Working Papers, Hong Kong Institute for Monetary Research, number 282010, Nov.
• Yu-chin Chen & Kwok Ping Tsang, 2010, "What Does the Yield Curve Tell Us about Exchange Rate Predictability?," Working Papers, Hong Kong Institute for Monetary Research, number 292010, Nov.
• Christian Fahrholz & Roman Goldbach, 2010, "Burying the Stability Pact: The Reanimation of Default Risk in the Euro Area," Global Financial Markets Working Paper Series, Friedrich-Schiller-University Jena, number 10-2010, Jun.
• Ishikawa, Ryuichiro & Kudoh, Noritaka, 2010, "Beauty Contests and Asset Prices under Asymmetric Information," Discussion paper series. A, Graduate School of Economics and Business Administration, Hokkaido University, number 218, Jan.
• Gollier, Christian & Weitzman, Martin L., 2010, "How should the distant future be discounted when discount rates are uncertain?," Scholarly Articles, Harvard University Department of Economics, number 33373345.
• Polk, Christopher & Vuolteenaho, Tuomo & Campbell, John Y., 2010, "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," Scholarly Articles, Harvard University Department of Economics, number 9887622.
• Erie Febrian & Aldrin Herwany, 2010, "The Performance Of Asset Pricing Models Before, During, And After An Emerging Market Financial Crisis: Evidence From Indonesia," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 4, issue 1, pages 85-97.
• Yin-Ching Jan & Su-Ling Chiu, 2010, "Holding Period And Cross-Sectional Stock Returns: Evidence From Taiwan," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 4, issue 3, pages 79-91.
• Stoyu I. Ivanov, 2010, "Discretionary Deletions From The S&P 500 Index: Evidence On Forecasted And Realized Earnings," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 4, issue 4, pages 1-9.
• Dirk Swagerman & Ivan Novakovic, 2010, "Multi-National Evidence On Calendar Patterns In Stock Returns: An Empirical Case Study On Investment Strategy And The Halloween Effect," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 4, issue 4, pages 23-42.
• Eduardo Sandoval & Angelo Benvenuto, 2010, "Es El Riesgo Cambiario Preciado En El Mercado Accionario Chileno? Un Estudio Empirico Basado En La Teoria De Precios Por Arbitraje," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 3, issue 2, pages 1-27.
• Jozef Glova, 2010, "Matrix Theory Application in the Bootstrapping Method for the Term Structure of Interest Rates," Economic Analysis, Institute of Economic Sciences, volume 43, issue 1-2, pages 44-49.
• Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2010, "Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 636, Jun.
• Biais, Bruno & Hombert, Johan & Weill, Pierre-Olivier, 2010, "Trading and Liquidity with Limited Cognition," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 665, Dec.
• Aslı YÜKSEL & Aydın YÜKSEL & Mete DOĞANAY, 2010, "İstanbul Menkul Kıymetler Borsası’nda işlem gören hisse senetlerinin fiyatlandırılmasında likiditenin rolü," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 25, issue 293, pages 69-94.
• Harun ALP & Refet GÜRKAYNAK & Hakan KARA & Gürsu KELEŞ & Musa ORAK, 2010, "Türkiye’de piyasa göstergelerinden para politikası beklentilerinin ölçülmesi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 25, issue 295, pages 21-45.
• Charlotte Christiansen, 2010, "Decomposing European bond and equity volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 15, issue 2, pages 105-122, DOI: 10.1002/ijfe.385.
• Peter N. Smith & Steffen Sorensen & Michael Wickens, 2010, "The equity premium and the business cycle: the role of demand and supply shocks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 15, issue 2, pages 134-152, DOI: 10.1002/ijfe.395.
• Tom Engsted & Stig V. Møller, 2010, "An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish Stock and bond returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 15, issue 3, pages 213-227, DOI: 10.1002/ijfe.389.
• Caroline Jardet & Gaelle Le Fol, 2010, "Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 15, issue 4, pages 316-330, DOI: 10.1002/ijfe.403.
• Paolo Colla & José M. Marín, 2010, "Performance evaluation in competitive REE models," Working Papers, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales, number 2010-21, Oct.
• Klaus Adam & Albert Marcet, 2010, "Booms and Busts in Asset Prices," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 10-E-02, Feb.
• Franklin Allen & Elena Carletti, 2010, "Financial Regulation Going Forward," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 10-E-18, Jul.
• Makoto Saito & Shiba Suzuki & Tomoaki Yamada, 2010, "Can Cross-Border Financial Markets Create Endogenously Good Collateral in a Crisis?," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 10-E-19, Aug.
• Naoki Makimoto & Yoshihiko Sugihara, 2010, "Optimal Execution of Multiasset Block Orders under Stochastic Liquidity," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 10-E-25, Nov.
• Antonio Guarino & Marco Cipriani, 2010, "Estimating a Structural Model of Herd Behavior in Financial Markets," IMF Working Papers, International Monetary Fund, number 2010/288, Dec.
• Valentina Vasile & Mirela Matei, 2010, "The Romanian Municipal Bond Market and the International Financial Crisis," Romanian Journal of Economics, Institute of National Economy, volume 30, issue 1(39), pages 110-126, June.
• Thomas J. Brennan & Andrew W. Lo, 2010, "Impossible Frontiers," Management Science, INFORMS, volume 56, issue 6, pages 905-923, June, DOI: 10.1287/mnsc.1100.1157.
• Thomas Stöckl & Michael Kirchler, 2010, "Trading strategies and trading profits in experimental asset markets with cumulative information," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2010-09, Apr.
• Alva-Vázquez, Abraham. & Sierra-Juárez, Guillermo., 2010, "Opciones climáticas para el sector pesquero del pacífico mexicano," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 11, pages 29-61, segundo s.
• Mehmet Sabri TOPAK, 2010, "Ýmalat Sanayinde Firma Risklerinin Belirlenmesi: Kumeleme Analizi Yontemiyle Ampirik Bir Calýsma," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, volume 11, issue 1, pages 100-127, May.
• Du, Xiaodong & Hayes, Dermot J. & Yu, Cindy, 2010, "Dynamics of Biofuel Stock Prices: A Bayesian Approach," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 31533, May.
• Du, Xiaodong & Hayes, Dermot J. & Yu, Cindy L., 2010, "Dynamics of Biofuel Stock Prices: A Bayesian Approach," ISU General Staff Papers, Iowa State University, Department of Economics, number 201001010800001519, Jan.
• Elena Márquez & Belén Nieto Doménech & Gonzalo Rubio Irigoyen, 2010, "Consumption, liquidity and the cross-sectional variation of expected returns," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2010-24, Jul.
• Snowberg, Erik & Wolfers, Justin, 2010, "Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions?," IZA Discussion Papers, IZA Network @ LISER, number 4884, Apr.
• Pesaran, M. Hashem, 2010, "Predictability of Asset Returns and the Efficient Market Hypothesis," IZA Discussion Papers, IZA Network @ LISER, number 5037, Jun.
• Jesper Rangvid & Maik Schmeling & Andreas Schrimpf, 2010, "Dividend predictability around the world," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-03, Jan.
• Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard, 2010, "Pitfalls in VAR based return decompositions: A clarification," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-09, Feb.
• Torben G. Andersen & Luca Benzoni, 2010, "Stochastic Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-10, Feb.
• Tim Bollerslev & Viktor Todorov, 2010, "Estimation of Jump Tails," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-16, Apr.
• Tom Engsted & Bent Nielsen, 2010, "Testing for rational bubbles in a co-explosive vector autoregression," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-25, Jun.
• Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard, 2010, "The log-linear return approximation, bubbles, and predictability," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-37, Jul.
• Thomas Q. Pedersen, 2010, "Predictable return distributions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-38, Jul.
• Antonis Papapantoleon & David Skovmand, 2010, "Picard Approximation of Stochastic Differential Equations and Application to Libor Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-40, Jul.
• Christian Bach & Stig Vinther Møller, 2010, "Habit-based Asset Pricing with Limited Participation Consumption," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-46, Jun.
• Christian D. Dick & Maik Schmeling & Andreas Schrimpf, 2010, "Macro Expectations, Aggregate Uncertainty, and Expected Term Premia," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-49, Aug.
• Nektarios Aslanidis & Charlotte Christiansen, 2010, "Sign and Quantiles of the Realized Stock-Bond Correlation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-55, Aug.
• Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2010, "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-58, Sep.
• Tim Bollerslev & Viktor Todorov, 2010, "Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-64, Sep.
• Patrick Bayer & Bryan Ellickson & Paul B. Ellickson, 2010, "Dynamic Asset Pricing in a System of Local Housing Markets," American Economic Review, American Economic Association, volume 100, issue 2, pages 368-372, May, DOI: 10.1257/aer.100.2.368.
• Atif Mian & Amir Sufi, 2010, "The Great Recession: Lessons from Microeconomic Data," American Economic Review, American Economic Association, volume 100, issue 2, pages 51-56, May, DOI: 10.1257/aer.100.2.51.
• Hui Chen & Scott Joslin & Ngoc-Khanh Tran, 2010, "Affine Disagreement and Asset Pricing," American Economic Review, American Economic Association, volume 100, issue 2, pages 522-526, May, DOI: 10.1257/aer.100.2.522.
• Leonid Kogan & Dimitris Papanikolaou, 2010, "Growth Opportunities and Technology Shocks," American Economic Review, American Economic Association, volume 100, issue 2, pages 532-536, May, DOI: 10.1257/aer.100.2.532.
• Ravi Bansal & Ivan Shaliastovich, 2010, "Confidence Risk and Asset Prices," American Economic Review, American Economic Association, volume 100, issue 2, pages 537-541, May, DOI: 10.1257/aer.100.2.537.
• Ravi Bansal & Dana Kiku & Amir Yaron, 2010, "Long Run Risks, the Macroeconomy, and Asset Prices," American Economic Review, American Economic Association, volume 100, issue 2, pages 542-546, May, DOI: 10.1257/aer.100.2.542.
• Harjoat S. Bhamra & Lars-Alexander Kuehn & Ilya A. Strebulaev, 2010, "Long Run Risks, Credit Markets, and Financial Structure," American Economic Review, American Economic Association, volume 100, issue 2, pages 547-551, May, DOI: 10.1257/aer.100.2.547.
• Ralph S. J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2010, "Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk," American Economic Review, American Economic Association, volume 100, issue 2, pages 552-556, May, DOI: 10.1257/aer.100.2.552.
• Anh Le & Kenneth J. Singleton, 2010, "An Equilibrium Term Structure Model with Recursive Preferences," American Economic Review, American Economic Association, volume 100, issue 2, pages 557-561, May, DOI: 10.1257/aer.100.2.557.
• Victoria Ivashina & David Scharfstein, 2010, "Loan Syndication and Credit Cycles," American Economic Review, American Economic Association, volume 100, issue 2, pages 57-61, May, DOI: 10.1257/aer.100.2.57.
• Monika Piazzesi & Martin Schneider, 2010, "Interest Rate Risk in Credit Markets," American Economic Review, American Economic Association, volume 100, issue 2, pages 579-584, May, DOI: 10.1257/aer.100.2.579.
• Michael J. Fleming & Warren B. Hrung & Frank M. Keane, 2010, "Repo Market Effects of the Term Securities Lending Facility," American Economic Review, American Economic Association, volume 100, issue 2, pages 591-596, May, DOI: 10.1257/aer.100.2.591.
• Katrin Tinn, 2010, "Technology Adoption with Exit in Imperfectly Informed Equity Markets," American Economic Review, American Economic Association, volume 100, issue 3, pages 925-957, June.
• Fernando Broner & Alberto Martin & Jaume Ventura, 2010, "Sovereign Risk and Secondary Markets," American Economic Review, American Economic Association, volume 100, issue 4, pages 1523-1555, September.
• Gary Gorton & Ping He & Lixin Huang, 2010, "Security Price Informativeness with Delegated Traders," American Economic Journal: Microeconomics, American Economic Association, volume 2, issue 4, pages 137-170, November.
• Marcin Kacperczyk & Philipp Schnabl, 2010, "When Safe Proved Risky: Commercial Paper during the Financial Crisis of 2007-2009," Journal of Economic Perspectives, American Economic Association, volume 24, issue 1, pages 29-50, Winter.
• Arvind Krishnamurthy, 2010, "How Debt Markets Have Malfunctioned in the Crisis," Journal of Economic Perspectives, American Economic Association, volume 24, issue 1, pages 3-28, Winter.
• Yuan-Ming Lee & Kuan-Min Wang, 2010, "The Asymmetric Impulse of the Sunshine Effect on Stock Returns and Volatilities," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, volume 12, issue 28, pages 606-633, June.
• Caroline Fohlin & Steffen Reinhold, 2010, "Common stock returns in the pre-WWI Berlin Stock Exchange," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), volume 4, issue 1, pages 75-96, January, DOI: 10.1007/s11698-009-0037-0.
• Sunil Bundoo & Boopen Seetanah & Zaineh Pooloo, 2010, "An Analysis of Mutual Fund Performance on the Stock Exchange of Mauritius," The African Finance Journal, Africagrowth Institute, volume 12, issue Conferenc, pages 27-43.
• Urcola, Hernan A. & Irwin, Scott H., 2010, "Hog Options: Contract Redesign and Market Efficiency," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 42, issue 4, pages 1-18, November, DOI: 10.22004/ag.econ.100518.
• Azar, Samih Antoine, 2010, "Testing the Expectations Hypothesis on Corporate Bond Yields," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 6, issue 01-2, pages 1-11, April, DOI: 10.22004/ag.econ.143265.
• Mooradian, Robert M., 2010, "Illiquidity and Stock Returns," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 6, issue 01-2, pages 1-19, April, DOI: 10.22004/ag.econ.143268.
• Hosek, Jan & Komarek, Lubos & Motl, Martin, 2010, "Monetary Policy And Oil Prices," Economic Research Papers, University of Warwick - Department of Economics, number 270782, DOI: 10.22004/ag.econ.270782.
• Assoc. Prof. Dalia Simion Ph. D & Lect. Roxana Ispas Ph. D, 2010, "Aspects Regarding The Influence Of Volatility On The Option’S Price," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 2, issue 38, pages 1-9, May.
• Ioan TRENCA & Maria Miruna POCHEA & Angela Maria FILIP, 2010, "Options evaluation - Black-Scholes model vs. binomial options pricing model," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 12, pages 137-146, December.
• Cristina CURUTIU BALINT, 2010, "The correlation between the macroeconomic variables and the Bucharest stock exchange share prices," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 12, pages 189-195, December.
• Ioan NISTOR & Maria ULICI, 2010, "The impact of Lehman Brothers on Romanian banks listed on BVB," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 12, pages 21-28, December.
• Vasile Burja & Camelia Burja, 2010, "Patrimonial Resources' Management And Effects On The Economic Value Added," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 2, issue 12, pages 1-12.
• Anufriev, M. & Hommes, C.H. & Philipse, R., 2010, "Evolutionary Selection of Expectations in Positive and Negative Feedback Markets," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 10-05.
• Sonnemans, J. & Tuinstra, J., 2010, "Positive expectations feedback experiments and number guessing games as models of financial markets," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 10-08.
• Kerry Back, 2010, "Martingale Pricing," Annual Review of Financial Economics, Annual Reviews, volume 2, issue 1, pages 235-250, December.
• Denis Gromb & Dimitri Vayanos, 2010, "Limits of Arbitrage," Annual Review of Financial Economics, Annual Reviews, volume 2, issue 1, pages 251-275, December.
• Dilip B. Madan, 2010, "Stochastic Processes in Finance," Annual Review of Financial Economics, Annual Reviews, volume 2, issue 1, pages 277-314, December.
• Larry G. Epstein & Martin Schneider, 2010, "Ambiguity and Asset Markets," Annual Review of Financial Economics, Annual Reviews, volume 2, issue 1, pages 315-346, December.
• Philippe Jorion, 2010, "Risk Management," Annual Review of Financial Economics, Annual Reviews, volume 2, issue 1, pages 347-365, December.
• Ravi Jagannathan & Ernst Schaumburg & Guofu Zhou, 2010, "Cross-Sectional Asset Pricing Tests," Annual Review of Financial Economics, Annual Reviews, volume 2, issue 1, pages 49-74, December.
• Lawrence Blume & David Easley, 2010, "Heterogeneity, Selection, and Wealth Dynamics," Annual Review of Economics, Annual Reviews, volume 2, issue 1, pages 425-450, September.
• Marie Bernhart & Peter Tankov & Xavier Warin, 2010, "A finite dimensional approximation for pricing moving average options," Papers, arXiv.org, number 1011.3599, Nov.
• Stefan Kerbl, 2010, "Regulatory Medicine Against Financial Market Instability: What Helps And What Hurts?," Papers, arXiv.org, number 1011.6284, Nov, revised Nov 2010.
• Jiro Akahori & Andrea Macrina, 2010, "Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes," Papers, arXiv.org, number 1012.1878, Dec.
• Felix Schindler, 2010, "Market Efficiency In The Emerging Securitized Real Estate Markets," ERES, European Real Estate Society (ERES), number eres2010_138, Jan.
• Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2010, "Multivariate Contemporaneous-Threshold Autoregressive Models," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 817.10, Apr.
• Antonios Antypas & Phoebe Koundouri & Nikolaos Kourogenis, 2010, "Aggregational Gaussianity And Barely Infinite Variance In Crop Prices," DEOS Working Papers, Athens University of Economics and Business, number 1001, Jan.
• Carlos Pinho & Mara Madaleno, 2010, "CO2 spot and futures price analysis for EEX and ECX," Working Papers de Economia (Economics Working Papers), Departamento de Economia, Gestão e Engenharia Industrial, Universidade de Aveiro, number 54, Dec.
• Marco Elia, 2010, "Premiums and arbitrage of Asian Exchange Traded Funds," BANCARIA, Bancaria Editrice, volume 12, pages 23-42, December.
• Alvaro Cartea & Pablo Villaplana Conde, 2007, "Spot Price Modeling and the Valuation of Electricity Forward Contracts: the Role of Demand and Capacity," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0718, Nov.
• Álvaro Cartea & Dimitrios Karyampas, 2009, "Volatility and Covariation of Financial Assets: A High-Frequency Analysis," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0913, Oct.
• Álvaro Cartea & Dimitrios Karyampas, 2009, "The Relationship Between the Volatility of Returns and the Number of Jumps in Financial Markets," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0914, Nov.
• B. Ravikumar & Enchuan Shao, 2010, "Search Frictions and Asset Price Volatility," Staff Working Papers, Bank of Canada, number 10-1, DOI: 10.34989/swp-2010-1.
• Fousseni Chabi-Yo & Jun Yang, 2010, "Idiosyncratic Coskewness and Equity Return Anomalies," Staff Working Papers, Bank of Canada, number 10-11, DOI: 10.34989/swp-2010-11.
• Jesus Sierra, 2010, "International Capital Flows and Bond Risk Premia," Staff Working Papers, Bank of Canada, number 10-14, DOI: 10.34989/swp-2010-14.
• Emanuella Enenajor & Alex Sebastian & Jonathan Witmer, 2010, "An Assessment of the Bank of Canada's Term PRA Facility," Staff Working Papers, Bank of Canada, number 10-20, DOI: 10.34989/swp-2010-20.