Research classified by Journal of Economic Literature (JEL) codes

2006

• 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.
• Carlos Guerrero de Lizardi, 2006, "Una aproximación al sesgo de medición del precio de las computadoras personales en México," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, volume 0, issue 1, pages 97-124, January-J.
• Ravazzolo, F. & van Dijk, D.J.C. & Paap, R. & Franses, Ph.H.B.F., 2006, "Bayesian Model Averaging in the Presence of Structural Breaks," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2006-33, Aug.
• Dutordoir, M.D.R.P. & Van de Gucht, L., 2006, "Why Do Western European Firms Issue Convertibles Instead of Straight Debt or Equity?," 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-2006-056-F&A, Oct.
• Dutordoir, M.D.R.P. & Van de Gucht, L., 2006, "Are There Windows of Opportunity for Convertible Debt Issuance? Evidence for Western Europe," 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-2006-055-F&A, Oct.
• Jorge H. del Castillo-Spíndola, 2006, "A Non-Parametric Test of the Conditional CAPM for the Mexican Economy," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 21, issue 2, pages 275-297.
• Nikolaos Eriotis & Dimitrios Vasiliou & Spyros Papathanasiou, 2006, "Testing Technical Anomalies in Athens Stock Exchange (ASE)," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3-4, pages 75-90.
• Edward J. Lusk & Michael HALPERIN & Li Yue, 2006, "A Behavioural Finance Explanation of a Gearing-ß Inverse Association Referencing Weill’s Liquidity Result (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 56, issue 3-4, pages 168-177, March.
• Yeliz Yalcin & Eray M. Yycel, 2006, "The Day-of-the-Week Effect on Stock-Market Volatility and Return: Evidence from Emerging Markets (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 56, issue 5-6, pages 258-277, May.
• Jan Brùha & Alexis Derviz, 2006, "Macroeconomic Factors and the Balanced Value of the Czech Koruna/Euro Exchange Rate (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 56, issue 7-8, pages 318-343, July.
• ZANG Xuheng & WANG Liping, 2006, "An analysis of the consumption risk and asset returns of Chinese residents," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 1, issue 3, pages 395-405, September.
• SHENG Bin, 2006, "Political economy of China¡¯s trade policy: the evidence from industrial protection in 1990s," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 1, issue 3, pages 406-432, September.
• Pengguo wang, 2006, "Option Pricing with Long-Short Spreads," Frontiers in Finance and Economics, SKEMA Business School, volume 3, issue 1, pages 1-28, June.
• Fernandes, Marcelo & Rocha, Marco Aurélio dos Santos, 2006, "Are price limits on futures markets that cool?: evidence from the Brazilian Mercantile and Futures Exchange," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 630, Nov.
• Ricardo Lagos & Guillaume Rocheteau, 2006, "Search in asset markets," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 0607, DOI: 10.26509/frbc-wp-200607.
• Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006, "The Bond Yield “Conundrum” from a Macro-Finance Perspective," Working Paper Series, Federal Reserve Bank of San Francisco, number 2006-16, May, DOI: 10.24148/wp2006-16.
• Tim Bollerslev & Hao Zhou, 2006, "Expected stock returns and variance risk premia," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2007-11.
• Gregory H. Bauer & Clara Vega, 2006, "The monetary origins of asymmetric information in international equity markets," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 872.
• Martin Bodenstein, 2006, "International Asset Markets and Real Exchange Rate Volatility," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 884.
• Torben G. Andersen & Luca Benzoni, 2006, "Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models," Working Paper Series, Federal Reserve Bank of Chicago, number WP-06-15.
• Michael J. Dueker & Martin Sola & Fabio Spagnolo, 2006, "Contemporaneous threshold autoregressive models: estimation, testing and forecasting," Working Papers, Federal Reserve Bank of St. Louis, number 2003-024, DOI: 10.20955/wp.2003.024.
• Anthony Pennington-Cross, 2006, "The duration of foreclosures in the subprime mortgage market: a competing risks model with mixing," Working Papers, Federal Reserve Bank of St. Louis, number 2006-027, DOI: 10.20955/wp.2006.027.
• Kevin X. D. Huang & Zheng Liu & Qi Zhu, 2006, "Temptation and self-control: some evidence and applications," Staff Report, Federal Reserve Bank of Minneapolis, number 367, DOI: 10.21034/sr.367.
• Ricardo Lagos & Guillaume Rocheteau, 2006, "Search in asset markets," Staff Report, Federal Reserve Bank of Minneapolis, number 375, DOI: 10.21034/sr.375.
• Domenico Colucci & Vincenzo Valori, 2006, "Asset price dynamics when behavioural heterogeneity varies," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2006-01, Nov.
• Jean-Pierre Zigrand & Jon Danielsson, 2006, "Equilibrium Asset Pricing with Systemic Risk," FMG Discussion Papers, Financial Markets Group, number dp561, May.
• Markus K Brunnermeier & Christian Julliard, 2006, "Money Illusion and Housing Frenzies," FMG Discussion Papers, Financial Markets Group, number dp579, Jul.
• Nicole Branger & Antje Mahayni, 2006, "Tractable Hedging - An Implementation of Robust Hedging Strategies," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 135.
• Roko Aliprantis & Monique Florenzano & Daniella Puzzello & Rabee Tourky, 2006, "The wedge of arbitrage free prices: anything goes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00112202, Nov.
• Dominique Guegan & Jing Zhang, 2006, "Change analysis of dynamic copula for measuring dependence in multivariate financial data," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00189141, Jul.
• Francesco Franzoni & J. M. Marin, 2006, "Pension Plan Funding and Stock Market Efficiency," Post-Print, HAL, number halshs-00009850.
• Roko Aliprantis & Monique Florenzano & Daniella Puzzello & Rabee Tourky, 2006, "The wedge of arbitrage free prices: anything goes," Post-Print, HAL, number halshs-00112202, Nov.
• Francesco Franzoni & J. M. Marin, 2006, "Portable Alphas from Pension Mispricing," Post-Print, HAL, number halshs-00119546, Jul.
• Jacques Olivier & J. M. Marin, 2006, "The dog that did not bark: insider trading and crashes," Post-Print, HAL, number halshs-00121093, Aug.
• Elyès Jouini & Clotilde Napp, 2006, "Aggregation of Heterogeneous Beliefs," Post-Print, HAL, number halshs-00151562, Sep, DOI: 10.1016/j.jmateco.2006.02.001.
• Fredj Jawadi & Slim Chaouachi, 2006, "Coûts de transaction et dynamique non-linéaire des prix des actifs financiers : une note théorique," Working Papers, HAL, number hal-04138865.
• Kevin Elie Beaubrun-Diant & Julien Matheron, 2006, "Rentabilité d'actifs et fluctuations économiques : une perspective d'équilibre général dynamique et stochastique," Working Papers, HAL, number hal-04138877.
• Menkhoff, Lukas & Schmeling, Maik, 2006, "A Prospect-Theoretical Interpretation of Momentum Returns," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-335, May.
• Schmeling, Maik, 2006, "Institutional and Individual Sentiment: Smart Money and Noise Trader Risk," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-337, May.
• Péter Csóka & Jean-Jacques Herings & László Kóczy, 2006, "Coherent Measures of Risk from a General Equilibrium Perspective," KRTK-KTI WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 0611, Aug, revised 30 Aug 2006.
• Asgharian, Hossein & Karlsson, Sonnie, 2006, "Evaluating a nonlinear asset pricing model on international data," Working Papers, Lund University, Department of Economics, number 2006:5, Feb.
• Stecher, Jack D., 2006, "The Nonequivalence of the Earnings and Dividends Approaches to Equity Valuation," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2006/1, Mar.
• Ekern, Steinar, 2006, "A Dozen Consistent CAPM-Related Valuation Models - So Why Use the Incorrect One?," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2006/6, May, revised 25 Apr 2007.
• Chollete, Lorán & Næs, Randi & Skjeltorp, Johannes A., 2006, "Pricing Implications of Shared Variance in Liquidity Measures," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2006/9, Aug, revised 21 Jun 2007.
• Bjerksund, Petter & Stensland, Gunnar, 2006, "Closed form spread option valuation," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2006/20, Dec.
• Quoreshi, Shahiduzzaman, 2006, "LongMemory, Count Data, Time Series Modelling for Financial Application," Umeå Economic Studies, Umeå University, Department of Economics, number 673, Apr.
• Quoreshi, Shahiduzzaman, 2006, "A Vector Integer-Valued Moving Average Modelfor High Frequency Financial Count Data," Umeå Economic Studies, Umeå University, Department of Economics, number 674, Apr.
• Quoreshi, Shahiduzzaman, 2006, "Time Series Modelling Of High Frequency Stock Transaction Data," Umeå Economic Studies, Umeå University, Department of Economics, number 675, Apr.
• Brännäs, Kurt & Lönnbark, Carl, 2006, "Effects of Explanatory Variables in Count Data Moving Average Models," Umeå Economic Studies, Umeå University, Department of Economics, number 679, Apr.
• Daunfeldt, Sven-Olov & Selander, Carina & Wikström, Magnus, 2006, "Taxation, Dividend Payments and Ex-Day Price Changes," Umeå Economic Studies, Umeå University, Department of Economics, number 684, Jun.
• Hellström, Jörgen & Simonsen, Ola, 2006, "Does the Open Limit Order Book Reveal Information About Short-run Stock Price Movements?," Umeå Economic Studies, Umeå University, Department of Economics, number 687, Aug.
• Simonsen, Ola, 2006, "Stock Data, Trade Durations, And Limit Order Book Information," Umeå Economic Studies, Umeå University, Department of Economics, number 689, Aug.
• Fukuda, Shin-ichi & 福田, 慎一 & フクダ, シンイチ & Koibuchi, Satoshi & 鯉渕, 賢 & コイブチ, サトシ, 2006, "The Impacts of "Shock Therapy" on Large and Small Clients: Experiences from Two Large Bank Failures in Japan," CEI Working Paper Series, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University, number 2006-8, Oct.
• Philippe Bacchetta & Elmar Mertens & Eric van Wincoop, 2006, "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Working Papers, Hong Kong Institute for Monetary Research, number 102006, Mar.
• Campbell, John, 2006, "Household Finance," Scholarly Articles, Harvard University Department of Economics, number 3157877.
• Barro, Robert, 2006, "On the Welfare Costs of Consumption Uncertainty," Scholarly Articles, Harvard University Department of Economics, number 3224745.
• Nuno Cassola & Christian Ewerhart & Claudio Morana, 2006, "Structural Econometric Approach to Bidding in the Main refinancing Operations of the Eurosystem," ICER Working Papers, ICER - International Centre for Economic Research, number 26-2006, Jul.
• Carlos Forner Rodríguez & Joaquín Marhuenda Fructuoso, 2006, "Análisis del origen de los beneficios del momentum en el mercado de valores español," Investigaciones Economicas, Fundación SEPI, volume 30, issue 3, pages 401-439, September.
• Francisco Jareño Cebrián, 2006, "Sensibilidad de los rendimientos sectoriales a tipos de interés reales e inflación," Investigaciones Economicas, Fundación SEPI, volume 30, issue 3, pages 577-610, September.
• Shorish, Jamsheed, 2006, "Functional Rational Expectations Equilibria in Market Games," Economics Series, Institute for Advanced Studies, number 186, Feb.