Research classified by Journal of Economic Literature (JEL) codes

2004

• Walter Distaso & Basel Awartani & Valentina Corradi, 2004, "Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average," Econometric Society 2004 Australasian Meetings, Econometric Society, number 273, Aug.
• Daniel R. Smith & Christophe Parignon, 2004, "Modeling Yield-Factor Volatility," Econometric Society 2004 Australasian Meetings, Econometric Society, number 307, Aug.
• Vance Martin & G.C. Lim & Esfandiar Maasoumi, 2004, "Discounting The Equity Premium Puzzle," Econometric Society 2004 Australasian Meetings, Econometric Society, number 331, Aug.
• Francis X. Diebold, 2004, "Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics," Econometric Society 2004 Australasian Meetings, Econometric Society, number 352, Aug.
• Diana Maldonado & Tim Fry & Robert Brooks & Robert Faff, 2004, "Alternative Beta Risk Estimators in Emerging Markets: The Latin American Case," Econometric Society 2004 Australasian Meetings, Econometric Society, number 62, Aug.
• Dong Heon Kim, 2004, "Nonlinearity in the Term Structure," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 440, Aug.
• Jaesun Noh, 2004, "Estimation of Credit and Default Spreads: An Application to CDO Valuation," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 444, Aug.
• Jun Yu, 2004, "On leverage in a stochastic volatility model," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 497, Aug.
• Jun Yu, 2004, "On Leverage in a Stochastic Volatility Model," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 506, Aug.
• Koichi Maekawa & Ken-ichi Kawai, 2004, "Option pricing under NIG distribution: --- The empirical analysis of Nikkei 225 option ----," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 607, Aug.
• Towa Tachibana & Sekine & Toshitaka, 2004, "Land Investment by Japanese Firms during and after the Bubble Period," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 631, Aug.
• Haim Kedar-Levy, 2004, "Learning the CAPM through Bubbles," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 775, Aug.
• J-H Steffi Yang, 2004, "The Markovian Dynamics of "Smart Money"," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 797, Aug.
• Fabio Araujo & Marcelo Fernandes e João Victor Issler, 2004, "Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor," Econometric Society 2004 Latin American Meetings, Econometric Society, number 134, Aug.
• Wright, Brian D. & Bobenrieth & Eugenio S. A., 2004, "Prognoses for a Non-Predictable Discounted Commodity Price Process," Econometric Society 2004 Latin American Meetings, Econometric Society, number 19, Aug.
• Jeffrey R. Russell & Federico M. Bandi, 2004, "Microstructure noise, realized volatility, and optimal sampling," Econometric Society 2004 Latin American Meetings, Econometric Society, number 220, Aug.
• Alberto Naudon & Matías Tapia, 2004, "Ignorance, Fixed Costs, and the Stock Market Participation Puzzle," Econometric Society 2004 Latin American Meetings, Econometric Society, number 252, Aug.
• L.A. Gil-Alana & G.M. caporale, 2004, "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings, Econometric Society, number 344, Aug.
• Antonio Mele, 2004, "General Properties of Rational Stock-Market Fluctuations," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 223, Aug.
• Tack Yun & Wooheon Rhee, 2004, "Implications of Quasi-Geometric Discounting on the Observable Sharpe Ratio," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 243, Aug.
• Yong Zeng & Shu Wu, 2004, "A General Equilibrium Model of the Term Structure of Interest Rates under Regime-switching Risk," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 304, Aug.
• Olivier Vigneron, & Xavier Gabaix & Arvind Krishnamurthy, 2004, "Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 430, Aug.
• Pentti Saikkonen & Markku Lanne, 2004, "A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 469, Aug.
• Jennifer Juergens & Evan Anderson & Eric Ghysels, 2004, "Do Heterogeneous Beliefs Matter for Asset Pricing?," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 477, Aug.
• Basel Awartani & Valentina Corradi, 2004, "Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 487, Aug.
• Bedri Kamil Onur Tas, 2004, "Asymmetric Information, Stock Returns and Monetary Policy: A Theoretical and Empirical Analysis," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 490, Aug.
• Duane Seppi & Michael Gallmeyer & Burton Hollifield, 2004, "Liquidity Discovery and Asset Pricing," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 525, Aug.
• Michael R Roberts & Michael Bradley, 2004, "Are Bond Covenants Priced?," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 7, Aug.
• Andrei Semenov, 2004, "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 130, Aug.
• Ernesto Mordecki & José Fajardo, 2004, "Pricing Derivatives on Two Lé}vy-driven Stocks," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 139, Aug.
• Robin Brooks, 2004, "The Equity Premium and the Baby Boom," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 155, Aug.
• Marcin Kacperczyk; Paul Damien; Stephen Walker, 2004, "A Bayesian semiparametric approach to pricing the S&P 500 index options," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 202, Aug.
• Paul Ehling, 2004, "Consumption, Portfolio Policies and Dynamic Equilibrium in the Presence of Preference for Ownership," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 311, Aug.
• Sydney C. Ludvigson & Xiaohong Chen, 2004, "An Empirical Investigation of Habit-Based Asset Pricing Models," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 332, Aug.
• Laura Veldkamp, 2004, "Media Frenzies in Markets for Financial Information," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 4, Aug.
• Jing-zhi Huang & Liuren Wu, 2004, "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 405, Aug.
• Sergei Levendorskii, 2004, "Consistency conditions for affine term structure models," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 413, Aug.
• Jesper Lund & Torben G. Andersen & Luca Benzoni, 2004, "Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 432, Aug.
• Jaehun Chung & Yongmiao Hong, 2004, "Are the directions of stock price changes predictable? A generalized cross-spectral approach," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 469, Aug.
• Giovanni Urga & Giovanni Barone Adesi & Patrick Gagliardini, 2004, "Testing Asset Pricing Model with Coskweness," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 491, Aug.
• Patrick Cheridito & Damir Filipovic, 2004, "Market Price of Risk Specifications for Affine Models: Theory and Evidence," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 536, Aug.
• Yacine Ait-Sahalia, 2004, "Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible)," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 575, Aug.
• duffie, 2004, "Valuation in Dynamic Bargaining Markets," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 633, Aug.
• duffie, 2004, "Liquidity Premia in Dynamic Bargaining Markets," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 634, Aug.
• dvayanos, 2004, "Search and Endogenous Concentration of Liquidity in Asset Markets," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 635, Aug.
• Dmitrios Vayanos, 2004, "Search and Endogenous Concentration of Liquidity in Asset Markets," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 647, Aug.
• Pierre-Olivier Weill, 2004, "Liquidity Premia in Dynamic Bargaining Markets," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 648, Aug.
• Lasse Pedersen & Darrell Duffie & Nicolae Garleanu, 2004, "Valuation in Dynamic Bargaining Markets," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 649, Aug.
• Brandt, M.W.Michael W. & Zeng, Qi & Zhang, Lu, 2004, "Equilibrium stock return dynamics under alternative rules of learning about hidden states," Journal of Economic Dynamics and Control, Elsevier, volume 28, issue 10, pages 1925-1954, September.
• Campbell, John Y. & Chacko, George & Rodriguez, Jorge & Viceira, Luis M., 2004, "Strategic asset allocation in a continuous-time VAR model," Journal of Economic Dynamics and Control, Elsevier, volume 28, issue 11, pages 2195-2214, October.
• Gutierrez, Maria-Jose & Vazquez, Jesus, 2004, "Switching equilibria: the present value model for stock prices revisited," Journal of Economic Dynamics and Control, Elsevier, volume 28, issue 11, pages 2297-2325, October.
• Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2004, "A geometric approach to multiperiod mean variance optimization of assets and liabilities," Journal of Economic Dynamics and Control, Elsevier, volume 28, issue 6, pages 1079-1113, March.
• Magni, Carlo Alberto, 2004, "Modelling excess profit," Economic Modelling, Elsevier, volume 21, issue 3, pages 595-617, May.
• Gürtler, Marc & Hartmann, Nora, 2004, "The equity premium puzzle and emotional asset pricing," Working Papers, Technische Universität Braunschweig, Institute of Finance, number FW10V3.
• Wilhelm, Jochen & Nietert, Bernhard, 2004, "Non-Negativity of Nominal and Real Riskless Rates, Arbitrage Theory, and the Null-Alternative Cash," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe, University of Passau, Faculty of Business and Economics, number 11.
• Schmidt, Robert & Leitner, Johannes, 2004, "A systematic comparison of professional exchange rate forecasts with judgmental forecasts of novices: Are there substantial differences?," W.E.P. - Würzburg Economic Papers, University of Würzburg, Department of Economics, number 49.
• Bernoth, Kerstin & von Hagen, Jürgen & Schuknecht, Ludger, 2004, "Sovereign risk premia in the European government bond market," ZEI Working Papers, University of Bonn, ZEI - Center for European Integration Studies, number B 26-2003.
• Lüders, Erik & Schröder, Michael, 2004, "Modeling Asset Returns: A Comparison of Theoretical and Empirical Models," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 04-19.
• Lüders, Erik & Lüders-Amann, Inge & Schröder, Michael, 2004, "The Power Law and Dividend Yields," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 04-51.
• Schröder, Michael & Lüders, Erik, 2004, "Modeling Asset Returns: A Comparison of Theoretical and Empirical Models," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 04-19 [rev.].
• Clive Bowsher, 2004, "Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange," Economics Series Working Papers, University of Oxford, Department of Economics, number 2004-FE-19, Sep.
• Juan F. Castro & Eduardo Morón & Diego Winkelried, 2004, "Assessing Financial Vulnerability in Partial Dollarized Economies," Working Papers, Centro de Investigación, Universidad del Pacífico, number 04-03, Jan.
• Yochanan Shachmurove, 2004, "The Reality of IPO Performance: An Empirical Study of Venture-Backed Public Companies," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 04-030, Jul.
• Emanuel Shachmurove & Yochanan Shachmurove, 2004, "What One Can Learn From the Initial Public Offering of Google? A Twenty-Year Excursion to the Venture Capital Industry," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 04-041, Oct.
• Amir Shachmurove & Yochanan Shachmurove, 2004, "Choosing Between Promising and Crowded Industries: How Does the Venture Capital Industry Fare in Each?," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 04-044, Dec.
• Li, Nan, 2004, "The Implied Benchmark Rate in the Credit Default Swap Market of Sovereign Bonds," MPRA Paper, University Library of Munich, Germany, number 10014.
• Bacha, Obiyathulla I., 2004, "Pricing Hybrid Securities: The Case of Malaysian ICULS," MPRA Paper, University Library of Munich, Germany, number 12764, revised Jun 2004.
• Douch, Mohamed, 2004, "Equity Premiums In Small Open Economy," MPRA Paper, University Library of Munich, Germany, number 14613, Jun.
• Ulibarri, Carlos A., 2004, "Introducing contemporaneous open-outcry and e-trading at the Chicago Board of Trade," MPRA Paper, University Library of Munich, Germany, number 14821.
• Fiorani, Filo, 2004, "Option Pricing Under the Variance Gamma Process," MPRA Paper, University Library of Munich, Germany, number 15395, Apr.
• Pakos, Michal, 2004, "Asset Pricing with Durable Goods and Nonhomothetic Preferences," MPRA Paper, University Library of Munich, Germany, number 26167, Oct.
• Magni, Carlo Alberto, 2004, "An alternative approach to firms’ evaluation: expert systems and fuzzy logic," MPRA Paper, University Library of Munich, Germany, number 7879, Apr.
• Jonathan A. Parker & Christian Julliard, 2004, "Consumption Risk and the Cross-Section of Expected Returns," Working Papers, Princeton University, School of Public and International Affairs, Discussion Papers in Economics, number 138, Mar.
• Édouard Challe, 2004, "Équilibres multiples et volatilité boursière," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 105-123, DOI: 10.3406/ecofi.2004.5034.
• Elyes Jouini & Clotilde Napp, 2004, "Hétérogénéité des croyances, prix du risque et volatilité des marchés," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 125-137, DOI: 10.3406/ecofi.2004.5035.
• Jean-Paul Pollin, 2004, "Finance comportementale et volatilité," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 139-156, DOI: 10.3406/ecofi.2004.5036.
• Olivier Davanne, 2004, "Volatilité des marchés financiers et allocation d’actifs," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 177-201, DOI: 10.3406/ecofi.2004.5038.
• Esther Jeffers & Damien Moyé, 2004, "Dow Jones, CAC 40, SBF 120 : comment expliquer que le CAC 40 est le plus volatil ?," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 203-218, DOI: 10.3406/ecofi.2004.5039.
• Alain Leclair & Carlos Pardo, 2004, "La volatilité, conséquence ou cause de l'instabilité des marchés financiers ?," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 245-252, DOI: 10.3406/ecofi.2004.5043.
• Andrea Cipollini & George Kapetanios, 2004, "A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data," Working Papers, Queen Mary University of London, School of Economics and Finance, number 506, Feb.
• Francesco Giurda & Elias Tzavalis, 2004, "Is the Currency Risk Priced in Equity Markets?," Working Papers, Queen Mary University of London, School of Economics and Finance, number 511, Mar.
• John Hatgioannides & Menelaos Karanasos & Marika Karanassou, 2004, "Modelling the Yield Curve: A Two Components Approach," Working Papers, Queen Mary University of London, School of Economics and Finance, number 519, Sep.
• Adam Creighton & Luke Gower & Anthony Richards, 2004, "The Impact of Rating Changes in Australian Financial Markets," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2004-02, Mar.
• Anthony Richards, 2004, "Big Fish in Small Ponds: The Trading Behaviour and Price Impact of Foreign Investors in Asian Emerging Equity Markets," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2004-05, Jun.
• Carol Alexander & Leonardo M. Nogueira, 2004, "Hedging with Stochastic and Local Volatility," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-10, Jul, revised Dec 2004.
• Olivier Allais, 2004, "Local Substitution and Habit Persistence: Matching the Moments of the Equity Premium and the Risk-Free Rate," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 7, issue 2, pages 265-296, April, DOI: 10.1016/j.red.2003.09.004.
• Tao Wu & Glenn Rudebusch, 2004, "A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy," 2004 Meeting Papers, Society for Economic Dynamics, number 104.
• John H. Cochrane & Francis Longstaff, 2004, "Two Trees: Asset Price Dynamics Induced by Market Clearing," 2004 Meeting Papers, Society for Economic Dynamics, number 126.
• Amir Yaron & Leonid Kogan & Dmitry Livdan, 2004, "Futures Prices in a Production Economy with Investment Constraints," 2004 Meeting Papers, Society for Economic Dynamics, number 128.
• Edward Prescott & Ellen McGrattan, 2004, "Predictions of the Price of Capital," 2004 Meeting Papers, Society for Economic Dynamics, number 136.
• Burton Hollifield & Michael Gallmeyer & Duane Seppi, 2004, "Liquidity Discovery and Asset Pricing," 2004 Meeting Papers, Society for Economic Dynamics, number 136a.
• Hanno Lustig & Adrien Verdelhan, 2004, "The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk," 2004 Meeting Papers, Society for Economic Dynamics, number 136c.
• Pietro Veronesi & Tano Santos, 2004, "Conditional Betas," 2004 Meeting Papers, Society for Economic Dynamics, number 24.
• Andrei Semenov, 2004, "High-Order Consumption Moments and Asset Pricing," 2004 Meeting Papers, Society for Economic Dynamics, number 334.
• Leonid Kogan & Stephen Ross, 2004, "The Price Impact and Survival of Irrational Traders," 2004 Meeting Papers, Society for Economic Dynamics, number 35.
• Adam Szeidl & Raj Chetty, 2004, "Consumption Commitments and Asset Prices," 2004 Meeting Papers, Society for Economic Dynamics, number 354.
• Laura Veldkamp, 2004, "Information Markets and the Comovement of Asset Prices," 2004 Meeting Papers, Society for Economic Dynamics, number 539.
• Martin Lettau & Sydney C. Ludvigson, 2004, "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," 2004 Meeting Papers, Society for Economic Dynamics, number 644.
• Claudio Campanale, 2004, "Learning and the Return to Private Equity," 2004 Meeting Papers, Society for Economic Dynamics, number 650.
• Eva Carceles Poveda & Arpad Abraham, 2004, "Endogenous Trading Constraints with Incomplete Asset Markets," 2004 Meeting Papers, Society for Economic Dynamics, number 667.
• Sydney Ludvigson & Xiaohong Chen, 2004, "Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models," 2004 Meeting Papers, Society for Economic Dynamics, number 692.
• Ron Giammarino & Murray Carlson & Adlai Fisher, 2004, "Corporate Investment and Asset Price Dynamics: Implications for Post-SEO Performance," 2004 Meeting Papers, Society for Economic Dynamics, number 812.
• Georges Dionne, 2004, "Book review of: Credit risk: Pricing, measurement, and management," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 04-6, Oct.
• James Hedges, 2004, "Size versus performance in the hedge fund industry," Journal of Financial Transformation, Capco Institute, volume 10, pages 14-17.
• Ruud van Frederikslust & Roy van der Geest, 2004, "Initial returns and long-run performance of private equity-backed initial public offerings on the Amsterdam Stock Exchange," Journal of Financial Transformation, Capco Institute, volume 10, pages 121-127.
• Alexandri, Cecilia, 2004, "Farm Consolidation In Romania – Options And Opportunities," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 1, issue 1, pages 52-71, February.
• Larry Epstein & Martin Schneider, 2004, "Ambiguity, Information Quality and Asset Pricing," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 507, May.
• Simon Grant & John Quiggin, 2004, "The risk premium for equity: implications for resource allocation, welfare and policy," Risk & Uncertainty Working Papers, Risk and Sustainable Management Group, University of Queensland, number WPR04_8, Aug.
• Leonardo Becchetti & Roberto Rocci & Giovanni Trovato, 2004, "Industry and Time Specific Deviations from Fundamental Values in a Random Coefficient Model," CEIS Research Paper, Tor Vergata University, CEIS, number 52, Apr.
• Bruce Mizrach & Filippo Occhino, 2004, "The Impact of Monetary Policy on Bond Returns Volatility: A Segmented Markets Approach," Departmental Working Papers, Rutgers University, Department of Economics, number 200402, Jan.
• Markus Haas & Stefan Mittnik & Bruce Mizrach, 2004, "Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts," Departmental Working Papers, Rutgers University, Department of Economics, number 200424, Oct.
• Martin Gonzalez Eiras & Laurent Calvet & Paolo Sodini, 2004, "Financial Innovation, Market Participation, and Asset Prices," Working Papers, Universidad de San Andres, Departamento de Economia, number 76, Sep, revised Sep 2004.
• Clive G. Bowsher, 2004, "Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004fe19.
• Chia-Hsuan Yeh, 2004, "Can Intelligence Help Improve Market Performance?," Computing in Economics and Finance 2004, Society for Computational Economics, number 106, Aug.
• Taisei Kaizoji & Thomas Lux, 2004, "Forecasting Volume and Volatility in the Tokyo Stock Market: The Advantage of Long Memory Models," Computing in Economics and Finance 2004, Society for Computational Economics, number 158, Aug.
• Haven Emmanuel, 2004, "Option Pricing under different uncertainty regimes," Computing in Economics and Finance 2004, Society for Computational Economics, number 159, Aug.
• Youwei Li & Bas Donkers, 2004, "The Econometric Analysis of Microscopic Simulation Models," Computing in Economics and Finance 2004, Society for Computational Economics, number 195, Aug.
• Jan Wenzelburger & Xihao Li, 2004, "Price Formation and Asset Allocations of the Electronic Trading System Xetra," Computing in Economics and Finance 2004, Society for Computational Economics, number 198, Aug.
• Hendri Adriaens & Bas Donkers, 2004, "Extending the CAPM model," Computing in Economics and Finance 2004, Society for Computational Economics, number 204, Aug.
• Giulio Bottazzi & Mikhail Anoufriev, 2004, "Price and Wealth Dynamics in an Agent-Based Model with Heterogeneous Evolving Strategies," Computing in Economics and Finance 2004, Society for Computational Economics, number 227, Aug.
• Cars Hommes & Carl Chiarella & Xue-Zhong He, 2004, "A Dynamical Analysis of Moving Average Rules," Computing in Economics and Finance 2004, Society for Computational Economics, number 238, Aug.
• Serge Hayward, 2004, "Heterogeneous Agents Past and Forward Time Horizons in Setting Up a Computational Model," Computing in Economics and Finance 2004, Society for Computational Economics, number 241, Aug.
• Marten Hillebrand, 2004, "The Impact of Multiperiod Planning Horizons on Portfolios and Asset Prices," Computing in Economics and Finance 2004, Society for Computational Economics, number 259, Aug.
• Carl Chiarella & Roberto Dieci, 2004, "Asset price and wealth dynamics in a financial market with heterogeneous agents," Computing in Economics and Finance 2004, Society for Computational Economics, number 261, Aug.
• Constantinos VORLOW & Antonios ANTONIOU & Catherine KYRTSOU, 2004, "Surrogate Data Analysis and Stochastic Chaotic Modelling: Application to Stock Exchange Returns Series," Computing in Economics and Finance 2004, Society for Computational Economics, number 27, Aug.
• Taisei KAIZOJI, 2004, "Booms and bursts of asst markets: empirical results and a model based upon the Fokker-Plank equation," Computing in Economics and Finance 2004, Society for Computational Economics, number 305, Aug.
• Simone Alfarano & Friedrich Wagner, 2004, "Critical behaviour and system size in agent-based models: an explanation," Computing in Economics and Finance 2004, Society for Computational Economics, number 315, Aug.
• Brice Dupoyet, 2004, "Asymmetric Jump Processes: Option Pricing Implications," Computing in Economics and Finance 2004, Society for Computational Economics, number 40, Aug.
• J. Barkley Rosser, Jr. & Honggang Li, 2004, "Market Dynamics and Stock Price Volatility," Computing in Economics and Finance 2004, Society for Computational Economics, number 91, Aug.
• Florian Wagener & William Brock & Cars Hommes, 2004, "Do hedging instruments stabilize markets?," Computing in Economics and Finance 2004, Society for Computational Economics, number 94, Aug.
• Miroslav Matteev, 2004, "CAPM Anomalies and the Efficiency of Stock Markets in Transition: Evidence from Bulgaria," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, volume 2, issue 1, pages 35-58.
• Jedrzej Bialkowski, 2004, "Modelling Returns on Stock Indices for Western and Central European Stock Exchanges - a Markov Switching Approach," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, volume 2, issue 2, pages 81-100.
• Peter Kugler & Beatrice Weder, 2004, "International Portfolio Holdings and Swiss Franc Asset Returns," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 140, issue III, pages 301-325, September.
• Dusan Isakov & Frédéric Sonney, 2004, "Are Practitioners Right? On the Relative Importance of Industrial Factors in International Stock Returns," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 140, issue III, pages 355-379, September.
• Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse, 2004, "Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore," Working Papers, Singapore Management University, School of Economics, number 02-2005, Jul, revised Jan 2005.
• Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2004, "Transaction-Data Analysis of Marked Durations and Their Implications for Market Microstructure," Working Papers, Singapore Management University, School of Economics, number 09-2004, Mar.
• Jun Yu, 2004, "On Leverage in a Stochastic Volatility Model," Working Papers, Singapore Management University, School of Economics, number 13-2004, Apr.
• Jun Yu & Renate Meyer, 2004, "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Working Papers, Singapore Management University, School of Economics, number 23-2004, Nov.
• Jun Yu, 2004, "Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility," Working Papers, Singapore Management University, School of Economics, number 24-2004, Sep.
• Roland Gillet & Ariane Szafarz, 2004, "L'efficience informationnelle des marchés: une hypothèse, et au-delà ?," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 04-004.RS, Feb.
• Ahmed Loulit, 2004, "Approximating equity volatility," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 04-028.RS.
• Ahmed Loulit, 2004, "Asymptotic approximation of the hitting-time and evaluation of a risky bond," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 04-029.RS.
• Angelos Kanas, 2004, "Lead-lag effects in the mean and variance of returns of size-sorted UK equity portfolios," Empirical Economics, Springer, volume 29, issue 3, pages 575-592, September, DOI: 10.1007/s00181-004-0199-3.
• Yvette Harman & Thomas Zuehlke, 2004, "Duration dependence testing for speculative bubbles," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 28, issue 2, pages 147-154, June, DOI: 10.1007/BF02761607.
• Farooq Malik & Syed Hassan, 2004, "Modeling volatility in sector index returns with GARCH models using an iterated algorithm," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 28, issue 2, pages 211-225, June, DOI: 10.1007/BF02761612.
• Suleyman Basak & Anna Pavlova, 2004, "Monopoly power and the firm’s valuation: a dynamic analysis of short versus long-term policies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 24, issue 3, pages 503-530, October, DOI: 10.1007/s00199-004-0499-z.
• Laura Veldkamp, 2004, "Information Markets and the Comovement of Asset Prices," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 04-18.
• Philippe Bacchetta & Eric van Wincoop, 2004, "Higher Order Expectations in Asset Pricing," Working Papers, Swiss National Bank, Study Center Gerzensee, number 04.03, May.
• Jan Kakes & Jan Willem Van Den End, 2004, "Do stock prices affect house prices? Evidence for the Netherlands," Applied Economics Letters, Taylor & Francis Journals, volume 11, issue 12, pages 741-744, DOI: 10.1080/1350485042000254863.
• Andrew Worthington & Abbas Valadkhani, 2004, "Measuring the impact of natural disasters on capital markets: an empirical application using intervention analysis," Applied Economics, Taylor & Francis Journals, volume 36, issue 19, pages 2177-2186, DOI: 10.1080/0003684042000282489.
• Francisco Alonso & Roberto Blanco & Ana Del Rio & Alicia Sanchis, 2004, "Estimating liquidity premia in the Spanish government securities market," The European Journal of Finance, Taylor & Francis Journals, volume 10, issue 6, pages 453-474, DOI: 10.1080/1351847042000254202.
• Carol Alexander & Andrew Scourse, 2004, "Bivariate normal mixture spread option valuation," Quantitative Finance, Taylor & Francis Journals, volume 4, issue 6, pages 637-648, DOI: 10.1080/14697680400016174.
• Georg Gebhardt, 2004, "Inequity Aversion, Financial Markets, and Output Fluctuations," Journal of the European Economic Association, MIT Press, volume 2, issue 2-3, pages 229-239, 04/05.
• Falko Fecht, 2004, "On the Stability of Different Financial Systems," Journal of the European Economic Association, MIT Press, volume 2, issue 6, pages 969-1014, December.
• Marcelo Bianconi, 2004, "Aggregate and Idiosyncratic Risk and the Behavior of Individual Preferences under Moral Hazard," Discussion Papers Series, Department of Economics, Tufts University, Department of Economics, Tufts University, number 0410.
• Elena Márquez de la Cruz, 2004, "El modelo CCAPM y el consumo de bienes duraderos: una primera aproximación para el mercado de valores español," Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, number 04-03.
• Elena Márquez de la Cruz, 2004, "La elasticidad de sustitución intertemporal y el consumo duradero: un análisis para el caso español," Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, number 04-15.
• Juan-Ángel Jiménez-Martín & Rodrigo Peruga Urrea, 2004, "Macroeconomic and policy uncertainty and Exchange rate risk Premium," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0412.
• Joao Gomes & Leonid Kogan & Lu Zhang, 2004, "Erratum: "Equilibrium Cross Section of Returns"," Journal of Political Economy, University of Chicago Press, volume 112, issue 3, pages 724-753, June, DOI: 10.1086/421711.
• Fernando Alvarez & Urban J. Jermann, 2004, "Using Asset Prices to Measure the Cost of Business Cycles," Journal of Political Economy, University of Chicago Press, volume 112, issue 6, pages 1223-1256, December, DOI: 10.1086/424738.
• Eugenio S.A.Bodenrieth H., 2004, "Precios de productos almacenables: implicaciones del modelo de inventarios," Estudios de Economia, University of Chile, Department of Economics, volume 31, issue 1 Year 20, pages 67-78, June.
• Serafín Frache & Gabriel Katz, 2004, "Estimating a Risky Term Structure of Uruguayan Sovereign Bonds," Documentos de Trabajo (working papers), Department of Economics - dECON, number 0304, May.
• Zhang, Ge, 2004, "Market valuation and employee stock options," Working Papers, University of New Orleans, Department of Economics and Finance, number 2003-13, Jan.
• Daal, Elton & Farhat, Joseph Basheer & Wei, Peihwang P., 2004, "Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts," Working Papers, University of New Orleans, Department of Economics and Finance, number 2004-03.
• Patrick Coggi & Bogdan Manescu, 2004, "A multifactor model of stock returns with endogenous regime switching," University of St. Gallen Department of Economics working paper series 2004, Department of Economics, University of St. Gallen, number 2004-01, Jan.
• Carl Chiarella & Xue-Zhong He & Cars Hommes, 2004, "A Dynamic Analysis of Moving Average Rules," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 133, Oct.
• Carl Chiarella & Roberto Dieci & Laura Gardini, 2004, "Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 134, Oct.
• Thuy-Duong To, 2004, "A Note on the Bias of using Futures Rates as a Proxy for the Instantaneous Forward Rate," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 149, Dec.
• Benjamin Eden, 2004, "Substitution and Risk Aversion: Is Risk Aversion Important for Understanding Asset Prices?," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0422, Nov.
• Bernd Hayo & Ali M. Kutan, 2004, "The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2004-656, Feb.
• Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2004, "Fractional cointegration and tests of present value models," Review of Financial Economics, John Wiley & Sons, volume 13, issue 3, pages 245-258, DOI: 10.1016/j.rfe.2003.09.009.
• Evzen Kocenda & Lubos Briatka, 2004, "Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power," Econometrics, University Library of Munich, Germany, number 0409001, Sep.
• Alfonso Mendoza, 2004, "Modelling Long Memory and Risk Premia in Latin American Sovereign Bond Markets," Econometrics, University Library of Munich, Germany, number 0410004, Oct.
• Andreia Dionisio & Rui Menezes & Diana A. Mendes & Jacinto Vidigal da Silva, 2004, "Linear and nonlinear models for the analysis of the relationship between stock market prices and macroeconomic and financial factors," Econometrics, University Library of Munich, Germany, number 0411018, Nov.
• Fernando Rubio, 2004, "DURACION EFECTIVA DE BONOS PREPAGABLES. Una nota técnica," Finance, University Library of Munich, Germany, number 0402004, Feb.
• Fernando Rubio, 2004, "Capital Asset Pricing Model (Capm) Y Arbitrage Pricing Theory (Apt): Una Nota Técnica," Finance, University Library of Munich, Germany, number 0402007, Feb.
• Fernando Rubio, 2004, "Factores De Riesgo No Sistematico En La Explicacion De Los Retornos De Las Acciones En El Mercado Bursatil Chileno," Finance, University Library of Munich, Germany, number 0402010, Feb.
• Fernando Rubio, 2004, "La Informacion Contable Y La Valuacion De Activos De Capital En El Sector De Inversiones Chileno," Finance, University Library of Munich, Germany, number 0402012, Feb.
• Bernd Hayo & Ali Kutan, 2004, "The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets," Finance, University Library of Munich, Germany, number 0403002, Mar.
• Christophe Faugere & Hany Shawky, 2004, "A Valuation Formula for Firms in the Early Stage of their Lifecycle," Finance, University Library of Munich, Germany, number 0404001, Apr.
• Gatfaoui Hayette, 2004, "How Does Systematic Risk Impact Stocks? A Study On the French Financial Market," Finance, University Library of Munich, Germany, number 0404003, Apr.
• Fernando Rubio, 2004, "Intangibles Y Valoracion De Empresas: Evidencia Empirica," Finance, University Library of Munich, Germany, number 0404014, Apr.
• Matti Keloharju & Markku Malkamäki & Kjell G. Nyborg & Kristian Rydqvist, 2004, "A descriptive analysis of the Finnish treasury bond market 1991–1999," Finance, University Library of Munich, Germany, number 0405017, May.
• Bill B. Francis & Iftekhar Hasan & Delroy M. Hunter, 2004, "Return-volatility linkages in the international equity and currency markets," Finance, University Library of Munich, Germany, number 0405022, May.
• Svetlana Boyarchenko & Sergei Levendorskii, 2004, "American options: the EPV pricing model," Finance, University Library of Munich, Germany, number 0405024, May.
• Fernando Rubio, 2004, "Contrastacion De Metodologías Para El Cálculo De Beta De Mercado: El Caso De España," Finance, University Library of Munich, Germany, number 0405030, May.
• Don U.A. Galagedera, 2004, "A survey on risk-return analysis," Finance, University Library of Munich, Germany, number 0406010, Jun.
• Don U.A. Galagedera & Roland Shami, 2004, "Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities," Finance, University Library of Munich, Germany, number 0406011, Jun.
• Roland Shami & Don U.A. Galagedera, 2004, "Beta Risk and Regime Shift in Market Volatility," Finance, University Library of Munich, Germany, number 0406012, Jun.