Research classified by Journal of Economic Literature (JEL) codes

2007

• Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2007, "Econometric Asset Pricing Modelling," Working Papers, Center for Research in Economics and Statistics, number 2007-18.
• Alain Monfort & Fulvio Pegoraro, 2007, "Switching VARMA Term Structure Models - Extended Version," Working Papers, Center for Research in Economics and Statistics, number 2007-19.
• Corgnet, Brice & Kujal, Praveen & Porter, Dave, 2007, "Uninformative announcements and asset trading behavior," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we078350, Dec.
• Carvalho, R. & Iori, G., 2007, "Socioeconomic networks with long-range interactions," Working Papers, Department of Economics, City St George's, University of London, number 07/12.
• Wang Xiaodong, 2007, "The Closed-form Solution for Pricing American Put Options," Annals of Economics and Finance, Society for AEF, volume 8, issue 1, pages 197-215, May.
• Jay Shanken & Guofu Zhou, 2007, "Estimating and testing beta pricing models: Alternative methods and their performance in simulations," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 275.
• Ang, Andrew & Gu, Li & Hochberg, Yael V., 2007, "Is Ipo Underperformance a Peso Problem?," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 42, issue 3, pages 565-594, September.
• Alfarano, Simone & Lux, Thomas, 2007, "A Noise Trader Model As A Generator Of Apparent Financial Power Laws And Long Memory," Macroeconomic Dynamics, Cambridge University Press, volume 11, issue S1, pages 80-101, November.
• Peter C.B. Phillips & Donggyu Sul, 2007, "Transition Modeling and Econometric Convergence Tests," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1595, Jan.
• Peter C.B. Phillips & Jun Yu, 2007, "Simulation-based Estimation of Contingent-claims Prices," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1596, Jan.
• Peter C.B. Phillips & Jun Yu, 2007, "Information Loss in Volatility Measurement with Flat Price Trading," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1598, Jan.
• Robert J. Shiller, 2007, "Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1632, Oct.
• Yap, Chee Jin & Gannon, Gerard, 2007, "Factors affecting the credit spreads behaviour of USD Malaysian bonds," Working Papers, Deakin University, Department of Economics, number aef_2007_10, Jan.
• Camille Chaserant, 2007, "Autorité et flexibilité : quand la théorie des options interroge," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2007-28.
• Chi-Hsiou Hung, 2007, "Momentum, Size and Value Factors versus Systematic Co-moments in Stock Returns," Department of Economics Working Papers, Durham University, Department of Economics, number 2007_02, Mar.
• Chi-Hsiou Hung, 2007, "Return Explanatory Ability and Predictability of Non-Linear Market Models," Department of Economics Working Papers, Durham University, Department of Economics, number 2007_05, Mar.
• Attiya Y. Javid, 2007, "Stock Market Reaction to Catastrophic Shock : Evidence from Listed Pakistani Firms," Finance Working Papers, East Asian Bureau of Economic Research, number 22199, Jan.
• Takeaki KARIYA & Darrell DUFFIE & Mariko FUJII & Masaaki KIJIMA & Takao KOBAYASHI & Atsuyuki KOGURE & Robert MERTON & Akihiko TAKAHASHI & Keiichi TANAKA & Satoshi YAMASHITA, 2007, "Report on “The Committee on Yen Risk-free-rate Model Estimationâ€Â," Finance Working Papers, East Asian Bureau of Economic Research, number 22315, Jan.
• Attiya Y. Javed & Robina Iqbal, 2007, "The Relationship between Corporate Governance Indicators and Firm Value : A Case Study of Karachi Stock Exchange," Governance Working Papers, East Asian Bureau of Economic Research, number 22198, Jan.
• Ananda Jayawickrama & Tilak Abeysinghe, 2007, "Exchange Rate Exposure of Sectoral Returns and Volatilities : Evidence from Japanese Industrial Sectors," Microeconomics Working Papers, East Asian Bureau of Economic Research, number 21925, Jun.
• Fernandez, Pablo & Carabias, Jose M., 2007, "Rentabilidad y creación de valor para los accionistas de las empresas españolas y del IBEX 35. 1993-2006," IESE Research Papers, IESE Business School, number D/673, Feb.
• Fernandez, Pablo & Carabias, Jose M., 2007, "Creación de valor para los accionistas de Repsol. 1991-2006," IESE Research Papers, IESE Business School, number D/675, Feb.
• Fernandez, Pablo & Carabias, Jose M., 2007, "Rentabilidad y creación de valor de las empresas españolas en 2006 (y en el periodo 1993-2006)," IESE Research Papers, IESE Business School, number D/676, Feb.
• Fernandez, Pablo & Carabias, Jose M., 2007, "Creación de valor para los accionistas de Bankinter (1991-2006)," IESE Research Papers, IESE Business School, number D/678, Mar.
• Fernandez, Pablo & Carabias, Jose M., 2007, "Creación de valor para los accionistas de las eléctricas españolas (1991-2006)," IESE Research Papers, IESE Business School, number D/679, Mar.
• Fernandez, Pablo & Carabias, Jose M., 2007, "Creación de valor para los accionistas de bancos españoles (1991-2006)," IESE Research Papers, IESE Business School, number D/680, Mar.
• Fernandez, Pablo, 2007, "120 errores en valoraciones de empresas," IESE Research Papers, IESE Business School, number D/681, Mar.
• Fernandez, Pablo & Carabias, Jose M., 2007, "El peligro de utilizar betas calculadas," IESE Research Papers, IESE Business School, number D/685, Mar.
• Fernandez, Pablo, 2007, "Valoración de marcas e intangibles," IESE Research Papers, IESE Business School, number D/686, Mar.
• Fernandez, Pablo & Carabias, Jose M. & Miguel, Lucia, 2007, "Rentabilidad de los fondos de inversión de renta variable nacional en España (1991-2006)," IESE Research Papers, IESE Business School, number D/695, May.
• Fernandez, Pablo & Carabias, Jose M. & Miguel, Lucia, 2007, "Rentabilidad de los fondos de inversión en España. (1991-2006)," IESE Research Papers, IESE Business School, number D/696, May.
• Fernandez, Pablo & Bilan, Andrada, 2007, "110 common errors in company valuations," IESE Research Papers, IESE Business School, number D/714, Nov.
• Fernandez, Pablo, 2007, "A more realistic valuation: APV and WACC with constant book leverage ratio," IESE Research Papers, IESE Business School, number D/715, Nov.
• Cespa, Giovanni & Vives, Xavier, 2007, "Dynamic trading and asset prices: Keynes vs. Hayek," IESE Research Papers, IESE Business School, number D/716, Nov.
• Klaus Adam, 2007, "Explaining financial market puzzles with learning," Research Bulletin, European Central Bank, volume 6, pages 2-5.
• Lorenzo Cappiello & Simone Manganelli, 2007, "Financial integration and capital flows in the new EU Member States," Research Bulletin, European Central Bank, volume 6, pages 5-7.
• Manganelli, Simone & Wolswijk, Guido, 2007, "Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?," Working Paper Series, European Central Bank, number 745, Apr.
• Cassola, Nuno & Ewerhart, Christian & Morana, Claudio, 2007, "Structural econometric approach to bidding in the main refinancing operations of the Eurosystem," Working Paper Series, European Central Bank, number 793, Aug.
• Hilscher, Jens, 2007, "Is the corporate bond market forward looking?," Working Paper Series, European Central Bank, number 800, Aug.
• Berndt, Antje & Obreja, Iulian, 2007, "The pricing of risk in European credit and corporate bond markets," Working Paper Series, European Central Bank, number 805, Aug.
• Cappiello, Lorenzo & De Santis, Roberto A., 2007, "The uncovered return parity condition," Working Paper Series, European Central Bank, number 812, Sep.
• Ejsing, Jacob & Garcí­a, Juan Angel & Werner, Thomas, 2007, "The term structure of euro area break-even inflation rates: the impact of seasonality," Working Paper Series, European Central Bank, number 830, Nov.
• Amisano, Gianni & Geweke, John, 2007, "Hierarchical Markov normal mixture models with applications to financial asset returns," Working Paper Series, European Central Bank, number 831, Nov.
• Karolyi, G. Andrew & Lee, Kuan Hui & van Dijk, Mathijs A., 2007, "Common Patterns in Commonality in Returns, Liquidity, and Turnover around the World," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2007-16, Sep.
• Bharath, Sreedhar T. & Panchapegesan, Venky & Werner, Ingrid, 2007, "The Changing Nature of Chapter 11," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2008-4, Oct.
• Shiller, Robert J., 2007, "Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Economic Models," Working Papers, Yale University, Department of Economics, number 29, Oct.
• Peter Bossaerts & Charles Plott & William R. Zame, 2007, "Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments," Econometrica, Econometric Society, volume 75, issue 4, pages 993-1038, July.
• Peter C. B. Phillips & Donggyu Sul, 2007, "Transition Modeling and Econometric Convergence Tests," Econometrica, Econometric Society, volume 75, issue 6, pages 1771-1855, November.
• Jason Allen, 2007, "Size matters: covariance matrix estimation under the alternative," Econometrics Journal, Royal Economic Society, volume 10, issue 3, pages 637-644, November.
• George Bulkley & Richard W P Holt, 2007, "Forecasting Cross-Section Stock Returns using The Present Value Model," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 163, Apr.
• Gomes, Armando & Gorton, Gary & Madureira, Leonardo, 2007, "SEC Regulation Fair Disclosure, information, and the cost of capital," Journal of Corporate Finance, Elsevier, volume 13, issue 2-3, pages 300-334, June.
• Bidarkota, Prasad V. & Dupoyet, Brice V., 2007, "The impact of fat tails on equilibrium rates of return and term premia," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 3, pages 887-905, March.
• Lux, Thomas & Kaizoji, Taisei, 2007, "Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 6, pages 1808-1843, June.
• Boswijk, H. Peter & Hommes, Cars H. & Manzan, Sebastiano, 2007, "Behavioral heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 6, pages 1938-1970, June.
• Barnett, William A., 2007, "Multilateral aggregation-theoretic monetary aggregation over heterogeneous countries," Journal of Econometrics, Elsevier, volume 136, issue 2, pages 457-482, February.
• Dueker, Michael J. & Sola, Martin & Spagnolo, Fabio, 2007, "Contemporaneous threshold autoregressive models: Estimation, testing and forecasting," Journal of Econometrics, Elsevier, volume 141, issue 2, pages 517-547, December.
• Ang, Andrew & Chen, Joseph, 2007, "CAPM over the long run: 1926-2001," Journal of Empirical Finance, Elsevier, volume 14, issue 1, pages 1-40, January.
• Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2007, "Indirect robust estimation of the short-term interest rate process," Journal of Empirical Finance, Elsevier, volume 14, issue 4, pages 546-563, September.
• Connor, Gregory & Linton, Oliver, 2007, "Semiparametric estimation of a characteristic-based factor model of common stock returns," Journal of Empirical Finance, Elsevier, volume 14, issue 5, pages 694-717, December.
• Kiefer, Nicholas M. & Larson, C. Erik, 2007, "A simulation estimator for testing the time homogeneity of credit rating transitions," Journal of Empirical Finance, Elsevier, volume 14, issue 5, pages 818-835, December.
• Schmeling, Maik, 2007, "Institutional and individual sentiment: Smart money and noise trader risk?," International Journal of Forecasting, Elsevier, volume 23, issue 1, pages 127-145.
• Galai, Dan & Raviv, Alon & Wiener, Zvi, 2007, "Liquidation triggers and the valuation of equity and debt," Journal of Banking & Finance, Elsevier, volume 31, issue 12, pages 3604-3620, December.
• Csoka, Peter & Herings, P. Jean-Jacques & Koczy, Laszlo A., 2007, "Coherent measures of risk from a general equilibrium perspective," Journal of Banking & Finance, Elsevier, volume 31, issue 8, pages 2517-2534, August.
• 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.
• P. Herings & Felix Kubler, 2007, "Approximate CAPM When Preferences are CRRA," Computational Economics, Springer;Society for Computational Economics, volume 29, issue 1, pages 13-31, February, DOI: 10.1007/s10614-006-9061-3.
• Lars Grüne & Willi Semmler, 2007, "Asset pricing with dynamic programming," Computational Economics, Springer;Society for Computational Economics, volume 29, issue 3, pages 233-265, May, DOI: 10.1007/s10614-006-9063-1.
• Chia-Hsuan Yeh, 2007, "The role of intelligence in time series properties," Computational Economics, Springer;Society for Computational Economics, volume 30, issue 2, pages 95-123, September, DOI: 10.1007/s10614-007-9089-z.
• Andreas Ziegler & Michael Schröder & Klaus Rennings, 2007, "The effect of environmental and social performance on the stock performance of european corporations," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, volume 37, issue 4, pages 661-680, August, DOI: 10.1007/s10640-007-9082-y.
• Maria Sandsmark & Haakon Vennemo, 2007, "A portfolio approach to climate investments: CAPM and endogenous risk," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, volume 37, issue 4, pages 681-695, August, DOI: 10.1007/s10640-006-9049-4.
• David Rey & Markus Schmid, 2007, "Feasible momentum strategies: Evidence from the Swiss stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 21, issue 3, pages 325-352, September, DOI: 10.1007/s11408-007-0051-9.
• Juan Rendon & William Ziemba, 2007, "Is the January effect still alive in the futures markets?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 21, issue 3, pages 381-396, September, DOI: 10.1007/s11408-007-0049-3.
• Maria Borges, 2007, "Underpricing of Initial Public Offerings: The Case of Portugal," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 13, issue 1, pages 65-80, February, DOI: 10.1007/s11294-006-9064-9.
• Anthony Herbst, 2007, "Lunacy in the Stock Market—What is the Evidence?," Journal of Bioeconomics, Springer, volume 9, issue 1, pages 1-18, April, DOI: 10.1007/s10818-007-9016-3.
• Rob Bauer & Jeroen Derwall & Rogér Otten, 2007, "The Ethical Mutual Fund Performance Debate: New Evidence from Canada," Journal of Business Ethics, Springer, volume 70, issue 2, pages 111-124, January, DOI: 10.1007/s10551-006-9099-0.
• Paul Kupiec, 2007, "Capital Allocation for Portfolio Credit Risk," Journal of Financial Services Research, Springer;Western Finance Association, volume 32, issue 1, pages 103-122, October, DOI: 10.1007/s10693-007-0013-4.
• YongQiang Chu & Tien Sing, 2007, "Optimal Timing of Real Estate Investment under an Asymmetric Duopoly," The Journal of Real Estate Finance and Economics, Springer, volume 34, issue 3, pages 327-345, April, DOI: 10.1007/s11146-007-9016-z.
• Brian Ciochetti & James Shilling, 2007, "Loss Recoveries, Realized Excess Returns, and Credit Rationing in the Commercial Mortgage Market," The Journal of Real Estate Finance and Economics, Springer, volume 34, issue 4, pages 425-445, May, DOI: 10.1007/s11146-007-9021-2.
• Toshitaka Sekine & Towa Tachibana, 2007, "Land as Production Input and Collateral: Land Investment by Japanese Firms," The Journal of Real Estate Finance and Economics, Springer, volume 35, issue 4, pages 497-526, November, DOI: 10.1007/s11146-007-9051-9.
• Charles Cao & Jing-Zhi Huang, 2007, "Determinants of S&P 500 index option returns," Review of Derivatives Research, Springer, volume 10, issue 1, pages 1-38, January, DOI: 10.1007/s11147-007-9015-5.
• Jan Seifert & Marliese Uhrig-Homburg, 2007, "Modelling jumps in electricity prices: theory and empirical evidence," Review of Derivatives Research, Springer, volume 10, issue 1, pages 59-85, January, DOI: 10.1007/s11147-007-9011-9.
• Howard Chan & Robert Faff & Philip Gharghori & Yew Ho, 2007, "The relation between R&D intensity and future market returns: does expensing versus capitalization matter?," Review of Quantitative Finance and Accounting, Springer, volume 29, issue 1, pages 25-51, July, DOI: 10.1007/s11156-007-0023-1.
• Yuenan Wang & Amalia Di Iorio, 2007, "The cross-sectional relationship between stock returns and domestic and global factors in the Chinese A-share market," Review of Quantitative Finance and Accounting, Springer, volume 29, issue 2, pages 181-203, August, DOI: 10.1007/s11156-007-0026-y.
• William Terando & Wayne Shaw & David Smith, 2007, "Valuation and classification of company issued cash and share-puts," Review of Quantitative Finance and Accounting, Springer, volume 29, issue 3, pages 223-240, October, DOI: 10.1007/s11156-007-0033-z.
• Guangsug Hahn & Dong Chul Won, 2007, "Equilibrium in Financial Markets with Market Frictions," Korean Economic Review, Korean Economic Association, volume 23, pages 267-302.
• Chiaki Hara, 2007, "Complete Monotonicity of the Representative Consumer's Discount Factor," KIER Working Papers, Kyoto University, Institute of Economic Research, number 636, Jul.
• Pascal ST-AMOUR, 2007, "Benchmarks in Aggregate Household Portfolios," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 07.07, Jan.
• Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2007, "A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors," Cahiers de recherche, CIRPEE, number 0741.
• Maurice J. Roche & Michael J. Moore, 2007, "Solving Exchange Rate Puzzles with neither Sticky Prices nor Trade Costs," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1750507.
• Patarick Leoni, 2007, "A market microstructure explanation of IPOs underpricing," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1770807.
• Shu Wu, 2007, "Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets," Journal of Money, Credit and Banking, Blackwell Publishing, volume 39, issue 2-3, pages 423-442, March.
• Antonis Demos & George Vasillelis, 2007, "U.K. Stock Market Inefficiencies and the Risk Premium," Multinational Finance Journal, Multinational Finance Journal, volume 11, issue 1-2, pages 97-122, March-Jun.
• Thomas C. Chiang & Cathy W.S. Chen & Mike K.P. So, 2007, "Asymmetric Return and Volatility Responses to Composite News from Stock Markets," Multinational Finance Journal, Multinational Finance Journal, volume 11, issue 3-4, pages 179-210, September.
• Ahmad Naimzada & Giorgio Ricchiuti, 2007, "Dynamic Effects of Increasing Heterogeneity in Financial Markets," Working Papers, University of Milano-Bicocca, Department of Economics, number 111, revised 2007.
• Michael McKenzie & Olan T. Henry, 2007, "The Determinnts of Short Selling in the Hong Kong Equities Market," Department of Economics - Working Papers Series, The University of Melbourne, number 1001.
• Paulo Maio, 2007, "ICAPM with time-varying risk aversion," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group, number 111, Feb.
• Jens Hilscher & Yves Nosbusch, 2007, "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group, number 114, Feb, revised 24 Apr 2007.
• Burcu Hacibedel & Jos van Bommel, 2007, "Do emerging markets benefit from index inclusion?," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group, number 128, Feb.
• Renatas Kizys & Peter Spencer, 2007, "Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group, number 140, Feb.
• Luisa Corrado & Marcus Miller & Lei Zhang, 2007, "Exchange Rate Monitoring Bands: Theory and Policy," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group, number 146, Feb.
• Bianca De Paoli, Alasdair Scott, Olaf Weeken, 2007, "Asset pricing implications for a New Keynesian model," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group, number 156, Feb.
• Parantap Basu, 2007, "Understanding Labour Market Frictions: A Tobin’s Q Approach," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group, number 35, Feb.
• Mario Cerrato & Kan Kwok Cheung, 2007, "Valuing American Style Options by Least Squares Methods," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group, number 49, Feb.
• Weber, Martin & Welfens, Frank, 2007, "An individual level analysis of the disposition effect : empirical and experimental evidence," Papers, Sonderforschungsbreich 504, number 07-45.
• Oechssler, Jörg & Schmidt, Carsten & Schnedler, Wendelin, 2007, "Asset bubbles without dividends : an experiment," Papers, Sonderforschungsbreich 504, number 07-01.
• Carlo Alberto Magni, 2007, "A Sum&Discount Method for Appraising Firms: An Illustrative Example," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0572, Nov.
• Carlo Alberto Magni, 2007, "A Sum&Discount Method for Appraising Firms: An Illustrative Example," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 572, Nov.
• Marianna Brunetti & Costanza Torricelli, 2007, "The role of demographic variables in explaining financial returns in Italy," Heterogeneity and monetary policy, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica, number 0701, Jan.
• Dominique Guegan, 2007, "Global and local stationary modelling in finance: theory and empirical evidence," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b07053, Apr.
• Dominique Guegan & Jing Zhang, 2007, "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b07057, Nov, DOI: 10.1080/13518470902895344.
• Xibin Zhang & Robert D. Brooks & Maxwell L. King, 2007, "A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/07, Aug.
• Gael M. Martin & Andrew Reidy & Jill Wright, 2007, "Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 5/07, Jun.
• Qin Xiao & Weihong Huang, 2007, "Risk and Predictability of Singapore’s Direct Residential Real Estate Market," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 0702, Feb.
• M. Collin, 2007, "The flattening of the yield curve : causes and economic policy implications," Economic Review, National Bank of Belgium, issue i, pages 47-60, June.
• Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007, "The determinants of stock and bond return comovements," Working Paper Research, National Bank of Belgium, number 119, Oct.
• Monika Piazzesi & Martin Schneider, 2007, "Equilibrium Yield Curves," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2006, Volume 21".
• Philipp Hartmann & Stefan Straetmans & Casper de Vries, 2007, "Banking System Stability. A Cross-Atlantic Perspective," NBER Chapters, National Bureau of Economic Research, Inc, "The Risks of Financial Institutions".
• Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007, "Systemic Risk and Hedge Funds," NBER Chapters, National Bureau of Economic Research, Inc, "The Risks of Financial Institutions".
• Andrew Ang & Jun Liu, 2007, "Risk, Return and Dividends," NBER Working Papers, National Bureau of Economic Research, Inc, number 12843, Jan.
• Borja Larrain & Motohiro Yogo, 2007, "Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow?," NBER Working Papers, National Bureau of Economic Research, Inc, number 12847, Jan.
• Mark Mitchell & Lasse Heje Pedersen & Todd Pulvino, 2007, "Slow Moving Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 12877, Jan.
• Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2007, "The Demand for Treasury Debt," NBER Working Papers, National Bureau of Economic Research, Inc, number 12881, Jan.
• Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2007, "Investor Information, Long-Run Risk, and the Term Structure of Equity," NBER Working Papers, National Bureau of Economic Research, Inc, number 12912, Feb.
• Charles W. Calomiris & Doron Nissim, 2007, "Activity-Based Valuation of Bank Holding Companies," NBER Working Papers, National Bureau of Economic Research, Inc, number 12918, Feb.
• Andrew Ang & Geert Bekaert & Min Wei, 2007, "The Term Structure of Real Rates and Expected Inflation," NBER Working Papers, National Bureau of Economic Research, Inc, number 12930, Feb.
• Nicholas Barberis & Ming Huang, 2007, "Stocks as Lotteries: The Implications of Probability Weighting for Security Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 12936, Feb.
• Markus K. Brunnermeier & Lasse Heje Pedersen, 2007, "Market Liquidity and Funding Liquidity," NBER Working Papers, National Bureau of Economic Research, Inc, number 12939, Feb.
• Markus K. Brunnermeier & Christian Gollier & Jonathan A. Parker, 2007, "Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 12940, Feb.
• Lars Peter Hansen, 2007, "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 12948, Mar.
• Torben G. Andersen & Luca Benzoni, 2007, "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 12962, Mar.
• Joao F. Gomes & Leonid Kogan & Motohiro Yogo, 2007, "Durability of Output and Expected Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 12986, Mar.
• Laura X. L. Liu & Toni Whited & Lu Zhang, 2007, "Regularities," NBER Working Papers, National Bureau of Economic Research, Inc, number 13024, Apr.
• Jonathan B. Berk & Ian Tonks, 2007, "Return Persistence and Fund Flows in the Worst Performing Mutual Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 13042, Apr.
• Robert E. Hall & Susan E. Woodward, 2007, "The Incentives to Start New Companies: Evidence from Venture Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 13056, Apr.
• John Y. Campbell & Karine Serfaty-de Medeiros & Luis M. Viceira, 2007, "Global Currency Hedging," NBER Working Papers, National Bureau of Economic Research, Inc, number 13088, May.
• Owen Lamont & Andrea Frazzini, 2007, "The Earnings Announcement Premium and Trading Volume," NBER Working Papers, National Bureau of Economic Research, Inc, number 13090, May.
• Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007, "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 13107, May.
• Ravi Bansal & Robert Dittmar & Dana Kiku, 2007, "Cointegration and Consumption Risks in Asset Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 13108, May.
• Ulrike Malmendier & Devin Shanthikumar, 2007, "Do Security Analysts Speak in Two Tongues?," NBER Working Papers, National Bureau of Economic Research, Inc, number 13124, May.
• Craig Burnside, 2007, "The Forward Premium is Still a Puzzle," NBER Working Papers, National Bureau of Economic Research, Inc, number 13129, May.
• Martin D. D. Evans & Richard K. Lyons, 2007, "Exchange Rate Fundamentals and Order Flow," NBER Working Papers, National Bureau of Economic Research, Inc, number 13151, Jun.
• Malcolm Baker & Jeffrey Wurgler, 2007, "Investor Sentiment in the Stock Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 13189, Jun.
• 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.
• Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007, "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," The Review of Economic Studies, Review of Economic Studies Ltd, volume 74, issue 4, pages 1005-1033.
• Elyès Jouini & Clotilde Napp, 2007, "Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs," The Review of Economic Studies, Review of Economic Studies Ltd, volume 74, issue 4, pages 1149-1174.
• Larry G. Epstein & Martin Schneider, 2007, "Learning Under Ambiguity," The Review of Economic Studies, Review of Economic Studies Ltd, volume 74, issue 4, pages 1275-1303.

2006

• Ramaprasad Bhar & Shigeyuki Hamori, 2006, "Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 13, issue 1, pages 1-9, March, DOI: 10.1007/s10690-007-9032-2.
• Jirô Akahori & Hiroki Aoki & Yoshihiko Nagata, 2006, "Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 13, issue 2, pages 151-179, June, DOI: 10.1007/s10690-007-9039-8.
• Jirô Akahori & Takahiro Tsuchiya, 2006, "What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 13, issue 4, pages 299-313, December, DOI: 10.1007/s10690-007-9046-9.