Research classified by Journal of Economic Literature (JEL) codes

2009

• Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2009, "The Determinants of Stock and Bond Return Comovements," NBER Working Papers, National Bureau of Economic Research, Inc, number 15260, Aug.
• Yannick Malevergne & Pedro Santa-Clara & Didier Sornette, 2009, "Professor Zipf goes to Wall Street," NBER Working Papers, National Bureau of Economic Research, Inc, number 15295, Aug.
• Lasse Heje Pedersen, 2009, "When Everyone Runs for the Exit," NBER Working Papers, National Bureau of Economic Research, Inc, number 15297, Aug.
• Yong Chen & Wayne Ferson & Helen Peters, 2009, "Measuring the Timing Ability and Performance of Bond Mutual Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 15318, Sep.
• Clemens Sialm & Laura Starks, 2009, "Mutual Fund Tax Clienteles," NBER Working Papers, National Bureau of Economic Research, Inc, number 15327, Sep.
• Dion Bongaerts & K.J. Martijn Cremers & William N. Goetzmann, 2009, "Tiebreaker: Certification and Multiple Credit Ratings," NBER Working Papers, National Bureau of Economic Research, Inc, number 15331, Sep.
• Douglas W. Blackburn & William N. Goetzmann & Andrey D. Ukhov, 2009, "Risk Aversion and Clientele Effects," NBER Working Papers, National Bureau of Economic Research, Inc, number 15333, Sep.
• Narasimhan Jegadeesh & Roman Kräussl & Joshua Pollet, 2009, "Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 15335, Sep.
• George O. Aragon & Philip E. Strahan, 2009, "Hedge Funds as Liquidity Providers: Evidence from the Lehman Bankruptcy," NBER Working Papers, National Bureau of Economic Research, Inc, number 15336, Sep.
• Nicolae B. Gârleanu & Stavros Panageas & Jianfeng Yu, 2009, "Technological Growth and Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 15340, Sep.
• Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009, "Systemic Risk and the Refinancing Ratchet Effect," NBER Working Papers, National Bureau of Economic Research, Inc, number 15362, Sep.
• David B. Brown & Bruce Ian Carlin & Miguel Sousa Lobo, 2009, "On the Scholes Liquidation Problem," NBER Working Papers, National Bureau of Economic Research, Inc, number 15381, Sep.
• Yi-Li Chien & Harold L. Cole & Hanno Lustig, 2009, "Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?," NBER Working Papers, National Bureau of Economic Research, Inc, number 15382, Sep.
• François Gourio, 2009, "Disasters Risk and Business Cycles," NBER Working Papers, National Bureau of Economic Research, Inc, number 15399, Oct.
• Nicolae Gârleanu & Leonid Kogan & Stavros Panageas, 2009, "The Demographics of Innovation and Asset Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 15457, Oct.
• Todd M. Sinai & Nicholas S. Souleles, 2009, "Can Owning a Home Hedge the Risk of Moving?," NBER Working Papers, National Bureau of Economic Research, Inc, number 15462, Oct.
• Ravi Bansal & Dana Kiku & Amir Yaron, 2009, "An Empirical Evaluation of the Long-Run Risks Model for Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 15504, Nov.
• Jaroslav Borovička & Lars Peter Hansen & Mark Hendricks & José A. Scheinkman, 2009, "Risk Price Dynamics," NBER Working Papers, National Bureau of Economic Research, Inc, number 15506, Nov.
• Mikhail Golosov & Guido Lorenzoni & Aleh Tsyvinski, 2009, "Decentralized Trading with Private Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 15513, Nov.
• Alexander David & Pietro Veronesi, 2009, "What Ties Return Volatilities to Price Valuations and Fundamentals?," NBER Working Papers, National Bureau of Economic Research, Inc, number 15563, Dec.
• Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2009, "Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 15591, Dec.
• Johannes C. Stroebel & John B. Taylor, 2009, "Estimated Impact of the Fed's Mortgage-Backed Securities Purchase Program," NBER Working Papers, National Bureau of Economic Research, Inc, number 15626, Dec.
• John A. Tatom, 2009, "U.S. Monetary Policy and Stock Prices: Should the Fed Attempt to Control Stock Prices?," NFI Working Papers, Indiana State University, Scott College of Business, Networks Financial Institute, number 2009-WP-14, Dec.
• Srinivas Nippani & Stanley D. Smith, 2009, "The Increasing Default Risk of U.S. Treasuries Securities Due to the Financial Crisis," NFI Working Papers, Indiana State University, Scott College of Business, Networks Financial Institute, number 2010-WP-01, Apr.
• Hugh Kelley & Tom Evans, 2009, "Measuring the Impact of Behavioural Traders in the Market for Closed-end Country Funds from 2002 to 2009," Working Papers, National University of Ireland Galway, Department of Economics, number 0148, revised 2009.
• Nicholas Apergis & Stephen M. Miller, 2009, "Do Structural Oil-Market Shocks Affect Stock Prices?," Working Papers, University of Nevada, Las Vegas , Department of Economics, number 0917, Mar.
• Ping Zhang, 2009, "Characterization of Pure Strategy Equilibria in Uniform Price IPO Auctions," Discussion Papers, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham, number 2009-05, Feb.
• Darrell Duffie & Bruno Strulovici, 2009, "Capital Mobility and Asset Pricing," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science, number 1478, Sep.
• Chris McDonald & Mark Smith, 2009, "Developing stratified housing price measures for New Zealand," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2009/07, Aug.
• Leo Krippner, 2009, "A theoretical foundation for the Nelson and Siegel class of yield curve models," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2009/10, Sep.
• David Haugh & Patrice Ollivaud & David Turner, 2009, "What Drives Sovereign Risk Premiums?: An Analysis of Recent Evidence from the Euro Area," OECD Economics Department Working Papers, OECD Publishing, number 718, Jul, DOI: 10.1787/222675756166.
• Burkhard Raunig & Martin Scheicher, 2009, "Are Banks Different? Evidence from the CDS Market," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 152, Feb.
• Gavriletea Marius Dan & Gavriletea Mihaela Ioana, 2009, "The Effects Of The Energy To Ecosystem And Risk Management Solution For Covering The Potential Losses," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 3, issue 1, pages 212-217, May.
• Barna Flavia & Danuletiu Adina Elena & Mura Petru Ovidiu, 2009, "Role Of Information In Adoption Of Investment Decisions On Capital Market," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 3, issue 1, pages 474-479, May.
• Shoko Morimoto, 2009, "Asset markets can achieve efficiency in the directed search framework," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 09-33, Sep.
• Jean-Marie Dufour & René Garcia & Abderrahim Taamouti, 2009, "Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility," Journal of Financial Econometrics, Oxford University Press, volume 10, issue 1, pages 124-163, 2012 10 1.
• Freeman, Mark C., 2009, "Yes, we should discount the far-distant future at its lowest possible rate: a resolution of the Weitzman-Gollier puzzle," Economics Discussion Papers, Kiel Institute for the World Economy, number 2009-42.
• Gollier, Christian, 2009, "Should We Discount the Far-Distant Future at Its Lowest Possible Rate?," Economics Discussion Papers, Kiel Institute for the World Economy, number 2009-7.
• Gollier, Christian, 2009, "Should we Discount the Far-Distant Future at its Lowest Possible Rate?," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 3, pages 1-14, DOI: 10.5018/economics-ejournal.ja.2009-.
• Lux, Thomas, 2009, "Mass psychology in action: identification of social interaction effects in the German stock market," Kiel Working Papers, Kiel Institute for the World Economy, number 1514.
• Lux, Thomas & Morales-Arias, Leonardo, 2009, "Forecasting volatility under fractality, regime-switching, long memory and student-t innovations," Kiel Working Papers, Kiel Institute for the World Economy, number 1532.
• Aßmann, Christian & Boysen-Hogrefe, Jens, 2009, "Determinants of government bond spreads in the Euro Area: in good times as in bad," Kiel Working Papers, Kiel Institute for the World Economy, number 1548.
• Nellinger, Ludwig, 2009, "Über die Natur und das Wesen des Geldes: Johann Heinrich von Thünens unveröffentlichter Beitrag zur Geldtheorie," Thuenen-Series of Applied Economic Theory, University of Rostock, Institute of Economics, number 110.
• Beckmann, Joscha & Belke, Ansgar & Kühl, Michael, 2009, "How Stable Are Monetary Models of the Dollar-Euro Exchange Rate? - A Time-varying Coefficient Approach," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 134.
• Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009, "CDO pricing with copulae," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-013.
• Cao, Ji & Härdle, Wolfgang Karl & Mungo, Julius, 2009, "A joint analysis of the KOSPI 200 option and ODAX option markets dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-019.
• Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009, "CDO and HAC," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-038.
• Grith, Maria & Härdle, Wolfgang Karl & Park, Juhyun, 2009, "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-041.
• Krätschmer, Volker & Schoenmakers, John G. M., 2009, "Representations for optimal stopping under dynamic monetary utility functionals," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-055.
• Schindler, Felix, 2009, "Volatilitätseffekte am US-amerikanischen Häusermarkt," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 09-048.
• Schindler, Felix & Rottke, Nico & Füss, Roland, 2009, "Testing the predictability and efficiency of securitized real estate markets," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 09-054.
• Steiner, Christian & Groß, Anne & Entorf, Horst, 2009, "Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 09-010.

2008

• 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.
• P. Seiler & B. Taub, 2008, "The dynamics of strategic information flows in stock markets," Finance and Stochastics, Springer, volume 12, issue 1, pages 43-82, January, DOI: 10.1007/s00780-007-0046-4.
• Martin Keller-Ressel & Thomas Steiner, 2008, "Yield curve shapes and the asymptotic short rate distribution in affine one-factor models," Finance and Stochastics, Springer, volume 12, issue 2, pages 149-172, April, DOI: 10.1007/s00780-007-0059-z.
• Delia Coculescu & Hélyette Geman & Monique Jeanblanc, 2008, "Valuation of default-sensitive claims under imperfect information," Finance and Stochastics, Springer, volume 12, issue 2, pages 195-218, April, DOI: 10.1007/s00780-007-0060-6.
• Semyon Malamud, 2008, "Long run forward rates and long yields of bonds and options in heterogeneous equilibria," Finance and Stochastics, Springer, volume 12, issue 2, pages 245-264, April, DOI: 10.1007/s00780-007-0058-0.
• Semyon Malamud, 2008, "Universal bounds for asset prices in heterogeneous economies," Finance and Stochastics, Springer, volume 12, issue 3, pages 411-422, July, DOI: 10.1007/s00780-008-0062-z.
• Damien Lamberton & Mohammed Mikou, 2008, "The critical price for the American put in an exponential Lévy model," Finance and Stochastics, Springer, volume 12, issue 4, pages 561-581, October, DOI: 10.1007/s00780-008-0073-9.
• Douglas Emery & Weiyu Guo & Tie Su, 2008, "A closer look at Black–Scholes option thetas," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 32, issue 1, pages 59-74, January, DOI: 10.1007/s12197-007-9000-8.
• Petri Kyröläinen, 2008, "Day trading and stock price volatility," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 32, issue 1, pages 75-89, January, DOI: 10.1007/s12197-007-9006-2.
• Priti Verma & Dave Jackson, 2008, "Interest rate and bank stock returns asymmetry: Evidence from U.S. banks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 32, issue 2, pages 105-118, April, DOI: 10.1007/s12197-007-9004-4.
• Robert DiSario & Hakan Saraoglu & Joseph McCarthy & H. Li, 2008, "An investigation of long memory in various measures of stock market volatility, using wavelets and aggregate series," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 32, issue 2, pages 136-147, April, DOI: 10.1007/s12197-007-9010-6.
• Patrick Leoni, 2008, "Market power, survival and accuracy of predictions in financial markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 34, issue 1, pages 189-206, January, DOI: 10.1007/s00199-007-0203-1.
• Ulrich Horst & Jan Wenzelburger, 2008, "On non-ergodic asset prices," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 34, issue 2, pages 207-234, February, DOI: 10.1007/s00199-006-0175-6.
• Kirsten Rohde, 2008, "Arbitrage opportunities in frictionless markets with sophisticated investors," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 34, issue 2, pages 389-393, February, DOI: 10.1007/s00199-006-0183-6.
• Stephen Clark, 2008, "Competitive prices for a stochastic input–output model with infinite time horizon," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 35, issue 1, pages 1-17, April, DOI: 10.1007/s00199-007-0225-8.
• Jón Daníelsson & Jean-Pierre Zigrand, 2008, "Equilibrium asset pricing with systemic risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 35, issue 2, pages 293-319, May, DOI: 10.1007/s00199-007-0238-3.
• Scott Condie, 2008, "Living with ambiguity: prices and survival when investors have heterogeneous preferences for ambiguity," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 36, issue 1, pages 81-108, July, DOI: 10.1007/s00199-007-0264-1.
• Christian-Oliver Ewald & Zhaojun Yang, 2008, "Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 68, issue 1, pages 97-123, August, DOI: 10.1007/s00186-007-0190-9.
• Dimitrios C. Ghicas & Afroditi Papadaki & Georgia Siougle & Theodore Sougiannis, 2008, "The relevance of quantifiable audit qualifications in the valuation of IPOs," Review of Accounting Studies, Springer, volume 13, issue 4, pages 512-550, December, DOI: 10.1007/s11142-007-9051-2.
• 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(0x6ba4ce48), March, 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(0x76f64348), September.
• 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.
• 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.