Research classified by Journal of Economic Literature (JEL) codes

2006

• Christine Wilson & Allen Featherstone, 2006, "Adjusting the CAPM for Threshold Effects: An Application to Food and Agribusiness Stocks," Working Papers, Purdue University, College of Agriculture, Department of Agricultural Economics, number 06-08.
• Samuel Mongrut & Dídac Ramírez, 2006, "Discount Rates in Emerging Capital Markets," Working Papers, Centro de Investigación, Universidad del Pacífico, number 06-03, Jan.
• Anna Ilyina, 2006, "Portfolio Constraints and Contagion in Emerging Markets," IMF Staff Papers, Palgrave Macmillan, volume 53, issue 3, pages 1-1.
• Luis Felipe Varas Greene, 2006, "Eleccion De Portafolio En Presencia De Mercados Iliquidos," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., volume 9, issue 2, pages 79-97.
• Suleyman Basak & David Cass & Juan Manuel Licari & Anna Pavlova, 2006, "Multiplicity and Sunspots in General Financial Equilibrium with Portfolio Constraints," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 06-012, Jun.
• Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse, 2006, "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 06-016, Feb.
• Suleyman Basak & David Cass & Juan Manuel Licari & Anna Pavlova, 2006, "Multiplicity in General Financial Equilibrium with Portfolio Constraints, Second Version," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 06-020, Mar, revised 17 Jul 2006.
• Jorge Farinha & Nuno Filipe Basílio, 2006, "Stock Splits: Real Effects or Just a Question of Maths? An Empirical Analysis of the Portuguese Case," CEF.UP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 0608, Oct.
• Francois-Éric Racicot & Raymond Théoret, 2006, "La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp022006, Jan.
• Francois-Éric Racicot & Raymond Théoret, 2006, "Les modèles HJM et LMM revisités," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp042006, Jan.
• Francois-Éric Racicot & Raymond Théoret, 2006, "La simulation de Monte Carlo: forces et faiblesses (avec applications Visual Basic et Matlab et présentation d’une nouvelle méthode QMC)," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp052006, Apr.
• Francois-Éric Racicot & Raymond Théoret, 2006, "Simulations de la couverture delta et de la couverture delta-gamma d’un portefeuille dans le cadre du modèle de Black et Scholes," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp122006, Jun.
• Francois-Éric Racicot & Raymond Théoret & Alain Coen, 2006, "Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp132006, Mar.
• Alain Coen & Francois-Éric Racicot, 2006, "A New Approach Based on Cumulants for Estimating Financial Regression Models with Errors in the Variables: the Fama and French Model Revisited," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp142006, May.
• Juan Marcelo, Ochoa, 2006, "An Interpretation of An Affine Term Structure Model for Chile," MPRA Paper, University Library of Munich, Germany, number 1072, Nov.
• Verbic, Miroslav, 2006, "Memory and Asset Pricing Models with Heterogeneous Beliefs," MPRA Paper, University Library of Munich, Germany, number 1261, Aug.
• ilya, gikhman, 2006, "Fixed-income instrument pricing," MPRA Paper, University Library of Munich, Germany, number 1449, Oct.
• ilya, gikhman, 2006, "Some critical comments on credit risk modeling," MPRA Paper, University Library of Munich, Germany, number 1451, Jul, revised Jul 2006.
• Claudio, Ferrarese, 2006, "A comparative analysis of correlation skew modeling techniques for CDO index tranches," MPRA Paper, University Library of Munich, Germany, number 1668, Sep.
• Kurz, Mordecai, 2006, "Beauty contests under private information and diverse beliefs: how different?," MPRA Paper, University Library of Munich, Germany, number 233, Aug, revised Apr 2006.
• Kurz, Mordecai & Motolese, Maurizio, 2006, "Risk Premia, diverse belief and beauty contests," MPRA Paper, University Library of Munich, Germany, number 247, Sep.
• Nuttall, John, 2006, "Asset allocation approach to understanding stock market dynamics," MPRA Paper, University Library of Munich, Germany, number 2504, Aug.
• Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz, 2006, "Stock market volatiltity around national elections," MPRA Paper, University Library of Munich, Germany, number 302, Jan, revised Nov 2006.
• Hirshleifer, David & Lim, Sonya Seongyeon & Teoh, Siew Hong, 2006, "Driven to distraction: Extraneous events and underreaction to earnings news," MPRA Paper, University Library of Munich, Germany, number 3110, Mar, revised 16 Apr 2007.
• Ielpo, Florian & Guégan, Dominique, 2006, "Further evidence on the impact of economic news on interest rates," MPRA Paper, University Library of Munich, Germany, number 3425, Dec, revised Jun 2007.
• Barnett, William A., 2006, "Divisia Monetary Index," MPRA Paper, University Library of Munich, Germany, number 418, Apr.
• Barnett, William A., 2006, "Supply of Money," MPRA Paper, University Library of Munich, Germany, number 419, Jul.
• Mattarocci, Gianluca, 2006, "Market characteristics and chaos dynamics in stock markets: an international comparison," MPRA Paper, University Library of Munich, Germany, number 4296, Jun, revised Jun 2006.
• Andraž, Grum, 2006, "Razvitost slovenskega trga dolžniškega kapitala in ocenitev krivulje donosnosti," MPRA Paper, University Library of Munich, Germany, number 4876, May.
• Grum, Andraž, 2006, "The effect of parallel OTC-DVP bond market introduction on yield curve volatility," MPRA Paper, University Library of Munich, Germany, number 4950, Apr.
• Carey, Alexander, 2006, "Path-conditional forward volatility," MPRA Paper, University Library of Munich, Germany, number 4964, Feb.
• Carey, Alexander, 2006, "Higher-order volatility: dynamics and sensitivities," MPRA Paper, University Library of Munich, Germany, number 5009, Aug.
• Han, Heejoon & Park, Joon Y., 2006, "Time series properties of ARCH processes with persistent covariates," MPRA Paper, University Library of Munich, Germany, number 5199, May.
• Chang, Yanqin, 2006, "How a small open economy's asset are priced by heterogeneous international investors," MPRA Paper, University Library of Munich, Germany, number 551, Aug.
• magni, Carlo Alberto, 2006, "Zelig and the Art of Measuring Excess Profit," MPRA Paper, University Library of Munich, Germany, number 5663, Jun.
• Whelan, Karl, 2006, "Consumption and Expected Asset Returns without Assumptions About Unobservables," MPRA Paper, University Library of Munich, Germany, number 5891, May.
• Camilleri, Silvio John, 2006, "An Analysis of Stock Index Distributions of Selected Emerging Markets," MPRA Paper, University Library of Munich, Germany, number 62490.
• Brito, Paulo & Dilao, Rui, 2006, "Equilibrium price dynamics in an overlapping-generations exchange economy," MPRA Paper, University Library of Munich, Germany, number 699, Oct.
• Amaro de Matos, Joao & Dilao, Rui & Ferreira, Bruno, 2006, "The exact value for European options on a stock paying a discrete dividend," MPRA Paper, University Library of Munich, Germany, number 701, Jan.
• Zhang, Dayong & Dickinson, David & Barassi, Marco, 2006, "Structural breaks, cointegration and B share discount in Chinese stock market," MPRA Paper, University Library of Munich, Germany, number 70353.
• Magni, Carlo Alberto, 2006, "CAPM-based capital budgeting and nonadditivity," MPRA Paper, University Library of Munich, Germany, number 7290, Mar.
• Rose, Martin & Zitouni, Loubna, 2006, "Modélisation d'actifs à volatilité stochastique et pricing d'options européennes
  [Modeling asset prices in a stochastic volatility environment and determining prices for European options]," MPRA Paper, University Library of Munich, Germany, number 81153, Jun.
• Bohumil Král, 2006, "Manažerské účetnictví: vývoj ve světle změn podnikatelského prostředí a manažerských potřeb
  [Management accounting: development in the light of changes of undertaking enviroment and managerial needs]," Politická ekonomie, Prague University of Economics and Business, volume 2006, issue 1, pages 108-123, DOI: 10.18267/j.polek.549.
• Alan S. Blinder, 2006, "Monetary Policy Today: Sixteen Questions and about Twelve Answers," Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies., number 73, Jul.
• Jean-Pierre Berdot & Jacques Léonard & Sophie Nivoix, 2006, "Valeurs de croissance contre valeurs de rendement : l’impossible stratégie," Revue d'Économie Financière, Programme National Persée, volume 86, issue 5, pages 363-373, DOI: 10.3406/ecofi.2006.4217.
• Alberto Montagnoli & Oreste Napolitano, 2006, "Financial Condition Index and interest rate settings: a comparative analysis," Discussion Papers, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy, number 2_2006, Jan.
• Frank Milne & Xing Jin, 2006, "Taxation And Transaction Costs In A General Equilibrium Asset Economy," Working Paper, Economics Department, Queen's University, number 1111, Oct.
• Marcelo Fernandes & Marco Aurélio dos Santos Rocha, 2006, "Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange," Working Papers, Queen Mary University of London, School of Economics and Finance, number 579, Nov.
• Sergey Belousov, 2006, "Volatility modeling with jumps: applications to Russian and American stock markets (in Russian)," Quantile, Quantile, issue 1, pages 101-110, September.
• James Hansen, 2006, "Australian House Prices: A Comparison of Hedonic and Repeat-sales Measures," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2006-03, May.
• Nalini Prasad & Anthony Richards, 2006, "Measuring Housing Price Growth – Using Stratification to Improve Median-based Measures," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2006-04, May.
• Chris Brooks & Apostolos Katsaris, 2006, "Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2006-07, Jul.
• Carol Alexander & Andreas Kaeck, 2006, "Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2006-08, Sep.
• Xiafei Li & Chris Brooks & Joelle Miffre, 2006, "Momentum Profits and Time-Varying Unsystematic Risk," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2006-09, Aug, revised Sep 2006.
• Damiano Brigo & Naoufel El-Bachir, 2006, "Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2006-13, Dec.
• Martin Hoesli & Colin Lizieri & Bryan MacGregor, 2006, "The Inflation Hedging Characteristics of US and UK Investments:Â A Multi-Factor Error Correction Approach," Real Estate & Planning Working Papers, Henley Business School, University of Reading, number rep-wp2006-01.
• Jianjun Miao, 2006, "A search model of centralized and decentralized trade," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 9, issue 1, pages 68-92, January, DOI: 10.1016/j.red.2005.10.003.
• Jessica A. Wachter & Missaka Warusawitharana, 2006, "Predictable returns and asset allocation: Should a skeptical investor time the market?," 2006 Meeting Papers, Society for Economic Dynamics, number 22.
• Ulrich Horst & Jan Wezelburger, 2006, "Non-ergodic Behavior in a Financial Market with Interacting Investors," 2006 Meeting Papers, Society for Economic Dynamics, number 229.
• Sydney Ludvigson & Serena Ng, 2006, "The Empirical Risk-Return Relation: a factor analysis approach," 2006 Meeting Papers, Society for Economic Dynamics, number 236.
• Claudio Campanale & Rui Castro & Gian Luca Clementi, 2006, "Business Cycles under Generalized Disappointment Aversion," 2006 Meeting Papers, Society for Economic Dynamics, number 24.
• Edouard Challe & Xavier Ragot, 2006, "Bubbles and Self-fulfilling Crises," 2006 Meeting Papers, Society for Economic Dynamics, number 254.
• A. Cevdet Aydemir & Michael Gallmeyer & Burton Hollifield, 2006, "Financial Leverage Does Not Cause the Leverage Effect," 2006 Meeting Papers, Society for Economic Dynamics, number 263.
• Martin Lettau & Stijn Van Nieuwerburgh, 2006, "Reconciling the Return Predictability Evidence," 2006 Meeting Papers, Society for Economic Dynamics, number 29.
• Toni M. Whited & Lu Zhang, 2006, "Testing the q-Theory of Anomalies," 2006 Meeting Papers, Society for Economic Dynamics, number 380.
• Ivan Jaccard, 2006, "Strategic Asset Allocation, Asset Price Dynamics, and the Business Cycle," 2006 Meeting Papers, Society for Economic Dynamics, number 574.
• Mariano M. Croce, 2006, "Welfare Costs, Long Run Consumption Risk, and a Production Economy," 2006 Meeting Papers, Society for Economic Dynamics, number 582.
• Andrea Finicelli, 2006, "Consumption, wealth, and expected asset returns in the United States. Implications of housing wealth and housing consumption," 2006 Meeting Papers, Society for Economic Dynamics, number 597.
• Mariano M. Croce & Martin Lettau & Sydney Ludvigson, 2006, "Investor Information, Long-Run Risk, and the Duration fo Risky Assets," 2006 Meeting Papers, Society for Economic Dynamics, number 628.
• Satyajit Chatterjee & Dean Corbae & Jose-Victor Rios-Rull, 2006, "Finite-Life, Private-Information Theory of Unsecured Debt," 2006 Meeting Papers, Society for Economic Dynamics, number 781.
• Monika Piazzesi & Martin Schneider, 2006, "Expectations and Asset Prices with Heterogeneous Households," 2006 Meeting Papers, Society for Economic Dynamics, number 828.
• Robert F. Martin, 2006, "The Baby Boom: Predictability in House Prices and Interest Rates," 2006 Meeting Papers, Society for Economic Dynamics, number 84.
• Francois Gourio, 2006, "Firms' Heterogeneous Sensitivities to the Business Cycle, and the Cross-Section of Expected Returns," 2006 Meeting Papers, Society for Economic Dynamics, number 846.
• Craig Burnside & Martin Eichenbaum & Isaac Kleshchelski & Sergio Rebelo, 2006, "The Returns to Currency Speculation," 2006 Meeting Papers, Society for Economic Dynamics, number 864.
• Urban Jermann & Vivian Z. Yue, 2006, "Interest Rate Swap and Corporate Default," 2006 Meeting Papers, Society for Economic Dynamics, number 866.
• Ricardo Lagos & Guillaume Rocheteau, 2006, "Search in Asset Markets," 2006 Meeting Papers, Society for Economic Dynamics, number 869.
• Adrien Verdelhan, 2006, "A Habit-Based Explanation of the Exchange Rate Risk Premium," 2006 Meeting Papers, Society for Economic Dynamics, number 872.
• Stavros Panageas & Jianfeng Yu, 2006, "Technological Growth, Asset Pricing, and Consumption Risk over Long Horizons," 2006 Meeting Papers, Society for Economic Dynamics, number 93.
• Khaïs Dachraoui & Georges Dionne, 2006, "Conditions ensuring the decomposition of asset demand for all risk-averse investors," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 04-1, Jul.
• Joachim Zietz, 2006, "Stock Price Bubble and Trade Deficit in the Wake of a Large Technology Shock: The Case of the U.S," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 59, issue 2, pages 247-267.
• Pankaj Jain, 2006, "Improving liquidity through efficient stock market structure and operational design," Journal of Financial Transformation, Capco Institute, volume 18, pages 151-159.
• Lupu, Radu, 2006, "Option bounds for multinomial stock returns in Jump-Diffusion processes - a Monte Carlo simulation for a multi-jump process," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 3, issue 2, pages 58-71, June.
• Larry Epstein & Martin Schneider, 2006, "Learning Under Ambiguity," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 527, Apr.
• Alessandro Ludovici, 2006, "The Application of Neural Networks to the Pricing of Credit Derivatives," Rivista di Politica Economica, SIPI Spa, volume 96, issue 6, pages 187-221, November-.
• John Cotter & François Longin, 2006, "Implied correlation from VaR," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1156.
• Leonardo Becchetti & Rocco Ciciretti, 2006, "Corporate Social Responsibility and Stock Market Performance," CEIS Research Paper, Tor Vergata University, CEIS, number 79, Mar, revised 22 Mar 2006.
• L. Baele & K. Inghelbrecht, 2006, "Structural versus Temporary Drivers of Country and Industry Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 06/413, Sep.
• Bruce Mizrach & Chris Neely, 2006, "The Transition to Electronic Trading in the Secondary Treasury Market," Departmental Working Papers, Rutgers University, Department of Economics, number 200603, Jan.
• Nick Samouilhan, 2006, "The Price of Risk on the JSE," ERSA Working Paper Series, Economic Research Southern Africa, number 049, Jan.
• Michael E. Drew & Alastair Marsden & Madhu Veeraraghavan, 2006, "Small Firm Effect, Liquidity and Security Returns," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 5, issue 2, pages 135-149, August, DOI: 10.1177/097265270600500202.
• Hee Seong Kim & Sang-Bum Park, 2006, "The Dynamic Relationship between Main Investors' Net Long Position and the Trading Volume of KTB Futures Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 5, issue 3, pages 217-233, December, DOI: 10.1177/097265270600500302.
• Holger Daske & Günther Gebhardt & Stefan Klein, 2006, "Estimating the Expected Cost of Equity Capital Usind Analysts’ Consensus Forecasts," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 58, issue 1, pages 2-36, January.
• Christian Koziol, 2006, "Optimal Debt Service: Straight vs. Convertible Debt," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 58, issue 2, pages 124-151, April.
• Gunther Friedl, 2006, "Discussion of "Optimal Debt Service: Straight vs. Convertible Debt"," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 58, issue 2, pages 152-156, April.
• Clive G. Bowsher & Roland Meeks, 2006, "High Dimensional Yield Curves: Models and Forecasting," OFRC Working Papers Series, Oxford Financial Research Centre, number 2006fe11.
• Raphael A. Espinoza & Charles A. E. Goodhart & Dimitrios P. Tsomocos, 2006, "Endogenous State Prices, Liquidity, Default, and the Yield Curve," OFRC Working Papers Series, Oxford Financial Research Centre, number 2006fe15.
• Geraldine Ryan, 2006, "The predictive power of the present value model of stock prices," Computing in Economics and Finance 2006, Society for Computational Economics, number 102, Jul.
• Carl Chiarella & Roberto Dieci & Tony He, 2006, "Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis," Computing in Economics and Finance 2006, Society for Computational Economics, number 108, Jul.
• Emmanuel Haven, 2006, "Private information and the use of a so called 'information function'," Computing in Economics and Finance 2006, Society for Computational Economics, number 113, Jul.
• Federico Ravenna & University of California & Juha Seppala & University of Illinois, 2006, "Monetary Policy and the Term Structure of Interest Rates," Computing in Economics and Finance 2006, Society for Computational Economics, number 197, Jul.
• Adrien Verdelhan, 2006, "A Habit-Based Explanation of the Exchange Rate Risk Premium," Computing in Economics and Finance 2006, Society for Computational Economics, number 217, Jul.
• David Colliings & Nicola Baxter, 2006, "Computational Finance Techniques for Valuing Customers," Computing in Economics and Finance 2006, Society for Computational Economics, number 220, Jul.
• Mikhail Anufriev & Giulio Bottazzi, 2006, "Behavioral Consistent Market Equilibria under Procedural Rationality," Computing in Economics and Finance 2006, Society for Computational Economics, number 225, Jul.
• Eva Carceles Poveda & Chryssi Giannitsarou, 2006, "Asset pricing with adaptive learning," Computing in Economics and Finance 2006, Society for Computational Economics, number 25, Jul.
• Pilar Grau-Carles, 2006, "Extreme observations in developed and emerging equity markets," Computing in Economics and Finance 2006, Society for Computational Economics, number 254, Jul.
• Lars Grüne & Willi Semmler & Lucas Bernard, 2006, "Firm Value and Default Correlation," Computing in Economics and Finance 2006, Society for Computational Economics, number 275, Jul.
• Ricardo Gimeno & Juan M. Nave, 2006, "Using genetic algorithms to improve the term structure of interest rates fitting," Computing in Economics and Finance 2006, Society for Computational Economics, number 276, Jul.
• Arpad Abraham & Eva Carceles-Poveda, 2006, "Complete Markets, Enforcement Constraints and Intermediation," Computing in Economics and Finance 2006, Society for Computational Economics, number 320, Jul.
• Celso Brunetti & Alessio Caldarera, 2006, "Asset Prices and asset Correlations in Illiquid Markets," Computing in Economics and Finance 2006, Society for Computational Economics, number 331, Jul.
• Hendri Adriaens & Bertrand Melenberg & Bas Donkers, 2006, "Ambiguity, No Arbitrage, Coherence and Artificial Financial Markets," Computing in Economics and Finance 2006, Society for Computational Economics, number 340, Jul.
• Yoshifumi Muroi & Takashi Yamada, 2006, "Pricing problems of perpetual Bermudan options," Computing in Economics and Finance 2006, Society for Computational Economics, number 345, Jul.
• Bianca De Paoli & Alasdair Scott & Olaf Weeken, 2006, "Asset pricing implications of a New Keynesian model," Computing in Economics and Finance 2006, Society for Computational Economics, number 358, Jul.
• Vrontos Ioannis & Vrontos Spyridon & Giamouridis Daniel, 2006, "Evaluating hedge fund managers: A Bayesian investigation of skill and persistence," Computing in Economics and Finance 2006, Society for Computational Economics, number 487, Jul.
• Turalay Kenc & Martin Sola & Marzia Raybaudi, 2006, "A Structural Model of Credit Risk with Counter-Cyclical Risk Premia," Computing in Economics and Finance 2006, Society for Computational Economics, number 499, Jul.
• William A. Barnett & Unja Chae & John W. Keating, 2006, "The discounted economic stock of money with VAR forecasting," Computing in Economics and Finance 2006, Society for Computational Economics, number 51, Jul.
• M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006, "Learning, structural instability and present value calculations," Computing in Economics and Finance 2006, Society for Computational Economics, number 529, Jul.
• Yulei Luo, 2006, "Rational Inattention, Portfolio Choice, and the Equity Premium," Computing in Economics and Finance 2006, Society for Computational Economics, number 56, Jul.
• Elena Maria De Giuli & Mario Maggi & Dean Fantazzini, 2006, "A new framework for firm value using copulas," Computing in Economics and Finance 2006, Society for Computational Economics, number 58, Jul.
• L.F. Hoogerheide & H.K. van Dijk, 2006, "Modelling option prices using neural networks," Computing in Economics and Finance 2006, Society for Computational Economics, number 78, Jul.
• Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006, "Learning, Structural Instability and Present Value Calculations," IEPR Working Papers, Institute of Economic Policy Research (IEPR), number 06.42, Jan.
• Charlotte Christiansen & Angelo Ranaldo, 2006, "Realized Bond-Stock Correlation: Macroeconomic Announcement Effects," Working Papers, Swiss National Bank, number 2006-02.
• Marie Briere & Aurélie Cohen, 2006, "A quoi réagit le marchés des obligations privées?," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 06-003.RS.
• André Farber & Van Huu Nguyen & Quan-Hoang Vuong, 2006, "A new proposition on the martingale representation theorem and on the approximate hedging of contingent claim in mean-variance criterion," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 06-004.RS, Apr.
• Xavier De Scheemaekere, 2006, "The epistemology of modern finance," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 06-017.RS, Sep.
• Robert J. Elliott & Carlton-James U. Osakwe, 2006, "Option Pricing for Pure Jump Processes with Markov Switching Compensators," Finance and Stochastics, Springer, volume 10, issue 2, pages 250-275, April, DOI: 10.1007/s00780-006-0004-6.
• Robert Elliott & Carlton-James Osakwe, 2006, "Option Pricing for Pure Jump Processes with Markov Switching Compensators," Finance and Stochastics, Springer, volume 10, issue 2, pages 250-275, April, DOI: 10.1007/s00780-006-0004-6.
• Peter Carr & Vadim Linetsky, 2006, "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, volume 10, issue 3, pages 303-330, September, DOI: 10.1007/s00780-006-0012-6.
• A. Cherny, 2006, "Weighted V@R and its Properties," Finance and Stochastics, Springer, volume 10, issue 3, pages 367-393, September, DOI: 10.1007/s00780-006-0009-1.
• Marc Chesney & Laurent Gauthier, 2006, "American Parisian options," Finance and Stochastics, Springer, volume 10, issue 4, pages 475-506, December, DOI: 10.1007/s00780-006-0015-3.
• R. Doeswijk & H. Hemmes & R. Venekamp, 2006, "25 Years of Dutch Ipos: An Examination of Frequently Cited Ipo Anomalies Within Main Sectors and During Hot- and Cold-Issue Periods," De Economist, Springer, volume 154, issue 3, pages 405-427, September, DOI: 10.1007/s10645-006-9017-y.
• Yakov Amihud & Haim Mendelson, 2006, "Stock and Bond Liquidity and its Effect on Prices and Financial Policies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 20, issue 1, pages 19-32, April, DOI: 10.1007/s11408-006-0001-y.
• Paul Söderlind, 2006, "C-CAPM Refinements and the Cross-Section of Returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 20, issue 1, pages 49-73, April, DOI: 10.1007/s11408-006-0005-7.
• Manuel Ammann & Michael Verhofen, 2006, "The Effect of Market Regimes on Style Allocation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 20, issue 3, pages 309-337, September, DOI: 10.1007/s11408-006-0018-2.
• Shuhong Kong & Majid Taghavi, 2006, "The Effect of Annual Earnings Announcements on the Chinese Stock Markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 12, issue 3, pages 318-326, August, DOI: 10.1007/s11294-006-9020-8.
• Dragon Tang & Hong Yan, 2006, "Macroeconomic Conditions, Firm Characteristics, and Credit Spreads," Journal of Financial Services Research, Springer;Western Finance Association, volume 29, issue 3, pages 177-210, June, DOI: 10.1007/s10693-006-7625-y.
• Guangsug Hahn & Dongchul Won, 2006, "Competitive Equilibrium with Short-selling and Nontransitivie Preferences," Korean Economic Review, Korean Economic Association, volume 22, pages 25-67.
• Móricz, Dániel, 2006, "Vállalati nyugdíjkötelezettségek és a részvények kockázata - tőkeáttétel és kereszttulajdonlás
  [Corporate pension liabilities and risk of stocks - leverage and cross-holding]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 2, pages 144-157.
• Frank Hansen, 2006, "Decreasing Relative Risk Premium," Discussion Papers, University of Copenhagen. Department of Economics, number 06-21, Nov.
• Chiaki Hara & James Huang & Christoph Kuzmics, 2006, "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," KIER Working Papers, Kyoto University, Institute of Economic Research, number 620, May.
• Chiaki Hara & James Huang & Christoph Kuzmics, 2006, "Efficient Risk-Sharing Rules with Heterogeneous Risk Attitudes and Background Risks," KIER Working Papers, Kyoto University, Institute of Economic Research, number 621, May.
• Jean-Pierre DANTHINE & Xiangrong JIN, 2006, "Intangible Capital, Corporate Valuation and Asset Pricing," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 06.05, Sep.
• CHATON Corinne & CRETI Anna & VILLENEUVE Bertrand, 2006, "The Economics of Seasonal Gas Storage," LERNA Working Papers, LERNA, University of Toulouse, number 06.01.194, Aug.
• Wing-Keung Wong & Aman Agarwal & Nee-Tat Wong, 2006, "The Disappearing Calendar Anomalies in the Singapore Stock Market," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 11, issue 2, pages 123-139, Jul-Dec.
• Rossella Bisignani & Giovanni Masala & Marco Micocci, 2006, "Economic Capital Management For Insurance Companies Using Conditional Value At Risk And A Copula Approach," Economia, Societa', e Istituzioni, Dipartimento di Economia e Finanza, LUISS Guido Carli, volume 0, issue 3.
• Gropp, Reint & Vesala, Jukka & Vulpes, Giuseppe, 2006, "Equity and Bond Market Signals as Leading Indicators of Bank Fragility," Journal of Money, Credit and Banking, Blackwell Publishing, volume 38, issue 2, pages 399-428, March, DOI: 10.1353/mcb.2006.0032.
• Eric Girard & Amit Sinha, 2006, "Does Total Risk Matter? The Case of Emerging Markets," Multinational Finance Journal, Multinational Finance Journal, volume 10, issue 1-2, pages 117-151, March-Jun.
• Liliana Gonzalez & Philip Hoang & John G. Powell Massey & Jing Shi, 2006, "Defining and Dating Bull and Bear Markets: Two Centuries of Evidence," Multinational Finance Journal, Multinational Finance Journal, volume 10, issue 1-2, pages 81-116, March-Jun.
• Ahmad Naimzada & Giorgio Ricchiuti, 2006, "Heterogeneous Fundamentalists and Imitative Processes," Working Papers, University of Milano-Bicocca, Department of Economics, number 104, Nov, revised Nov 2006.
• Péter Banczúr & Cosmin Ilut, 2006, "Determinants of Spreads on Sovereign Bank Loans: The Role of Credit History," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2006/1.
• Roko Aliprantis & Monique Florenzano & Daniella Puzzello & Rabee Tourky, 2006, "The wedge of arbitrage free prices: anything goes," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number b06070, Nov.
• Dominique Guégan & Jing Zhang, 2006, "Change analysis of dynamic copula for measuring dependence in multivariate financial data," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number b06090, Jul, DOI: 10.1080/14697680902933041.
• Gael M. Martin & Andrew Reidy & Jill Wright, 2006, "Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/06.
• Qin Xiao & Randolph Gee Kwang Tan, 2006, "Signal Extraction with Kalman Filter: A Study of the Hong Kong Property Price Bubbles," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 0601, Jan.
• Qin Xiao & Randolph Gee Kwang Tan, 2006, "Markov-switching Unit Root Test: A study of the Property Price Bubbles in Hong Kong and Seoul," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 0602, Feb.
• V. Baugnet & G. Wuyts, 2006, "The role of equities in corporate finance in Belgium," Economic Review, National Bank of Belgium, issue ii, pages 35-47, September.
• Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006, "A multi-factor model for the valuation and risk managment of demand deposits," Working Paper Research, National Bank of Belgium, number 83, May.
• Marina Emiris, 2006, "The term structure of interest rates in a DSGE model," Working Paper Research, National Bank of Belgium, number 88, Jul.
• Alan J. Auerbach & Kevin A. Hassett, 2006, "Dividend Taxes and Firm Valuation: New Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 11959, Jan.
• Leora Friedberg & Anthony Webb, 2006, "Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 11984, Jan.
• Jakub W. Jurek & Luis M. Viceira, 2006, "Optimal Value and Growth Tilts in Long-Horizon Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 12017, Feb.
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• Jay Shanken & Guofu Zhou, 2006, "Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations," NBER Working Papers, National Bureau of Economic Research, Inc, number 12055, Feb.
• Nicole M. Boyson & Christof W. Stahel & Rene M. Stulz, 2006, "Is There Hedge Fund Contagion?," NBER Working Papers, National Bureau of Economic Research, Inc, number 12090, Mar.
• Wayne E. Ferson & Andrew F. Siegel, 2006, "Testing Portfolio Efficiency with Conditioning Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 12098, Mar.
• Martin Lettau & Stijn Van Nieuwerburgh, 2006, "Reconciling the Return Predictability Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 12109, Mar.
• Clemens Sialm, 2006, "Investment Taxes and Equity Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 12146, Apr.
• John Y. Campbell, 2006, "Household Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 12149, Apr.
• Andrew Ang & Li Gu & Yael V. Hochberg, 2006, "Is IPO Underperformance a Peso Problem?," NBER Working Papers, National Bureau of Economic Research, Inc, number 12203, May.
• Geert Bekaert & Eric Engstrom & Steven R. Grenadier, 2006, "Stock and Bond Returns with Moody Investors," NBER Working Papers, National Bureau of Economic Research, Inc, number 12247, May.
• Geert Bekaert & Eric Engstrom & Yuhang Xing, 2006, "Risk, Uncertainty and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 12248, May.
• James Dow & Gary Gorton, 2006, "Noise Traders," NBER Working Papers, National Bureau of Economic Research, Inc, number 12256, May.
• Andrew B. Abel, 2006, "Equity Premia with Benchmark Levels of Consumption: Closed-Form Results," NBER Working Papers, National Bureau of Economic Research, Inc, number 12290, Jun.
• Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2006, "The Performance of International Equity Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 12346, Jul.
• Jonathan Lewellen & Stefan Nagel & Jay Shanken, 2006, "A Skeptical Appraisal of Asset-Pricing Tests," NBER Working Papers, National Bureau of Economic Research, Inc, number 12360, Jul.
• Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2006, "Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 12376, Jul.
• Nicholas Barberis & Ming Huang, 2006, "The Loss Aversion / Narrow Framing Approach to the Equity Premium Puzzle," NBER Working Papers, National Bureau of Economic Research, Inc, number 12378, Jul.
• Nicholas Barberis & Wei Xiong, 2006, "What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation," NBER Working Papers, National Bureau of Economic Research, Inc, number 12397, Jul.
• Orazio P. Attanasio & Monica Paiella, 2006, "Intertemporal Consumption Choices, Transaction Costs and Limited Participation to Financial Markets: Reconciling Data and Theory," NBER Working Papers, National Bureau of Economic Research, Inc, number 12412, Aug.
• Rajnish Mehra, 2006, "Recursive Competitive Equilibrium," NBER Working Papers, National Bureau of Economic Research, Inc, number 12433, Aug.
• Rajnish Mehra, 2006, "The Equity Premium in India," NBER Working Papers, National Bureau of Economic Research, Inc, number 12434, Aug.
• Josef Lakonishok & Louis Chan & Stephen G. Dimmock, 2006, "Benchmarking Money Manager Performance: Issues and Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 12461, Aug.
• Urban Jermann, 2006, "The Equity Premium Implied by Production," NBER Working Papers, National Bureau of Economic Research, Inc, number 12487, Aug.
• Michael W. Brandt & David A. Chapman, 2006, "Linear Approximations and Tests of Conditional Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 12513, Sep.
• Dmitry Livdan & Horacio Sapriza & Lu Zhang, 2006, "Financially Constrained Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 12555, Oct.
• Monika Piazzesi & Martin Schneider, 2006, "Equilibrium Yield Curves," NBER Working Papers, National Bureau of Economic Research, Inc, number 12609, Oct.
• Lars Peter Hansen & Jose Scheinkman, 2006, "Long Term Risk: An Operator Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 12650, Oct.
• Robert J. Barro, 2006, "On the Welfare Costs of Consumption Uncertainty," NBER Working Papers, National Bureau of Economic Research, Inc, number 12763, Dec.
• Hanno Lustig & Stijn Van Nieuwerburgh, 2006, "Can Housing Collateral Explain Long-Run Swings in Asset Returns?," NBER Working Papers, National Bureau of Economic Research, Inc, number 12766, Dec.
• Wei Xiong & Hongjun Yan, 2006, "Heterogeneous Expectations and Bond Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 12781, Dec.
• Laurent E. Calvet & Adlai J. Fisher, 2006, "Multifrequency Jump-Diffusions: An Equilibrium Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 12797, Dec.