Research classified by Journal of Economic Literature (JEL) codes

2008

• Giulio Cifarelli & Giovanna Paladino, 2008, "Oil price Dynamics and Speculation. A Multivariate Financial Approach," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2008_15.rdf.
• Guglielmo Maria Caporale & Mario Cerrato, 2008, "Chebyshev polynomial approximation to approximate partial differential equations," Working Papers, Business School - Economics, University of Glasgow, number 2008_16, Mar.
• Matteo Modena, 2008, "An Empirical Analysis of the Curvature Factor of the Term Structure of Interest Rates," Working Papers, Business School - Economics, University of Glasgow, number 2008_35, Sep.
• Matteo Modena, 2008, "The Term Structure and the Expectations Hypothesis: a Threshold Model," Working Papers, Business School - Economics, University of Glasgow, number 2008_36, Jul.
• Mathieu Gatumel & Dominique Guegan, 2008, "Towards an understanding approach of the insurance linked securities market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00235354, Jan.
• Dominique Guegan, 2008, "Non-stationarity and meta-distribution," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00270708, Mar.
• Wladimir Andreff & Michel Aglietta & Bastien Drut, 2008, "Bourse et Football," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00293907, Mar.
• Mathieu Gatumel & Dominique Guegan, 2008, "Dynamic Analysis of the Insurance Linked Securities Index," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00320378, Sep.
• Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008, "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00336475, Oct.
• Laurent-Emmanuel Calvet & Adlai J. Fisher, 2008, "Multifrequency jump-diffusions: An equilibrium approach," Post-Print, HAL, number hal-00459681, Jan, DOI: 10.1016/j.jmateco.2007.06.001.
• Elyès Jouini & Selima Ben Mansour & Clotilde Napp & Jean-Michel Marin & Christian P. Robert, 2008, "Are Risk Averse Agents More Optimistic? A Bayesian Estimation Approach," Post-Print, HAL, number halshs-00176629, DOI: 10.2139/ssrn.1000199.
• Wladimir Andreff & Michel Aglietta & Bastien Drut, 2008, "Bourse et Football," Post-Print, HAL, number halshs-00293907, Mar.
• V. Coudert & M. Gex, 2008, "Does risk aversion drive financial crises? Testing the predictive power of empirical indicators," Post-Print, HAL, number halshs-00321667.
• Diego Nocetti & Elyès Jouini & Clotilde Napp, 2008, "Properties of the Social Discount Rate in a Benthamite Framework with Heterogeneous Degrees of Impatience," Post-Print, HAL, number halshs-00365980, Oct, DOI: 10.1287/mnsc.1080.0904.
• Mohamed Boutahar & Gilles Dufrénot & Anne Peguin-Feissolle, 2008, "A simple fractionally integrated model with a time-varying long memory parameter dt," Post-Print, HAL, number halshs-00390136, DOI: 10.1007/s10614-007-9115-1.
• Rudy de Winne & Carole Gresse & Isabelle Platten, 2008, "Liquidity and Risk Sharing Benefits from Opening an ETF Market with Liquidity Providers: Evidence from the CAC 40 Index," Post-Print, HAL, number halshs-00673252, Dec.
• Milo Bianchi & Philippe Jehiel, 2008, "Bubbles and crashes with partially sophisticated investors," PSE Working Papers, HAL, number halshs-00586045, Oct.
• Thierry Foucault & David Thesmar & David Sraer, 2008, "Individual Investors and Volatility," Working Papers, HAL, number hal-00578370, Jul.
• Nicolas Coeurdacier & Stéphane Guibaud, 2008, "A dynamic equilibrium of imperfectly integrated financial markets," Working Papers, HAL, number hal-03602487, Oct.
• Michel Aglietta & Laurence Scialom, 2008, "Permanence and innovation in central banking policy for financial stability," Working Papers, HAL, number hal-04140738.
• Mohamed Boutahar & Gilles Dufrénot & Anne Peguin-Feissolle, 2008, "A SIMPLE FRACTIONALLY INTEGRATED MODEL WITH A TIME-VARYING LONG MEMORY PARAMETER Dt - [Document de travail n°2008 - 10]," Working Papers, HAL, number halshs-00275254, May.
• Milo Bianchi & Philippe Jehiel, 2008, "Bubbles and crashes with partially sophisticated investors," Working Papers, HAL, number halshs-00586045, Oct.
• Kruse, Robinson, 2008, "Rational bubbles and fractional integration," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-394, Mar.
• Schmeling, Maik, 2008, "Investor sentiment and stock returns: Some international evidence," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-407, Nov.
• Møller, Stig Vinther, 2008, "Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number F-2008-04, Mar.
• Ahlgren, Niklas & Sjö, Bo & Zhang, Jianhua, 2008, "Panel Cointegration of Chinese A and B Shares," Working Papers in Economics, University of Gothenburg, Department of Economics, number 300, Apr.
• Chollete, Lorán & Næs, Randi & Skjeltorp, Johannes A., 2008, "The Risk Components of Liquidity," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2008/7, Mar.
• Lindset, Snorre & Lund, Arne-Christian & Persson, Svein-Arne, 2008, "Credit Spreads and Incomplete Information," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2008/9, Mar.
• Ekern, Steinar, 2008, "An Arbitrary Benchmark CAPM: One Additional Frontier Portfolio is Sufficient," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2008/24, Oct.
• Dillén, Hans, 2008, "The Monetary Policy Decision-Making Process and the Term Structure of Interest Rates," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 222, Apr.
• Marzo, Massimiliano & Romagnoli , Silvia & Zagaglia, Paolo, 2008, "A Continuous-Time Model of the Term Structure of Interest Rates with Fiscal-Monetary Policy Interactions," Research Papers in Economics, Stockholm University, Department of Economics, number 2008:6, Jul.
• Söderberg, Jonas, 2008, "Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia," CAFO Working Papers, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, number 2009:10, Dec.
• Söderberg, Jonas, 2008, "Liquidity on the Scandinavian Order-driven Stock Exchanges," CAFO Working Papers, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, number 2009:11, Dec.
• Aono, Kohei & 青野, 幸平 & アオノ, コウヘイ & Iwaisako, Tokuo & 祝迫, 得夫 & イワイサコ, トクオ, 2008, "The Consumption-Wealth Ratio, Real Estate Wealth, and the Japanese Stock Market," Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number a504, Jul.
• Hara, Chiaki & 原, 千秋 & ハラ, チアキ, 2008, "Complete Monotonicity of the Representative Consumer's Discount Factor," PIE/CIS Discussion Paper, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University, number 367, Mar.
• Hara, Chiaki & 原, 千秋 & ハラ, チアキ & Huang, James & Kuzmics, Christoph, 2008, "Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem," PIE/CIS Discussion Paper, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University, number 368, Mar.
• Hara, Chiaki & 原, 千秋 & ハラ, チアキ, 2008, "Heterogeneous Impatience in a Continuous-Time Model," PIE/CIS Discussion Paper, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University, number 396, Aug.
• Laurence Fung & Ip-wing Yu, 2008, "Predicting Stock Market Returns by Combining Forecasts," Working Papers, Hong Kong Monetary Authority, number 0801, Mar.
• Lillian Cheung & Laurence Fung & Chi-sang Tam, 2008, "Measuring Financial Market Interdependence and Assessing Possible Contagion Risk in the EMEAP Region," Working Papers, Hong Kong Monetary Authority, number 0818, Dec.
• Ivo Krznar, 2008, "International Business Cycles with Frictions in Goods and Factors Markets," Working Papers, The Croatian National Bank, Croatia, number 18, Jun.
• Glaeser, Edward & Saiz, Albert & Gyourko, Joseph, 2008, "Housing Supply and Housing Bubbles," Scholarly Articles, Harvard University Department of Economics, number 2962640.
• Campbell, John, 2008, "Estimating the Equity Premium," Scholarly Articles, Harvard University Department of Economics, number 3196339.
• Stein, Jeremy & Kubik, Jeffrey D. & Hong, Harrison, 2008, "The Only Game in Town: Stock-Price Consequences of Local Bias," Scholarly Articles, Harvard University Department of Economics, number 3710665.
• Vincent Louis Ovlia & David Enke & Michael C. Davis, 2008, "The Effects Of Congressional Elections On Future Equity Market Returns," Global Journal of Business Research, The Institute for Business and Finance Research, volume 2, issue 1, pages 1-15.
• Miguel Angel Perez Martínez & Vicente Ruiz Herran & Miguel Angel Pena Cerezo, 2008, "Models Of Financial Immunization: Behavior On The Spanish Public Debt Market," Global Journal of Business Research, The Institute for Business and Finance Research, volume 2, issue 1, pages 101-109.
• Eduardo Sandoval & Arturo Vásquez, 2008, "The Effect Of Exchange Rate Risk On The Conditional Relationship Between Beta Risk And Return In International Equity Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 2, issue 2, pages 1-118.
• Bala Arshanapalli & William Nelson, 2008, "A Cointegration Test To Verify The Housing Bubble," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 2, issue 2, pages 35-43.
• Claudio Morana, 2008, "Realized Betas and the Cross-Section of Expected Returns," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 15-2008, Jun.
• Décamps, Jean-Paul & Mariotti, Thomas & Rochet, Jean-Charles & Villeneuve, Stéphane, 2008, "Free Cash-Flow, Issuance Costs and Stock Price Volatility," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 518, Sep.
• Gollier, Christian, 2008, "Discounting with Fat-Tailed Economic Growth," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 523, Jul.
• Christoph Memmel, 2008, "Which interest rate scenario is the worst one for a bank? Evidence from a tracking bank approach for German savings and cooperative banks," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, volume 1, issue 1, pages 85-104.
• Pythagoras PETRATOS, 2008, "Real Option Applications to Information Security," Communications & Strategies, IDATE, Com&Strat dept., volume 1, issue 70, pages 15-26, 2nd quart.
• Önder KAYMAZ & Ali ALP & Kaymaz ÖZGÜR, 2008, "Behavioral research: What the theories say," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 23, issue 264, pages 21-39.
• Macide ÇİÇEK, 2008, "Türkiye’de devlet iç borçlanma senetlerinin günlük getirilerinde mevsimsellik ve koşullu risk," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 23, issue 264, pages 93-118.
• Sezgin DEMİR & Yusuf KADERLİ, 2008, "Ödül beta yaklasımının Istanbul Menkul Kıymetler Borsası’nda uygulanması," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 23, issue 266, pages 95-113.
• Sergio Godoy, 2008, "Emerging Markets Spreads at the Turn of the Cantury: A roller Coaster," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 23, issue 2, pages 57-94, Diciembre.
• Jouchi Nakajima, 2008, "EGARCH and Stochastic Volatility: Modeling Jumps and Heavy-tails for Stock Returns," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 08-E-23, Sep.
• Diego Nocetti & Elyès Jouini & Clotilde Napp, 2008, "Properties of the Social Discount Rate in a Benthamite Framework with Heterogeneous Degrees of Impatience," Management Science, INFORMS, volume 54, issue 10, pages 1822-1826, October, DOI: 10.1287/mnsc.1080.0904.
• Rodrigo A. Alfaro & Carmen Gloria Silva, 2008, "Volatilidad de Indices Accionarios: El caso del IPSA," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 45, issue 132, pages 217-233.
• Claudio Campanale & Gian Luca Clementi & Rui Castro, 2008, "Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2008-14, Oct.
• Selima Ben Mansour & Elyès Jouini & Jean-Michel Marin & Clotilde Napp & Christian Robert, 2008, "Are risk-averse agents more optimistic? A Bayesian estimation approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 23, issue 6, pages 843-860, DOI: 10.1002/jae.1027.
• Jian-Hsin Chou & Hong-Fwu Yu & Der-Rong Hwu, 2008, "Testing Term Structure Estimation Models: Evidence from Taiwan's Government Bonds Market," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, volume 4, issue 1, pages 35-63, January.
• Shih-Ju Chan & Ching-Chung Lin & Wen-Hsiu Kuo, 2008, "The Policy Effects of Lifting the Short-Sale Price Restriction on Stock Price Behaviors," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, volume 4, issue 2, pages 203-228, July.
• Chun-Da Chen & Fu-Pin Hung & Dar-Hsin Chen & Hsin-Ho Lin, 2008, "The Motivations of Issuing Convertible Bonds - An Inquiry regarding the Sequential-Financing Hypothesis," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, volume 4, issue 2, pages 229-250, July.
• Prashanth Mahagaonkar & Jianying Qiu, 2008, "Testing the Modigliani-Miller theorem directly in the lab: a general equilibrium approach," Jena Economics Research Papers, Friedrich-Schiller-University Jena, number 2008-056, Jul.
• Han Ozsoylev, 2008, "Amplification and asymmetry in crashes and frenzies," Annals of Finance, Springer, volume 4, issue 2, pages 157-181, March, DOI: 10.1007/s10436-007-0077-z.
• D. Won & G. Hahn & N. Yannelis, 2008, "Capital market equilibrium without riskless assets: heterogeneous expectations," Annals of Finance, Springer, volume 4, issue 2, pages 183-195, March, DOI: 10.1007/s10436-007-0074-2.
• Johannes Leitner, 2008, "Fair (intra-bank transfer) prices for credits with stochastic recovery," Annals of Finance, Springer, volume 4, issue 2, pages 243-253, March, DOI: 10.1007/s10436-006-0070-y.
• Marcelo Pinheiro, 2008, "Demand shocks and market manipulation," Annals of Finance, Springer, volume 4, issue 3, pages 269-298, July, DOI: 10.1007/s10436-007-0076-0.
• Yu Chen & Thomas Cosimano & Alex Himonas, 2008, "Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks," Annals of Finance, Springer, volume 4, issue 3, pages 305-344, July, DOI: 10.1007/s10436-007-0079-x.
• Jacco Thijssen, 2008, "A computational study on general equilibrium pricing of derivative securities," Annals of Finance, Springer, volume 4, issue 4, pages 505-523, October, DOI: 10.1007/s10436-007-0088-9.
• Santiago Budría, 2008, "An Exploration of Asset Returns in a Production Economy with Relative Habits," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 36, issue 3, pages 261-274, September, DOI: 10.1007/s11293-008-9134-x.
• Maria Giuli & Dean Fantazzini & Mario Maggi, 2008, "A New Approach for Firm Value and Default Probability Estimation beyond Merton Models," Computational Economics, Springer;Society for Computational Economics, volume 31, issue 2, pages 161-180, March, DOI: 10.1007/s10614-007-9112-4.
• Mohamed Boutahar & Gilles Dufrénot & Anne Péguin-Feissolle, 2008, "A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t," Computational Economics, Springer;Society for Computational Economics, volume 31, issue 3, pages 225-241, April, DOI: 10.1007/s10614-007-9115-1.
• Volker Böhm & Tomoo Kikuchi & George Vachadze, 2008, "Asset Pricing and Productivity Growth: The Role of Consumption Scenarios," Computational Economics, Springer;Society for Computational Economics, volume 32, issue 1, pages 163-181, September, DOI: 10.1007/s10614-008-9137-3.
• Ilaria Foroni & Anna Agliari, 2008, "Complex Price Dynamics in a Financial Market with Imitation," Computational Economics, Springer;Society for Computational Economics, volume 32, issue 1, pages 21-36, September, DOI: 10.1007/s10614-008-9132-8.
• Domenico Colucci & Vincenzo Valori, 2008, "Asset Price Dynamics When Behavioural Heterogeneity Varies," Computational Economics, Springer;Society for Computational Economics, volume 32, issue 1, pages 3-20, September, DOI: 10.1007/s10614-008-9129-3.
• Carl Chiarella & Roberto Dieci & Laura Gardini & Lucia Sbragia, 2008, "A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence," Computational Economics, Springer;Society for Computational Economics, volume 32, issue 1, pages 55-72, September, DOI: 10.1007/s10614-008-9131-9.

2007

• Elisa Luciano, 2007, "Calibrating risk‐neutral default correlation," Journal of Risk Finance, Emerald Group Publishing Limited, volume 8, issue 5, pages 450-464, November, DOI: 10.1108/15265940710834744.
• de Zwart, G.J. & Frieser, B. & van Dijk, D.J.C., 2007, "A Recommitment Strategy for Long Term Private Equity Fund Investors," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2007-097-F&A, Dec.
• Dean Baker, 2007, "2007 Housing Bubble Update: 10 Economic Indicators to Watch," CEPR Reports and Issue Briefs, Center for Economic and Policy Research (CEPR), number 2007-04, Feb.
• Hans DEWACHTER & Leonardo IANIA, 2009, "An extended macro-finance model with financial factors," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number ces09.19, Nov.
• L. Van Liedekerke & L. De Moor & D. Van Walleghem, 2007, "Risk-Return of Belgian SRI Funds," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, volume 0, issue 4, pages 673-685.
• Ian Babetskii & Luboš Komárek & Zlatuše Komárková, 2007, "Financial Integration of Stock Markets among New EU Member States and the Euro Area," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 57, issue 7-8, pages 341-362, September.
• Alexis Derviz, 2007, "Modeling Electronic FX Brokerage as a Fast Order-Driven Marketunder Heterogeneous Private Values and Information," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2007/16, May, revised May 2007.
• WANG Liping, 2007, "Chinese consumption and asset returns: An analysis across income groups," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 2, issue 2, pages 275-288, June.
• Mika Vaihekoski, 2007, "Global Market and Currency Risk in Finnish Stock Market," Finnish Economic Papers, Finnish Economic Association, volume 20, issue 1, pages 72-88, Spring.
• Md. Arifur Rahman, 2007, "The Information Content of Cross-sectional Volatility for Future Market Volatility: Evidence from Australian Equity Returns," Frontiers in Finance and Economics, SKEMA Business School, volume 4, issue 1, pages 91-124, June.
• Procianoy, Jairo Laser & Kwitko, Leonardo Costa, 2007, "Ações de empresas brasileiras e suas ADRs: Uma nota sobre datas ex-dividend," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), volume 61, issue 1, August.
• Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007, "The affine arbitrage-free class of Nelson-Siegel term structure models," Working Paper Series, Federal Reserve Bank of San Francisco, number 2007-20.
• David K. Backus & Jonathan H. Wright, 2007, "Cracking the conundrum," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2007-46.
• Christian Hott, 2007, "Explaining house price fluctuations," Proceedings, Federal Reserve Bank of Chicago, number 1055.
• Ravi Bansal, 2007, "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, volume 89, issue Jul, pages 283-300.
• Massimo Guidolin & Allan Timmerman, 2007, "Forecasts of U.S. short-term interest rates: a flexible forecast combination approach," Working Papers, Federal Reserve Bank of St. Louis, number 2005-059, DOI: 10.20955/wp.2005.059.
• Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2007, "Multivariate contemporaneous threshold autoregressive models," Working Papers, Federal Reserve Bank of St. Louis, number 2007-019, DOI: 10.20955/wp.2007.019.
• Michael J. Fleming & Giang Nguyen & Joshua V. Rosenberg, 2007, "How do treasury dealers manage their positions?," Staff Reports, Federal Reserve Bank of New York, number 299.
• Pierre-Olivier Weill & Dimitri Vayanos, 2007, "A Search-Based Theory of the On-the-Run Phenomenon," FMG Discussion Papers, Financial Markets Group, number dp577, Jan.
• Lasse Heje Pederson & Markus K Brunnermeier, 2007, "Market Liquidity and Funding Liquidity," FMG Discussion Papers, Financial Markets Group, number dp580, Feb.
• Raphael Espinoza & Dimitrios Tsomocos & Charles Goodhart, 2007, "Endogenous State Prices, Liquidity, Default, and the Yield Curve," FMG Discussion Papers, Financial Markets Group, number dp583, Feb.
• Francisco Penaranda & Jon Danielsson, 2007, "On the Impact of Fundamentals, Liquidity and Coordination on Market Stability," FMG Discussion Papers, Financial Markets Group, number dp586, Jan.
• Francisco Penaranda, 2007, "Portfolio Choice Beyond the Traditional Approach," FMG Discussion Papers, Financial Markets Group, number dp587, Mar.
• John Y. Campbell & Yves Nosbusch, 2007, "Intergenerational Risksharing and Equilibrium Asset Prices," FMG Discussion Papers, Financial Markets Group, number dp589, Feb.
• Jean-Pierre Zigrand & Rohit Rahi, 2007, "Strategic Financial Innovation in Segmented Markets," FMG Discussion Papers, Financial Markets Group, number dp595, Sep.
• Gregory Connor & Oliver Linton & Matthias Hagmann, 2007, "Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns," FMG Discussion Papers, Financial Markets Group, number dp599, Sep.
• Jack Favilukis, 2007, "Inequality, Stock Market Participation, and the Equity Premium," FMG Discussion Papers, Financial Markets Group, number dp602, Nov.
• Oliver Linton & Anisha Ghosh, 2007, "Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error," FMG Discussion Papers, Financial Markets Group, number dp605, Nov.
• Terceño Gómez, A. & Brotons Martínez, J. M. & Fernández Bariviera, A., 2007, "Immunization Strategy In A Fuzzy Environment," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 2, pages 95-116, November.
• Gabriel Talmain, 2007, "Stock Market Valuation and Monopolistic Competition: a Dynamic Stochastic General Equilibrium Approach," Working Papers, Business School - Economics, University of Glasgow, number 2007_10, Jun.
• Dominique Guegan, 2007, "Global and local stationary modelling in finance: theory and empirical evidence," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00187875, Apr.
• Dominique Guegan & Jing Zhang, 2007, "Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00188248, Nov.
• Dominique Guegan & Florian Ielpo, 2007, "Further evidence on the impact of economic news on interest rates," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00188331, Oct.
• Laurent-Emmanuel Calvet & Adlai J. Fisher, 2007, "Multifrequency news and stock returns," Post-Print, HAL, number hal-00459675, Oct, DOI: 10.1016/j.jfineco.2006.09.001.
• Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2007, "Indirect robust estimation of the short-term interest rate process," Post-Print, HAL, number hal-00463251, Sep, DOI: 10.1016/j.jempfin.2006.09.004.
• Hayette Gatfaoui, 2007, "How Does Systematic Risk Impact Stocks? A Study on the French Financial Market," Post-Print, HAL, number hal-00589908.
• Clotilde Napp & Elyès Jouini, 2007, "Consensus consumer and intertemporal asset pricing with heterogeneous beliefs," Post-Print, HAL, number halshs-00152348, Oct.
• Georges Prat, 2007, "Les comportements boursiers sont-ils eulériens?," Post-Print, HAL, number halshs-00172709, Mar.
• Edouard Challe & François Le Grand & Xavier Ragot, 2007, "Incomplete markets, liquidation risk and the term structure of interest rates," PSE Working Papers, HAL, number halshs-00587679, Dec.
• Edouard Challe & Xavier Ragot, 2007, "Bubbles and self-fulfilling crises," PSE Working Papers, HAL, number halshs-00590568, Feb.
• Selima Benmansour & Elyès Jouini & Clotilde Napp & Jean-Michel Marin & Christian P. Robert, 2007, "Are risk averse agents more optimistic? A Bayesian estimation approach," Working Papers, HAL, number halshs-00163678, Jul.
• Edouard Challe & François Le Grand & Xavier Ragot, 2007, "Incomplete markets, liquidation risk and the term structure of interest rates," Working Papers, HAL, number halshs-00587679, Dec.
• Edouard Challe & Xavier Ragot, 2007, "Bubbles and self-fulfilling crises," Working Papers, HAL, number halshs-00590568, Feb.
• Menkhoff, Lukas & Schmeling, Maik, 2007, "Whose trades convey information? Evidence from a cross-section of traders," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-357, Feb.
• Borglin, Anders & Flåm, Sjur Didrik, 2007, "Risk exchange as a market or production game," Working Papers in Economics, University of Bergen, Department of Economics, number 09/07, Sep.
• Bajlum, Claus & Tind Larsen, Peter, 2007, "Capital Structure Arbitrage: Model Choice and Volatility Calibration," Working Papers, Copenhagen Business School, Department of Finance, number 2007-230, Jan.
• Alonso, Irasema & Prado, Jr., Jose Mauricio, 2007, "Ambiguity Aversion, the Equity Premium and the Welfare Costs of Business Cycles," Seminar Papers, Stockholm University, Institute for International Economic Studies, number 752, Aug.
• Flåm, Sjur, 2007, "Option Pricing by Mathematical Programming," Working Papers, Lund University, Department of Economics, number 2007:10, Jun.
• Borglin, Anders & Flåm, Sjur, 2007, "Risk Exchange as a Market or Production Game," Working Papers, Lund University, Department of Economics, number 2007:16, Oct.
• Ekern, Steinar, 2007, "Simplifying and generalizing some efficient frontier and CAPM related results," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2007/12, Mar.
• Aase, Knut K. & Bjuland, Terje & Øksendal, Bernt, 2007, "Strategic Insider Trading Equilibrium: A Forward Integration Approach," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2007/24, Nov.
• Walentin, Karl, 2007, "Earnings Inequality and the Equity Premium," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 215, Nov.
• Fedyk, Yuriy & Walden, Johan, 2007, "High-Speed Natural Selection in Financial Markets with Large State Spaces," SIFR Research Report Series, Institute for Financial Research, number 52, Apr.
• Hasseltoft, Henrik, 2007, "The Long-run Risk Model: Dynamics and Cyclicality of Interest Rates," SIFR Research Report Series, Institute for Financial Research, number 58, Jul.
• Brännäs, Kurt & G De Gooijer, Jan & Lönnbark, Carl & Soultanaeva, Albina, 2007, "Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges," Umeå Economic Studies, Umeå University, Department of Economics, number 725, Nov.
• Takamizawa, Hideyuki & 高見澤, 秀幸 & Shoji, Isao & 庄司, 功, 2007, "Modeling the Term Structure of Interest Rates with General Diffusion Processes: A Moment Approximation Approach," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2006-05, Oct.
• Iwaisako, Tokuo & 祝迫, 得夫, 2007, "Stock Index Autocorrelation and Cross-autocorrelations of Size-sorted Portfolios in the Japanese Market," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 48, issue 1, pages 95-112, June, DOI: 10.15057/13795.
• Hara, Chiaki & 原, 千秋 & ハラ, チアキ & Huang, James & Kuzmics, Christoph, 2007, "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," Discussion Paper, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University, number 323, Mar.
• Ip-wing Yu & Chi-sang Tam, 2007, "Measuring Market Sentiment in Hong Kong's Stock Market," Working Papers, Hong Kong Monetary Authority, number 0705, Apr.
• Tom Fong & Alfred Wong & Ivy Yong, 2007, "Share Price Disparity in Chinese Stock Markets," Working Papers, Hong Kong Monetary Authority, number 0711, Jul.
• Ansgar Belke & Thorsten Polleit, 2007, "Money and Inflation," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim, Department of Economics, University of Hohenheim, Germany, number 284/2007.
• Nosbusch, Yves & Campbell, John, 2007, "Intergenerational Risksharing and Equilibrium Asset Prices," Scholarly Articles, Harvard University Department of Economics, number 3196340.
• De Moor, Lieven & Sercu, Piet, 2007, "Country v Sector Effects in Equity Returns: Are Emerging-Market Firms just Small Firms?," Working Papers, Hogeschool-Universiteit Brussel, Faculteit Economie en Management, number 2007/03, May.
• Van Liedekerke, Luc & De Moor, Lieven & Vanwalleghem, Dieter, 2007, "Risk-return of Belgian SRI funds," Working Papers, Hogeschool-Universiteit Brussel, Faculteit Economie en Management, number 2007/04, Apr.
• De Moor, Lieven & Sercu, Piet, 2007, "The small firm anomaly: US and international evidence," Working Papers, Hogeschool-Universiteit Brussel, Faculteit Economie en Management, number 2007/28, Feb.
• De Ryck, Pieter & Cole, Frank & Smedts, Jan & De Moor, Lieven, 2007, "The Performance Evaluation of Hedge Funds: Are Investors Mislead by Standard Mean-Variance Statistics?," Working Papers, Hogeschool-Universiteit Brussel, Faculteit Economie en Management, number 2007/40, Nov.
• Elisa Luciano, 2007, "Copula-Based Default Dependence Modelling: Where Do We Stand?," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 21-2007, Mar.
• Claudio Morana, 2007, "Estimating, Filtering and Forecasting Realized Betas," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 6-2007, Mar.
• Brunnermeier, Markus K. & Gollier, Christian & Parker, Jonathan A., 2007, "Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 429, Feb.
• Isaac Kleshchelski & Nicolas Vincent, 2007, "Robust Equilibrium Yield Curves," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 08-02, Nov.
• Luis Muga & Rafael Santamaría, 2007, "Riesgo asimétrico y estrategias de momentum en el mercado de valores español," Investigaciones Economicas, Fundación SEPI, volume 31, issue 2, pages 323-340, May.
• Carlo Favero & Marco Pagano & Ernst-Ludwig von Thadden, 2007, "How Does Liquidity Affect Government Bond Yields?," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 323.
• Özge AKINCI & Burcu GÜRCİHAN & Refet GÜRKAYNAK & Özgür ÖZEL, 2007, "Devlet iç borçlanma senetleri için getiri eğrisi tahmini," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 22, issue 252, pages 5-25.
• Alper ÖZÜN & Atilla ÇİFTER, 2007, "Hisse senedi getirilerinde global ve yerel faiz oranı riski: Kısmi çokdeğişkenli GARCH modeliyle İstanbul Menkul Kıymetler Borsası üzerine bir çalışma," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 22, issue 254, pages 47-60.
• Sadık ÇUKUR & Resul ERYİĞİT, 2007, "Yatırım ortaklıkları ve bedelsiz sermaye artırımları: İMKB’de ampirik bir analiz," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 22, issue 254, pages 73-85.
• Christos I. Giannikos & Xiuqing Ji, 2007, "Industry Momentum at the End of the 20th Century," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 6, issue 1, pages 29-46, April.
• Gaiyan Zhang, 2007, "A Model of Price, Volume, and Sequential Information," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 6, issue 3, pages 207-223, December.
• Michael Ehrmann & Marcel Fratzscher, 2007, "Transparency, Disclosure, and the Federal Reserve," International Journal of Central Banking, International Journal of Central Banking, volume 3, issue 1, pages 179-225, March.
• Luisa Corrado & Marcus Miller & Lei Zhang, 2007, "Bulls, bears and excess volatility: can currency intervention help?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 12, issue 2, pages 261-272, DOI: 10.1002/ijfe.329.
• José M. Marín & Jacques Olivier, 2007, "The dog that did not bark: Insider trading and crashes," Working Papers, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales, number 2007-20, Oct.
• José M. Marín & Antoni Sureda-Gomila, 2007, "Firms vs. insiders as traders of last resort," Working Papers, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales, number 2007-21, Oct.
• Naohiko Baba & Masakazu Inada, 2007, "Price Discovery of Credit Spreads for Japanese Mega-Banks: Subordinated Bond and CDS," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 07-E-06, May.
• Martín Grandes, 2007, "The Determinants of Sovereign Bond Spreads: Theory and Facts From Latin America," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 44, issue 130, pages 151-181.
• Maria Rosa Borges, 2007, "An Arbitrage Model for the Stock Price Adjustment in the Dividend Period," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2007/09.
• Alfredo Juan Grau Grau & Begoña Font Belaire, 2007, "Ume Y La Integración De Los Mercados De Capitales Europeos: Relevancia Del Tipo De Cambio Y La Inflación," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2007-14, Dec.
• Thomas A. Knetsch, 2007, "Forecasting the price of crude oil via convenience yield predictions," Journal of Forecasting, John Wiley & Sons, Ltd., volume 26, issue 7, pages 527-549, DOI: 10.1002/for.1040.
• Paul Kupiec, 2007, "Financial stability and Basel II," Annals of Finance, Springer, volume 3, issue 1, pages 107-130, January, DOI: 10.1007/s10436-006-0059-6.
• Leonardo Becchetti & Roberto Rocci & Giovanni Trovato, 2007, "Industry and time specific deviations from fundamental values in a random coefficient model," Annals of Finance, Springer, volume 3, issue 2, pages 257-276, March, DOI: 10.1007/s10436-006-0047-x.
• Marc Atlan & Hélyette Geman & Dilip Madan & Marc Yor, 2007, "Correlation and the pricing of risks," Annals of Finance, Springer, volume 3, issue 4, pages 411-453, October, DOI: 10.1007/s10436-006-0063-x.
• Eduardo Giménez, 2007, "On the positive fundamental value of money with short-sale constraints," Annals of Finance, Springer, volume 3, issue 4, pages 455-469, October, DOI: 10.1007/s10436-006-0060-0.
• Oh Kwon, 2007, "Duration, factor sensitivities, and interest rate Greeks," Annals of Finance, Springer, volume 3, issue 4, pages 471-486, October, DOI: 10.1007/s10436-006-0055-x.
• Cyrus Ramezani & Yong Zeng, 2007, "Maximum likelihood estimation of the double exponential jump-diffusion process," Annals of Finance, Springer, volume 3, issue 4, pages 487-507, October, DOI: 10.1007/s10436-006-0062-y.
• Jianxin Wang, 2007, "Foreign Ownership and Volatility Dynamics of Indonesian Stocks," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 14, issue 3, pages 201-210, September, DOI: 10.1007/s10690-007-9059-4.
• Jason Childs, 2007, "Rate of Return Parity with Robot Asset Traders," Computational Economics, Springer;Society for Computational Economics, volume 29, issue 1, pages 1-12, February, DOI: 10.1007/s10614-006-9060-4.