Research classified by Journal of Economic Literature (JEL) codes

2008

• Ivo Welch & Amit Goyal, 2008, "A Comprehensive Look at The Empirical Performance of Equity Premium Prediction," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 4, pages 1455-1508, July.
• Martin Lettau & Stijn Van Nieuwerburgh, 2008, "Reconciling the Return Predictability Evidence," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 4, pages 1607-1652, July.
• Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2008, "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 4, pages 1653-1687, July.
• K.J. Martijn Cremers & Joost Driessen & Pascal Maenhout, 2008, "Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 5, pages 2209-2242, September.
• Raphael A. Espinoza & Dimitrios P. Tsomocos, 2008, "Liquidity and Asset Prices," Economics Series Working Papers, University of Oxford, Department of Economics, number 2008fe28, Jul.
• Neil Shephard & Ole E. Barndorff-Nielsen & University of Aarhus, 2001, "Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models," Economics Series Working Papers, University of Oxford, Department of Economics, number 71, Jul.
• Benjamin Lester & Andrew Postlewaite & Randall Wright, 2008, "Information, Liquidity and Asset Prices," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 08-039, Oct.
• Benjamin Lester & Andrew Postlewaite & Randall Wright, 2008, "Information, Liquidity, Asset Prices and Monetary Policy, Second Version," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 10-040, Oct, revised 16 Dec 2010.
• Arshad Hasan & Zafar Mueen Nasir, 2008, "Macroeconomic Factors and Equity Prices: An Empirical Investigation by Using ARDL Approach," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 47, issue 4, pages 501-513.
• Attiya Y. Javid & Eatzaz Ahmad, 2008, "Test of Multi-moment Capital Asset Pricing Model: Evidence from Karachi Stock Exchange," PIDE-Working Papers, Pakistan Institute of Development Economics, number 2008:49.
• Francois-Éric Racicot & Raymond Théoret, 2008, "Optimal Instrumental Variables Generators Based on Improved Hausman Regression, with an Application to Hedge Funds Returns," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp012008, Jan.
• Balli, Faruk, 2008, "Spillover Effects on Government Bond Yields in Euro Zone. Does Full Financial Integration Exist in European Government Bond Markets?," MPRA Paper, University Library of Munich, Germany, number 10162, May.
• Carlo Alberto, Magni, 2008, "Splitting Up Value: A Critical Review of Residual Income Theories," MPRA Paper, University Library of Munich, Germany, number 10506, Sep.
• Brito, Paulo, 2008, "Equilibrium asset prices and bubbles in a continuous time OLG model," MPRA Paper, University Library of Munich, Germany, number 10701, Sep.
• Penasse, Julien, 2008, "Cash Flow-Wise ABCDS pricing," MPRA Paper, University Library of Munich, Germany, number 10853, Sep.
• Li, Minqiang, 2008, "A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation," MPRA Paper, University Library of Munich, Germany, number 11185, Jul.
• Lau, Chi-Lei Oscar, 2008, "Disentangling Intertemporal Substitution and Risk Aversion under the Expected Utility Theorem," MPRA Paper, University Library of Munich, Germany, number 11482, Nov.
• Grabowski, Szymon, 2008, "What does a financial system say about future economic growth?," MPRA Paper, University Library of Munich, Germany, number 11560, Sep.
• Taboga, Marco, 2008, "Macro-finance VARs and bond risk premia: a caveat," MPRA Paper, University Library of Munich, Germany, number 11585, Nov.
• Klein, Achim & Urbig, Diemo, 2008, "Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach," MPRA Paper, University Library of Munich, Germany, number 116175, Jun, revised 30 Apr 2011.
• Gray, Wesley, 2008, "Information Exchange and the Limits of Arbitrage," MPRA Paper, University Library of Munich, Germany, number 11918, Nov, revised 31 Nov 2008.
• de Farias Neto, Joao Jose, 2008, "S-shaped utility, subprime crash and the black swan," MPRA Paper, University Library of Munich, Germany, number 12122, Dec.
• Md Isa, Abu Hassan & Puah, Chin-Hong & Yong, Ying-Kiu, 2008, "Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM," MPRA Paper, University Library of Munich, Germany, number 12355.
• Gray, Wesley, 2008, "Information Exchange and the Limits of Arbitrage," MPRA Paper, University Library of Munich, Germany, number 12621, Dec.
• Orlowski, Lucjan T, 2008, "Stages of the 2007/2008 Global Financial Crisis: Is There a Wandering Asset-Price Bubble?," MPRA Paper, University Library of Munich, Germany, number 12696, Dec.
• Alexandru, Ciprian Antoniade, 2008, "Trust and Loss Aversion in Romanian Capital Market," MPRA Paper, University Library of Munich, Germany, number 12778, Dec.
• Alexandru, Ciprian Antoniade, 2008, "Indicators for the analysis of the evolution of the stock exchange," MPRA Paper, University Library of Munich, Germany, number 12981, Feb.
• Yu, Tongkui & Li, Honggang, 2008, "Dynamic Regimes of a Multi-agent Stock Market Model," MPRA Paper, University Library of Munich, Germany, number 14339, Nov.
• Klein, A. & Urbig, D. & Kirn, S., 2008, "Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach," MPRA Paper, University Library of Munich, Germany, number 14433, Jun.
• Peroni, Chiara, 2008, "A non-parametric investigation of risk premia," MPRA Paper, University Library of Munich, Germany, number 15010, Feb, revised 15 Apr 2009.
• Kaizoji, Taisei & Sornette, Didier, 2008, "Market Bubbles and Chrashes," MPRA Paper, University Library of Munich, Germany, number 15204, Dec.
• Bhattacharyya, Surajit & Saxena, Arunima, 2008, "Stock Futures Introduction & Its Impact on Indian Spot Market," MPRA Paper, University Library of Munich, Germany, number 15250.
• Doran, James & Jiang, Danling & Peterson, David, 2008, "Gambling Preference and the New Year Effect of Assets with Lottery Features," MPRA Paper, University Library of Munich, Germany, number 15463, Apr, revised 10 Mar 2009.
• Albulescu, Claudiu Tiberiu, 2008, "Central banks and asset prices: the role of the interest rate in volatility correction in the Romanian case," MPRA Paper, University Library of Munich, Germany, number 16582, Feb, revised 20 Jul 2009.
• Dell'Era Mario, M.D., 2008, "Pricing of the European Options by Spectral Theory," MPRA Paper, University Library of Munich, Germany, number 17429, Mar.
• Dell'Era Mario, M.D., 2008, "Pricing of Double Barrier Options by Spectral Theory," MPRA Paper, University Library of Munich, Germany, number 17502, Mar.
• El Bouhadi, A. & Ounir, A. & El Maguiri, M., 2008, "Construction d’un portefeuille efficient : Application empirique à partir d’un échantillon de valeurs cotées à la Bourse des Valeurs de Casablanca
  [THE efficient portfolio construction: an empirical investigation based on some listed shares in cas," MPRA Paper, University Library of Munich, Germany, number 19681, May.
• Lin, William & Tsai, Shih-Chuan & Sun, David, 2008, "Price informativeness and predictability: how liquidity can help," MPRA Paper, University Library of Munich, Germany, number 20226, Feb, revised 18 Oct 2009.
• Bianchi, Francesco, 2008, "Rare Events, Financial Crises, and the Cross-Section of Asset Returns," MPRA Paper, University Library of Munich, Germany, number 20831, Jan, revised 01 Jan 2010.
• Bianchetti, Marco, 2008, "Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves," MPRA Paper, University Library of Munich, Germany, number 22022, Nov, revised 24 Jan 2010.
• Reis, Luciana & Meurer, Roberto & Da Silva, Sergio, 2008, "Stock returns and foreign investment in Brazil," MPRA Paper, University Library of Munich, Germany, number 23028.
• Cannon, Susanne E. & Cole, Rebel A., 2008, "Changes in REIT liquidity 1988 - 2007: Evidence from daily data," MPRA Paper, University Library of Munich, Germany, number 24694, Oct, revised 20 Aug 2010.
• Trabelsi, Mohamed Ali, 2008, "Peut-on encore parler des mesures de performance ?
  [One is able again to speak of performance measures?]," MPRA Paper, University Library of Munich, Germany, number 25443.
• Lenz, Rainer, 2008, "The Logic of Merger and Acquisition Pricing," MPRA Paper, University Library of Munich, Germany, number 26627, Jun.
• Trabelsi, Mohamed Ali, 2008, "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 26751, Mar.
• Abderrazik, Amal & Boutkardine, Mehdi & El Bahi, Nour El Houda & Kartoubi, Salah Eddine & El Bouhadi, Abdelhamid, 2008, "Evaluation du Risque d’un Echantillon de Valeurs Mobilières de la Bourse de Casablanca
  [Risk Assessment of a Sample of Securities in Casablanca Stock Exchange]," MPRA Paper, University Library of Munich, Germany, number 27731, May.
• Guzman, Giselle C., 2008, "Using sentiment to predict GDP growth and stock returns," MPRA Paper, University Library of Munich, Germany, number 36505, Jun.
• Guzman, Giselle C., 2008, "Using sentiment surveys to predict GDP growth and stock returns," MPRA Paper, University Library of Munich, Germany, number 36653, Oct.
• Rosenthal, Dale W.R., 2008, "Approximating correlated defaults," MPRA Paper, University Library of Munich, Germany, number 36788, revised 15 Feb 2012.
• Pasaribu, Rowland Bismark Fernando, 2008, "Pengaruh Variabel Fundamental terhadap Harga Saham Perusahaan Go-public di Bursa Efek Indonesia periode 2003-2006
  [The Influence of Corporate Fundamental to Stock Price in Indonesian Public Companies]," MPRA Paper, University Library of Munich, Germany, number 36979, Jul.
• Cebula, Richard & Yang, Bill, 2008, "Yield to Maturity Is Always Received as Promised: A Reply," MPRA Paper, University Library of Munich, Germany, number 50122, May.
• Alves, Paulo & Ferreira, Miguel, 2008, "Centre Rules the Markets," MPRA Paper, University Library of Munich, Germany, number 52779, revised 2008.
• Cebula, Richard & Yang, Bill, 2008, "Yield to Maturity Is Always Realized as Promised: A Reply," MPRA Paper, University Library of Munich, Germany, number 54442, Jan.
• Lee, Chin & Lee, Weng Hong, 2008, "Can financial ratios predict the Malaysian stock return?," MPRA Paper, University Library of Munich, Germany, number 59170.
• Li, Minqiang, 2008, "Closed-Form Approximations for Spread Option Prices and Greeks," MPRA Paper, University Library of Munich, Germany, number 6994.
• Schied, Alexander & Schoeneborn, Torsten, 2008, "Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets," MPRA Paper, University Library of Munich, Germany, number 7105, Feb.
• Vélez-Pareja, Ignacio & Magni, Carlo Alberto, 2008, "Potential dividends and actual cash flows. Theoretical and empirical reasons for using ‘actual’ and dismissing ‘potential’, Or: How not to pull potential rabbits out of actual hats," MPRA Paper, University Library of Munich, Germany, number 7266, Feb.
• Trabelsi, Mohamed Ali, 2008, "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 76925, Mar.
• Trabelsi, Mohamed Ali, 2008, "Peut-on encore parler des mesures de performance ?
  [Can we still talk of performance measures?]," MPRA Paper, University Library of Munich, Germany, number 77288, revised 2008.
• Foschi, Paolo & Pieressa, Luca & Polidoro, Sergio, 2008, "Parametrix approximations for non constant coefficient parabolic PDEs," MPRA Paper, University Library of Munich, Germany, number 7852, Mar, revised 20 Mar 2008.
• Jiang, Danling, 2008, "Cross-Sectional Dispersion of Firm Valuations and Expected Stock Returns," MPRA Paper, University Library of Munich, Germany, number 8325, Apr.
• Petranov, Stefan, 2008, "Оценка На Бета Коефициентите На Публични Дружества В България
  [Estimation of Beta Coefficients for Publicly Traded Companies in Bulgaria]," MPRA Paper, University Library of Munich, Germany, number 88385.
• Los, Cornelis A. & Tungsong, Satjaporn, 2008, "Investment Model Uncertainty and Fair Pricing," MPRA Paper, University Library of Munich, Germany, number 8859, May.
• Termos, Ali, 2008, "Capital Investment as Real Options: A Note on Dixit-Pindyck Model," MPRA Paper, University Library of Munich, Germany, number 9352, Jan, revised 04 Mar 2008.
• Modena, Matteo, 2008, "The term structure and the expectations hypothesis: a threshold model," MPRA Paper, University Library of Munich, Germany, number 9611, Jul.
• Degiannakis, Stavros & Xekalaki, Evdokia, 2008, "SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework," MPRA Paper, University Library of Munich, Germany, number 96321.
• Canegrati, Emanuele, 2008, "A Non-Random Walk down Canary Wharf," MPRA Paper, University Library of Munich, Germany, number 9871, Aug.
• Landon, Stuart & Smith, Constance, 2008, "Taxation and bond market investment strategies: Evidence from the market for Government of Canada bonds," MPRA Paper, University Library of Munich, Germany, number 9959, May.
• Michal Černý, 2008, "On Estimation of Volatility of Financial Time Series for Pricing Derivatives
  [K odhadu volatility finančních řad při oceňování derivátů]," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2008, issue 4, pages 12-21, DOI: 10.18267/j.aop.126.
• Tomáš Buus, 2008, "HML and SMB Premiums in the Recent Scholar Literature - Magnitude and Nature
  [HML a SMB prémie v akademické literatuře - výše a podstata]," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2008, issue 2, pages 31-41, DOI: 10.18267/j.cfuc.267.
• Jan Jurečka, 2008, "Partial versus Integrated Conception of Intellectual Property for Asset Valuation
  [Parciální versus integrované pojetí duševního vlastnictví při oceňování majetku]," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2008, issue 3, pages 86-93, DOI: 10.18267/j.cfuc.283.
• Marcela Žárová, 2008, "Fair Value Measurement - Obstacle or Benefit of Financial Accounting and Reporting?
  [Oceňování reálnou hodnotou - překážka nebo přínos účetního výkaznictví?]," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2008, issue 4, pages 44-50, DOI: 10.18267/j.cfuc.289.
• Jan Jurečka, 2008, "Some Notices to the Firm Valuations by Income Approach
  [Poznámky k posudkům na ocenění podniku výnosovou metodou]," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2008, issue 4, pages 51-60, DOI: 10.18267/j.cfuc.290.
• Jaroslav Schönfeld, 2008, "New Approach to Evalution of Risk Loans," Ekonomika a Management, Prague University of Economics and Business, volume 2008, issue 4.
• Tomáš Buus, 2008, "Performance of Quoted and Non-quoted Companies in the Europe," European Financial and Accounting Journal, Prague University of Economics and Business, volume 2008, issue 4, pages 45-69, DOI: 10.18267/j.efaj.89.
• Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008, "Carry Trades and Currency Crashes," Working Papers, Princeton University. Economics Department., number 2008-1, Nov.
• Julien Matheron & Kevin E. Beaubrun-Diant, 2008, "Rentabilités d'actifs et fluctuations économiques : une perspective d'équilibre général dynamique et stochastique," Économie et Prévision, Programme National Persée, volume 183, issue 2, pages 35-63, DOI: 10.3406/ecop.2008.7805.
• Orazio P. Attanasio & Monica Paiella, 2008, "Intertemporal Consumption Choices, Transaction Costs and Limited Participation in Financial Markets: Reconciling Data and Theory," Discussion Papers, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy, number 1_2008, Feb.
• José Fajardo, 2008, "Statistical Arbitrage with Default and Collateral," Working Papers, Banco de Portugal, Economics and Research Department, number w200808.
• Nazim Belhocine, 2008, "The Stock Of Intangible Capital In Canada: Evidence From The Aggregate Value Of Securities," Working Paper, Economics Department, Queen's University, number 1216, Sep.
• Giovanni Cespa & Thierry Foucault, 2008, "Insiders-Outsiders, Transparency and the Value of the Ticker," Working Papers, Queen Mary University of London, School of Economics and Finance, number 628, Apr.
• A. S. Hurn & V.Pavlov, 2008, "Momentum in Australian Stock Returns: An Update," NCER Working Paper Series, National Centre for Econometric Research, number 23, Feb, revised 26 Feb 2008.
• Richard Finlay & Mark Chambers, 2008, "A Term Structure Decomposition of the Australian Yield Curve," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2008-09, Dec.
• Naoufel El-Bachir & Damiano Brigo, 2008, "An analytically tractable time-changed jump-diffusion default intensity model," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2008-06, Oct.
• Eva Carceles-Poveda, 2008, "Code and data files for "Asset Prices and Business Cycles under Market Incompleteness"," Computer Codes, Review of Economic Dynamics, number 05-114, revised .
• Martin Lettau & Sydney Ludvigson, 2008, "Code and data files for "Euler Equation Errors"," Computer Codes, Review of Economic Dynamics, number 08-106, revised .
• Eva Carceles-Poveda & Chryssi Giannitsarou, 2008, "Asset Pricing with Adaptive Learning," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 11, issue 3, pages 629-651, July, DOI: 10.1016/j.red.2007.10.003.
• Martin Bodenstein, 2008, "International Asset Markets and Real Exchange Rate Volatility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 11, issue 3, pages 688-705, July, DOI: 10.1016/j.red.2007.12.003.
• Burcu Eyigungor & Satyajit Chatterjee, 2008, "Maturity, Indebtedness and Default Risk," 2008 Meeting Papers, Society for Economic Dynamics, number 1001.
• Jose Ursua & Jon Steinsson & Emi Nakamura & Robert Barro, 2008, "Crises and Recoveries in an Empirical Model of Consumption Disasters," 2008 Meeting Papers, Society for Economic Dynamics, number 1089.
• Anisha Ghosh & Christian Julliard, 2008, "Can Rare Events Explain the Equity Premium Puzzle?," 2008 Meeting Papers, Society for Economic Dynamics, number 1090.
• David Lopez-Salido & Oscar Arce, 2008, "Housing Bubbles," 2008 Meeting Papers, Society for Economic Dynamics, number 134.
• Peter Seiler & Bart Taub & Dan Bernhardt, 2008, "Speculative Dynamics," 2008 Meeting Papers, Society for Economic Dynamics, number 171.
• Gadi Barlevy, 2008, "A Leverage Based Model of Speculative Bubbles," 2008 Meeting Papers, Society for Economic Dynamics, number 196.
• Philippe Mueller & Mikhail Chernov, 2008, "The Term Structure of Inflation Expectations," 2008 Meeting Papers, Society for Economic Dynamics, number 346.
• Luis M. Viceira & Adi Sunderam & John Y. Campbell, 2008, "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," 2008 Meeting Papers, Society for Economic Dynamics, number 355.
• Mikhail Golosov & Aleh Tsyvinski & Guido Lorenzoni, 2008, "Decentralized trading with private information," 2008 Meeting Papers, Society for Economic Dynamics, number 391.
• Pierre-Olivier Weill & Chris Edmond, 2008, "Aggregate implications of micro asset market segmentation," 2008 Meeting Papers, Society for Economic Dynamics, number 481.
• Nicolas Vincent & Isaac Kleshchelski, 2008, "Robust Equilibrium Yield Curves," 2008 Meeting Papers, Society for Economic Dynamics, number 486.
• Enrique Schroth & Rui Albuquerque, 2008, "Determinants Of The Block Premium And Of Private Benefits Of Control," 2008 Meeting Papers, Society for Economic Dynamics, number 655.
• Nick Roussanov & Adrien Verdelhan & Hanno Lustig, 2008, "Common Risk Factors in Currency Markets," 2008 Meeting Papers, Society for Economic Dynamics, number 711.
• Jessica Wachter, 2008, "Can time-varying risk of rare disasters explain aggregate stock market volatility?," 2008 Meeting Papers, Society for Economic Dynamics, number 944.
• Jose Scheinkman, 2008, "Long Term Risk," Annual Meeting Plenary, Society for Economic Dynamics, number 2008-2.
• Radu Lupu & Cristiana Tudor, 2008, "Direction of Change at the Bucharest Stock Exchange," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 11, issue 27, pages 165-185, January.
• Olfa Maalaoui Chun & Georges Dionne & Pascal François, 2008, "Detecting regime shifts in credit spreads," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 08-2, Jun.
• Raya Mamarbachi & Marc Day & Giampiero Favato, 2008, "Evaluating art as an alternative investment aset," Journal of Financial Transformation, Capco Institute, volume 24, pages 63-71.
• Haven, Emmanuel, 2008, "Elementary Quantum Mechanical Principles and Social Science: Is There a Connection?," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 5, issue 1, pages 41-58, March.
• Asma Mobarek & A. Sabur Mollah & Rafiqul Bhuyan, 2008, "Market Efficiency in Emerging Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 7, issue 1, pages 17-41, January, DOI: 10.1177/097265270700700102.
• Wolfgang Breuer, 2008, "Bounded Rationality, Rights Offerings, and Optimal Subscription Prices," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 60, issue 3, pages 224-248, July.
• Christian Schlag, 2008, "Discussion of "Bounded Rationality, Rights Offerings, and Optimal Subscription Prices"," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 60, issue 3, pages 249-250, July.
• Clive Bowsher & Roland Meeks, 2008, "The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve," OFRC Working Papers Series, Oxford Financial Research Centre, number 2008fe24.
• Raphael A. Espinoza & Dimitrios P. Tsomocos, 2008, "Liquidity and Asset Prices," OFRC Working Papers Series, Oxford Financial Research Centre, number 2008fe28.
• Lucjan T. Orlowski, 2008, "Stages of the Ongoing Global Financial Crisis: Is There a Wandering Asset-Price Bubble?," CASE Network Studies and Analyses, CASE-Center for Social and Economic Research, number 0372.
• Giovanni Cespa & Xavier Vives, 2008, "Dynamic Trading and Asset Prices: Keynes vs. Hayek," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 191, Jan.
• Manuel Ammann & Michael Steiner, 2008, "Risk Factors for the Swiss Stock Market," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 144, issue 1, pages 1-35, March.
• Peter C.B.Phillips & Jun Yu, 2008, "Information Loss in Volatility Measurement with Flat Price Trading," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-01-2008, May.
• Jun Yu, 2008, "A Semiparametric Stochastic Volatility Model," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-04-2008, Jul.
• Andreas M. Fischer & Angelo Ranaldo, 2008, "Does FOMC News Increase Global FX Trading?," Working Papers, Swiss National Bank, number 2008-09.
• Marie Briere & Alexandre Burgues & Ombretta Signori, 2008, "Volatility Exposure for Strategic Asset Allocation," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 08-034.RS.
• Michel Aglietta & Wladimir Andreff & Bastien Drut, 2008, "Bourse et Football," Working Papers, International Association of Sports Economists;North American Association of Sports Economists, number 0820, Aug.
• I. Roko & M. Gilli, 2008, "Using economic and financial information for stock selection," Computational Management Science, Springer, volume 5, issue 4, pages 317-335, October, DOI: 10.1007/s10287-007-0056-x.
• Miklós Rásonyi, 2008, "A note on arbitrage in term structure," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 31, issue 1, pages 73-79, May, DOI: 10.1007/s10203-007-0075-7.
• Britta Hamburg & Mathias Hoffmann & Joachim Keller, 2008, "Consumption, wealth and business cycles in Germany," Empirical Economics, Springer, volume 34, issue 3, pages 451-476, June, DOI: 10.1007/s00181-007-0130-9.
• Lorenzo Cappiello & Nikolaos Panigirtzoglou, 2008, "Estimates of foreign exchange risk premia: a pricing kernel approach," Empirical Economics, Springer, volume 35, issue 3, pages 475-495, November, DOI: 10.1007/s00181-007-0173-y.
• David McMillan, 2008, "Non-linear cointegration and adjustment: an asymmetric exponential smooth-transition model for US interest rates," Empirical Economics, Springer, volume 35, issue 3, pages 591-606, November, DOI: 10.1007/s00181-007-0180-z.
• John A Carlson & Christian M. Dahl & Carol L. Osler, 2008, "Short-run Exchange-Rate Dynamics: Theory and Evidence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-01, Jan.
• Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang, 2008, "Option Valuation with Long-run and Short-run Volatility Components," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-11, Feb.
• Tom Engsted & Stig V. Møller, 2008, "An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-12, Feb.
• Jie Zhu, 2008, "Pricing Volatility of Stock Returns with Volatile and Persistent Components," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-14, Mar.
• Jie Zhu, 2008, "Testing for Expected Return and Market Price of Risk in Chinese A-B Share Market: A Geometric Brownian Motion and Multivariate GARCH Model Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-15, Mar.
• Almut Veraart, 2008, "Inference for the jump part of quadratic variation of Itô semimartingales," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-17, Mar.
• Tom Engsted & Thomas Q. Pedersen, 2008, "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-27, May.
• Stig Vinther Møller, 2008, "Consumption growth and time-varying expected stock returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-40, Sep.
• Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias, 2008, "Semiparametric Inference in a GARCH-in-Mean Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-46, Sep.
• Charlotte Christiansen, 2008, "Mean Reversion in US and International Short Rates," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-47, Sep.
• Tim Bollerslev & Tzuo Hao & George Tauchen, 2008, "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-48, Sep.
• Almut E. D. Veraart, 2008, "Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-57, Nov.
• Thomas Q. Pedersen, 2008, "Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-60, Dec.
• Robert J. Barro & Jose F. Ursua, 2008, "Consumption Disasters in the Twentieth Century," American Economic Review, American Economic Association, volume 98, issue 2, pages 58-63, May, DOI: 10.1257/aer.98.2.58.
• Xavier Gabaix, 2008, "Variable Rare Disasters: A Tractable Theory of Ten Puzzles in Macro-finance," American Economic Review, American Economic Association, volume 98, issue 2, pages 64-67, May, DOI: 10.1257/aer.98.2.64.
• Francois Gourio, 2008, "Disasters and Recoveries," American Economic Review, American Economic Association, volume 98, issue 2, pages 68-73, May, DOI: 10.1257/aer.98.2.68.
• Ian W. R. Martin, 2008, "Disasters and the Welfare Cost of Uncertainty," American Economic Review, American Economic Association, volume 98, issue 2, pages 74-78, May, DOI: 10.1257/aer.98.2.74.
• John Geanakoplos & Ana Fostel, 2008, "Leverage Cycles and the Anxious Economy," American Economic Review, American Economic Association, volume 98, issue 4, pages 1211-1244, September, DOI: 10.1257/aer.98.4.1211.
• Nicholas Barberis & Ming Huang, 2008, "Stocks as Lotteries: The Implications of Probability Weighting for Security Prices," American Economic Review, American Economic Association, volume 98, issue 5, pages 2066-2100, December, DOI: 10.1257/aer.98.5.2066.
• Calin Valsan & Robert Sproule, 2008, "Reservation Prices And Pre-Auction Estimates: A Study In Abstract Art," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, volume 10, issue 24, pages 257-272, June.
• Wang, Honglin & Reardon, Thomas, 2008, "Social Learning and Parameter Uncertainty in Irreversible Investment----Evidence from Greenhouse Adoption in Northern China," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 6310, DOI: 10.22004/ag.econ.6310.
• Jovanovic, Boyan, 2008, "Bubbles In Prices Of Exhaustible Resources," Working Papers, American Association of Wine Economists, number 45830, Nov, DOI: 10.22004/ag.econ.45830.
• Power, Gabriel J. & Turvey, Calum G., 2008, "On Term Structure Models of Commodity Futures Prices and the Kaldor-Working Hypothesis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, number 37608, DOI: 10.22004/ag.econ.37608.
• Milne, Frank & Madan, Dilip, 2008, "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273634, Jul, DOI: 10.22004/ag.econ.273634.
• Milne, Frank & Madan, Dilip, 2008, "Option Pricing With V. G. Martingale Components," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273635, Oct, DOI: 10.22004/ag.econ.273635.
• Belhocine, Nazim, 2008, "The Stock of Intangible Capital in Canada: Evidence from the Aggregate Value of Securities," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273702, Sep, DOI: 10.22004/ag.econ.273702.
• Fendel, Ralf, 2008, "A Joint Characterization of German Monetary Policy and the Dynamics of the German Term Structure of Interest Rates," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 4, issue 01-2, pages 1-19, DOI: 10.22004/ag.econ.50005.
• Babecky, Jan & Komarek, Lubos & Komarkova, Zlatuse, 2008, "Financial Integration of Stock Markets among New EU Member States and the Euro Area," Economic Research Papers, University of Warwick - Department of Economics, number 269847, DOI: 10.22004/ag.econ.269847.
• Adina Elena DaNULETIU & Dan Constantin DANULETIU, 2008, "Assessing Financial Equilibrium of the Romanian Companies Traded at Bucharest Stock Exchange," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 36, pages 272-277, May.
• David BONNER, 2008, "Can oil reach $200 a barrel?," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 8, pages 132-137, December.
• Igor Goncharov & Allan Hodgson, 2008, "Comprehensive Income In Europe: Valuation, Prediction And Conservative Issues," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 10, pages 1-1.
• Zaiane Salma & Abaoub Ezzeddine, 2008, "Overconfidence And Trading Volume: Evidence From An Emergent Market," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 10, pages 1-41.
• Hommes, C.H. & Wagener, F.O.O., 2008, "Complex evolutionary systems in behavioral finance," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 08-05.
• Sonnemans, J. & Tuinstra, J., 2008, "Positive expectations feedback experiments and number guessing games as models of financial markets," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 08-07.
• Michel Alexandre & Ciro Biderman & Gilberto Tadeu Lima, 2008, "Distribuição Regional do Crédito Bancário e Convergência no Crescimento Estadual Brasileiro," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 9, issue 3, pages 457-490.
• Rafael Barros de Rezende, 2008, "Giving flexibility to the Nelso-Siegel class of term structure models," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 200807211322560.
• Franz Fuerst & Gianluca Marcato, 2008, "Style Analysis In Real Estate Markets: Beyond The Sectors And Regions Dichotomy," ERES, European Real Estate Society (ERES), number eres2008_146, Jan.
• Albert Marcet & Klaus Adam & Juan Pablo Nicolini, 2008, "Stock Market Volatility and Learning," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 732.08, Jan.
• 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.
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• 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.
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• 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.
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