Research classified by Journal of Economic Literature (JEL) codes

2009

• Jahan-Parvar, Mohammad & Waters, George, 2009, "Equity Price Bubbles in the Middle Eastern and North African Financial Markets," MPRA Paper, University Library of Munich, Germany, number 17859, Oct.
• Maku, Olukayode E. & Atanda, Akinwande A., 2009, "Does Macroeconomic Indicators exert shock on the Nigerian Capital Market?," MPRA Paper, University Library of Munich, Germany, number 17917, Sep.
• Dewachter, Hans & Iania, Leonardo, 2009, "An Extended Macro-Finance Model with Financial Factors," MPRA Paper, University Library of Munich, Germany, number 18840, Oct.
• Gonzalez-Astudillo, Manuel, 2009, "An Equilibrium Model of the Term Structure of Interest Rates: Recursive Preferences at Play," MPRA Paper, University Library of Munich, Germany, number 19153, Dec.
• Moawia, Alghalith, 2009, "Optimal option pricing and trading: a new theory," MPRA Paper, University Library of Munich, Germany, number 19317, Dec.
• Moawia, Alghalith, 2009, "A new stopping time and American option model: a solution to the free-boundary problem," MPRA Paper, University Library of Munich, Germany, number 19318, Dec.
• Bennani, Norddine & Maetz, Jerome, 2009, "A Spot Stochastic Recovery Extension of the Gaussian Copula," MPRA Paper, University Library of Munich, Germany, number 19736, Jul.
• John, Tatom, 2009, "U.S. Monetary Policy and Stock Prices: Should the Fed Attempt to Control Stock Prices?," MPRA Paper, University Library of Munich, Germany, number 19762, Dec.
• Todd, Prono, 2009, "Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique," MPRA Paper, University Library of Munich, Germany, number 20031, Sep.
• Cadogan, Godfrey, 2009, "On behavioral Arrow Pratt risk process with applications to risk pricing, stochastic cash flows, and risk control," MPRA Paper, University Library of Munich, Germany, number 20174, Dec.
• Lin, William & Tsai, Shih-Chuan & Sun, David, 2009, "What Causes Herding:Information Cascade or Search Cost ?," MPRA Paper, University Library of Munich, Germany, number 20217, Feb, revised 23 Jan 2010.
• Varga, Gyorgy, 2009, "Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil
  [Test of Term Structure Models for Brazil]," MPRA Paper, University Library of Munich, Germany, number 20832.
• Mapa, Dennis S. & Suaiso, Oliver Q., 2009, "Measuring market risk using extreme value theory," MPRA Paper, University Library of Munich, Germany, number 21246, Dec.
• Siddiqi, Hammad, 2009, "Coarse Thinking and Pricing a Financial Option," MPRA Paper, University Library of Munich, Germany, number 21749, Dec.
• Hanif, M. Nadim & Sheikh, Salman, 2009, "Central banking and monetary management in islamic financial environment," MPRA Paper, University Library of Munich, Germany, number 22907, Nov, revised 25 May 2010.
• García de la Vega, Victor Manuel & Ruiz-Porras, Antonio, 2009, "Modelos estocásticos para el precio spot y del futuro de commodities con alta volatilidad y reversión a la media
  [Stochastic models for the spot and future prices of commodities with high volatility and mean reversion]," MPRA Paper, University Library of Munich, Germany, number 23177, Oct.
• Cosemans, M. & Frehen, R.G.P. & Schotman, P.C. & Bauer, R.M.M.J., 2009, "Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice," MPRA Paper, University Library of Munich, Germany, number 23557, Jun.
• Rubio, Gonzalo & Lozano, Martin, 2009, "Evaluating alternative methods for testing asset pricing models with historical data," MPRA Paper, University Library of Munich, Germany, number 23613, Sep.
• Moawia, Alghalith, 2009, "Optimal option pricing and trading: a new theory," MPRA Paper, University Library of Munich, Germany, number 25619, Dec.
• Mapa, Dennis S. & Cayton, Peter Julian & Lising, Mary Therese, 2009, "Estimating Value-at-Risk (VaR) using TiVEx-POT Models," MPRA Paper, University Library of Munich, Germany, number 25772, Dec.
• Rambaccussing, Dooruj, 2009, "Exploiting price misalignements," MPRA Paper, University Library of Munich, Germany, number 27147, Sep.
• Cifarelli, Giulio & Paladino, Giovanna, 2009, "Oil and portfolio risk diversification," MPRA Paper, University Library of Munich, Germany, number 28293, Dec, revised Nov 2010.
• Erdemlioglu, Deniz, 2009, "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper, University Library of Munich, Germany, number 28895.
• Puah, Chin-Hong & Tan, Lay-Phin & Md Isa, Abu Hassan, 2009, "Nexus between Oil Price and Stock Performance of Power Industry in Malaysia," MPRA Paper, University Library of Munich, Germany, number 31757, Dec.
• Rosenthal, Dale W.R., 2009, "Performance metrics for algorithmic traders," MPRA Paper, University Library of Munich, Germany, number 36787, Jun, revised 04 Jan 2012.
• Pasaribu, Rowland Bismark Fernando, 2009, "Koreksi Bias Koefisien Beta
  [Non-Synchronous Trading In Indonesia Stock Exchange]," MPRA Paper, University Library of Munich, Germany, number 36981, Jul.
• Pasaribu, Rowland Bismark Fernando, 2009, "Kinerja Pasar dan Informasi Akuntansi sebagai Pembentuk Portfolio Saham
  [Market Performance and Accounting Information as the Reference of Stocks Portfolio Formation in Indonesia Stock Exchange]," MPRA Paper, University Library of Munich, Germany, number 36982, Nov.
• Javid, Attiya Yasmin, 2009, "Test of Higher Moment Capital Asset Pricing Model in Case of Pakistani Equity Market," MPRA Paper, University Library of Munich, Germany, number 38059.
• Pasaribu, Rowland Bismark Fernando, 2009, "Koreksi Bias Koefisien Beta
  [Non-Synchronous Trading In Indonesia Stock Exchange]," MPRA Paper, University Library of Munich, Germany, number 39874, Jul.
• Hiremath, Gourishankar S & Bandi, Kamaiah, 2009, "On the random walk characteristics of stock returns in India," MPRA Paper, University Library of Munich, Germany, number 46499.
• Hiremath, Gourishankar S, 2009, "Effects of Option Introduction on Price and Volatility of Underlying Assets - A Review," MPRA Paper, University Library of Munich, Germany, number 46512.
• Hung, Mao-Wei & So, Leh-Chyan, 2009, "New insights into India’s single stock futures markets," MPRA Paper, University Library of Munich, Germany, number 52491.
• Anginer, Deniz & Yildizhan, Celim, 2009, "Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns," MPRA Paper, University Library of Munich, Germany, number 53885, Sep, revised 23 Apr 2013.
• Wahyudi, Imam & Robbi, Abdu, 2009, "Exploring Determinant Factors of Bond Trading with Inventory Management Theory (Case Study of Indonesian Capital Market, January – March 2009)," MPRA Paper, University Library of Munich, Germany, number 59883, Aug, revised 16 Jul 2010.
• Giovanis, Eleftherios, 2009, "Calendar Effects and Seasonality on Returns and Volatility," MPRA Paper, University Library of Munich, Germany, number 64404.
• Ganchev, Alexander, 2009, "Modeling the yield curve of spot interest rates under the conditions in Bulgaria," MPRA Paper, University Library of Munich, Germany, number 70048, Sep.
• Jaramba, Toddy & Fadiran, Gideon, 2009, "Analysis of Volatility transmission across South African Financial Markets," MPRA Paper, University Library of Munich, Germany, number 77592, Oct, revised 16 Mar 2017.
• Trabelsi, Mohamed Ali, 2009, "Sur-réaction sur le marché tunisien des actions : une investigation empirique
  [Overreaction on the Tunisian stock market: an empirical test]," MPRA Paper, University Library of Munich, Germany, number 80441, revised 2009.
• CHIKHI, Mohamed, 2009, "Identification non paramétrique d’un processus non linéaire hétéroscédastique
  [Nonparametric identification of heteroscedastic nonlinear process]," MPRA Paper, University Library of Munich, Germany, number 82108, revised 2009.
• Camilleri, Silvio John & Green, Christopher, 2009, "The impact of the suspension of opening and closing call auctions: Evidence from the National Stock Exchange of India," MPRA Paper, University Library of Munich, Germany, number 85069, Jan.
• Nakashima, Kiyotaka & Saito, Makoto, 2009, "Credit Spreads on Corporate Bonds and the Macroeconomy in Japan," MPRA Paper, University Library of Munich, Germany, number 89089, Apr.
• Camilleri, Silvio John & Green, Christopher J., 2009, "The impact of the suspension of opening and closing call auctions: Evidence from the National Stock Exchange of India," MPRA Paper, University Library of Munich, Germany, number 95300.
• Miloš Mařík, 2009, "Some Essential Notes on Estimation of Multidimensional Business Values for Decision-making about Purchase and Sale
  [Několik zásadních poznámek k odhadům vícedimensionálních hodnot podniku pro rozhodování o koupi a prodeji]," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2009, issue 1, pages 72-76, DOI: 10.18267/j.cfuc.21.
• David S. Lee & Alexandre Mas, 2009, "Long-Run Impacts of Unions on Firms: New Evidence from Financial Markets, 1961-1999," Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies., number 1136, Jan.
• Burton G. Malkiel & Derek Jun, 2009, "The Value Effect and the Market For Chinese Stocks," Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies., number 1177, Jul.
• Jaroslav Borovicka & Lars Peter Hansen & Mark Hendricks & Jose A. Scheinkman, 2009, "Risk Price Dynamics," Working Papers, Princeton University, Department of Economics, Econometric Research Program., number 1393, Nov.
• Patrick Bolton & Tano Santos & Jose A. Scheinkman, 2009, "Monetary Policy, Liquidity, and Financial Crises: Market and Public Liquidity," Working Papers, Princeton University, Department of Economics, Econometric Research Program., number 1394, Oct.
• Denis Duverne & Amélie Oudea-Castera, 2009, "Que signifient les variations du dollar pour un grand acteur multinational ?," Revue d'Économie Financière, Programme National Persée, volume 94, issue 1, pages 117-133, DOI: 10.3406/ecofi.2009.5295.
• Umberto Triacca, 2009, "Volatility Persistence and Predictability of Squared Returns in GARCH(1,1) Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 1, issue 3, pages 285-291, November.
• Szymon Grabowski, 2009, "The Financial Indicators Leading Real Economic Activity - the Case of Poland," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 1, issue 4, pages 311-332, December.
• Lourdes Trevino, 2009, "Diversified returns, aggregate wealth and varying market risk premium: testing the CAPM with data for Mexico," 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 1, pages 127-136, Julio - D.
• Ruijun Bu & Ludovic Giet & Kaddour Hadri & Michel Lubrano, 2009, "Modelling Multivariate Interest Rates using Time-Varying Copulas and Reducible Non-Linear Stochastic Differential," Economics Working Papers, Queen's Management School, Queen's University Belfast, number 09-02.
• María de Lourdes Cárcamo Solís & María del Pilar Ester Arroyo López, 2009, "La Crisis Hipotecaria De Estados Unidos Y Sus Repercusiones En México," Economia y Sociedad., Universidad Michoacana de San Nicolas de Hidalgo, Facultad de Economia, issue 24, pages 93-104, Julio-Dic.
• Pereda, Javier, 2009, "Estimación de la curva de rendimiento cupón cero para el Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 17, pages 113-145.
• Chris Brooks & Xiafei Li & Joelle Miffre, 2009, "Time Varying Volatility and the Cross-Section of Equity Returns Â," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2009-01, Mar.
• Xiafei Li & Chris Brooks & Joelle Miffre, 2009, "Transaction Costs, Trading Volume and Momentum Strategies," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2009-04, May.
• Keith Anderson & Chris Brooks & Sotiris Tsolacos, 2009, "Testing for periodically collapsing rational speculative bubbles in US REITs," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2009-11, Sep.
• Franz Fuerst & Gianluca Marcato, 2009, "Style Analysis in Real Estate Markets: Beyond the Sectors and Regions Dichotomy," Real Estate & Planning Working Papers, Henley Business School, University of Reading, number rep-wp2009-01.
• Neil Crosby & Colin Lizieri & Patrick McAllister, 2009, "Means, Motive and Opportunity? Disentangling Client Influence on Performance Measurement Appraisals," Real Estate & Planning Working Papers, Henley Business School, University of Reading, number rep-wp2009-09.
• Claudio Campanale & Rui Castro & Gian Luca Clementi, 2009, "Code and data files for "Asset Pricing in a Production Economy with Chew-Dekel Preferences"," Computer Codes, Review of Economic Dynamics, number 07-51, revised .
• Eva Carceles-Poveda & Daniele Coen Pirani, 2009, "Code and data files for "Owning Capital or being Shareholders: an equivalence result with Incomplete Markets"," Computer Codes, Review of Economic Dynamics, number 08-124, revised .
• Eva Carceles-Poveda, 2009, "Asset Prices and Business Cycles under Market Incompleteness," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 12, issue 3, pages 405-422, July, DOI: 10.1016/j.red.2008.07.004.
• Martin Lettau & Sydney Ludvigson, 2009, "Euler Equation Errors," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 12, issue 2, pages 255-283, April, DOI: 10.1016/j.red.2008.11.004.
• Francois Gourio, 2009, "Disaster risk and business cycles," 2009 Meeting Papers, Society for Economic Dynamics, number 1176.
• Stavros Panageas & Leonid Kogan & Nicolae Garleanu, 2009, "The Demographics of Innovation and Asset Returns," 2009 Meeting Papers, Society for Economic Dynamics, number 140.
• Stephen Ross & Mark Westerfield & Jiang Wang & Leonid Kogan, 2009, "Market Selection," 2009 Meeting Papers, Society for Economic Dynamics, number 274.
• Mikhail Chernov & Ruslan Bikbov, 2009, "Monetary Policy Regimes and the Term Structure of Interest Rates," 2009 Meeting Papers, Society for Economic Dynamics, number 334.
• Vladimir Yankov & Egon Zakrajsek & Simon Gilchrist, 2009, "Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets," 2009 Meeting Papers, Society for Economic Dynamics, number 514.
• Arvind Krishnamurthy & Zhiguo He, 2009, "A Model of Capital and Crises," 2009 Meeting Papers, Society for Economic Dynamics, number 85.
• Bruno Strulovici & Darrell Duffie, 2009, "Capital Mobility and Asset Pricing," 2009 Meeting Papers, Society for Economic Dynamics, number 87.
• Pierre-Olivier Weill & Bruno Biais, 2009, "Liquidity shocks and order book dynamics," 2009 Meeting Papers, Society for Economic Dynamics, number 89.
• Nikola Gradojevic & Ramazan Gencay & Dragan Kukolj, 2009, "Option Pricing with Modular Neural Networks," Working Paper series, Rimini Centre for Economic Analysis, number 32_09, Jan.
• André Ventura & Marcio Gomes Pinto Garcia, 2009, "Mercados futuro e à vista de câmbio no Brasil: O rabo balança o cachorro," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 563, Nov.
• Donghyun Park & Qin Xiao, 2009, "Housing Prices and the Role of Speculation: The Case of Seoul," ADB Economics Working Paper Series, Asian Development Bank, number 146, Jan.
• Valentina Galvani & Vladimir Troitsky, 2009, "Options and Efficiency in Spaces of Bounded Claims," Working Papers, University of Alberta, Department of Economics, number 2009-04, Jan.
• Georges Dionne, 2009, "Structured finance, risk management, and the recent financial crisis," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 09-6, Oct.
• Sang Hoon Kang & Seong-Min Yoon, 2009, "Modeling and Forecasting the Volatility of Eastern European Emerging Markets," East Asian Economic Review, Korea Institute for International Economic Policy, volume 13, issue 1, pages 113-132, DOI: 10.11644/KIEP.JEAI.2009.13.1.198.
• Min (Kevin) Zhao, 2009, "Short Sale Constraints and Stock Misvaluation: Daily Evidence on the Nasdaq," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 62, issue 4, pages 505-530.
• Rien Wagenvoort & André Ebner & Magdalena Morgese Borys, 2009, "EFR 2009-01 A factor analysis approach to measuring European loan and bond market integration," Economic and Financial Reports, European Investment Bank, Economics Department, number 2009/1, Nov.
• Martin Shmalz & Masayuki Fujita & Oliver Sawodny, 2009, "Directed Gossip Algorithms, Consensus Problems, and Stability Effects of Noise Trading," European Journal of Economic and Social Systems, Lavoisier, volume 22, issue 1, pages 43-61.
• Mauro Politi & Enrico Scalas, 2009, "From Renewal Theory to High-Frequency Finance," European Journal of Economic and Social Systems, Lavoisier, volume 22, issue 1, pages 83-98.
• Amalia Di Iorio, 2009, "Testing the Integration of the US and Chinese Stock Markets in a Fama-French Framework," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 24, pages 435-454.
• Sarat Dhal, 2009, "Global Crisis and the Integration of India’s Stock Market," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 24, pages 778-805.
• Kevin Lansing, 2009, "Speculative Bubbles and Overreaction to Technological Innovation," Journal of Financial Transformation, Capco Institute, volume 26, pages 51-54.
• Shahin Shojai & George Feiger, 2009, "Economists’ hubris – the case of asset pricing," Journal of Financial Transformation, Capco Institute, volume 27, pages 9-13.
• Pablo Fernandez, 2009, "The equity premium in 150 textbooks," Journal of Financial Transformation, Capco Institute, volume 27, pages 14-18.
• Bernd Schmid & Rudi Zagst & Stefan Antes & Fayssal El Moufatich, 2009, "Modeling and pricing of credit derivatives using macroeconomic information," Journal of Financial Transformation, Capco Institute, volume 26, pages 60-68.
• Zaizhi Wang, 2009, "Effective parameters for stochastic volatility models," Journal of Financial Transformation, Capco Institute, volume 26, pages 108-115.
• Kuntara Pukthuanthong, 2009, "Who benefits from market integration? A comparative study of Yankee IPOs from high and low integrated markets," Journal of Financial Transformation, Capco Institute, volume 26, pages 116-130.
• Vasile, Emilia & Armeanu, Dan, 2009, "Empirical Study On The Performances Of Black-Scholes Model For Evaluating European Options," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 6, issue 1, pages 48-62, March.
• Andreea ZAMFIR, 2009, "The promotion of renewable energy sources: European experiences and steps forward," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 12, issue 1, pages 152-167, June.
• Mihai BOTEZATU, 2009, "Comparable investment capital," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 12, issue 1, pages 180-192, June.
• BOTEZATU Mihai, 2009, "Capital investments in options contracts and straddle contracts," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 12, issue 2 Special, pages 12-18, July.
• Shishir MATHUR, 2009, "Financing Community Facilities: A Case Study Of The Parks And Recreational General Obligation Bond Measure Of San Jose, California," Theoretical and Empirical Researches in Urban Management, Research Centre in Public Administration and Public Services, Bucharest, Romania, volume 4, issue 2(11), pages 34-49, May.
• Donal Bredin & Cal Muckley, 2009, "An analysis of the EU Emission Trading Scheme," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/2568.
• John Cotter & Jim Hanly, 2009, "Hedging : scaling and the investor horizon," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/2597, Aug.
• John Cotter & Jim Hanly, 2009, "Time varying risk aversion : an application to energy hedging," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/2599, Aug.
• O. De Jonghe, 2009, "Back to the Basics in Banking? A Micro-Analysis of Banking System Stability," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 09/579, Apr.
• Maurice J. Roche & Michael J. Moore, 2009, "Solving Exchange Rate Puzzles with neither Sticky Prices nor Trade Costs," Working Papers, Toronto Metropolitan University, Department of Economics, number 001, Oct.
• Cathy Ning & Stephen Sapp, 2009, "Segmentation across International Equity, Bond, and Foreign Exchange Markets," Working Papers, Toronto Metropolitan University, Department of Economics, number 010, Nov.
• Muazu Ibrahim & Paul Alagidede, 2018, "Nonlinearities in Financial Development–Economic Growth Nexus: Evidence from sub–Saharan Africa (SSA)," ERSA Working Paper Series, Economic Research Southern Africa, number 154, Aug.
• Andrew van Biljon & Shakill Hassan, 2009, "The Equity Premium and Risk-Free Rate Puzzles in a Turbulent Economy: Evidence from 105 Years of Data from South Africa," ERSA Working Paper Series, Economic Research Southern Africa, number 156, Nov.
• Inwon Jang & David Kim, 2009, "The Dynamics of the Credit Spread and Monetary Policy," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 8, issue 2, pages 109-131, May, DOI: 10.1177/097265270900800202.
• Kapil Gupta & Balwinder Singh, 2009, "Information Memory and Pricing Efficiency of Futures Contracts," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 8, issue 2, pages 191-250, May, DOI: 10.1177/097265270900800205.
• Deepak Jadhav & T.V. Ramanathan & U.V. Naik-Nimbalkar, 2009, "Modified Estimators of the Expected Shortfall," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 8, issue 2, pages 87-107, May, DOI: 10.1177/097265270900800201.
• Parantap Basu & Max Gillman & Joseph Pearlman, 2009, "Inflation, Human Capital and Tobin's q," CDMA Conference Paper Series, Centre for Dynamic Macroeconomic Analysis, number 0904, May.
• Alessandro Beber & Marco Pagano, 2009, "Short-Selling Bans around the World: Evidence from the 2007-09 Crisis," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 241, May, revised 03 Sep 2011.
• Manuel Ammann & Michael Steiner, 2009, "The Performance of Actively and Passively Managed Swiss Equity Funds," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 145, issue I, pages 1-36, March.
• Anand Bansal & J.S. Pasricha, 2009, "Foreign Institutional Investor'S Impact On Stock Prices In India," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 1, issue 2 (Octobe, pages 174-182.
• Peter C. B. Phillips & Jun Yu, 2009, "Dating the Timeline of Financial Bubbles During the Subprime Crisis," Working Papers, Singapore Management University, School of Economics, number 18-2009, Nov.
• Tore Selland KLEPPE & Jun YU & Hans J. SKAUG, 2009, "Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models," Working Papers, Singapore Management University, School of Economics, number 20-2009, Jun.
• Peter C.B.Phillips & Jun Yu, 2009, "Dating the Timeline of Financial Bubbles During the Subprime Crisis," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-07-2009, Apr.
• Tore Selland Kleppe & Hans J. Skaug & Jun Yu, 2009, "Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-09-2009, Jun.
• James Cooley, 2009, "Stock Market Returns and Partisan Political Business Cycles," Departmental Working Papers, Southern Methodist University, Department of Economics, number 0902, Apr.
• Christian Hott, 2009, "Explaining House Price Fluctuations," Working Papers, Swiss National Bank, number 2009-05.
• Christian Hott, 2009, "Banks and Real Estate Prices," Working Papers, Swiss National Bank, number 2009-08.
• Thomas Hemmelgarn & Gaëtan Nicodème, 2009, "Tax Co-ordination in Europe: Assessing the First Years of the EU-Savings Taxation Directive," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 09-023.RS.
• Marie Briere & Ombretta Signori, 2009, "Inflation-hedging portfolios in Different Regimes," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 09-047.RS.
• Ariane Szafarz, 2009, "How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 09-048.RS.
• Brad R. Humphreys & Yang Seung Lee, 2009, "Franchise Values in North American Professional Sports Leagues: Evidence from a Repeat Sales Method," Working Papers, International Association of Sports Economists;North American Association of Sports Economists, number 0914, Nov.
• Enzo Giacomini & Wolfgang Härdle & Volker Krätschmer, 2009, "Dynamic semiparametric factor models in risk neutral density estimation," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 93, issue 4, pages 387-402, December, DOI: 10.1007/s10182-009-0115-4.
• Enzo Giacomini & Michael Handel & Wolfgang K. Härdle, 2009, "Time Dependent Relative Risk Aversion," Contributions to Economics, Springer, in: Georg Bol & Svetlozar T. Rachev & Reinhold Würth, "Risk Assessment", DOI: 10.1007/978-3-7908-2050-8_3.
• Roberto Monte & Barbara Trivellato, 2009, "An equilibrium model of insider trading in continuous time," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 32, issue 2, pages 83-128, November, DOI: 10.1007/s10203-009-0093-8.
• Luis Muga & Rafael Santamaría, 2009, "Momentum, market states and investor behavior," Empirical Economics, Springer, volume 37, issue 1, pages 105-130, September, DOI: 10.1007/s00181-008-0225-y.
• Alexander Schied & Torsten Schöneborn, 2009, "Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets," Finance and Stochastics, Springer, volume 13, issue 2, pages 181-204, April, DOI: 10.1007/s00780-008-0082-8.
• J. Anderluh & J. Weide, 2009, "Double-sided Parisian option pricing," Finance and Stochastics, Springer, volume 13, issue 2, pages 205-238, April, DOI: 10.1007/s00780-009-0090-3.
• Rainer Avikainen, 2009, "On irregular functionals of SDEs and the Euler scheme," Finance and Stochastics, Springer, volume 13, issue 3, pages 381-401, September, DOI: 10.1007/s00780-009-0099-7.
• Mariko Ninomiya & Syoiti Ninomiya, 2009, "A new higher-order weak approximation scheme for stochastic differential equations and the Runge–Kutta method," Finance and Stochastics, Springer, volume 13, issue 3, pages 415-443, September, DOI: 10.1007/s00780-009-0101-4.
• Oleg Kudryavtsev & Sergei Levendorskiǐ, 2009, "Fast and accurate pricing of barrier options under Lévy processes," Finance and Stochastics, Springer, volume 13, issue 4, pages 531-562, September, DOI: 10.1007/s00780-009-0103-2.
• Xi Chen & Robert Kohn, 2011, "Asset price bubbles from heterogeneous beliefs about mean reversion rates," Finance and Stochastics, Springer, volume 15, issue 2, pages 221-241, June, DOI: 10.1007/s00780-010-0124-x.
• Paolo Guasoni & Emmanuel Lépinette & Miklós Rásonyi, 2012, "The fundamental theorem of asset pricing under transaction costs," Finance and Stochastics, Springer, volume 16, issue 4, pages 741-777, October, DOI: 10.1007/s00780-012-0185-0.
• Carole Bernard & Zhenyu Cui & Martin Forde & Antoine Jacquier & Don McLeish & Aleksandar Mijatović, 2013, "Correction note for ‘The large-maturity smile for the Heston model’," Finance and Stochastics, Springer, volume 17, issue 1, pages 223-224, January, DOI: 10.1007/s00780-012-0197-9.
• Damien Lamberton & Mohammed Mikou, 2013, "Exercise boundary of the American put near maturity in an exponential Lévy model," Finance and Stochastics, Springer, volume 17, issue 2, pages 355-394, April, DOI: 10.1007/s00780-012-0194-z.
• Jocelyne Bion-Nadal & Giulia Nunno, 2013, "Dynamic no-good-deal pricing measures and extension theorems for linear operators on L ∞," Finance and Stochastics, Springer, volume 17, issue 3, pages 587-613, July, DOI: 10.1007/s00780-012-0195-y.
• Tiziana Caliman, 2009, "The risk of falling house prices in Italy," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), volume 56, issue 4, pages 401-423, December, DOI: 10.1007/s12232-009-0068-7.
• Pauline Barrieu & Olivier Scaillet, 2009, "A Primer on Weather Derivatives," International Series in Operations Research & Management Science, Springer, chapter 0, in: Jerzy A. Filar & Alain Haurie, "Uncertainty and Environmental Decision Making", DOI: 10.1007/978-1-4419-1129-2_5.
• Dennis Halcoussis & Anton Lowenberg & G. Phillips, 2009, "The Obama effect," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 33, issue 3, pages 324-329, July, DOI: 10.1007/s12197-009-9077-3.
• Faruk Balli, 2009, "Spillover effects on government bond yields in euro zone. Does full financial integration exist in European government bond markets?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 33, issue 4, pages 331-363, October, DOI: 10.1007/s12197-008-9029-3.
• Raphaël Espinoza & Charles. Goodhart & Dimitrios Tsomocos, 2009, "State prices, liquidity, and default," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 39, issue 2, pages 177-194, May, DOI: 10.1007/s00199-008-0343-y.
• Patrick Leoni, 2009, "Market crashes, speculation and learning in financial markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 39, issue 2, pages 217-229, May, DOI: 10.1007/s00199-007-0310-z.
• Stephan Eberl, 2009, "Weitere Erkenntnisse zum Steuervorteil von Fremdkapital nach der Unternehmensteuerreform 2008," Schmalenbach Journal of Business Research, Springer, volume 61, issue 3, pages 251-282, May, DOI: 10.1007/BF03372822.
• Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2009, "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Spanish Economic Review, Springer;Spanish Economic Association, volume 11, issue 2, pages 141-164, June, DOI: 10.1007/s10108-008-9049-3.
• Giulio Bottazzi & Giovanna Devetag & Francesca Pancotto, 2009, "Does Volatility matter? Expectations of price return and variability in an asset pricing experiment," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2009/02, Mar.
• Andrea Petrella & Sandro Sapio, 2009, "How does market architecture affect price dynamics ? A time series analysis of the Italian day-ahead electricity prices," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2009/20, Dec.
• David Backus & Mikhail Chernov & Ian Martin, 2009, "Disasters Implied by Equity Index Options," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 09-14.
• Leonardo Becchetti & Rocco Ciciretti, 2009, "Corporate social responsibility and stock market performance," Applied Financial Economics, Taylor & Francis Journals, volume 19, issue 16, pages 1283-1293, DOI: 10.1080/09603100802584854.
• Claudio Morana, 2009, "Realized betas and the cross-section of expected returns," Applied Financial Economics, Taylor & Francis Journals, volume 19, issue 17, pages 1371-1381, DOI: 10.1080/09603100802599597.
• Joachim Grammig & Andreas Schrimpf & Michael Schuppli, 2009, "Long-horizon consumption risk and the cross-section of returns: new tests and international evidence," The European Journal of Finance, Taylor & Francis Journals, volume 15, issue 5-6, pages 511-532, DOI: 10.1080/13518470902872285.
• Dominique Guegan & Jing Zang, 2009, "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," The European Journal of Finance, Taylor & Francis Journals, volume 15, issue 7-8, pages 777-795, DOI: 10.1080/13518470902895344.
• Anders Johansson, 2009, "An analysis of dynamic risk in the Greater China equity markets," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, volume 7, issue 3, pages 299-320, DOI: 10.1080/14765280903073165.
• Denis Belomestny & Grigori Milstein & Vladimir Spokoiny, 2009, "Regression methods in pricing American and Bermudan options using consumption processes," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 3, pages 315-327, DOI: 10.1080/14697680802165736.
• Matthias Fengler, 2009, "Arbitrage-free smoothing of the implied volatility surface," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 4, pages 417-428, DOI: 10.1080/14697680802595585.
• Demosthenes Tambakis, 2009, "Feedback trading and intermittent market turbulence," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 4, pages 477-489, DOI: 10.1080/14697680802448785.
• George Woodward & Heather Anderson, 2009, "Does beta react to market conditions? Estimates of 'bull' and 'bear' betas using a nonlinear market model with an endogenous threshold parameter," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 8, pages 913-924, DOI: 10.1080/14697680802595643.
• Thomas Hemmelgarn & Gaetan Nicodeme, 2009, "Tax Co-ordination in Europe: Assessing the First Years of the EU-Savings Taxation Directive," Taxation Papers, Directorate General Taxation and Customs Union, European Commission, number 18, Jun.
• Falko Juessen & Ludger Linnemann & Andreas Schabert, 2009, "Default Risk Premia on Government Bonds in a Quantitative Macroeconomic Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-102/2, Nov.
• De Jonghe, O.G., 2009, "Back to Basics in Banking? A Micro-Analysis of Banking System Stability," Discussion Paper, Tilburg University, Center for Economic Research, number 2009-45 S.
• De Jonghe, O.G., 2009, "Back to Basics in Banking? A Micro-Analysis of Banking System Stability," Other publications TiSEM, Tilburg University, School of Economics and Management, number 9650fd91-53ee-4ed5-9786-6.
• Michael McAleer & Marcelo C. Medeiros, 2009, "Forecasting Realized Volatility with Linear and Nonlinear Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-686, Oct.
• Katya Malinova & Andreas Park, 2009, "Liquidity, Volume, and Price Behavior: The Impact of Order vs. Quote Based Trading," Working Papers, University of Toronto, Department of Economics, number tecipa-358, May.
• Katya Malinova & Andreas Park, 2009, "Intraday Trading Patterns: The Role of Timing," Working Papers, University of Toronto, Department of Economics, number tecipa-365, Aug.
• Abul Shamsuddin & Jae H Kim, 2009, "Short-Horizon Return Predictability in International Equity Markets," Working Papers, School of Economics, La Trobe University, number 2009.01.
• Gollier, Christian, 2009, "Ecological Discounting," TSE Working Papers, Toulouse School of Economics (TSE), number 09-062, Jul.
• Biais, Bruno & Rochet, Jean-Charles & Woolley, Paul, 2009, "The Lifecycle of the Financial Sector and Other Speculative Industries," TSE Working Papers, Toulouse School of Economics (TSE), number 09-031, Apr.
• Biais, Bruno & Weill, Pierre-Olivier, 2009, "Liquidity Shocks and Order Book Dynamics," TSE Working Papers, Toulouse School of Economics (TSE), number 09-037, May.
• Gollier, Christian & Weitzman, Martin L., 2009, "How Should the Distant Future be Discounted When Discount Rates are Uncertain?," TSE Working Papers, Toulouse School of Economics (TSE), number 09-107, Nov.
• Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2009, "La TVA sociale: bonne ou mauvaise idée?," TSE Working Papers, Toulouse School of Economics (TSE), number 09-038, May.
• Jacques Drèze & Oussama Lachiri & Enrico Minelli, 2009, "Stock Prices, Anticipations and Investment in General Equilibrium," Working Papers, University of Brescia, Department of Economics, number 0916.
• Juan-Ángel Jiménez-Martín & Alfonso Novales Cinca, 2009, "State-Uncertainty preferences and the Risk Premium in the Exchange rate market," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-17.
• João F. Gomes & Leonid Kogan & Motohiro Yogo, 2009, "Durability of Output and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, volume 117, issue 5, pages 941-986, DOI: 10.1086/648882.
• Narayana Kocherlakota & Luigi Pistaferri, 2009, "Asset Pricing Implications of Pareto Optimality with Private Information," Journal of Political Economy, University of Chicago Press, volume 117, issue 3, pages 555-590, June, DOI: 10.1086/599761.
• Yu-chin Chen & Kwok Ping Tsang, 2009, "What Does the Yield Curve Tell Us About Exchange Rate Predictability?," Working Papers, University of Washington, Department of Economics, number UWEC-2009-04, Feb.
• Yu-chin Chen & Kwok Ping Tsang, 2009, "A Macro-Finance Approach to Exchange Rate Determination," Working Papers, University of Washington, Department of Economics, number UWEC-2009-24-R, Dec, revised May 2010.
• Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009, "Multivariate Contemporaneous Threshold Autoregressive Models," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2009-03, Mar.
• Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009, "Contemporaneous-Threshold Smooth Transition GARCH Models," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2009-06, Jun.
• John Driffill & Martin Sola & Turalay Kenc, 2009, "Real Options with Priced Regime-Switching Risk," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2009-09, Sep.
• Marie Briere & Ombretta Signori, 2009, "Do inflation-linked bonds still diversify?," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/169891, Mar.
• Erie Febrian & Aldrin Herwany, 2009, "The Performance Of Asset Pricing Models Before, During, And After Financial Crisis In Emerging Market: Evidence From Indonesia," Working Papers in Business, Management and Finance, Department of Management and Business, Padjadjaran University, number 200902, Feb, revised Feb 2009.