Research classified by Journal of Economic Literature (JEL) codes

2007

• Ravi Bansal, 2007, "Long-Run Risks and Financial Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 13196, Jun.
• John Donaldson & Rajnish Mehra, 2007, "Risk Based Explanations of the Equity Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 13220, Jul.
• Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst, 2007, "The Fundamentals of Commodity Futures Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 13249, Jul.
• Long Chen & Lu Zhang, 2007, "Neoclassical Factors," NBER Working Papers, National Bureau of Economic Research, Inc, number 13282, Jul.
• Boyan Jovanovic, 2007, "Bubbles in Prices of Exhaustible Resources," NBER Working Papers, National Bureau of Economic Research, Inc, number 13320, Aug.
• A. Craig Burnside, 2007, "Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors," NBER Working Papers, National Bureau of Economic Research, Inc, number 13357, Aug.
• Ralph S.J. Koijen & Otto Van Hemert & Stijn Van Nieuwerburgh, 2007, "Mortgage Timing," NBER Working Papers, National Bureau of Economic Research, Inc, number 13361, Sep.
• David K. Backus & Jonathan H. Wright, 2007, "Cracking the Conundrum," NBER Working Papers, National Bureau of Economic Research, Inc, number 13419, Sep.
• John Y. Campbell, 2007, "Estimating the Equity Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 13423, Sep.
• Xavier Gabaix, 2007, "Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 13430, Sep.
• Andrew Ang & Sen Dong & Monika Piazzesi, 2007, "No-Arbitrage Taylor Rules," NBER Working Papers, National Bureau of Economic Research, Inc, number 13448, Sep.
• Torben G. Andersen & Oleg Bondarenko, 2007, "Construction and Interpretation of Model-Free Implied Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 13449, Sep.
• Anna Pavlova & Roberto Rigobon, 2007, "An Asset-Pricing View of External Adjustment," NBER Working Papers, National Bureau of Economic Research, Inc, number 13468, Oct.
• Bronwyn H. Hall, 2007, "Measuring the Returns to R&D: The Depreciation Problem," NBER Working Papers, National Bureau of Economic Research, Inc, number 13473, Oct.
• Jin Ginger Wu & Lu Zhang & X. Frank Zhang, 2007, "Understanding the Accrual Anomaly," NBER Working Papers, National Bureau of Economic Research, Inc, number 13525, Oct.
• YiLi Chien & Harold Cole & Hanno Lustig, 2007, "A Multiplier Approach to Understanding the Macro Implications of Household Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 13555, Nov.
• Robert J. Shiller, 2007, "Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Economic Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 13558, Oct.
• Francis X. Diebold & Canlin Li & Vivian Z. Yue, 2007, "Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 13588, Nov.
• Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007, "The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 13611, Nov.
• Zhi Da & Pengjie Gao & Ravi Jagannathan, 2007, "When Does a Mutual Fund's Trade Reveal its Skill?," NBER Working Papers, National Bureau of Economic Research, Inc, number 13625, Nov.
• Josephine M. Smith & John B. Taylor, 2007, "The Long and the Short End of the Term Structure of Policy Rules," NBER Working Papers, National Bureau of Economic Research, Inc, number 13635, Nov.
• Dirk Krueger & Hanno Lustig & Fabrizio Perri, 2007, "Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 13650, Nov.
• Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2007, "How Sovereign is Sovereign Credit Risk?," NBER Working Papers, National Bureau of Economic Research, Inc, number 13658, Dec.
• Robert J. Barro, 2007, "Rare Disasters, Asset Prices, and Welfare Costs," NBER Working Papers, National Bureau of Economic Research, Inc, number 13690, Dec.
• Neculai Daniela, 2007, "Evaluarea corporativă. Aplicaţii pentru firmele transnaţionale," Revista OEconomica, Romanian Society for Economic Science, Revista OEconomica, issue 04, December.
• Tatsuyoshi Miyakoshi & Yoshihiko Tsukuda & Junji Shimada, 2007, "Market Efficiency, Asymmetric Price Adjustment and Over-Evaluation: Linking Investor Behaviors to EGARCH," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 07-30, Aug.
• Espinoza, Raphael A. & Goodhart, Charles & Tsomocos, Dimitrios P., 2007, "Endogenous state prices, liquidity, default, and the yield curve," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24479, Feb.
• Penaranda, Francisco, 2007, "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24481, Mar.
• Campbell, John Y. & Nosbusch, Yves, 2007, "Intergenerational risksharing and equilibrium asset prices," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24484, Feb.
• Favilukis, Jack, 2007, "Inequality, stock market participation, and the equity premium," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24500, Nov.
• Chen, Xiaohong & Favilukis, Jack & Ludvigson, Sydney C., 2007, "An estimation of economic models with recursive preferences," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24502, Nov.
• Rahi, Rohit & Zigrand, Jean-Pierre, 2007, "Strategic financial innovation in segmented markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24503, Sep.
• Connor, Gregory & Hagmann, Matthias & Linton, Oliver, 2007, "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24504, Sep.
• Ghosh, Anisha & Linton, Oliver, 2007, "Consistent estimation of the risk-return tradeoff in the presence of measurement error," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24506, Nov.
• Connor, Gregory & Hagmann, Matthias & Linton, Oliver, 2007, "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 3775, Oct.
• Julliard, Christian, 2007, "Labor income risk and asset returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4811, May.
• Hernández del Valle, Adrián & Martínez García, Claudia Icela, 2007, "Modelo de opciones reales y aplicación al mercado petrolero," El Trimestre Económico, Fondo de Cultura Económica, volume 74, issue 294, pages 329-348, abril-jun, DOI: http://dx.doi.org/10.20430/ete.v74i.
• 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.
• Kevin J. Lansing, 2007, "Rational and Near-Rational Bubbles without Drift," Working Paper Series, Federal Reserve Bank of San Francisco, number 2007-10, Oct, DOI: 10.24148/wp2007-10.
• Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2010, "The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models," Working Paper Series, Federal Reserve Bank of San Francisco, number 2007-20, Mar, DOI: 10.24148/wp2007-20.
• 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.
• Andros Gregoriou & Christos Ioannidis, 2007, "Generalized method of moments and present value tests of the consumption-capital asset pricing model under transactions costs: evidence from the UK stock market," Empirical Economics, Springer, volume 32, issue 1, pages 19-39, April, DOI: 10.1007/s00181-006-0070-9.
• Jakob Madsen, 2007, "Pitfalls in estimates of the relationship between stock returns and inflation," Empirical Economics, Springer, volume 33, issue 1, pages 1-21, July, DOI: 10.1007/s00181-006-0080-7.
• Leif Andersen & Vladimir Piterbarg, 2007, "Moment explosions in stochastic volatility models," Finance and Stochastics, Springer, volume 11, issue 1, pages 29-50, January, DOI: 10.1007/s00780-006-0011-7.
• Nan Chen & Paul Glasserman, 2007, "Additive and multiplicative duals for American option pricing," Finance and Stochastics, Springer, volume 11, issue 2, pages 153-179, April, DOI: 10.1007/s00780-006-0031-3.
• Mark Davis & Vicente Mataix-Pastor, 2007, "Negative Libor rates in the swap market model," Finance and Stochastics, Springer, volume 11, issue 2, pages 181-193, April, DOI: 10.1007/s00780-006-0032-2.
• Sara Biagini & Marco Frittelli, 2007, "The supermartingale property of the optimal wealth process for general semimartingales," Finance and Stochastics, Springer, volume 11, issue 2, pages 253-266, April, DOI: 10.1007/s00780-006-0026-0.
• Yu-Ting Chen & Cheng-Few Lee & Yuan-Chung Sheu, 2007, "An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model," Finance and Stochastics, Springer, volume 11, issue 3, pages 323-355, July, DOI: 10.1007/s00780-007-0045-5.
• Jacek Jakubowski & Jerzy Zabczyk, 2007, "Exponential moments for HJM models with jumps," Finance and Stochastics, Springer, volume 11, issue 3, pages 429-445, July, DOI: 10.1007/s00780-007-0040-x.
• Elisa Alòs & Jorge León & Josep Vives, 2007, "On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility," Finance and Stochastics, Springer, volume 11, issue 4, pages 571-589, October, DOI: 10.1007/s00780-007-0049-1.
• Luciano Campi & Umut Çetin, 2007, "Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling," Finance and Stochastics, Springer, volume 11, issue 4, pages 591-602, October, DOI: 10.1007/s00780-007-0038-4.
• Bernd Pape, 2007, "Asset allocation and multivariate position based trading," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 2, issue 2, pages 163-193, December, DOI: 10.1007/s11403-007-0021-3.
• Anna Battauz & Fulvio Ortu, 2007, "Dynamic versus one-period completeness in event-tree security markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 30, issue 1, pages 191-193, January, DOI: 10.1007/s00199-005-0050-x.
• David Kelly & Stephen LeRoy, 2007, "Liquidity and Liquidation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 31, issue 3, pages 553-572, June, DOI: 10.1007/s00199-006-0113-7.
• Costas Azariadis & Leo Kaas, 2007, "Is dynamic general equilibrium a theory of everything?," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 32, issue 1, pages 13-41, July, DOI: 10.1007/s00199-006-0167-6.
• Jean-Pierre Danthine & Xiangrong Jin, 2007, "Intangible capital, corporate valuation and asset pricing," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 32, issue 1, pages 157-177, July, DOI: 10.1007/s00199-006-0176-5.
• Michał Baran, 2007, "Asymptotic pricing in large financial markets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 66, issue 1, pages 1-20, August, DOI: 10.1007/s00186-006-0144-7.
• Kenton K. Yee, 2007, "Using accounting information for consumption planning and equity valuation," Review of Accounting Studies, Springer, volume 12, issue 2, pages 227-256, September, DOI: 10.1007/s11142-007-9026-3.
• Jochen Wilhelm & Josef Schosser, 2007, "A note on arbitrage-free asset prices with and without personal income taxes," Review of Managerial Science, Springer, volume 1, issue 2, pages 133-149, August, DOI: 10.1007/s11846-007-0007-5.
• Andreas Ziegler & Michael Schröder & Anja Schulz & Richard Stehle, 2007, "Multifaktormodelle zur Erklärung deutscher Aktienrenditen: Eine empirische Analyse," Schmalenbach Journal of Business Research, Springer, volume 59, issue 3, pages 355-389, May, DOI: 10.1007/BF03371701.
• Steffen Brenner & Rainer Schulz & Wolfgang Härdle, 2007, "Realoptionen und Immobilienbewertung: Eine Umsetzungsstudie," Schmalenbach Journal of Business Research, Springer, volume 59, issue 8, pages 1002-1028, December, DOI: 10.1007/BF03372786.
• Pilar Abad-Romero & M. Robles-Fernández, 2007, "Bond rating changes and stock returns: evidence from the Spanish stock market," Spanish Economic Review, Springer;Spanish Economic Association, volume 9, issue 2, pages 79-103, June, DOI: 10.1007/s10108-006-9020-0.
• Simone Alfarano & Thomas Lux, 2007, "A Minimal Noise Trader Model with Realistic Time Series Properties," Springer Books, Springer, in: Gilles Teyssière & Alan P. Kirman, "Long Memory in Economics", DOI: 10.1007/978-3-540-34625-8_12.
• Mikhail Anufriev & Pietro Dindo, 2007, "Wealth-driven Selection in a Financial Market with Heterogeneous Agents," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2007/27, Dec.
• Claudio Campanale & Rui Castro & Gian Luca Clementi, 2007, "Asset Pricing in a Production Economy with Chew-Dekel Preferences," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 07-12.
• David K. Backus & Jonathan H. Wright, 2007, "Cracking the Conundrum," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 07-21.
• Joao Teixeira, 2007, "An empirical analysis of structural models of corporate debt pricing," Applied Financial Economics, Taylor & Francis Journals, volume 17, issue 14, pages 1141-1165, DOI: 10.1080/09603100600770994.
• Kurt Brannas & Ola Simonsen, 2007, "Discretized time and conditional duration modelling for stock transaction data," Applied Financial Economics, Taylor & Francis Journals, volume 17, issue 8, pages 647-658, DOI: 10.1080/09603100600690044.
• Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2007, "Learning, Structural Instability, and Present Value Calculations," Econometric Reviews, Taylor & Francis Journals, volume 26, issue 2-4, pages 253-288, DOI: 10.1080/07474930701220352.
• Johan Parmler & Andres Gonzalez, 2007, "Is Momentum Due to Data-snooping?," The European Journal of Finance, Taylor & Francis Journals, volume 13, issue 4, pages 301-318, DOI: 10.1080/13518470600880127.
• Ovidiu V. Precup & Giulia Iori, 2007, "Cross-correlation Measures in the High-frequency Domain," The European Journal of Finance, Taylor & Francis Journals, volume 13, issue 4, pages 319-331, DOI: 10.1080/13518470600813565.
• Kais Dachraoui & Georges Dionne, 2007, "Conditions Ensuring the Decomposition of Asset Demand for All Risk-Averse Investors," The European Journal of Finance, Taylor & Francis Journals, volume 13, issue 5, pages 397-404, DOI: 10.1080/13518470601025326.
• Markku Lanne & Saikkonen Pentti, 2007, "Modeling Conditional Skewness in Stock Returns," The European Journal of Finance, Taylor & Francis Journals, volume 13, issue 8, pages 691-704, DOI: 10.1080/13518470701538608.
• Ming-Yuan Leon Li & Her-Jiun Sheu & Lin Lin & Yu-Chi Tang, 2007, "Market Conditions and Abnormal Returns of IPO-An Empirical Study of Taiwan's High-Tech Companies," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, volume 5, issue 1, pages 51-64, DOI: 10.1080/14765280601109329.
• Carlo Alberto Magni, 2007, "Project valuation and investment decisions: CAPM versus arbitrage," Applied Financial Economics Letters, Taylor & Francis Journals, volume 3, issue 2, pages 137-140, DOI: 10.1080/17446540500426821.
• ,, 2007, "Two-fund separation in dynamic general equilibrium," Theoretical Economics, Econometric Society, volume 2, issue 2, June.
• Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007, "Socially Responsible Investments : Methodology, Risk and Performance," Discussion Paper, Tilburg University, Center for Economic Research, number 2007-31.
• Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007, "The Price of Ethics : Evidence from Socially Responsible Mutual Funds," Discussion Paper, Tilburg University, Center for Economic Research, number 2007-29.
• Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007, "Socially Responsible Investments : Methodology, Risk Exposure and Performance," Discussion Paper, Tilburg University, Tilburg Law and Economic Center, number 2007-013.
• Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007, "The Price of Ethics : Evidence from Socially Responsible Mutual Funds," Discussion Paper, Tilburg University, Tilburg Law and Economic Center, number 2007-012.
• Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007, "The Price of Ethics : Evidence from Socially Responsible Mutual Funds," Other publications TiSEM, Tilburg University, School of Economics and Management, number 6d98ed80-6419-4144-93aa-5.
• Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007, "The Price of Ethics : Evidence from Socially Responsible Mutual Funds," Other publications TiSEM, Tilburg University, School of Economics and Management, number bf970e18-a5f6-469a-87fb-e.
• Monika Piazzesi & Martin Schneider, 2007, "Asset Prices and Asset Quantities," Journal of the European Economic Association, MIT Press, volume 5, issue 2-3, pages 380-389, 04-05.
• Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2007, "A Theory of Limited Liquidity and Large Investors Causing Spikes in Stock Market Volatility and Trading Volume," Journal of the European Economic Association, MIT Press, volume 5, issue 2-3, pages 564-573, 04-05.
• Josep Pijoan-Mas, 2007, "Pricing Risk in Economies with Heterogeneous Agents and Incomplete Markets," Journal of the European Economic Association, MIT Press, volume 5, issue 5, pages 987-1015, September.
• Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007, "The Effect of Long Memory in Volatility on Stock Market Fluctuations," The Review of Economics and Statistics, MIT Press, volume 89, issue 4, pages 684-700, November.
• John Geweke & Gianni Amisano, 2007, "Hierarchical Markov Normal Mixture Models with Applications to Financial Asset Returns," Working Papers, University of Brescia, Department of Economics, number 0705.
• Gianni Amisano & Roberto Savona, 2007, "Imperfect Predictability and Mutual Fund Dynamics: How Managers Use Predictors in Changing Systematic Risk," Working Papers, University of Brescia, Department of Economics, number 0706.
• Tsvetanka Karagyozova, 2007, "Asset Pricing with Heterogeneous Agents, Incomplete Markets and Trading Constraints," Working papers, University of Connecticut, Department of Economics, number 2007-46, Nov, revised Sep 2008.
• Juan Pablo Domínguez H., 2007, "Cost of Equity Capital and Country Risk: An econometric analysis of the expected rate of return for four Latin American countries," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, volume 32, issue 23, pages 63-90, january-j.
• Brice Corgnet & Angela Sutan, 2007, "Communications in Financial Markets: a Strategy method Experiment," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 06/07, Aug.
• Javier Gomez Biscarri & Germán López Espinosa, 2007, "The influence of differences in accounting standards on empirical pricing models: An application to the Fama-French model," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 13/07, Dec.
• Francisco Peñaranda & Jón Daníelsson, 2007, "On the impact of fundamentals, liquidity and coordination on market stability," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1003, Jan, revised Mar 2010.
• Francisco Peñaranda, 2007, "Portfolio choice beyond the traditional approach," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1026, Mar.
• Belén Nieto & Gonzalo Rubio, 2007, "Measuring time-varying economic fears with consumption-based stochastic discount factors," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1029, Apr, revised Sep 2007.
• Francisco Peñaranda & Enrique Sentana, 2007, "Duality in mean-variance frontiers with conditioning information," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1058, Oct.
• Daniele Marazzina, 2007, "Interest Rate Modeling: A Matlab Implementation," Working Papers, SEMEQ Department - Faculty of Economics - University of Eastern Piedmont, number 112, Apr.
• Maria Letizia Guerra & Laerte Sorini & Luciano Stefanini, 2007, "Interval LU-fuzzy arithmetic in the Black and Scholes option pricing," Working Papers, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, number 0704, revised 2007.
• Paul Söderlind, 2007, "Predicting Stock Price Movements: Regressions versus Economists," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen, number 2007-23, Jun.
• Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2007, "Ambiguity Aversion and the Term Structure of Interest Rates," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen, number 2007-29, Jul.
• Francesco Audrino & Dominik Colagelo, 2007, "Forecasting Implied Volatility Surfaces," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen, number 2007-42, Nov.
• Ernst Juerg Weber, 2007, "The Role of the Real Interest Rate in US Macroeconomic History," Economics Discussion / Working Papers, The University of Western Australia, Department of Economics, number 07-01.
• Kevin X.D. Huang & Zheng Liu & John Q. Zhu, 2007, "Temptation and Self-Control: Some Evidence and Applications," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0711, Aug.