Research classified by Journal of Economic Literature (JEL) codes

2010

• Wei Xiong & Hongjun Yan, 2010, "Heterogeneous Expectations and Bond Markets," The Review of Financial Studies, Society for Financial Studies, volume 23, issue 4, pages 1433-1466, April.
• William A. Branch & George W. Evans, 2010, "Asset Return Dynamics and Learning," The Review of Financial Studies, Society for Financial Studies, volume 23, issue 4, pages 1651-1680, April.
• Harald Hau & Massimo Massa & Joel Peress, 2010, "Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change," The Review of Financial Studies, Society for Financial Studies, volume 23, issue 4, pages 1681-1717, April.
• Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2010, "Option Valuation with Conditional Heteroskedasticity and Nonnormality," The Review of Financial Studies, Society for Financial Studies, volume 23, issue 5, pages 2139-2183.
• Lieven Baele, 2010, "The Determinants of Stock and Bond Return Comovements," The Review of Financial Studies, Society for Financial Studies, volume 23, issue 6, pages 2374-2428, June.
• Georg Kaltenbrunner & Lars A. Lochstoer, 2010, "Long-Run Risk through Consumption Smoothing," The Review of Financial Studies, Society for Financial Studies, volume 23, issue 8, pages 3190-3224, August.
• David Hirshleifer & Danling Jiang, 2010, "A Financing-Based Misvaluation Factor and the Cross-Section of Expected Returns," The Review of Financial Studies, Society for Financial Studies, volume 23, issue 9, pages 3401-3436.
• CONSTANTIN Laura-Gabriela & CERNAT-GRUICI Bogdan & IAMANDI Irina-Eugenia, 2010, "An Analysis of the Catastrophe Bonds Market. Modelling the Volatility of an Index," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 1494-1499, May.
• Barna Flavia & Danuletiu Dan, 2010, "The Effects of Financial Crisis on the Behaviour of Investors on the Romanian Capital Market," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 26-30, October.
• Sukhomlin, Nikolay & Santana Jiménez, Lisette Josefina, 2010, "Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox = Market Calibration Problem and the Implied Structure of the Black-Cox Bond Model," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 10, issue 1, pages 73-98, December.
• Michael Magill & Martine Quinzii, 2010, "general equilibrium with incomplete markets," The New Palgrave Dictionary of Economics, Palgrave Macmillan, in: Steven N. Durlauf & Lawrence E. Blume.
• Pedro Silos, 2010, "housing wealth," The New Palgrave Dictionary of Economics, Palgrave Macmillan, in: Steven N. Durlauf & Lawrence E. Blume.
• Javier Pereda C., 2010, "Estimación de la curva de rendimiento cupón cero para el Perú y su uso para el análisis monetario," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, volume 33, issue 65, pages 103-132.
• Jules H. van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-Ramírez, 2010, "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 10-011, Mar.
• Emanuel Shachmurove & Yochanan Shachmurove, 2010, "Énvironmental Economics and Venture Capital," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 10-013, Apr.
• John Duffy, 2010, "A Dynamic General Equilibrium Approach to Asset Pricing Experiments," Working Paper, Department of Economics, University of Pittsburgh, number 398, Jun, revised Jun 2010.
• John Duffy & Sean Crockett, 2010, "An Experimental Test of the Lucas Asset Pricing Model," Working Paper, Department of Economics, University of Pittsburgh, number 504, Feb, revised May 2013.
• Ana Maria Bandeira, 2010, "Valorização de activos intangíveis resultantes de actividades de I&D," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 359, Feb.
• Ana Maria Bandeira & Óscar Afonso, 2010, "Value of intangibles arising from R&D activities," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 372, Apr.
• İmer-Ertunga, Evrim, 2010, "Küresel Mali̇ Dalgalanmalar: Geli̇şen Ülkeleri̇n Euro-Tahvi̇l Geti̇ri̇leri̇ Açisindan Bi̇r Değerlendi̇rme
  [The Effects of Global Liquidity from the point of Eurobond Returns of Some Emerging Market Countries]," MPRA Paper, University Library of Munich, Germany, number 116693.
• Todd, Prono, 2010, "Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper, University Library of Munich, Germany, number 20034, Jan.
• Alghalith, Moawia, 2010, "New methods of estimating stochastic volatility and the stock return," MPRA Paper, University Library of Munich, Germany, number 20303, Jan.
• Balakrishna, B S, 2010, "Levy Subordinator Model of Default Dependency," MPRA Paper, University Library of Munich, Germany, number 21386, Mar.
• Campbell, Gareth & Turner, John, 2010, "‘The Greatest Bubble in History’: Stock Prices during the British Railway Mania," MPRA Paper, University Library of Munich, Germany, number 21820, Mar.
• Campbell, Gareth, 2010, "Cross-Section of a ‘Bubble’: Stock Prices and Dividends during the British Railway Mania," MPRA Paper, University Library of Munich, Germany, number 21821, Mar.
• Campbell, Gareth, 2010, "Leveraging the British Railway Mania: Derivatives for the Individual Investor," MPRA Paper, University Library of Munich, Germany, number 21822, Mar.
• Guidi, Francesco & Gupta, Rakesh & Maheshwari, Suneel, 2010, "Weak-form market efficiency and calendar anomalies for Eastern Europe equity markets," MPRA Paper, University Library of Munich, Germany, number 21984.
• Li, Minqiang, 2010, "Asset Pricing - A Brief Review," MPRA Paper, University Library of Munich, Germany, number 22379.
• Balli, Faruk & Basher, Syed Abul & Ozer-Balli, Hatice, 2010, "From Home Bias to Euro Bias: Disentangling the Effects of Monetary Union on the European Financial Markets," MPRA Paper, University Library of Munich, Germany, number 22430, Apr.
• Fries, Christian P., 2010, "Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization," MPRA Paper, University Library of Munich, Germany, number 23082, May, revised 30 May 2010.
• Siddiqi, Hammad, 2010, "Coarse thinking, implied volatility, and the valuation of call and put options," MPRA Paper, University Library of Munich, Germany, number 23261, Jan.
• Onour, Ibrahim, 2010, "The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries," MPRA Paper, University Library of Munich, Germany, number 23332, Jun.
• Malhotra, Karan, 2010, "Autoregressive multifactor APT model for U.S. Equity Markets," MPRA Paper, University Library of Munich, Germany, number 23418, Apr.
• Cadogan, Godfrey, 2010, "Canonical Representation Of Option Prices and Greeks with Implications for Market Timing," MPRA Paper, University Library of Munich, Germany, number 23426, Jun.
• Nyberg, Henri, 2010, "QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles," MPRA Paper, University Library of Munich, Germany, number 23724, Apr.
• Kaizoji, Taisei, 2010, "Stock volatility in the periods of booms and stagnations," MPRA Paper, University Library of Munich, Germany, number 23727, Jun.
• Siddiqi, Hammad, 2010, "The relevance of coarse thinking for investors' willingness to pay: An experimental study," MPRA Paper, University Library of Munich, Germany, number 23924, Jul.
• Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2010, "Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation," MPRA Paper, University Library of Munich, Germany, number 24719.
• Waśniewski, Krzysztof, 2010, "Corporate strategies – the institutional approach," MPRA Paper, University Library of Munich, Germany, number 25190, Jun.
• Delis, Manthos D & Mylonidis, Nikolaos, 2010, "The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps," MPRA Paper, University Library of Munich, Germany, number 25270, Sep.
• Maryatmo, Rogatianus, 2010, "Pengaruh Jangka Pendek dan Jangka Panjang Perubahan Suku Bunga dan Kurs Rupiah Terhadap Harga Saham : Studi Empiris di Indonesia (2000:1 – 2010:4)," MPRA Paper, University Library of Munich, Germany, number 25532, Aug.
• Gavazza, Alessandro, 2010, "The role of trading frictions in real asset markets," MPRA Paper, University Library of Munich, Germany, number 25781, Jan.
• Alfaro, Rodrigo & Silva, Carmen Gloria, 2010, "Stock Index Volatility: the case of IPSA," MPRA Paper, University Library of Munich, Germany, number 25906, Mar, revised 31 Mar 2010.
• Alfaro, Rodrigo & Becerra, Juan Sebastian & Sagner, Andres, 2010, "Estimación de la estructura de tasas utilizando el modelo Dinámico Nelson Siegel: resultados para Chile y EEUU
  [The Dynamic Nelson-Siegel model: empirical results for Chile and US]," MPRA Paper, University Library of Munich, Germany, number 25912, Jun, revised 23 Jun 2010.
• Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong, 2010, "Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest," MPRA Paper, University Library of Munich, Germany, number 26277, Oct.
• Hasan, M.Emrul, 2010, "Behavioral approach to Arbitrage Pricing Theory," MPRA Paper, University Library of Munich, Germany, number 26343, Apr.
• Michailova, Julija, 2010, "Overconfidence and bubbles in experimental asset markets," MPRA Paper, University Library of Munich, Germany, number 26388.
• Rambaccussing, Dooruj, 2010, "A real-time trading rule," MPRA Paper, University Library of Munich, Germany, number 27148, Jun.
• Nicolau, Mihaela, 2010, "Financial Markets Interactions between Economic Theory and Practice," MPRA Paper, University Library of Munich, Germany, number 27322, Nov.
• Kucuk, Ugur N., 2010, "Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market," MPRA Paper, University Library of Munich, Germany, number 27428, May.
• Song, In Ho, 2010, "House Prices and Consumption," MPRA Paper, University Library of Munich, Germany, number 27481, Nov.
• Kontek, Krzysztof, 2010, "Linking Decision and Time Utilities," MPRA Paper, University Library of Munich, Germany, number 27541, Dec.
• Goyenko, Ruslan & Sarkissian, Sergei, 2010, "Flight to Liquidity and Global Equity Returns," MPRA Paper, University Library of Munich, Germany, number 27546.
• Bao, Qunfang & Li, Shenghong & Liu, Guimei, 2010, "Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing," MPRA Paper, University Library of Munich, Germany, number 27698, Aug, revised 27 Dec 2010.
• Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong, 2010, "Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest," MPRA Paper, University Library of Munich, Germany, number 28250, Oct, revised 27 Dec 2010.
• Nawar, Hashem, 2010, "Industry Concentration and the Cross-section of Stock Returns: Evidence from the UK," MPRA Paper, University Library of Munich, Germany, number 28440, Mar, revised Nov 2010.
• Lin, William & Sun, David & Tsai, Shih-Chuan, 2010, "Searching out of Trading Noise: A Study of Intraday Transactions Cost," MPRA Paper, University Library of Munich, Germany, number 28937, Jun, revised 14 Jan 2011.
• Douch, Mohamed & Bouaddi, Mohammed, 2010, "EQUITY Premium Puzzle in a Data-Rich Environment," MPRA Paper, University Library of Munich, Germany, number 29440, Dec.
• Vo, Xuan Vinh & Batten, Jonathan, 2010, "An Empirical Investigation of Liquidity and Stock Returns Relationship in Vietnam Stock Markets during Financial Crisis," MPRA Paper, University Library of Munich, Germany, number 29862, Jan, revised 10 Jan 2011.
• Vo, Xuan Vinh, 2010, "Foreign ownership in Vietnam stock markets - an empirical analysis," MPRA Paper, University Library of Munich, Germany, number 29863, Feb, revised 10 Jan 2011.
• Lof, Matthijs, 2010, "Heterogeneity in Stock Pricing: A STAR Model with Multivariate Transition Functions," MPRA Paper, University Library of Munich, Germany, number 30520, Jul.
• Kaizoji, Taisei (kaizoji@icu.ac.jp), 2010, "A behavioral model of bubbles and crashes," MPRA Paper, University Library of Munich, Germany, number 35655, Jan.
• MAKU, Olukayode E. & ATANDA, Akinwande Abdulmaliq, 2010, "Determinants of stock market performance in Nigeria: long-run analysis," MPRA Paper, University Library of Munich, Germany, number 35838.
• Salazar, Juan & Lambert, Annick, 2010, "fama and macbeth revisited: A Critique," MPRA Paper, University Library of Munich, Germany, number 35910, Dec.
• Théoret, Raymond & Racicot, François-Éric, 2010, "Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio," MPRA Paper, University Library of Munich, Germany, number 35911, Dec.
• Lerner, Peter, 2010, "Theoretical analysis of the bid-ask bounce and Related Phenomena," MPRA Paper, University Library of Munich, Germany, number 35929, Dec.
• Pascalau, Razvan & Thomann, Christian & Gregoriou, Greg N., 2010, "Unconditional mean, Volatility and the Fourier-Garch representation," MPRA Paper, University Library of Munich, Germany, number 35932, Dec.
• cole, Chip & Edwards, Jeffrey A., 2010, "Competition on MARS? A study of broker-dealer competition in the U.S. municipal auction rate securities market," MPRA Paper, University Library of Munich, Germany, number 36444.
• Stefanescu, Razvan & Dumitriu, Ramona, 2010, "Impact of the global crisis on the linkages between the interest rates and the stock prices in Romania," MPRA Paper, University Library of Munich, Germany, number 36716, Apr, revised 16 Feb 2011.
• Bejan, Camelia & Bidian, Florin, 2010, "Limited enforcement, bubbles and trading in incomplete markets," MPRA Paper, University Library of Munich, Germany, number 36819, Jun, revised 20 Feb 2012.
• Pasaribu, Rowland Bismark Fernando, 2010, "Pemilihan Model Asset Pricing
  [Asset pricing model selection: Indonesian Stock Exchange]," MPRA Paper, University Library of Munich, Germany, number 36978, Dec.
• Pasaribu, Rowland Bismark Fernando, 2010, "Anomali Overreaction di bursa efek Indonesia: Penelitian Saham LQ-45
  [Overreaction Anomaly in Indonesia Stock Exchange: Case Study of LQ-45 Stocks]," MPRA Paper, University Library of Munich, Germany, number 36998, Apr.
• Lin, William & Tsai, Shih-Chuan & Sun, David, 2010, "Search costs and investor trading activity: evidences from limit order book," MPRA Paper, University Library of Munich, Germany, number 37284, Aug, revised Aug 2011.
• Lin, William & Sun, David & Tsai, Shih-Chuan, 2010, "Does trading remove or bring frictions?," MPRA Paper, University Library of Munich, Germany, number 37285, Aug, revised Jan 2011.
• Hiremath, Gourishankar S & Bandi, Kamaiah, 2010, "Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test," MPRA Paper, University Library of Munich, Germany, number 46502.
• Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2010, "Macroeconomic Risks and Characteristic-Based Factor Models," MPRA Paper, University Library of Munich, Germany, number 47344.
• Hiremath, Gourishankar S & Bandi, Kamaiah, 2010, "Long Memory in Stock Market Volatility:Evidence from India," MPRA Paper, University Library of Munich, Germany, number 48519.
• Radkov, Petar, 2010, "The Mean Reversion Stochastic Processes Applications in Risk Management," MPRA Paper, University Library of Munich, Germany, number 60159, Jul.
• Korkmaz, Turhan & Cevik, Emrah Ismail & Birkan, Elif & Özataç, Nesrin, 2010, "Testing CAPM using Markov switching model: the case of coal firms," MPRA Paper, University Library of Munich, Germany, number 71479, revised 2010.
• Korkmaz, Turhan & Cevik, Emrah Ismail & Gurkan, Serhan, 2010, "Testing the international capital asset pricing model with Markov switching model in emerging markets," MPRA Paper, University Library of Munich, Germany, number 71481, revised 2010.
• Chadwick, Meltem, 2010, "Modelling Time-varying Bond Risk Premia for Utilities Industry," MPRA Paper, University Library of Munich, Germany, number 75840.
• Chadwick, Meltem, 2010, "Performance of Bayesian Latent Factor Models in Measuring Pricing Errors," MPRA Paper, University Library of Munich, Germany, number 79060, Dec.
• Trabelsi, Mohamed Ali, 2010, "Overreaction and Portfolio Selection Strategies in the Tunisian stock market," MPRA Paper, University Library of Munich, Germany, number 81258, revised 2010.
• Trabelsi, Mohamed Ali, 2010, "Sélection de portefeuille via la stratégie de sur-réaction
  [Portfolio selection via the overreaction strategy]," MPRA Paper, University Library of Munich, Germany, number 81472, revised 2010.
• Trabelsi, Mohamed Ali, 2010, "Choix de portefeuille: comparaison des différentes stratégies
  [Portfolio selection: comparison of different strategies]," MPRA Paper, University Library of Munich, Germany, number 82946, Dec, revised 01 Dec 2010.
• Rangan Gupta & Mampho P. Modise, 2010, "South African Stock Return Predictability in the Context of Data Mining: The Role of Financial Variables and International Stock Returns," Working Papers, University of Pretoria, Department of Economics, number 201027, Dec.
• Riona Arjoon & Mariette Botes & Laban K. Chesang & Rangan Gupta, 2010, "The Long-Run Relationship between Inflation and Real Stock Prices: Empirical Evidence from South Africa," Working Papers, University of Pretoria, Department of Economics, number 201028, Dec.
• Ali Babikir & Rangan Gupta & Chance Mwabutwa & Emmanuel Owusu-Sekyere, 2010, "Structural Breaks and GARCH Models of Stock Return Volatility: The Case of South Africa," Working Papers, University of Pretoria, Department of Economics, number 201030, Dec.
• Karel Brůna, 2010, "Monetary Policy Implementation and Liquidity Management of the Czech Banking System," European Financial and Accounting Journal, Prague University of Economics and Business, volume 2010, issue 3, pages 15-41, DOI: 10.18267/j.efaj.53.
• Martin Lux & Petr Sunega, 2010, "Udržitelnost vývoje cen bytů v České republice
  [The Sustainability of House Price Trends in the Czech Republic]," Politická ekonomie, Prague University of Economics and Business, volume 2010, issue 2, pages 225-252, DOI: 10.18267/j.polek.728.
• Patrick Bolton & Tano Santos & Jose A. Scheinkman, 2010, "Outside And Inside Liquidity," Working Papers, Princeton University, Department of Economics, Econometric Research Program., number 1395, Apr.
• Jean-Guillaume Sahuc & Julien Matheron & Patrick Fève, 2010, "La TVA sociale : bonne ou mauvaise idée ?," Économie et Prévision, Programme National Persée, volume 193, issue 2, pages 1-19, DOI: 10.3406/ecop.2010.8031.
• Franklin Allen & Elena Carletti, 2010, "La comptabilité mark-to-market en période de crise," Revue d'Économie Financière, Programme National Persée, volume 100, issue 4, pages 201-209, DOI: 10.3406/ecofi.2010.5831.
• Emmanuelle Dubocage & Valérie Revest, 2010, "Une analyse conventionnaliste du prix d’offre des start-up sur le Nouveau Marché français," Revue d'Économie Financière, Programme National Persée, volume 96, issue 1, pages 215-231, DOI: 10.3406/ecofi.2010.5386.
• Luciana Barbosa & Sónia Costa, 2010, "Determinants of the sovereign bond yield spreads in the Euro Area in the context of the economic and financial crisis," Working Papers, Banco de Portugal, Economics and Research Department, number w201022.
• Francisco Venegas Martinez & Salvador Cruz Ake, 2010, "Productos derivados sobre bienes de consumo," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., volume 6, issue 2, pages 25-54, Enero-Jun.
• Werner Kristjanpoller Rodriguez & Carolina Liberona Maturana, 2010, "Comparacion de modelos de prediccion de retornos accionarios en el Mercado Accionario Chileno: capm, fama y french y reward beta," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., volume 7, issue 1, pages 119-138, Julio - D.
• Ralf Becker & Adam Clements, 2010, "Volatility and the role of order book structure," NCER Working Paper Series, National Centre for Econometric Research, number 64, Oct.
• Francisco Palomino, 2010, "Code and data files for "Bond Risk Premiums and Optimal Monetary Policy"," Computer Codes, Review of Economic Dynamics, number 09-159, revised .
• Claudio Campanale & Rui Castro & Gian Luca Clementi, 2010, "Asset Pricing in a Production Economy with Chew-Dekel Preferences," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 13, issue 2, pages 379-402, April, DOI: 10.1016/j.red.2009.06.005.
• Eva Carceles-Poveda & Daniele Coen Pirani, 2010, "Owning Capital or Being Shareholders: An Equivalence Result with Incomplete Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 13, issue 3, pages 537-558, July, DOI: 10.1016/j.red.2009.08.001.
• Nicolae B. Garleanu & Lasse Heje Pedersen & Adam B. Ashcraft, 2010, "Two Monetary Tools: Interest-Rates and Haircuts," 2010 Meeting Papers, Society for Economic Dynamics, number 1102.
• Yuliy Sannikov & Markus K. Brunnermeier, 2010, "A Macroeconomic Model with a Financial Sector," 2010 Meeting Papers, Society for Economic Dynamics, number 1114.
• Francois Gourio, 2010, "Credit risk and Disaster risk," 2010 Meeting Papers, Society for Economic Dynamics, number 112.
• William T. Gavin & Parantap Basu, 2010, "Negative Correlation between Stock and Futures Returns: An Unexploited Hedging Opportunity?," 2010 Meeting Papers, Society for Economic Dynamics, number 1163.
• Tracy Yue Wang & David Hirshleifer & Bing Han, 2010, "Investor Overconfidence and the Forward Discount Puzzle," 2010 Meeting Papers, Society for Economic Dynamics, number 1201.
• Arvind Krishnamurhty & Zhiguo He, 2010, "Intermediary Asset Pricing," 2010 Meeting Papers, Society for Economic Dynamics, number 1327.
• Tamon Asonuma, 2010, "Serial Default and Debt Renegotiation," 2010 Meeting Papers, Society for Economic Dynamics, number 169.
• Thomas J. Sargent & George J. Hall, 2010, "Interest rate risk and other determinants of post WWII U.S. government debt/GDP dynamics," 2010 Meeting Papers, Society for Economic Dynamics, number 208.
• Hyun Song Shin & Erkko Etula & Tobias Adrian, 2010, "Risk Appetite and Exchange Rates," 2010 Meeting Papers, Society for Economic Dynamics, number 311.
• Manuel S. Santos & Miguel A. Iraola, 2010, "Long-Term Asset Price Volatility and Macroeconomic Fluctuations," 2010 Meeting Papers, Society for Economic Dynamics, number 374.
• Alessandro Gavazza, 2010, "An Empirical Equilibrium Model of a Decentralized Asset Market," 2010 Meeting Papers, Society for Economic Dynamics, number 379.
• Mark Huggett, 2010, "Human Capital Values and Returns: Bounds Implied By Earnings and Asset Returns Data," 2010 Meeting Papers, Society for Economic Dynamics, number 564.
• Neng Wang & Hui Chen & Patrick Bolton, 2010, "A unified theory of Tobin's q, corporate investment, financing, and risk management," 2010 Meeting Papers, Society for Economic Dynamics, number 609.
• Christopher Otrok & Andre Kurmann, 2010, "News Shocks and the Slope of the Term Structure of Interest Rates," 2010 Meeting Papers, Society for Economic Dynamics, number 72.
• Sydney Ludvigson & Stijn Van Nieuwerburgh & Jack Favilukis, 2010, "The Macroeconomic E¤ects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium," 2010 Meeting Papers, Society for Economic Dynamics, number 733.
• Stefania Garetto & Jose Luis Fillat, 2010, "Risk, Returns, and Multinational Production," 2010 Meeting Papers, Society for Economic Dynamics, number 777.
• Cosmin Ilut & Peter Benczur, 2010, "Evidence for Relational Contracts in Sovereign Bank Lending," 2010 Meeting Papers, Society for Economic Dynamics, number 91.
• Cristina Del Río & Rafael Santamaría, 2010, "Dinámica Del Volumen, Información Y Estructura De Propiedad," Revista de Economia Aplicada, Universidad de Zaragoza, Departamento de Estructura Economica y Economia Publica, volume 18, issue 1, pages 121-149, Spring.
• Natividad Blasco De Las Heras & Sandra Ferreruela Garcés & Pilar Corredor Casado, 2010, "Una Explicación Del Efecto Herding Desde El Mercado De Derivados," Revista de Economia Aplicada, Universidad de Zaragoza, Departamento de Estructura Economica y Economia Publica, volume 18, issue 3, pages 161-196, Winter.
• Paola Brighi & Stefano d'Addona & Antonio Carlo Francesco Della Bina, 2010, "Too Small or too Low? New Evidence on the 4-Factor Model," Working Paper series, Rimini Centre for Economic Analysis, number 31_10, Jan.
• Michael McAleer & Marcelo Cunha Medeiros, 2010, "Forecasting Realized Volatility with Linear and Nonlinear Models," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 568, Mar.
• Brad Humphreys, 2010, "Prices, Point Spreads and Profits: Evidence from the National Football League," Working Papers, University of Alberta, Department of Economics, number 2010-05, Feb.
• Brad Humphreys & Rodney Paul & Andrew Weinbach, 2010, "Consumption Benefits and Gambling: Evidence From the NCAA Basketball Betting Market," Working Papers, University of Alberta, Department of Economics, number 2010-07, Mar.
• Olfa Maalaoui Chun & Georges Dionne & Pascal François, 2010, "Credit spread changes within switching regimes," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 09-1, Oct.
• Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2010, "A reduced form model of default spreads with Markov-switching macroeconomic factors," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 10-6, Nov.
• Chae-Shick Chung, 2010, "The Role and Magnitude of Order Flows in Seoul Foreign Market," East Asian Economic Review, Korea Institute for International Economic Policy, volume 14, issue 1, pages 237-260, DOI: 10.11644/KIEP.JEAI.2010.14.1.214.
• A. Mansur M. Masih & Vicky Ryan, 2010, "An Analysis of the Dynamic Linkages between the Cash Rate and the Government Yield Curve: A Case Study - Un’analisi della relazione dinamica tra cash rate e curva dei rendimenti dei titoli pubblici: s," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 63, issue 3, pages 329-359.
• Rien Wagenvoort & Sanne Zwart, 2010, "Uncovering the Common Risk Free Rate in the European Monetary Union," Economic and Financial Reports, European Investment Bank, Economics Department, number 2010/5, Sep.
• Joachim Lang & Reinhard Madlener, 2010, "Relevance of Risk Capital and Margining for the Valuation of Power Plants: Cash Requirements for Credit Risk Mitigation," FCN Working Papers, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN), number 1/2010, Feb.
• Enno Bellmann & Joachim Lang & Reinhard Madlener, 2010, "Cost Evaluation of Credit Risk Securitization in the Electricity Industry: Credit Default Acceptance vs. Margining Costs," FCN Working Papers, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN), number 13/2010, Sep.
• Hans Blommestein, 2010, "Risk Management after the Great Crash," Journal of Financial Transformation, Capco Institute, volume 28, pages 1-19.
• Jerome Stein, 2010, "A critique of Alan Greenspan’s retrospective on the crisis," Journal of Financial Transformation, Capco Institute, volume 30, pages 9-21.
• Sinisa Bogdan & Suzana Baresa & Sasa Ivanovic, 2010, "Portfolio Analysis Based On The Example Of Zagreb Stock Exchange," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, volume 1, issue 1, pages 39-52.
• Su, Chi Wei & Chang, Hsu Ling, 2010, "Asymmetric Adjustment in the Lending-Deposit Rate Spread: Evidence from Eastern European Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 165-175, July.
• Cristian PAUN & Stefan UNGUREANU, 2010, "Managerial Approach of International Initial Public Offerings Valuation," REVISTA DE MANAGEMENT COMPARAT INTERNATIONAL/REVIEW OF INTERNATIONAL COMPARATIVE MANAGEMENT, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 11, issue 5, pages 905-915, December.
• Mahdi SALEHI & Saeid Jabarzadeh KANGARLOUEI, 2010, "An Investigation of the Effect of Audit Quality on Accrual Reliability of Listed Companies on Tehran Stock Exchange," REVISTA DE MANAGEMENT COMPARAT INTERNATIONAL/REVIEW OF INTERNATIONAL COMPARATIVE MANAGEMENT, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 11, issue 5, pages 940-960, December.
• Karl E. Case & John Cotter & Stuart A. Gabriel, 2010, "Housing risk and return : evidence from a housing asset-pricing model," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/2562, May.
• Maurice J. Roche & Michael J. Moore, 2010, "For Rich or for Poor: When does Uncovered Interest Parity Hold?," Working Papers, Toronto Metropolitan University, Department of Economics, number 015, May.
• Justin Visagie & Ivan Turok, 2026, "Agglomeration and firm-level productivity in African cities," ERSA Working Paper Series, Economic Research Southern Africa, number 198, May.
• Mieczyslaw Kowerski, 2010, "The Analysis of an Investment Risk Within Emerging Capital Markets. The Case of the Warsaw Stock Exchange," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 6, issue 4, pages 1-23, December.
• Wiktor Cwynar, 2010, "INDEKS QUASI-BETA: WYKORZYSTANIE WIELOWYMIAROWEJ ANALIZY PORoWNAWCZEJ DO WYZNACZANIA INDEKSU RYZYKA INWESTYCJI W AKCJE NA GPW W WARSZAWIE," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 6, issue special, pages 1-14, December.
• Wiktor Patena, 2010, "ZASTOSOWANIE TECHNIK ITERACYJNYCH W WYCENIE PRZEDSIeBIORSTWA – WYCENA EMCINSMED S.A," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 6, issue special, pages 15-27, December.
• Ryan Bartens & Shakill Hassan, 2010, "Value, size and momentum portfolios in real time: the cross section of South African stocks," Australian Journal of Management, Australian School of Business, volume 35, issue 2, pages 181-202, August, DOI: 10.1177/0312896210370081.
• Jayadev M. & Joshy Jacob, 2010, "Default Risk Characteristics of Poll-Based Bond Spreads," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 9, issue 1, pages 51-70, April, DOI: 10.1177/097265271000900103.
• Jianhua Zhang & Clas Wihlborg, 2010, "CAPM in Up and Down Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 9, issue 2, pages 229-255, August, DOI: 10.1177/097265271000900205.
• Chokri Mamoghli & Sami Daboussi, 2010, "Capital Asset Pricing Models and Performance Measures in the Downside Risk Framework," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 9, issue 2, pages 95-130, August, DOI: 10.1177/097265271000900201.
• Mohamed Abdelaziz Eissa & Georgios Chortareas & Andrea Cipollini, 2010, "Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 9, issue 3, pages 257-284, December, DOI: 10.1177/097265271000900301.
• David Vines, 2010, "The Global Macroeconomic Crisis and G20 Macroeconomic Policy Coordination," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, volume 4, issue 2, pages 157-175, May, DOI: 10.1177/097380101000400202.
• Claudio Raddatz & Sergio Schmukler, 2010, "Pension Funds And Capital Market Development: How Much Bang For The Buck?," Working Papers, Superintendencia de Pensiones, number 38, Feb, revised Feb 2010.
• Mathias Hoffmann & Rahel Suter, 2010, "The Swiss Franc Exchange Rate and Deviations from Uncovered Interest Parity: Global vs Domestic Factors," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 146, issue 1, pages 349-371, March.
• Kevin Ross & Tommaso Mancini Griffoli, 2010, "Discussion: The Swiss Franc Exchange Rate and Deviations from Uncovered Interest Parity: Global vs Domestic Factors," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 146, issue 1, pages 373-384, March.
• Schröder, Thomas & Dunbar, Kwamie, 2010, "Effectively Hedging the Interest Rate Risk of Wide Floating Rate Coupon Spreads," Working Papers, Sacred Heart University, John F. Welch College of Business, number 2010001, Mar.
• Tore Selland Kleppe & Jun Yu & Hans J. Skaug, 2010, "Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time," Working Papers, Singapore Management University, School of Economics, number 13-2010, Jan.
• Qiankun Zhou & Jun Yu, 2010, "Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes," Working Papers, Singapore Management University, School of Economics, number 20-2010, Jan.
• Loriano Mancini & Angelo Ranaldo & Jan Wrampelmeyer, 2010, "Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums," Working Papers, Swiss National Bank, number 2010-03.
• Ariane Szafarz, 2010, "Financial Crises in Efficient Markets: How Fundamentalists Fuel Volatility," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 10-052, Nov.
• Don BREDIN & Cal MUCKLEY, 2010, "Is There a Stochastic Trend in European Union Emission Trading Scheme Prices?," Sosyoekonomi Journal, Sosyoekonomi Society, issue 2010-EN.
• Amengual, Dante & Sentana, Enrique, 2010, "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, volume 154, issue 1, pages 16-34, January.
• Todorov, Viktor & Bollerslev, Tim, 2010, "Jumps and betas: A new framework for disentangling and estimating systematic risks," Journal of Econometrics, Elsevier, volume 157, issue 2, pages 220-235, August.
• Bikbov, Ruslan & Chernov, Mikhail, 2010, "No-arbitrage macroeconomic determinants of the yield curve," Journal of Econometrics, Elsevier, volume 159, issue 1, pages 166-182, November.
• Magni, Carlo Alberto, 2010, "Residual income and value creation: An investigation into the lost-capital paradigm," European Journal of Operational Research, Elsevier, volume 201, issue 2, pages 505-519, March.
• Jahan-Parvar, Mohammad R. & Waters, George A., 2010, "Equity price bubbles in the Middle Eastern and North African Financial markets," Emerging Markets Review, Elsevier, volume 11, issue 1, pages 39-48, March.
• Anderson, Keith & Brooks, Chris & Katsaris, Apostolos, 2010, "Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector?," Journal of Empirical Finance, Elsevier, volume 17, issue 3, pages 345-361, June.
• Cheng, Ai-Ru & Jahan-Parvar, Mohammad R. & Rothman, Philip, 2010, "An empirical investigation of stock market behavior in the Middle East and North Africa," Journal of Empirical Finance, Elsevier, volume 17, issue 3, pages 413-427, June.
• Engsted, Tom & Pedersen, Thomas Q., 2010, "The dividend-price ratio does predict dividend growth: International evidence," Journal of Empirical Finance, Elsevier, volume 17, issue 4, pages 585-605, September.
• Fornari, Fabio, 2010, "Assessing the compensation for volatility risk implicit in interest rate derivatives," Journal of Empirical Finance, Elsevier, volume 17, issue 4, pages 722-743, September.
• Bekaert, Geert & Engstrom, Eric & Grenadier, Steven R., 2010, "Stock and bond returns with Moody Investors," Journal of Empirical Finance, Elsevier, volume 17, issue 5, pages 867-894, December.
• Cifarelli, Giulio & Paladino, Giovanna, 2010, "Oil price dynamics and speculation: A multivariate financial approach," Energy Economics, Elsevier, volume 32, issue 2, pages 363-372, March.
• Cotter, John & Hanly, Jim, 2010, "Time-varying risk aversion: An application to energy hedging," Energy Economics, Elsevier, volume 32, issue 2, pages 432-441, March.
• Lean, Hooi Hooi & McAleer, Michael & Wong, Wing-Keung, 2010, "Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach," Energy Economics, Elsevier, volume 32, issue 5, pages 979-986, September.
• Ferland, René & Gauthier, Geneviève & Lalancette, Simon, 2010, "A regime-switching term structure model with observable state variables," Finance Research Letters, Elsevier, volume 7, issue 2, pages 103-109, June.
• Menkhoff, Lukas & Schmeling, Maik, 2010, "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, volume 13, issue 1, pages 101-128, February.
• Ozsoylev, Han N. & Takayama, Shino, 2010, "Price, trade size, and information revelation in multi-period securities markets," Journal of Financial Markets, Elsevier, volume 13, issue 1, pages 49-76, February.
• Pavlova, Anna & Rigobon, Roberto, 2010, "An asset-pricing view of external adjustment," Journal of International Economics, Elsevier, volume 80, issue 1, pages 144-156, January.
• Alquist, Ron, 2010, "How important is liquidity risk for sovereign bond risk premia? Evidence from the London stock exchange," Journal of International Economics, Elsevier, volume 82, issue 2, pages 219-229, November.
• Gregoriou, Andros & Kontonikas, Alexandros, 2010, "The long-run relationship between stock prices and goods prices: New evidence from panel cointegration," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 20, issue 2, pages 166-176, April.
• 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.
• Michail Anthropelos & Gordan Žitković, 2010, "Partial equilibria with convex capital requirements: existence, uniqueness and stability," Annals of Finance, Springer, volume 6, issue 1, pages 107-135, January, DOI: 10.1007/s10436-009-0134-x.
• Christophe Chamley, 2010, "Strategic complementarity of information in financial markets with large shocks," Annals of Finance, Springer, volume 6, issue 1, pages 137-145, January, DOI: 10.1007/s10436-009-0130-1.
• Paolo Guasoni & Miklós Rásonyi & Walter Schachermayer, 2010, "The fundamental theorem of asset pricing for continuous processes under small transaction costs," Annals of Finance, Springer, volume 6, issue 2, pages 157-191, March, DOI: 10.1007/s10436-008-0110-x.
• Marianna Brunetti & Costanza Torricelli, 2010, "Demographics and asset returns: does the dynamics of population ageing matter?," Annals of Finance, Springer, volume 6, issue 2, pages 193-219, March, DOI: 10.1007/s10436-008-0114-6.
• Jan Wenzelburger, 2010, "The two-fund separation theorem revisited," Annals of Finance, Springer, volume 6, issue 2, pages 221-239, March, DOI: 10.1007/s10436-009-0144-8.
• José Fajardo, 2010, "Behavioral arbitrage with collateral and uncertain deliveries," Annals of Finance, Springer, volume 6, issue 2, pages 241-254, March, DOI: 10.1007/s10436-009-0135-9.
• Shino Takayama, 2010, "A dynamic strategy of the informed trader with market manipulation," Annals of Finance, Springer, volume 6, issue 2, pages 287-294, March, DOI: 10.1007/s10436-009-0140-z.
• Kim Sawyer & André Gygax & Matthew Hazledine, 2010, "Pricing errors and estimates of risk premia in factor models," Annals of Finance, Springer, volume 6, issue 3, pages 391-403, July, DOI: 10.1007/s10436-008-0116-4.
• Andreas Reschreiter, 2010, "Indexed bonds and revisions of inflation expectations," Annals of Finance, Springer, volume 6, issue 4, pages 537-554, October, DOI: 10.1007/s10436-010-0148-4.
• Guglielmo Caporale & Mario Cerrato, 2010, "Using Chebyshev Polynomials to Approximate Partial Differential Equations," Computational Economics, Springer;Society for Computational Economics, volume 35, issue 3, pages 235-244, March, DOI: 10.1007/s10614-009-9172-8.