Research classified by Journal of Economic Literature (JEL) codes

2009

• Valentina Galvani & Vladimir Troitsky, 2009, "Options and Efficiency in Spaces of Bounded Claims," Working Papers, University of Alberta, Department of Economics, number 2009-04, Jan.
• Georges Dionne, 2009, "Structured finance, risk management, and the recent financial crisis," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 09-6, Oct.
• Sang Hoon Kang & Seong-Min Yoon, 2009, "Modeling and Forecasting the Volatility of Eastern European Emerging Markets," East Asian Economic Review, Korea Institute for International Economic Policy, volume 13, issue 1, pages 113-132, DOI: 10.11644/KIEP.JEAI.2009.13.1.198.
• Min (Kevin) Zhao, 2009, "Short Sale Constraints and Stock Misvaluation: Daily Evidence on the Nasdaq," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 62, issue 4, pages 505-530.
• Rien Wagenvoort & André Ebner & Magdalena Morgese Borys, 2009, "EFR 2009-01 A factor analysis approach to measuring European loan and bond market integration," Economic and Financial Reports, European Investment Bank, Economics Department, number 2009/1, Nov.
• Martin Shmalz & Masayuki Fujita & Oliver Sawodny, 2009, "Directed Gossip Algorithms, Consensus Problems, and Stability Effects of Noise Trading," European Journal of Economic and Social Systems, Lavoisier, volume 22, issue 1, pages 43-61.
• Mauro Politi & Enrico Scalas, 2009, "From Renewal Theory to High-Frequency Finance," European Journal of Economic and Social Systems, Lavoisier, volume 22, issue 1, pages 83-98.
• Amalia Di Iorio, 2009, "Testing the Integration of the US and Chinese Stock Markets in a Fama-French Framework," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 24, pages 435-454.
• Sarat Dhal, 2009, "Global Crisis and the Integration of India’s Stock Market," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 24, pages 778-805.
• Kevin Lansing, 2009, "Speculative Bubbles and Overreaction to Technological Innovation," Journal of Financial Transformation, Capco Institute, volume 26, pages 51-54.
• Shahin Shojai & George Feiger, 2009, "Economists’ hubris – the case of asset pricing," Journal of Financial Transformation, Capco Institute, volume 27, pages 9-13.
• Pablo Fernandez, 2009, "The equity premium in 150 textbooks," Journal of Financial Transformation, Capco Institute, volume 27, pages 14-18.
• Bernd Schmid & Rudi Zagst & Stefan Antes & Fayssal El Moufatich, 2009, "Modeling and pricing of credit derivatives using macroeconomic information," Journal of Financial Transformation, Capco Institute, volume 26, pages 60-68.
• Zaizhi Wang, 2009, "Effective parameters for stochastic volatility models," Journal of Financial Transformation, Capco Institute, volume 26, pages 108-115.
• Kuntara Pukthuanthong, 2009, "Who benefits from market integration? A comparative study of Yankee IPOs from high and low integrated markets," Journal of Financial Transformation, Capco Institute, volume 26, pages 116-130.
• Vasile, Emilia & Armeanu, Dan, 2009, "Empirical Study On The Performances Of Black-Scholes Model For Evaluating European Options," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 6, issue 1, pages 48-62, March.
• Andreea ZAMFIR, 2009, "The promotion of renewable energy sources: European experiences and steps forward," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 12, issue 1, pages 152-167, June.
• Mihai BOTEZATU, 2009, "Comparable investment capital," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 12, issue 1, pages 180-192, June.
• BOTEZATU Mihai, 2009, "Capital investments in options contracts and straddle contracts," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 12, issue 2 Special, pages 12-18, July.
• Shishir MATHUR, 2009, "Financing Community Facilities: A Case Study Of The Parks And Recreational General Obligation Bond Measure Of San Jose, California," Theoretical and Empirical Researches in Urban Management, Research Centre in Public Administration and Public Services, Bucharest, Romania, volume 4, issue 2(11), pages 34-49, May.
• Donal Bredin & Cal Muckley, 2009, "An analysis of the EU Emission Trading Scheme," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/2568.
• John Cotter & Jim Hanly, 2009, "Hedging : scaling and the investor horizon," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/2597, Aug.
• John Cotter & Jim Hanly, 2009, "Time varying risk aversion : an application to energy hedging," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/2599, Aug.
• O. De Jonghe, 2009, "Back to the Basics in Banking? A Micro-Analysis of Banking System Stability," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 09/579, Apr.
• Maurice J. Roche & Michael J. Moore, 2009, "Solving Exchange Rate Puzzles with neither Sticky Prices nor Trade Costs," Working Papers, Toronto Metropolitan University, Department of Economics, number 001, Oct.
• Cathy Ning & Stephen Sapp, 2009, "Segmentation across International Equity, Bond, and Foreign Exchange Markets," Working Papers, Toronto Metropolitan University, Department of Economics, number 010, Nov.
• Inwon Jang & David Kim, 2009, "The Dynamics of the Credit Spread and Monetary Policy," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 8, issue 2, pages 109-131, May, DOI: 10.1177/097265270900800202.
• Kapil Gupta & Balwinder Singh, 2009, "Information Memory and Pricing Efficiency of Futures Contracts," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 8, issue 2, pages 191-250, May, DOI: 10.1177/097265270900800205.
• Deepak Jadhav & T.V. Ramanathan & U.V. Naik-Nimbalkar, 2009, "Modified Estimators of the Expected Shortfall," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 8, issue 2, pages 87-107, May, DOI: 10.1177/097265270900800201.
• Parantap Basu & Max Gillman & Joseph Pearlman, 2009, "Inflation, Human Capital and Tobin's q," CDMA Conference Paper Series, Centre for Dynamic Macroeconomic Analysis, number 0904, May.
• Alessandro Beber & Marco Pagano, 2009, "Short-Selling Bans around the World: Evidence from the 2007-09 Crisis," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 241, May, revised 03 Sep 2011.
• Manuel Ammann & Michael Steiner, 2009, "The Performance of Actively and Passively Managed Swiss Equity Funds," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 145, issue 1, pages 1-36, March.
• Anand Bansal & J.S. Pasricha, 2009, "Foreign Institutional Investor'S Impact On Stock Prices In India," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 1, issue 2 (Octobe, pages 174-182.
• Peter C. B. Phillips & Jun Yu, 2009, "Dating the Timeline of Financial Bubbles During the Subprime Crisis," Working Papers, Singapore Management University, School of Economics, number 18-2009, Nov.
• Tore Selland KLEPPE & Jun YU & Hans J. SKAUG, 2009, "Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models," Working Papers, Singapore Management University, School of Economics, number 20-2009, Jun.
• Peter C.B.Phillips & Jun Yu, 2009, "Dating the Timeline of Financial Bubbles During the Subprime Crisis," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-07-2009, Apr.
• Tore Selland Kleppe & Hans J. Skaug & Jun Yu, 2009, "Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-09-2009, Jun.
• James Cooley, 2009, "Stock Market Returns and Partisan Political Business Cycles," Departmental Working Papers, Southern Methodist University, Department of Economics, number 0902, Apr.
• Christian Hott, 2009, "Explaining House Price Fluctuations," Working Papers, Swiss National Bank, number 2009-05.
• Christian Hott, 2009, "Banks and Real Estate Prices," Working Papers, Swiss National Bank, number 2009-08.
• Thomas Hemmelgarn & Gaëtan Nicodème, 2009, "Tax Co-ordination in Europe: Assessing the First Years of the EU-Savings Taxation Directive," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 09-023.RS.
• Marie Briere & Ombretta Signori, 2009, "Inflation-hedging portfolios in Different Regimes," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 09-047.RS.
• Ariane Szafarz, 2009, "How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 09-048.RS.
• Brad R. Humphreys & Yang Seung Lee, 2009, "Franchise Values in North American Professional Sports Leagues: Evidence from a Repeat Sales Method," Working Papers, International Association of Sports Economists;North American Association of Sports Economists, number 0914, Nov.
• Enzo Giacomini & Wolfgang Härdle & Volker Krätschmer, 2009, "Dynamic semiparametric factor models in risk neutral density estimation," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 93, issue 4, pages 387-402, December, DOI: 10.1007/s10182-009-0115-4.
• Wachter, Jessica A. & Warusawitharana, Missaka, 2009, "Predictable returns and asset allocation: Should a skeptical investor time the market?," Journal of Econometrics, Elsevier, volume 148, issue 2, pages 162-178, February.
• Härdle, Wolfgang & Hlávka, Zdenek, 2009, "Dynamics of state price densities," Journal of Econometrics, Elsevier, volume 150, issue 1, pages 1-15, May.
• Guidolin, Massimo & Timmermann, Allan, 2009, "Forecasts of US short-term interest rates: A flexible forecast combination approach," Journal of Econometrics, Elsevier, volume 150, issue 2, pages 297-311, June.
• Zhang, Xibin & Brooks, Robert D. & King, Maxwell L., 2009, "A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation," Journal of Econometrics, Elsevier, volume 153, issue 1, pages 21-32, November.
• Magni, Carlo Alberto, 2009, "Correct or incorrect application of CAPM? Correct or incorrect decisions with CAPM?," European Journal of Operational Research, Elsevier, volume 192, issue 2, pages 549-560, January.
• Magni, Carlo Alberto, 2009, "Splitting up value: A critical review of residual income theories," European Journal of Operational Research, Elsevier, volume 198, issue 1, pages 1-22, October.
• Schmeling, Maik, 2009, "Investor sentiment and stock returns: Some international evidence," Journal of Empirical Finance, Elsevier, volume 16, issue 3, pages 394-408, June.
• Ren, Yu & Shimotsu, Katsumi, 2009, "Improvement in finite sample properties of the Hansen-Jagannathan distance test," Journal of Empirical Finance, Elsevier, volume 16, issue 3, pages 483-506, June.
• Møller, Stig Vinther, 2009, "Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns," Journal of Empirical Finance, Elsevier, volume 16, issue 4, pages 525-536, September.
• Adrian, Tobias & Franzoni, Francesco, 2009, "Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM," Journal of Empirical Finance, Elsevier, volume 16, issue 4, pages 537-556, September.
• Apergis, Nicholas & Miller, Stephen M., 2009, "Do structural oil-market shocks affect stock prices?," Energy Economics, Elsevier, volume 31, issue 4, pages 569-575, July.
• Söderlind, Paul, 2009, "Why disagreement may not matter (much) for asset prices," Finance Research Letters, Elsevier, volume 6, issue 2, pages 73-82, June.
• Ning, Cathy & Wirjanto, Tony S., 2009, "Extreme return-volume dependence in East-Asian stock markets: A copula approach," Finance Research Letters, Elsevier, volume 6, issue 4, pages 202-209, December.
• von Peter, Goetz, 2009, "Asset prices and banking distress: A macroeconomic approach," Journal of Financial Stability, Elsevier, volume 5, issue 3, pages 298-319, September.
• Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2009, "What is the impact of stock market contagion on an investor's portfolio choice?," Insurance: Mathematics and Economics, Elsevier, volume 45, issue 1, pages 94-112, August.

2008

• Bollerslev, Tim & Law, Tzuo Hann & Tauchen, George, 2008, "Risk, jumps, and diversification," Journal of Econometrics, Elsevier, volume 144, issue 1, pages 234-256, May.
• Han, Heejoon & Park, Joon Y., 2008, "Time series properties of ARCH processes with persistent covariates," Journal of Econometrics, Elsevier, volume 146, issue 2, pages 275-292, October.
• Diebold, Francis X. & Li, Canlin & Yue, Vivian Z., 2008, "Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach," Journal of Econometrics, Elsevier, volume 146, issue 2, pages 351-363, October.
• Lundtofte, Frederik, 2008, "Expected life-time utility and hedging demands in a partially observable economy," European Economic Review, Elsevier, volume 52, issue 6, pages 1072-1096, August.
• Tsuyuguchi, Yosuke & Wooldridge, Philip D., 2008, "The evolution of trading activity in Asian foreign exchange markets," Emerging Markets Review, Elsevier, volume 9, issue 4, pages 231-246, December.
• Coudert, Virginie & Gex, Mathieu, 2008, "Does risk aversion drive financial crises? Testing the predictive power of empirical indicators," Journal of Empirical Finance, Elsevier, volume 15, issue 2, pages 167-184, March.
• Amilon, Henrik, 2008, "Estimation of an adaptive stock market model with heterogeneous agents," Journal of Empirical Finance, Elsevier, volume 15, issue 2, pages 342-362, March.
• Jalal, Amine & Rockinger, Michael, 2008, "Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data," Journal of Empirical Finance, Elsevier, volume 15, issue 5, pages 868-877, December.
• Cartea, Álvaro & Williams, Thomas, 2008, "UK gas markets: The market price of risk and applications to multiple interruptible supply contracts," Energy Economics, Elsevier, volume 30, issue 3, pages 829-846, May.
• Asgharian, Hossein & Karlsson, Sonnie, 2008, "Evaluating a non-linear asset pricing model on international data," International Review of Financial Analysis, Elsevier, volume 17, issue 3, pages 604-621, June.
• Christiansen, Charlotte, 2008, "Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates," International Review of Financial Analysis, Elsevier, volume 17, issue 5, pages 925-948, December.
• Lanne, Markku & Luoto, Jani, 2008, "Robustness of the risk-return relationship in the U.S. stock market," Finance Research Letters, Elsevier, volume 5, issue 2, pages 118-127, June.
• Møller, Stig Vinther, 2008, "Consumption growth and time-varying expected stock returns," Finance Research Letters, Elsevier, volume 5, issue 3, pages 129-136, September.
• Gourio, François, 2008, "Time-series predictability in the disaster model," Finance Research Letters, Elsevier, volume 5, issue 4, pages 191-203, December.
• Frehen, Rik G.P. & Hoevenaars, Roy P.M.M. & Palm, Franz C. & Schotman, Peter C., 2008, "Regret aversion and annuity risk in defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, volume 42, issue 3, pages 1050-1061, June.
• Boyle, Phelim & Tian, Weidong, 2008, "The design of equity-indexed annuities," Insurance: Mathematics and Economics, Elsevier, volume 43, issue 3, pages 303-315, December.
• Jayasinghe, Prabhath & Tsui, Albert K., 2008, "Exchange rate exposure of sectoral returns and volatilities: Evidence from Japanese industrial sectors," Japan and the World Economy, Elsevier, volume 20, issue 4, pages 639-660, December.
• 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.
• Geetesh Bhardwaj & Gary Gorton & K. Rouwenhorst, 2008, "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," Yale School of Management Working Papers, Yale School of Management, number amz2429, Oct.
• Martijn Cremers & Antti Petajisto & Eric Zitzewitz, 2008, "Should Benchmark Indices Have Alpha? Revisiting Performance," Yale School of Management Working Papers, Yale School of Management, number amz2452, Mar, revised 26 Jan 2010.
• Monica Billio & Mila Getmansky & Loriana Pelizzon, 2008, "Crises and Hedge Fund Risk," Yale School of Management Working Papers, Yale School of Management, number amz2561, May, revised 01 Oct 2009.
• Fochmann, Martin & Rumpf, Dominik, 2008, "Modellierung von Aktienanlagen bei laufenden Umschichtungen und einer Besteuerung von Veräußerungsgewinnen," arqus Discussion Papers in Quantitative Tax Research, arqus - Arbeitskreis Quantitative Steuerlehre, number 59.
• Fedorova, Elena & Vaihekoski, Mika, 2008, "Global and local sources of risk in Eastern European emerging stock markets," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 27/2008.
• Marzo, Massimiliano & Romagnoli, Silvia & Zagaglia, Paolo, 2008, "A continuous-time model of the term structure of interest rates with fiscal-monetary policy interactions," Bank of Finland Research Discussion Papers, Bank of Finland, number 25/2008.
• Spargoli, Fabrizio & Zagaglia, Paolo, 2008, "The co-movements along the forward curve of natural gas futures: a structural view," Bank of Finland Research Discussion Papers, Bank of Finland, number 26/2008.
• Schulze, Klaas, 2008, "Asymptotic Maturity Behavior of the Term Structure," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 11/2008.
• Schulz, Alexander & Wolff, Guntram B., 2008, "The German sub-national government bond market: evolution, yields and liquidity," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2008,06.
• Jank, Stephan & Wedow, Michael, 2008, "Sturm und Drang in money market funds: when money market funds cease to be narrow," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2008,20.
• Memmel, Christoph, 2008, "Which interest rate scenario is the worst one for a bank? Evidence from a tracking bank approach for German savings and cooperative banks," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2008,07.
• Tang, Dragon Yongjun & Yan, Hong, 2008, "Market conditions, default risk and credit spreads," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2008,08.
• Zhu, Haibin & Tarashev, Nikola A., 2008, "The pricing of correlated default risk: evidence from the credit derivatives market," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2008,09.
• Scheicher, Martin & Raunig, Burkhard, 2008, "A value at risk analysis of credit default swaps," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2008,12.
• Lux, Thomas, 2008, "Stochastic behavioral asset pricing models and the stylized facts," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2008-08.
• Franke, Reiner, 2008, "On the Interpretation of Price Adjustments and Demand in Asset Pricing Models with Mean-Variance Optimization," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2008-13.
• Franke, Reiner, 2008, "Artificial Long Memory Effects in Two Agend-Based Asset Pricing Models," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2008-15.
• Liu, Ruipeng & Di Matteo, Tiziana & Lux, Thomas, 2008, "Multifractality and long-range dependence of asset returns: The scaling behaviour of the Markov-switching multifractal model with lognormal volatility components," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2008-09.
• Rapp, Marc Steffen & Schwetzler, Bernhard, 2008, "Equilibrium security prices with capital income taxes and an exogenous interest rate," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2008-08.
• Stange, Sebastian & Kaserer, Christoph, 2008, "Why and how to integrate liquidity risk into a VaR-framework," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2008-10.
• Blonski, Matthias & von Lilienfeld-Toal, Ulf, 2008, "Excess returns and the distinguished player paradox," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 78.
• Cespa, Giovanni & Foucault, Thierry, 2008, "Insiders-outsiders, transparency and the value of the ticker," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/39.
• Field, Jonathan & Large, Jeremy, 2008, "Pro-rata matching and one-tick futures markets," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/40.
• Ben-Rephael, Azi & Kadan, Ohad & Wohl, Avi, 2008, "The diminishing liquidity premium," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/52.
• Düring, Bertram, 2008, "Asset pricing under information with stochastic volatility," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 08/04.
• Weber, Andreas & Wystup, Uwe, 2008, "Riesterrente im Vergleich: Eine Simulationsstudie zur Verteilung der Renditen," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 12.
• Weber, Andreas & Wystup, Uwe, 2008, "Vergleich von Anlagestrategien bei Riesterrenten ohne Berücksichtigung von Gebühren: Eine Simulationsstudie zur Verteilung der Renditen," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 13.
• Hakala, Jürgen & Wystup, Uwe, 2008, "FX basket options," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 14.
• Packham, Natalie & Schmidt, Wolfgang M., 2008, "Latin hypercube sampling with dependence and applications in finance," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 15.
• Wystup, Uwe, 2008, "Foreign exchange symmetries," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 9.
• Küster Simic, André & Thönnessen, Rasmus, 2008, "Geschlossene Schifffonds - Portfolio- und Marktrisiken. Eine empirische Untersuchung anhand von Zweitmarktkursdaten," Working Paper Series, Hamburg School of Business Administration (HSBA), number 03/2008.
• Küster Simic, André & Prigge, Stefan & Thönnessen, Rasmus, 2008, "Informationseffizienz von Handelsplattformen für Schiffsfonds," Working Paper Series, Hamburg School of Business Administration (HSBA), number 04/2008.
• Küster Simic, André & von Duesterlho, Jens-Eric & Endert, Volker, 2008, "Bewertung von Schiffsfonds: Brücke zwischen Theorie und Praxis," Working Paper Series, Hamburg School of Business Administration (HSBA), number 05/2008.
• Mendes, Rui Vilela & Oliveira, Maria J., 2008, "A Data-Reconstructed Fractional Volatility Model," Economics Discussion Papers, Kiel Institute for the World Economy, number 2008-22.
• Orlowski, Lucjan T., 2008, "Stages of the 2007/2008 Global Financial Crisis Is There a Wandering Asset-Price Bubble?," Economics Discussion Papers, Kiel Institute for the World Economy, number 2008-43.
• Lux, Thomas, 2008, "Applications of statistical physics in finance and economics," Kiel Working Papers, Kiel Institute for the World Economy, number 1425.
• Lux, Thomas, 2008, "Stochastic behavioral asset pricing models and the stylized facts," Kiel Working Papers, Kiel Institute for the World Economy, number 1426.
• Liu, Ruipeng & Di Matteo, Tiziana & Lux, Thomas, 2008, "Multifractality and long-range dependence of asset returns: The scaling behaviour of the Markov-switching multifractal model with lognormal volatility components," Kiel Working Papers, Kiel Institute for the World Economy, number 1427.
• Irle, Albrecht & Prelle, Claas, 2008, "A note on arbitrage under transaction costs," Kiel Working Papers, Kiel Institute for the World Economy, number 1450.
• Lux, Thomas, 2008, "Sentiment dynamics and stock returns: the case of the German stock market," Kiel Working Papers, Kiel Institute for the World Economy, number 1470.
• Golubev, Yuri & Härdle, Wolfgang Karl & Timofeev, Roman, 2008, "Testing monotonicity of pricing Kernels," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-001.
• Härdle, Wolfgang Karl & Mungo, Julius, 2008, "Value-at-risk and expected shortfall when there is long range dependence," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-006.
• Andriyashin, Anton & Härdle, Wolfgang Karl & Timofeev, Roman, 2008, "Recursive portfolio selection with decision trees," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-009.
• Andriyashin, Anton, 2008, "Stock picking via nonsymmetrically pruned binary decision trees," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-035.
• Schmeling, Maik & Schrimpf, Andreas, 2008, "Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-036.
• Giacomini, Enzo & Härdle, Wolfgang Karl & Krätschmer, Volker, 2008, "Dynamic semiparametric factor models in risk neutral density estimation," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-038.
• Härdle, Wolfgang Karl & Myšičková, Alena, 2008, "Numerics of implied binomial trees," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-044.
• Hautsch, Nikolaus & Ou, Yangguoyi, 2008, "Discrete-time stochastic volatility models and MCMC-based statistical inference," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-063.
• Becker, Franziska & Gürtler, Marc, 2008, "Quantitative forecast model for the application of the Black-Litterman approach," Working Papers, Technische Universität Braunschweig, Institute of Finance, number IF27V2.
• Schosser, Josef, 2008, "Bewertung ohne "Kapitalkosten": Ein arbitragetheoretischer Ansatz zu Unternehmenswert, Kapitalstruktur und persönlicher Besteuerung," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe, University of Passau, Faculty of Business and Economics, number 13.
• Oberndorfer, Ulrich, 2008, "Returns and Volatility of Eurozone Energy Stocks," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 08-017.
• Schrimpf, Andreas, 2008, "International Stock Return Predictability Under Model Uncertainty," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 08-048.
• Oberndorfer, Ulrich, 2008, "EU Emission Allowances and the Stock Market: Evidence from the Electricity Industry," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 08-059.
• 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.
• 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.
• Wolfgang Breuer & Franziska Feilke & Marc Gürtler, 2008, "Analysts’ Dividend Forecasts, Portfolio Selection, and Market Risk Premia," Operations Research Proceedings, Springer, in: Jörg Kalcsics & Stefan Nickel, "Operations Research Proceedings 2007", DOI: 10.1007/978-3-540-77903-2_39.
• 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(0x5efc47f8), October, DOI: 10.1007/978-3-540-68688-0.
• Quan Gan & Robert J. Hill, 2008, "A New Perspective on the Relationship Between House Prices and Income," Discussion Papers, School of Economics, The University of New South Wales, number 2008-13, Aug.
• N. K. Nomikos & O. Soldatos, 2008, "Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, volume 15, issue 1, pages 41-71, DOI: 10.1080/13504860701427362.
• E. Papageorgiou & R. Sircar, 2008, "Multiscale Intensity Models for Single Name Credit Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, volume 15, issue 1, pages 73-105, DOI: 10.1080/13504860701352222.
• B. Peeters & C. L. Dert & A. Lucas, 2008, "Hedging Large Portfolios of Options in Discrete Time," Applied Mathematical Finance, Taylor & Francis Journals, volume 15, issue 3, pages 251-275, DOI: 10.1080/13504860701718471.
• Sascha Mergner & Jan Bulla, 2008, "Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques," The European Journal of Finance, Taylor & Francis Journals, volume 14, issue 8, pages 771-802, DOI: 10.1080/13518470802173396.
• Wolfgang Lemke & Theofanis Archontakis, 2008, "Bond pricing when the short-term interest rate follows a threshold process," Quantitative Finance, Taylor & Francis Journals, volume 8, issue 8, pages 811-822, DOI: 10.1080/14697680701691451.
• Marc Jeannin & Giulia Iori & David Samuel, 2008, "Modeling stock pinning," Quantitative Finance, Taylor & Francis Journals, volume 8, issue 8, pages 823-831, DOI: 10.1080/14697680701881763.
• Stavros Degiannakis & Evdokia Xekalaki, 2008, "SPEC model selection algorithm for ARCH models: an options pricing evaluation framework," Applied Financial Economics Letters, Taylor & Francis Journals, volume 4, issue 6, pages 419-423, DOI: 10.1080/17446540701765258.
• John C. Frain, 2008, "Maximum Likelihood Estimates of Regression Coefficients with alpha-stable residuals and Day of Week effects in Total Returns on Equity Indices," Trinity Economics Papers, Trinity College Dublin, Department of Economics, number tep0108, May, revised May 2008.
• Lorenzo Pozzi & Guido Wolswijk, 2008, "Have Euro Area Government Bond Risk Premia Converged To Their Common State?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-042/2, Apr, revised 07 Sep 2009.
• Cars Hommes & Florian Wagener, 2008, "Complex Evolutionary Systems in Behavioral Finance," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-054/1, May.
• Joep Sonnemans & Jan Tuinstra, 2008, "Positive Expectations Feedback Experiments and Number Guessing Games as Models of Financial Markets," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-076/1, Aug.
• Renneboog, L.D.R. & Spaenjers, C., 2008, "The Dutch Grey Market," Discussion Paper, Tilburg University, Center for Economic Research, number 2008-88.
• Palomino, F.A. & Renneboog, L.D.R. & Zhang, C., 2008, "Information Salience, Investor Sentiment, and Stock Returns : The Case of British Soccer Betting," Discussion Paper, Tilburg University, Center for Economic Research, number 2008-99.
• Renneboog, L.D.R. & Spaenjers, C., 2008, "The Dutch Grey Market," Other publications TiSEM, Tilburg University, School of Economics and Management, number 77991d9e-e897-4d2f-8f26-a.
• Palomino, F.A. & Renneboog, L.D.R. & Zhang, C., 2008, "Information Salience, Investor Sentiment, and Stock Returns : The Case of British Soccer Betting," Other publications TiSEM, Tilburg University, School of Economics and Management, number 91f34e3c-7702-4ab3-bf1d-7.
• Chun Liu & John M Maheu, 2008, "Forecasting Realized Volatility: A Bayesian Model Averaging Approach," Working Papers, University of Toronto, Department of Economics, number tecipa-313, Apr.
• Eduardo Levy Yeyati & Sergio L. Schmukler & Neeltje Van Horen, 2008, "Emerging Market Liquidity and Crises," Journal of the European Economic Association, MIT Press, volume 6, issue 2-3, pages 668-682, 04-05.
• Dirk Krueger & Hanno Lustig & Fabrizio Perri, 2008, "Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data," Journal of the European Economic Association, MIT Press, volume 6, issue 2-3, pages 715-726, 04-05.
• Giulio Bottazzi & Giovanna Devetag & Francesca Pancotto, 2008, "Does Volatility matter? Expectations of price return and variability in an asset pricing experiment," CEEL Working Papers, Cognitive and Experimental Economics Laboratory, Department of Economics, University of Trento, Italia, number 0801.
• Roberto Casarin & Loriana Pelizzon & Andrea Piva, 2008, "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers, University of Brescia, Department of Economics, number 0817.
• Isaac Ehrlich & William A. Hamlen Jr. & Yong Yin, 2008, "Asset Management, Human Capital, and the Market for Risky Assets," Journal of Human Capital, University of Chicago Press, volume 2, issue 3, pages 217-262, DOI: 10.1086/593051.
• Nicholas Apergis & Stephen M. Miller, 2008, "Do Structural Oil-Market Shocks Affect Stock Prices?," Working papers, University of Connecticut, Department of Economics, number 2008-51, Jul.
• John Driffill & Turalay Kenc & Martin Sola & Fabio Spagnolo, 2008, "On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2008-04, Apr.
• Marie Briere & Ariane Szafarz, 2008, "Crisis-Robust Bond Portfolios," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/14150.
• Mark Hallerberg & Guntram Wolff, 2008, "Fiscal institutions, fiscal policy and sovereign risk premia in EMU," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/386957, Sep.
• Kerstin Bernoth & Guntram Wolff, 2008, "Fool The Markets? Creative Accounting, Fiscal Transparency And Sovereign Risk Premia," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/386959, Sep.