Research classified by Journal of Economic Literature (JEL) codes

2008

• Isaac Ehrlich & William A. Hamlen Jr. & Yong Yin, 2008, "Asset Management, Human Capital, and the Market for Risky Assets," NBER Working Papers, National Bureau of Economic Research, Inc, number 14340, Sep.
• Dongmei Li & Lu Zhang, 2008, "Costly External Finance: Implications for Capital Markets Anomalies," NBER Working Papers, National Bureau of Economic Research, Inc, number 14342, Sep.
• Rajnish Mehra & Facundo Piguillem & Edward C. Prescott, 2008, "Costly Financial Intermediation in Neoclassical Growth Theory," NBER Working Papers, National Bureau of Economic Research, Inc, number 14351, Sep.
• Zhiguo He & Arvind Krishnamurthy, 2008, "A Model of Capital and Crises," NBER Working Papers, National Bureau of Economic Research, Inc, number 14366, Sep.
• Jessica Wachter, 2008, "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," NBER Working Papers, National Bureau of Economic Research, Inc, number 14386, Oct.
• Anthony W. Lynch & Jessica A. Wachter, 2008, "Using Samples of Unequal Length in Generalized Method of Moments Estimation," NBER Working Papers, National Bureau of Economic Research, Inc, number 14411, Oct.
• Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2008, "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," NBER Working Papers, National Bureau of Economic Research, Inc, number 14424, Oct.
• Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross, 2008, "The True Cost of Social Security," NBER Working Papers, National Bureau of Economic Research, Inc, number 14427, Oct.
• Nicholas C. Barberis & Wei Xiong, 2008, "Realization Utility," NBER Working Papers, National Bureau of Economic Research, Inc, number 14440, Oct.
• Jens H.E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2008, "An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 14463, Nov.
• Amir E. Khandani & Andrew W. Lo, 2008, "What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 14465, Nov.
• Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008, "Carry Trades and Currency Crashes," NBER Working Papers, National Bureau of Economic Research, Inc, number 14473, Nov.
• Andrew Ang & Vineer Bhansali & Yuhang Xing, 2008, "Taxes on Tax-Exempt Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 14496, Nov.
• Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2008, "Price Momentum In Stocks: Insights From Victorian Age Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 14500, Nov.
• Thomas J. Brennan & Andrew W. Lo, 2008, "Impossible Frontiers," NBER Working Papers, National Bureau of Economic Research, Inc, number 14525, Dec.
• George M. Constantinides & Anisha Ghosh, 2008, "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers, National Bureau of Economic Research, Inc, number 14543, Dec.
• George M. Constantinides & Jens Carsten Jackwerth & Stylianos Perrakis, 2008, "Mispricing of S&P 500 Index Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 14544, Dec.
• Zhi Da & Pengjie Gao & Ravi Jagannathan, 2008, "Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 14609, Dec.
• Bernard Dumas & Andrew Lyasoff, 2008, "Incomplete-Market Equilibria Solved Recursively on an Event Tree," NBER Working Papers, National Bureau of Economic Research, Inc, number 14629, Dec.
• Kurt Dew, 2008, "The Definition of Bank and the Subprime Mortgage Crisis: Tying Bank Regulation to Banks’ Risk-Return Trade-offs in the 21st Century," NFI Working Papers, Indiana State University, Scott College of Business, Networks Financial Institute, number 2007-WP-17B, Feb.
• Ping Zhang, 2008, "Uniform Price Auctions and Fixed Price Offerings in IPOs: An Experimental Comparison," Discussion Papers, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham, number 2008-05, Apr.
• Clive G. Bowsher & Roland Meeks, 2008, "The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2008-W05, 04.
• H. Bertholon & A. Monfort & F. Pegoraro, 2008, "Econometric Asset Pricing Modelling," Journal of Financial Econometrics, Oxford University Press, volume 6, issue 4, pages 407-458, Fall.
• Anna Pavlova & Roberto Rigobon, 2008, "The Role of Portfolio Constraints in the International Propagation of Shocks," The Review of Economic Studies, Review of Economic Studies Ltd, volume 75, issue 4, pages 1215-1256.
• William N. Goetzmann & Alok Kumar, 2008, "Equity Portfolio Diversification," Review of Finance, European Finance Association, volume 12, issue 3, pages 433-463.
• Daniel J. Bradley & Bradford D. Jordan & Jay R. Ritter, 2008, "Analyst Behavior Following IPOs: The 'Bubble Period' Evidence," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 1, pages 101-133, January.
• Markus K. Brunnermeier & Christian Julliard, 2008, "Money Illusion and Housing Frenzies," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 1, pages 135-180, January.
• Francisco Gomes & Alexander Michaelides, 2008, "Asset Pricing with Limited Risk Sharing and Heterogeneous Agents," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 1, pages 415-448, January.
• Murillo Campello & Long Chen & Lu Zhang, 2008, "Expected returns, yield spreads, and asset pricing tests," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 3, pages 1297-1338, May.
• Ivo Welch & Amit Goyal, 2008, "A Comprehensive Look at The Empirical Performance of Equity Premium Prediction," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 4, pages 1455-1508, July.
• Martin Lettau & Stijn Van Nieuwerburgh, 2008, "Reconciling the Return Predictability Evidence," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 4, pages 1607-1652, July.
• Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2008, "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 4, pages 1653-1687, July.
• K.J. Martijn Cremers & Joost Driessen & Pascal Maenhout, 2008, "Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 5, pages 2209-2242, September.
• Raphael A. Espinoza & Dimitrios P. Tsomocos, 2008, "Liquidity and Asset Prices," Economics Series Working Papers, University of Oxford, Department of Economics, number 2008fe28, Jul.
• Neil Shephard & Ole E. Barndorff-Nielsen & University of Aarhus, 2001, "Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models," Economics Series Working Papers, University of Oxford, Department of Economics, number 71, Jul.
• Stephanie E. Lang & Klaus Röder, 2008, "Die Kosten des Indextrackings — Eine Fallstudie über den Exchange Traded Fund DAX®EX," Schmalenbach Journal of Business Research, Springer, volume 60, issue 3, pages 298-321, May, DOI: 10.1007/BF03372796.
• Yue-Kuen Kwok, 2008, "Mathematical Models of Financial Derivatives," Springer Finance, Springer, number 978-3-540-68688-0, edition 2, ISBN: ARRAY(0x990304e0), October, DOI: 10.1007/978-3-540-68688-0.
• Quan Gan & Robert J. Hill, 2008, "A New Perspective on the Relationship Between House Prices and Income," Discussion Papers, School of Economics, The University of New South Wales, number 2008-13, Aug.
• N. K. Nomikos & O. Soldatos, 2008, "Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, volume 15, issue 1, pages 41-71, DOI: 10.1080/13504860701427362.
• E. Papageorgiou & R. Sircar, 2008, "Multiscale Intensity Models for Single Name Credit Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, volume 15, issue 1, pages 73-105, DOI: 10.1080/13504860701352222.
• B. Peeters & C. L. Dert & A. Lucas, 2008, "Hedging Large Portfolios of Options in Discrete Time," Applied Mathematical Finance, Taylor & Francis Journals, volume 15, issue 3, pages 251-275, DOI: 10.1080/13504860701718471.
• Sascha Mergner & Jan Bulla, 2008, "Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques," The European Journal of Finance, Taylor & Francis Journals, volume 14, issue 8, pages 771-802, DOI: 10.1080/13518470802173396.
• Wolfgang Lemke & Theofanis Archontakis, 2008, "Bond pricing when the short-term interest rate follows a threshold process," Quantitative Finance, Taylor & Francis Journals, volume 8, issue 8, pages 811-822, DOI: 10.1080/14697680701691451.
• Marc Jeannin & Giulia Iori & David Samuel, 2008, "Modeling stock pinning," Quantitative Finance, Taylor & Francis Journals, volume 8, issue 8, pages 823-831, DOI: 10.1080/14697680701881763.
• Stavros Degiannakis & Evdokia Xekalaki, 2008, "SPEC model selection algorithm for ARCH models: an options pricing evaluation framework," Applied Financial Economics Letters, Taylor & Francis Journals, volume 4, issue 6, pages 419-423, DOI: 10.1080/17446540701765258.
• John C. Frain, 2008, "Maximum Likelihood Estimates of Regression Coefficients with alpha-stable residuals and Day of Week effects in Total Returns on Equity Indices," Trinity Economics Papers, Trinity College Dublin, Department of Economics, number tep0108, May, revised May 2008.
• Lorenzo Pozzi & Guido Wolswijk, 2008, "Have Euro Area Government Bond Risk Premia Converged To Their Common State?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-042/2, Apr, revised 07 Sep 2009.
• Cars Hommes & Florian Wagener, 2008, "Complex Evolutionary Systems in Behavioral Finance," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-054/1, May.
• Joep Sonnemans & Jan Tuinstra, 2008, "Positive Expectations Feedback Experiments and Number Guessing Games as Models of Financial Markets," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-076/1, Aug.
• Renneboog, L.D.R. & Spaenjers, C., 2008, "The Dutch Grey Market," Discussion Paper, Tilburg University, Center for Economic Research, number 2008-88.
• Palomino, F.A. & Renneboog, L.D.R. & Zhang, C., 2008, "Information Salience, Investor Sentiment, and Stock Returns : The Case of British Soccer Betting," Discussion Paper, Tilburg University, Center for Economic Research, number 2008-99.
• Renneboog, L.D.R. & Spaenjers, C., 2008, "The Dutch Grey Market," Other publications TiSEM, Tilburg University, School of Economics and Management, number 77991d9e-e897-4d2f-8f26-a.
• Palomino, F.A. & Renneboog, L.D.R. & Zhang, C., 2008, "Information Salience, Investor Sentiment, and Stock Returns : The Case of British Soccer Betting," Other publications TiSEM, Tilburg University, School of Economics and Management, number 91f34e3c-7702-4ab3-bf1d-7.
• Chun Liu & John M Maheu, 2008, "Forecasting Realized Volatility: A Bayesian Model Averaging Approach," Working Papers, University of Toronto, Department of Economics, number tecipa-313, Apr.
• Eduardo Levy Yeyati & Sergio L. Schmukler & Neeltje Van Horen, 2008, "Emerging Market Liquidity and Crises," Journal of the European Economic Association, MIT Press, volume 6, issue 2-3, pages 668-682, 04-05.
• Dirk Krueger & Hanno Lustig & Fabrizio Perri, 2008, "Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data," Journal of the European Economic Association, MIT Press, volume 6, issue 2-3, pages 715-726, 04-05.
• Giulio Bottazzi & Giovanna Devetag & Francesca Pancotto, 2008, "Does Volatility matter? Expectations of price return and variability in an asset pricing experiment," CEEL Working Papers, Cognitive and Experimental Economics Laboratory, Department of Economics, University of Trento, Italia, number 0801.
• Roberto Casarin & Loriana Pelizzon & Andrea Piva, 2008, "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers, University of Brescia, Department of Economics, number 0817.
• Isaac Ehrlich & William A. Hamlen Jr. & Yong Yin, 2008, "Asset Management, Human Capital, and the Market for Risky Assets," Journal of Human Capital, University of Chicago Press, volume 2, issue 3, pages 217-262, DOI: 10.1086/593051.
• Nicholas Apergis & Stephen M. Miller, 2008, "Do Structural Oil-Market Shocks Affect Stock Prices?," Working papers, University of Connecticut, Department of Economics, number 2008-51, Jul.
• John Driffill & Turalay Kenc & Martin Sola & Fabio Spagnolo, 2008, "On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2008-04, Apr.
• Marie Briere & Ariane Szafarz, 2008, "Crisis-Robust Bond Portfolios," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/14150.
• Mark Hallerberg & Guntram Wolff, 2008, "Fiscal institutions, fiscal policy and sovereign risk premia in EMU," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/386957, Sep.
• Kerstin Bernoth & Guntram Wolff, 2008, "Fool The Markets? Creative Accounting, Fiscal Transparency And Sovereign Risk Premia," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/386959, Sep.
• Roger Best, 2008, "Employee Satisfaction, Firm Value and Firm Productivity," Working Papers, University of Central Missouri, Department of Economics & Finance, number 0806, May, revised May 2008.
• F. Javier De Peña & Carlos Forner-Rodríguez & Germán López-Espinosa, 2008, "Fundamentals and the origin of Fama-French factors," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 04/08, May.
• Dimitrios Thomakos & Michail Koubouros, 2008, "The Role of Realized Volatility in the Athens Stock Exchange," Working Papers, University of Peloponnese, Department of Economics, number 0020.
• Elisa Alòs & Jorge A. León & Monique Pontier & Josep Vives, 2008, "A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1081, Apr.
• Francisco Peñaranda & Enrique Sentana, 2008, "Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1101, Jun, revised Sep 2010.
• Joachim Voth & Thomas Ferguson, 2008, "Betting on Hitler: The value of political connections in Nazi Germany," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1183, Feb.
• Manfred Gärtner, 2008, "Predicting the Presidential Election Cycle in US Stock Prices: Guinea Pigs versus the Pros," University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen, number 2008-06, Mar.
• Paul Söderlind, 2008, "Why Disagreement May Not Matter (much) for Asset Prices," University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen, number 2008-11, May.
• Guido VENIER, 2008, "A New Model For Stock Price Movements," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 3, issue 3(5)_Fall, pages 329-350.
• Ron Bird & Lorenzo Casavecchia & Paul Woolley, 2008, "Insights into the Market Impact of Different Investment Styles," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 1, May.
• Eckhard Platen & Hardy Hulley, 2008, "Hedging for the Long Run," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 214, Feb.
• Gerald H.L. Cheang & Carl Chiarella, 2008, "Hedge Portfolios in Markets with Price Discontinuities," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 218, Mar.
• Xue-Zhong He & Lei Shi, 2008, "Heterogeneity, Bounded Rationality and Market Dysfunctionality," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 233, Oct.
• Gerald H. L. Cheang & Carl Chiarella, 2008, "Exchange Options Under Jump-Diffusion Dynamics," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 235, Oct.
• Benjamin Eden, 2008, "Substitution, Risk Aversion and Asset Prices: An Expected Utility Approach," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0803, Jan.
• Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008, "Crisis and Hedge Fund Risk," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2008_10.
• Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008, "Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2008_11.
• Loriana Pelizzon & Roberto Casarin & Andrea Piva, 2008, "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2008_12.
• Manfred Nermuth, 2008, "The Structure of Equilibrium in an Asset Market with Variable Supply," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0804, Jun.
• Sergiy Gerasymchuk, 2008, "Asset return and wealth dynamics with reference dependent preferences and heterogeneous beliefs," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 160, Jan.
• Cathy Ning & Tony S. Wirjanto, 2008, "Extreme Return-Volume Dependence in East-Asian Stock Markets: A Copula Approach," Working Papers, University of Waterloo, Department of Economics, number 08009, Dec.
• Raddatz, Claudio & Schmukler, Sergio L., 2008, "Pension Funds And Capital Market Development:How Much Bang For The Buck?," Policy Research Working Paper Series, The World Bank, number 4787, Dec.
• Marco Angrisani & Antonio Guarino & Steffen Huck & Nathan Larson, 2008, "No-Trade in the Laboratory," WEF Working Papers, ESRC World Economy and Finance Research Programme, Birkbeck, University of London, number 0045, Sep.
• John Y. Campbell, 2008, "Viewpoint: Estimating the equity premium," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 41, issue 1, pages 1-21, February, DOI: 10.1111/j.1365-2966.2008.00453.x.
• Glenn D. Rudebusch & Tao Wu, 2008, "A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy," Economic Journal, Royal Economic Society, volume 118, issue 530, pages 906-926, July, DOI: 10.1111/j.1468-0297.2008.02155.x.
• Alexander Melnikov & Yuliya Romanyuk, 2008, "Efficient Hedging And Pricing Of Equity-Linked Life Insurance Contracts On Several Risky Assets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 11, issue 03, pages 295-323, DOI: 10.1142/S0219024908004816.
• Bing Cheng & Howell Tong, 2008, "Asset Pricing:A Structural Theory and Its Applications," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6341, ISBN: ARRAY(0x63780b20), March.
• Suleyman Basak & Hongjun Yan, 2008, "Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion," Yale School of Management Working Papers, Yale School of Management, number amz2402, Oct, revised 01 Aug 2009.
• Martijn Cremers & Antti Petajisto & Eric Zitzewitz, 2008, "Should Benchmark Indices Have Alpha? Revisiting Performance," Yale School of Management Working Papers, Yale School of Management, number amz2452, Mar, revised 26 Jan 2010.
• Monica Billio & Mila Getmansky & Loriana Pelizzon, 2008, "Crises and Hedge Fund Risk," Yale School of Management Working Papers, Yale School of Management, number amz2561, May, revised 01 Oct 2009.
• Fochmann, Martin & Rumpf, Dominik, 2008, "Modellierung von Aktienanlagen bei laufenden Umschichtungen und einer Besteuerung von Veräußerungsgewinnen," arqus Discussion Papers in Quantitative Tax Research, arqus - Arbeitskreis Quantitative Steuerlehre, number 59.
• Fedorova, Elena & Vaihekoski, Mika, 2008, "Global and local sources of risk in Eastern European emerging stock markets," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 27/2008.
• Marzo, Massimiliano & Romagnoli, Silvia & Zagaglia, Paolo, 2008, "A continuous-time model of the term structure of interest rates with fiscal-monetary policy interactions," Bank of Finland Research Discussion Papers, Bank of Finland, number 25/2008.
• Spargoli, Fabrizio & Zagaglia, Paolo, 2008, "The co-movements along the forward curve of natural gas futures: a structural view," Bank of Finland Research Discussion Papers, Bank of Finland, number 26/2008.
• Schulze, Klaas, 2008, "Asymptotic Maturity Behavior of the Term Structure," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 11/2008.
• Schulz, Alexander & Wolff, Guntram B., 2008, "The German sub-national government bond market: evolution, yields and liquidity," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2008,06.
• Jank, Stephan & Wedow, Michael, 2008, "Sturm und Drang in money market funds: when money market funds cease to be narrow," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2008,20.
• Memmel, Christoph, 2008, "Which interest rate scenario is the worst one for a bank? Evidence from a tracking bank approach for German savings and cooperative banks," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2008,07.
• Tang, Dragon Yongjun & Yan, Hong, 2008, "Market conditions, default risk and credit spreads," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2008,08.
• Zhu, Haibin & Tarashev, Nikola A., 2008, "The pricing of correlated default risk: evidence from the credit derivatives market," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2008,09.
• Scheicher, Martin & Raunig, Burkhard, 2008, "A value at risk analysis of credit default swaps," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2008,12.
• Lux, Thomas, 2008, "Stochastic behavioral asset pricing models and the stylized facts," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2008-08.
• Franke, Reiner, 2008, "On the Interpretation of Price Adjustments and Demand in Asset Pricing Models with Mean-Variance Optimization," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2008-13.
• Franke, Reiner, 2008, "Artificial Long Memory Effects in Two Agend-Based Asset Pricing Models," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2008-15.
• Liu, Ruipeng & Di Matteo, Tiziana & Lux, Thomas, 2008, "Multifractality and long-range dependence of asset returns: The scaling behaviour of the Markov-switching multifractal model with lognormal volatility components," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2008-09.
• Rapp, Marc Steffen & Schwetzler, Bernhard, 2008, "Equilibrium security prices with capital income taxes and an exogenous interest rate," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2008-08.
• Stange, Sebastian & Kaserer, Christoph, 2008, "Why and how to integrate liquidity risk into a VaR-framework," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2008-10.
• Blonski, Matthias & von Lilienfeld-Toal, Ulf, 2008, "Excess returns and the distinguished player paradox," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 78.
• Cespa, Giovanni & Foucault, Thierry, 2008, "Insiders-outsiders, transparency and the value of the ticker," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/39.
• Field, Jonathan & Large, Jeremy, 2008, "Pro-rata matching and one-tick futures markets," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/40.
• Ben-Rephael, Azi & Kadan, Ohad & Wohl, Avi, 2008, "The diminishing liquidity premium," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/52.
• Düring, Bertram, 2008, "Asset pricing under information with stochastic volatility," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 08/04.
• Weber, Andreas & Wystup, Uwe, 2008, "Riesterrente im Vergleich: Eine Simulationsstudie zur Verteilung der Renditen," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 12.
• Weber, Andreas & Wystup, Uwe, 2008, "Vergleich von Anlagestrategien bei Riesterrenten ohne Berücksichtigung von Gebühren: Eine Simulationsstudie zur Verteilung der Renditen," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 13.
• Hakala, Jürgen & Wystup, Uwe, 2008, "FX basket options," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 14.
• Packham, Natalie & Schmidt, Wolfgang M., 2008, "Latin hypercube sampling with dependence and applications in finance," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 15.
• Wystup, Uwe, 2008, "Foreign exchange symmetries," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 9.
• Küster Simic, André & Thönnessen, Rasmus, 2008, "Geschlossene Schifffonds - Portfolio- und Marktrisiken. Eine empirische Untersuchung anhand von Zweitmarktkursdaten," Working Paper Series, Hamburg School of Business Administration (HSBA), number 03/2008.
• Küster Simic, André & Prigge, Stefan & Thönnessen, Rasmus, 2008, "Informationseffizienz von Handelsplattformen für Schiffsfonds," Working Paper Series, Hamburg School of Business Administration (HSBA), number 04/2008.
• Küster Simic, André & von Duesterlho, Jens-Eric & Endert, Volker, 2008, "Bewertung von Schiffsfonds: Brücke zwischen Theorie und Praxis," Working Paper Series, Hamburg School of Business Administration (HSBA), number 05/2008.
• Mendes, Rui Vilela & Oliveira, Maria J., 2008, "A Data-Reconstructed Fractional Volatility Model," Economics Discussion Papers, Kiel Institute for the World Economy, number 2008-22.
• Orlowski, Lucjan T., 2008, "Stages of the 2007/2008 Global Financial Crisis Is There a Wandering Asset-Price Bubble?," Economics Discussion Papers, Kiel Institute for the World Economy, number 2008-43.
• Lux, Thomas, 2008, "Applications of statistical physics in finance and economics," Kiel Working Papers, Kiel Institute for the World Economy, number 1425.
• Lux, Thomas, 2008, "Stochastic behavioral asset pricing models and the stylized facts," Kiel Working Papers, Kiel Institute for the World Economy, number 1426.
• Liu, Ruipeng & Di Matteo, Tiziana & Lux, Thomas, 2008, "Multifractality and long-range dependence of asset returns: The scaling behaviour of the Markov-switching multifractal model with lognormal volatility components," Kiel Working Papers, Kiel Institute for the World Economy, number 1427.
• Irle, Albrecht & Prelle, Claas, 2008, "A note on arbitrage under transaction costs," Kiel Working Papers, Kiel Institute for the World Economy, number 1450.
• Lux, Thomas, 2008, "Sentiment dynamics and stock returns: the case of the German stock market," Kiel Working Papers, Kiel Institute for the World Economy, number 1470.
• Golubev, Yuri & Härdle, Wolfgang Karl & Timofeev, Roman, 2008, "Testing monotonicity of pricing Kernels," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-001.
• Härdle, Wolfgang Karl & Mungo, Julius, 2008, "Value-at-risk and expected shortfall when there is long range dependence," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-006.
• Andriyashin, Anton & Härdle, Wolfgang Karl & Timofeev, Roman, 2008, "Recursive portfolio selection with decision trees," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-009.
• Andriyashin, Anton, 2008, "Stock picking via nonsymmetrically pruned binary decision trees," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-035.
• Schmeling, Maik & Schrimpf, Andreas, 2008, "Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-036.
• Giacomini, Enzo & Härdle, Wolfgang Karl & Krätschmer, Volker, 2008, "Dynamic semiparametric factor models in risk neutral density estimation," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-038.
• Härdle, Wolfgang Karl & Myšičková, Alena, 2008, "Numerics of implied binomial trees," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-044.
• Hautsch, Nikolaus & Ou, Yangguoyi, 2008, "Discrete-time stochastic volatility models and MCMC-based statistical inference," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-063.
• Becker, Franziska & Gürtler, Marc, 2008, "Quantitative forecast model for the application of the Black-Litterman approach," Working Papers, Technische Universität Braunschweig, Institute of Finance, number IF27V2.
• Schosser, Josef, 2008, "Bewertung ohne "Kapitalkosten": Ein arbitragetheoretischer Ansatz zu Unternehmenswert, Kapitalstruktur und persönlicher Besteuerung," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe, University of Passau, Faculty of Business and Economics, number 13.
• Oberndorfer, Ulrich, 2008, "Returns and Volatility of Eurozone Energy Stocks," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 08-017.
• Schrimpf, Andreas, 2008, "International Stock Return Predictability Under Model Uncertainty," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 08-048.
• Oberndorfer, Ulrich, 2008, "EU Emission Allowances and the Stock Market: Evidence from the Electricity Industry," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 08-059.
• John A Carlson & Christian M. Dahl & Carol L. Osler, 2008, "Short-run Exchange-Rate Dynamics: Theory and Evidence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-01, Jan.
• Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang, 2008, "Option Valuation with Long-run and Short-run Volatility Components," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-11, Feb.
• Tom Engsted & Stig V. Møller, 2008, "An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-12, Feb.
• Jie Zhu, 2008, "Pricing Volatility of Stock Returns with Volatile and Persistent Components," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-14, Mar.
• Jie Zhu, 2008, "Testing for Expected Return and Market Price of Risk in Chinese A-B Share Market: A Geometric Brownian Motion and Multivariate GARCH Model Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-15, Mar.
• Almut Veraart, 2008, "Inference for the jump part of quadratic variation of Itô semimartingales," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-17, Mar.
• Tom Engsted & Thomas Q. Pedersen, 2008, "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-27, May.
• Stig Vinther Møller, 2008, "Consumption growth and time-varying expected stock returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-40, Sep.
• Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias, 2008, "Semiparametric Inference in a GARCH-in-Mean Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-46, Sep.
• Charlotte Christiansen, 2008, "Mean Reversion in US and International Short Rates," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-47, Sep.
• Tim Bollerslev & Tzuo Hao & George Tauchen, 2008, "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-48, Sep.
• Almut E. D. Veraart, 2008, "Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-57, Nov.
• Thomas Q. Pedersen, 2008, "Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-60, Dec.
• Robert J. Barro & Jose F. Ursua, 2008, "Consumption Disasters in the Twentieth Century," American Economic Review, American Economic Association, volume 98, issue 2, pages 58-63, May, DOI: 10.1257/aer.98.2.58.
• Xavier Gabaix, 2008, "Variable Rare Disasters: A Tractable Theory of Ten Puzzles in Macro-finance," American Economic Review, American Economic Association, volume 98, issue 2, pages 64-67, May, DOI: 10.1257/aer.98.2.64.
• Francois Gourio, 2008, "Disasters and Recoveries," American Economic Review, American Economic Association, volume 98, issue 2, pages 68-73, May, DOI: 10.1257/aer.98.2.68.
• Ian W. R. Martin, 2008, "Disasters and the Welfare Cost of Uncertainty," American Economic Review, American Economic Association, volume 98, issue 2, pages 74-78, May, DOI: 10.1257/aer.98.2.74.
• John Geanakoplos & Ana Fostel, 2008, "Leverage Cycles and the Anxious Economy," American Economic Review, American Economic Association, volume 98, issue 4, pages 1211-1244, September, DOI: 10.1257/aer.98.4.1211.
• Nicholas Barberis & Ming Huang, 2008, "Stocks as Lotteries: The Implications of Probability Weighting for Security Prices," American Economic Review, American Economic Association, volume 98, issue 5, pages 2066-2100, December, DOI: 10.1257/aer.98.5.2066.
• Calin Valsan & Robert Sproule, 2008, "Reservation Prices And Pre-Auction Estimates: A Study In Abstract Art," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, volume 10, issue 24, pages 257-272, June.
• Wang, Honglin & Reardon, Thomas, 2008, "Social Learning and Parameter Uncertainty in Irreversible Investment----Evidence from Greenhouse Adoption in Northern China," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 6310, DOI: 10.22004/ag.econ.6310.
• Jovanovic, Boyan, 2008, "Bubbles In Prices Of Exhaustible Resources," Working Papers, American Association of Wine Economists, number 45830, Nov, DOI: 10.22004/ag.econ.45830.
• Power, Gabriel J. & Turvey, Calum G., 2008, "On Term Structure Models of Commodity Futures Prices and the Kaldor-Working Hypothesis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, number 37608, DOI: 10.22004/ag.econ.37608.
• Milne, Frank & Madan, Dilip, 2008, "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273634, Jul, DOI: 10.22004/ag.econ.273634.
• Milne, Frank & Madan, Dilip, 2008, "Option Pricing With V. G. Martingale Components," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273635, Oct, DOI: 10.22004/ag.econ.273635.
• Belhocine, Nazim, 2008, "The Stock of Intangible Capital in Canada: Evidence from the Aggregate Value of Securities," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273702, Sep, DOI: 10.22004/ag.econ.273702.
• Fendel, Ralf, 2008, "A Joint Characterization of German Monetary Policy and the Dynamics of the German Term Structure of Interest Rates," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 4, issue 01-2, pages 1-19, DOI: 10.22004/ag.econ.50005.
• Babecky, Jan & Komarek, Lubos & Komarkova, Zlatuse, 2008, "Financial Integration of Stock Markets among New EU Member States and the Euro Area," Economic Research Papers, University of Warwick - Department of Economics, number 269847, DOI: 10.22004/ag.econ.269847.
• Adina Elena DaNULETIU & Dan Constantin DANULETIU, 2008, "Assessing Financial Equilibrium of the Romanian Companies Traded at Bucharest Stock Exchange," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 36, pages 272-277, May.
• David BONNER, 2008, "Can oil reach $200 a barrel?," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 8, pages 132-137, December.
• Igor Goncharov & Allan Hodgson, 2008, "Comprehensive Income In Europe: Valuation, Prediction And Conservative Issues," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 10, pages 1-1.
• Zaiane Salma & Abaoub Ezzeddine, 2008, "Overconfidence And Trading Volume: Evidence From An Emergent Market," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 10, pages 1-41.
• Hommes, C.H. & Wagener, F.O.O., 2008, "Complex evolutionary systems in behavioral finance," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 08-05.
• Sonnemans, J. & Tuinstra, J., 2008, "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 08-07.
• Michel Alexandre & Ciro Biderman & Gilberto Tadeu Lima, 2008, "Distribuição Regional do Crédito Bancário e Convergência no Crescimento Estadual Brasileiro," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 9, issue 3, pages 457-490.
• Rafael Barros de Rezende, 2008, "Giving flexibility to the Nelso-Siegel class of term structure models," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 200807211322560.
• Franz Fuerst & Gianluca Marcato, 2008, "Style Analysis In Real Estate Markets: Beyond The Sectors And Regions Dichotomy," ERES, European Real Estate Society (ERES), number eres2008_146, Jan.
• Albert Marcet & Klaus Adam & Juan Pablo Nicolini, 2008, "Stock Market Volatility and Learning," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 732.08, Jan.