Research classified by Journal of Economic Literature (JEL) codes

2008

• 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.
• Marc Prat Sabartes, 2008, "Cotton manufacturers as bankers: the textile trade and credit in spain (1840-1913)," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 189.
• Stuart Turnbull & Jun Yang, 2008, "Default Dependence: The Equity Default Relationship," Staff Working Papers, Bank of Canada, number 08-1, DOI: 10.34989/swp-2008-1.
• Fousseni Chabi-Yo & Eric Ghysels & Eric Renault, 2008, "On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk," Staff Working Papers, Bank of Canada, number 08-16, DOI: 10.34989/swp-2008-16.
• George Jiang & Ingrid Lo & Adrien Verdelhan, 2008, "Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market," Staff Working Papers, Bank of Canada, number 08-22, DOI: 10.34989/swp-2008-22.
• Philipp Maier & Garima Vasishtha, 2008, "Good Policies or Good Fortune: What Drives the Compression in Emerging Market Spreads?," Staff Working Papers, Bank of Canada, number 08-25, DOI: 10.34989/swp-2008-25.
• Jun Yang, 2008, "Macroeconomic Determinants of the Term Structure of Corporate Spreads," Staff Working Papers, Bank of Canada, number 08-29, DOI: 10.34989/swp-2008-29.
• Antonio Diez de los Rios, 2008, "McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates," Staff Working Papers, Bank of Canada, number 08-43, DOI: 10.34989/swp-2008-43.
• Ron Alquist, 2008, "How Important Is Liquidity Risk for Sovereign Bond Risk Premia? Evidence from the London Stock Exchange," Staff Working Papers, Bank of Canada, number 08-47, DOI: 10.34989/swp-2008-47.
• Münür Yayla & Alper Hekimoglu & Mahmut Kutlukaya, 2008, "Financial Stability of the Turkish Banking Sector," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 2, issue 1, pages 9-26.
• Recep Bildik & Mustafa K. Yilmaz, 2008, "The Market Performance of Initial Public Offerings in the Istanbul Stock Exchange," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 2, issue 2, pages 49-76.
• Silvia Iranzo, 2008, "Delving into country risk," Occasional Papers, Banco de España, number 0802, Apr.
• Ricardo Gimeno & José Manuel Marqués, 2008, "Uncertainty and the price of risk in a nominal convergence process," Working Papers, Banco de España, number 0802, Jan.
• Aitor Erce, 2008, "A structural model of sovereign debt issuance: assessing the role of financial factors," Working Papers, Banco de España, number 0809, Jun.
• Stefano Nobili & Gerardo Palazzo, 2008, "A beta based framework for (lower) bond risk premia," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 689, Sep.
• Cortés Espada Josué Fernando & Ramos Francia Manuel & Torres García Alberto, 2008, "An Empirical Analysis of the Mexican Term Structure of Interest Rates," Working Papers, Banco de México, number 2008-07, Jul.
• Cortés Espada Josué Fernando & Ramos Francia Manuel, 2008, "An Affine Model of the Term Structure of Interest Rates in Mexico," Working Papers, Banco de México, number 2008-09, Jul.
• Cortés Espada Josué Fernando & Ramos Francia Manuel, 2008, "A Macroeconomic Model of the Term Structure of Interest Rates in Mexico," Working Papers, Banco de México, number 2008-10, Jul.
• Esteban Gómez & Sandra Rozo, 2008, "Beyond bubbles: the role of asset prices in early-warning indicators," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 26, issue 56, pages 114-148, June, DOI: 10.32468/Espe.5604.
• Bowsher, Clive G. & Meeks, Roland, 2008, "The Dynamics of Economic Functions: Modeling and Forecasting the Yield Curve," Journal of the American Statistical Association, American Statistical Association, volume 103, issue 484, pages 1419-1437.
• Lux, Thomas, 2008, "The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility," Journal of Business & Economic Statistics, American Statistical Association, volume 26, pages 194-210, April.
• Bertholon, H. & Alain Monfort & Fulvio Pegoraro, 2008, "Econometric Asset Pricing Modelling," Working papers, Banque de France, number 223.
• Martins-da-Rocha, Victor Filipe & Riedel, Frank, 2011, "On equilibrium prices in continuous time," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 397, Aug.
• Robert J. Barro & Jose F. Ursua, 2008, "Macroeconomic Crises since 1870," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, volume 39, issue 1 (Spring, pages 255-350.
• Jacob Gyntelberg & Philip Wooldridge, 2008, "Interbank rate fixings during the recent turmoil," BIS Quarterly Review, Bank for International Settlements, March.
• Naohiko Baba & Frank Packer & Teppei Nagano, 2008, "The spillover of money market turbulence to FX swap and cross-currency swap markets," BIS Quarterly Review, Bank for International Settlements, March.
• Eli M Remolona & Ilhyock Shim, 2008, "Credit derivatives an structured creit: the nascant markets of Asia and the Pacific," BIS Quarterly Review, Bank for International Settlements, June.
• Ingo Fender & Martin Scheicher, 2008, "The ABX: how do the markets price subprime mortgage risk?," BIS Quarterly Review, Bank for International Settlements, September.
• Peter Hördahl & Michael R King, 2008, "Developments in repo markets during the financial turmoil," BIS Quarterly Review, Bank for International Settlements, December.
• Stefania D'Amico & Don H Kim & Min Wei, 2008, "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," BIS Working Papers, Bank for International Settlements, number 248, Feb.
• Yosuke Tsuyuguchi & Philip D Wooldridge, 2008, "The evolution of trading activity in Asian foreign exchange markets," BIS Working Papers, Bank for International Settlements, number 252, May.
• Sei‐Wan Kim & Bong‐Soo Lee, 2008, "Stock Returns, Asymmetric Volatility, Risk Aversion, And Business Cycle: Some New Evidence," Economic Inquiry, Western Economic Association International, volume 46, issue 2, pages 131-148, April, DOI: 10.1111/j.1465-7295.2007.00066.x.
• Don Bredin & John Cotter, 2008, "Volatility And Irish Exports," Economic Inquiry, Western Economic Association International, volume 46, issue 4, pages 540-560, October, DOI: 10.1111/j.1465-7295.2007.00101.x.
• Theofanis Archontakis & Wolfgang Lemke, 2008, "Threshold Dynamics of Short‐term Interest Rates: Empirical Evidence and Implications for the Term Structure," Economic Notes, Banca Monte dei Paschi di Siena SpA, volume 37, issue 1, pages 75-117, February, DOI: 10.1111/j.1468-0300.2008.00189.x.
• Mikael Bask, 2008, "Adaptive Learning in an Expectational Difference Equation with Several Lags: Selecting among Learnable REE," European Financial Management, European Financial Management Association, volume 14, issue 1, pages 99-117, January, DOI: 10.1111/j.1468-036X.2007.00436.x.
• Luc Renneboog & Peter G. Szilagyi, 2008, "Corporate Restructuring and Bondholder Wealth," European Financial Management, European Financial Management Association, volume 14, issue 4, pages 792-819, September, DOI: 10.1111/j.1468-036X.2007.00414.x.
• Ian A. Cooper & Kjell G. Nyborg, 2008, "Tax‐Adjusted Discount Rates with Investor Taxes and Risky Debt," Financial Management, Financial Management Association International, volume 37, issue 2, pages 365-379, June, DOI: 10.1111/j.1755-053X.2008.00016.x.
• Rui Albuquerue & Neng Wang, 2008, "Agency Conflicts, Investment, and Asset Pricing," Journal of Finance, American Finance Association, volume 63, issue 1, pages 1-40, February, DOI: 10.1111/j.1540-6261.2008.01309.x.
• Kalok Chan & Albert J. Menkveld & Zhishu Yang, 2008, "Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount," Journal of Finance, American Finance Association, volume 63, issue 1, pages 159-196, February, DOI: 10.1111/j.1540-6261.2008.01313.x.
• Larry G. Epstein & Martin Schneider, 2008, "Ambiguity, Information Quality, and Asset Pricing," Journal of Finance, American Finance Association, volume 63, issue 1, pages 197-228, February, DOI: 10.1111/j.1540-6261.2008.01314.x.
• Giovanni Cespa, 2008, "Information Sales and Insider Trading with Long‐Lived Information," Journal of Finance, American Finance Association, volume 63, issue 2, pages 639-672, April, DOI: 10.1111/j.1540-6261.2008.01327.x.
• Andrew Ang & Geert Bekaert & Min Wei, 2008, "The Term Structure of Real Rates and Expected Inflation," Journal of Finance, American Finance Association, volume 63, issue 2, pages 797-849, April, DOI: 10.1111/j.1540-6261.2008.01332.x.
• Daniel Dorn & Gur Huberman & Paul Sengmueller, 2008, "Correlated Trading and Returns," Journal of Finance, American Finance Association, volume 63, issue 2, pages 885-920, April, DOI: 10.1111/j.1540-6261.2008.01334.x.
• Dimitri Vayanos & Pierre‐Olivier Weill, 2008, "A Search‐Based Theory of the On‐the‐Run Phenomenon," Journal of Finance, American Finance Association, volume 63, issue 3, pages 1361-1398, June, DOI: 10.1111/j.1540-6261.2008.01360.x.
• William Fung & David A. Hsieh & Narayan Y. Naik & Tarun Ramadorai, 2008, "Hedge Funds: Performance, Risk, and Capital Formation," Journal of Finance, American Finance Association, volume 63, issue 4, pages 1777-1803, August, DOI: 10.1111/j.1540-6261.2008.01374.x.
• Jose M. Marin & Jacques P. Olivier, 2008, "The Dog That Did Not Bark: Insider Trading and Crashes," Journal of Finance, American Finance Association, volume 63, issue 5, pages 2429-2476, October, DOI: 10.1111/j.1540-6261.2008.01401.x.
• Paul Söderlind, 2008, "Monetary Policy Effects On Financial Risk Premia," Manchester School, University of Manchester, volume 76, issue 6, pages 690-707, December, DOI: 10.1111/j.1467-9957.2008.01089.x.
• Kerstin Bernoth & Guntram B. Wolff, 2008, "Fool The Markets? Creative Accounting, Fiscal Transparency And Sovereign Risk Premia," Scottish Journal of Political Economy, Scottish Economic Society, volume 55, issue 4, pages 465-487, September, DOI: 10.1111/j.1467-9485.2008.00462.x.
• Lorán Chollete & Randi Næs & Johannes A. Skjeltorp, 2008, "The risk components of liquidity," Working Paper, Norges Bank, number 2008/03, Mar.
• Randi Næs & Johannes A. Skjeltorp & Bernt Arne Ødegaard, 2008, "Liquidity at the Oslo Stock Exchange," Working Paper, Norges Bank, number 2008/09, May.
• Michael Joyce & Iryna Kaminska & Peter Lildholdt, 2008, "Understanding the real rate conundrum: an application of no-arbitrage finance models to the UK real yield curve," Bank of England working papers, Bank of England, number 358, Dec.
• Yosuke Tsuyuguchi & Philip Wooldridge, 2008, "The evolution of trading activity in Asian foreign exchange markets," Bank of Japan Working Paper Series, Bank of Japan, number 08-E-5, Jun.
• Joonhyuk Song & Youngsoo Choi, 2008, "Bond Risk Premia and Business Cycle (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 14, issue 4, pages 1-46, December.
• Serpil Canbas & Serkan Yilmaz Kandir & Ahmet Erismis, 2008, "The Analysis of the Impact of Size and Book-To-Market Ratio on the Stock Returns of the ISE Companies," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, volume 10, issue 39, pages 1-16.
• Zhongjun Qu & Pierre Perron, 2008, "A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-007, Jun.
• François Gourio, 2008, "Time-series predictability in the disaster model," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-016, Jan.
• Davide Pettenuzzo & Allan G. Timmermann & Rossen I. Valkanov, 2008, "Return Predictability under Equilibrium Constraints on the Equity Premium," Working Papers, Brandeis University, Department of Economics and International Business School, number 37, Oct.
• John A. Carlson & Christian M. Dahl & Carol L. Osler, 2008, "Short-run Exchange-rate Dynamics: Theory And Evidence," Working Papers, Brandeis University, Department of Economics and International Business School, number 39, Aug.
• Rafael Victal Saliba, 2008, "Application of Multiple Evaluation Models in Brazil," Brazilian Review of Finance, Brazilian Society of Finance, volume 6, issue 1, pages 13-47.
• Edson Bastos e Santos & Nelson Ithiro Tanaka, 2008, "Dynamic Lévy Copulas and their Applications in the Pricing of Multidimensional Option with Path Dependence," Brazilian Review of Finance, Brazilian Society of Finance, volume 6, issue 1, pages 69-111.
• Felipe Pretti Casotti & Luiz Felipe Jacques da Motta, 2008, "Initial public offerings in Brazil (2004-2006): Valuation with the use of multiples and discounting of cash flows using the appropriate cost of equity," Brazilian Review of Finance, Brazilian Society of Finance, volume 6, issue 2, pages 157-204.
• Rafael Machado Santana & Rodrigo De Losso da Silveira Bueno, 2008, "SWARCH and the implicit volatility of the Real/USD exchange rate," Brazilian Review of Finance, Brazilian Society of Finance, volume 6, issue 2, pages 235-265.
• Fernando Nascimento de Oliveira & Eduardo Lana de Paula, 2008, "Determining the Optimum Level of Diversification of Home Brokers Investors," Brazilian Review of Finance, Brazilian Society of Finance, volume 6, issue 3, pages 439-463.
• Eloisa T Glindro & Tientip Subhanij & Jessica Szeto & Haibin Zhu, 2008, "Are Asia-Pacific Housing Prices Too High For Comfort?," Working Papers, Monetary Policy Group, Bank of Thailand, number 2008-11, Nov.
• Ciprian Necula, 2008, "A Framework for Derivative Pricing in the Fractional Black-Scholes Market," Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB, number 19, Oct.
• Cipian Necula, 2008, "Option Pricing in a Fractional Brownian Motion Environment," Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB, number 2, Jan.
• Ciprian Necula, 2008, "Pricing European and Barrier Options in the Fractional Black-Scholes Market," Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB, number 20, Oct.
• Ciprian Necula, 2008, "A Two-Country Discontinuous General Equilibrium Model," Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB, number 23, Dec.
• Ciprian Necula, 2008, "Asset Pricing in a Two-Country Discontinuous General Equilibrium Model," Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB, number 24, Dec.
• Cipian Necula, 2008, "Barrier Options and a Reflection Principle of the Fractional Brownian Motion," Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB, number 6, Apr.
• Kevin E. Beaubrun-Diant & Julien Matheron, 2008, "Rentabilités d'actifs et fluctuations économiques : une perspective d'équilibre général dynamique et stochastique," Economie & Prévision, La Documentation Française, volume 0, issue 2, pages 35-63.
• Michel Aglietta & Wladimir Andreff & Bastien Drut, 2008, "Bourse et Football," Revue d'économie politique, Dalloz, volume 118, issue 2, pages 255-296.
• Tambakis, D.N., 2008, "Feedback Trading and Intermittent Market Turbulence," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0847, Oct.
• D'Agostino, Antonello & McQuinn, Kieran & O' Reilly, Gerard, 2008, "Identifying and Forecasting House Price Dynamics in Ireland," Research Technical Papers, Central Bank of Ireland, number 3/RT/08, Jun.
• Theodoros Diasakos, 2008, "Comparative Statics of Asset Prices," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 72, revised 2011.
• Elisa Luciano & Patrizia Semeraro, 2008, "Multivariate Variance Gamma and Gaussian dependence: a study with copulas," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 96.
• Elisa Luciano & Patrizia Semeraro, 2008, "A Generalized Normal Mean Variance Mixture for Return Processes in Finance," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 97, revised 2009.
• Wong, Woon K & Copeland, Laurence & Lu, Ralph, 2008, "The Other Side of the Trading Story: Evidence from NYSE," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2008/12, Jul.
• Mathias Hoffmann, 2006, "Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns," CESifo Working Paper Series, CESifo, number 1712.
• Kerstin Bernoth & Guntram B. Wolff, 2006, "Fool the Markets? Creative Accounting, Fiscal Transparency and Sovereign Risk Premia," CESifo Working Paper Series, CESifo, number 1732.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007, "Long Run and Cyclical Dynamics in the US Stock Market," CESifo Working Paper Series, CESifo, number 2046.
• Heinrich Ursprung & Christian Wiermann, 2008, "Reputation, Price, and Death: An Empirical Analysis of Art Price Formation," CESifo Working Paper Series, CESifo, number 2237.
• Guglielmo Maria Caporale & Mario Cerrato, 2008, "Using Chebyshev Polynomials to Approximate Partial Differential Equations," CESifo Working Paper Series, CESifo, number 2308.
• Marco Angrisani & Antonio Guarino & Steffen Huck & Nathan Larson, 2008, "No-Trade in the Laboratory," CESifo Working Paper Series, CESifo, number 2436.
• Alexander Kovalenkov & Xavier Vives, 2008, "Competitive Rational Expectations Equilibria without Apology," CESifo Working Paper Series, CESifo, number 2446.
• Andrea GAMBA & Nicola FUSARI, 2008, "Valuing modularity as a real option," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-20, Jan.
• Rui Albuquerque & Enrique Schroth, 2008, "The Determinants of the Block Premium and of Private Benefits of Control," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-21, Mar, revised Oct 2014.
• Tony BERRADA & Julien HUGONNIER, 2008, "Incomplete information, idiosyncratic volatility and stock returns," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-23, Jul.
• Michèle Breton & Julien Hugonnier & Tarek Masmoudi, 2008, "Mutual Fund Competition in the Presence of Dynamic Flows," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-26, Sep.
• Julien Hugonnier, 2008, "Bubbles and multiplicity of equilibria under portfolio constraints," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-28, Sep.
• Jan PALCZEWSKI & Klaus Reiner SCHENK-HOPPE, 2008, "Market Selection of Constant Proportions Investment Strategies in Continuous Time," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-29, Sep.
• Patrick GAGLIARDINI & Christian GOURIEROUX, 2009, "Efficiency in Large Dynamic Panel Models with Common Factor," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-12, Mar.
• John Y. Campbell, 2008, "Viewpoint: Estimating the equity premium," Canadian Journal of Economics, Canadian Economics Association, volume 41, issue 1, pages 1-21, February.
• Dante Amengual & Enrique Sentana, 2008, "A Comparison of Mean-Variance Efficiency Tests," Working Papers, CEMFI, number wp2008_0806, Apr.
• Enrique Sentana, 2008, "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers, CEMFI, number wp2008_0807, May.
• Arturo Jos√© Galindo & Marc Hofstetter, 2008, "Mortgage Interest Rates, Country Risk and Maturity Matching in Colombia," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 4544, Jan.
• Ximena Pena Parga & Camilo MondragÔøΩn-VÔøΩlez, 2008, "Business Ownership and Self-Employment in Developing Economies: The Colombian Case," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 4672, Feb.
• Juan Camilo Rojas, 2008, "Estructura a plazo, hip√≥tesis de expectativas y paridad descubierta de intereses en Colombia," Documentos de Trabajo, Universidad del Rosario, number 4893, Jul.
• Alejandro Reveiz Herault & Carlos Eduardo Le�n Rinc�n, 2008, "�ndice representativo del mercado de deuda p�blica interna: IDXTES," Borradores de Economia, Banco de la Republica, number 4522, Feb.
• Alejandro Reveiz Herault, 2008, "Artificial Markets under a Complexity Perspective," Borradores de Economia, Banco de la Republica, number 4616, Apr.
• Esteban Gómez & Sandra Rozo, 2008, "Beyond Bubbles: The Role of Asset Prices in Early-Warning Indicators," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 26, issue 56, pages 114-148, DOI: 10.32468/Espe.5604.
• Juan José Echavarría & Diego V�squez, 2008, "Expectativas, tasa de interés y tasa de cambio: paridad cubierta y no cubierta en Colombia, 2000-2007," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, DOI: 10.32468/Espe.5605.
• Juan Carlos Botero Ramírez & Andrés Ramírez Hassan, 2008, "La volatilidad de la tasa de interés a corto plazo: Un ejercicio para la economía Colombiana, 2001-2006," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10622, Sep.
• Jorge Enrique Bueno Orozco, 2008, "La valoración de empresas: sus fundamentos económicos, estratégicos y financieros," Revista de Economía y Administración, Universidad Autónoma de Occidente.
• Henry Laverde Rojas, 2008, "Análisis de vulnerabilidad empresarial y sus efectos sobre la vulnerabilidad bancaria en Colombia: una aplicación delenfoque de hoja de balances," Revista CIFE, Universidad Santo Tomás.
• José Joaquín Alzate Marín, 2008, "Cómo medir la quiebra de las empresas en Santander, el modelo logístico: una herramienta para evaluar el riesgo de quiebra," Revista CIFE, Universidad Santo Tomás.
• Diego Vásquez E. & Pedro Felipe Lega G. & Andr�s Murcia P. & Tatiana Venegas K., 2008, "Volatilidad de la tasa de cambio nominal en Colombia y su relación con algunas variables," Coyuntura Económica, Fedesarrollo.
• Ignacio Velez-Pareja & Carlo Alberto Magni, 2008, "Potential Dividends and Actual Cash Flows. Theoretical and Empirical Reasons for Using 'Actual' and Dismissing 'Potential'. Or: How Not to Pull Pot..," Proyecciones Financieras y Valoración, Master Consultores, number 4520, Feb.
• Ignacio Velez-Pareja & Julian Benavides Franco, 2008, "There exists circularity between WACC and value? Another solution," Proyecciones Financieras y Valoración, Master Consultores, number 4557, Mar.
• Ignacio Velez-Pareja & Joseph Tham, 2008, "The mismatching of APV and the DCF in Brealey, Myers and Allen 8th edition of Principles of corporate finance, 2006," Proyecciones Financieras y Valoración, Master Consultores, number 4586, Apr.
• Ignacio Velez-Pareja & Mariano Merlo & David Andres Londono & Julio Sarmiento, 2008, "Dividendos "potenciales" versus pagados : razones teoricas y empiricas para usar dividendos pagados. Casos de America Latina y Argentina," Proyecciones Financieras y Valoración, Master Consultores, number 5122, Oct.
• D’ARGENSIO, John-John & LAURIN, Frédéric, 2008, "The real estate risk premium: A developed/emerging country panel data analysis," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2008004, Jan.
• Carlo Alberto Magni, 2008, "CAPM‐based capital budgeting and nonadditivity," Journal of Property Investment & Finance, Emerald Group Publishing Limited, volume 26, issue 5, pages 388-398, August, DOI: 10.1108/14635780810900251.
• Alper Ozun & Atilla Cifter, 2008, "Modeling long‐term memory effect in stock prices," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 25, issue 1, pages 38-48, March, DOI: 10.1108/10867370810857559.
• Morten Balling (ed.), 2008, "Asset Management in Volatile Markets," SUERF Studies, SUERF - The European Money and Finance Forum, number 2008/5, ISBN: ARRAY(0xa4184c40), May.
• Urs von Arx & Andreas Ziegler, 2008, "The Effect of CSR on Stock Performance: New Evidence for the USA and Europe," CER-ETH Economics working paper series, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich, number 08/85, May.
• Lieven Baele & Koen Inghelbrecht, 2008, "Time-varying integration, the euro and international diversification strategy," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 333, Jul.
• Vít Bubák, 2008, "Value-at-Risk on Central and Eastern European Stock Markets: An Empirical Investigation Using GARCH Models," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2008/18, Sep, revised Sep 2008.
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• Chung Baek, Arun J Prakash, Bruce Dupoyet, 2008, "Fundamental Capital Valuation for IT Companies: A Real Options Approach," Frontiers in Finance and Economics, SKEMA Business School, volume 5, issue 1, pages 1-26, April.
• Miranda Lam, 2008, "Statistical Inference for Risk-Adjusted Performance Measure," Frontiers in Finance and Economics, SKEMA Business School, volume 5, issue 1, pages 27-45, April.
• Martina Nardon, 2008, "First Passage and Excursion Time Models for Valuing Defautltable Bonds: a Review with Some Insights," Frontiers in Finance and Economics, SKEMA Business School, volume 5, issue 2, pages 1-25, October.
• Dean Fantazzini, 2008, "Dynamic Copula Modelling for Value at Risk," Frontiers in Finance and Economics, SKEMA Business School, volume 5, issue 2, pages 72-108, October.
• Martins-da-Rocha, Victor Filipe & Riedel, Frank, 2008, "On equilibrium prices in continuous time," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 672, Feb.
• Clive G. Bowsher & Roland Meeks, 2008, "The dynamics of economics functions: modelling and forecasting the yield curve," Working Papers, Federal Reserve Bank of Dallas, number 0804.
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• Antonio Falato, 2008, "Happiness maintenance and asset prices," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2008-19.
• Stefania D'Amico & Don H. Kim & Min Wei, 2008, "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2008-30.
• Song Han & Hao Zhou, 2008, "Effects of liquidity on the nondefault component of corporate yield spreads: evidence from intraday transactions data," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2008-40.
• Jing-zhi Huang & Hao Zhou, 2008, "Specification analysis of structural credit risk models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2008-55.
• Gadi Barlevy, 2008, "A leverage-based model of speculative bubbles," Working Paper Series, Federal Reserve Bank of Chicago, number WP-08-01.
• Willem H. Buiter, 2008, "Central banks and financial crises," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 495-633.
• Sami Alpanda & Adrian Peralta-Alva, 2008, "Oil crisis, energy-saving technological change and the stock market crash of 1973-74," Working Papers, Federal Reserve Bank of St. Louis, number 2008-019, DOI: 10.20955/wp.2008.019.
• Tobias Adrian & Francesco Franzoni, 2008, "Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM," Staff Reports, Federal Reserve Bank of New York, number 193.
• James J. McAndrews & Asani Sarkar & Zhenyu Wang, 2008, "The effect of the Term Auction Facility on the London inter-bank offered rate," Staff Reports, Federal Reserve Bank of New York, number 335.
• Tobias Adrian & Emanuel Moench, 2008, "Pricing the term structure with linear regressions," Staff Reports, Federal Reserve Bank of New York, number 340.
• Gara Afonso, 2008, "Liquidity and congestion," Staff Reports, Federal Reserve Bank of New York, number 349, Oct.
• Anisha Ghosh & George Constantinides, 2008, "Asset Pricing Tests with Long Run Risks in Consumption Growth," FMG Discussion Papers, Financial Markets Group, number dp609, Apr.
• Anisha Ghosh & Christian Julliard, 2008, "Can Rare Events Explain the Equity Premium Puzzle?," FMG Discussion Papers, Financial Markets Group, number dp610, Apr.
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• Nicole Branger & Christian Schlag, 2008, "Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 136.
• Michael H. Grote & Florian Kube & Michael Küchen, 2008, "„Home, sweet home“ – Die Entwicklung des Handelsvolumens deutscher Aktien im Ausland," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 172.
• Caitlin Ann Greatrex, 2008, "The Credit Default Swap Market's Determinants," Fordham Economics Discussion Paper Series, Fordham University, Department of Economics, number dp2008-05.
• Giulio Cifarelli & Giovanna Paladino, 2008, "Oil price Dynamics and Speculation. A Multivariate Financial Approach," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2008_15.rdf.
• Guglielmo Maria Caporale & Mario Cerrato, 2008, "Chebyshev polynomial approximation to approximate partial differential equations," Working Papers, Business School - Economics, University of Glasgow, number 2008_16, Mar.
• Matteo Modena, 2008, "An Empirical Analysis of the Curvature Factor of the Term Structure of Interest Rates," Working Papers, Business School - Economics, University of Glasgow, number 2008_35, Sep.
• Matteo Modena, 2008, "The Term Structure and the Expectations Hypothesis: a Threshold Model," Working Papers, Business School - Economics, University of Glasgow, number 2008_36, Jul.
• Mathieu Gatumel & Dominique Guegan, 2008, "Towards an understanding approach of the insurance linked securities market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00235354, Jan.
• Dominique Guegan, 2008, "Non-stationarity and meta-distribution," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00270708, Mar.
• Wladimir Andreff & Michel Aglietta & Bastien Drut, 2008, "Bourse et Football," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00293907, Mar.
• Mathieu Gatumel & Dominique Guegan, 2008, "Dynamic Analysis of the Insurance Linked Securities Index," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00320378, Sep.
• Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008, "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00336475, Oct.
• Laurent-Emmanuel Calvet & Adlai J. Fisher, 2008, "Multifrequency jump-diffusions: An equilibrium approach," Post-Print, HAL, number hal-00459681, Jan, DOI: 10.1016/j.jmateco.2007.06.001.
• Elyès Jouini & Selima Ben Mansour & Clotilde Napp & Jean-Michel Marin & Christian P. Robert, 2008, "Are Risk Averse Agents More Optimistic? A Bayesian Estimation Approach," Post-Print, HAL, number halshs-00176629, DOI: 10.2139/ssrn.1000199.
• Wladimir Andreff & Michel Aglietta & Bastien Drut, 2008, "Bourse et Football," Post-Print, HAL, number halshs-00293907, Mar.