Research classified by Journal of Economic Literature (JEL) codes

2003

• Suleyman Basak & Michael Gallmeyer, 2003, "Capital Market Equilibrium with Differential Taxation," Review of Finance, European Finance Association, volume 7, issue 2, pages 121-159.
• Aleš Černý, 2003, "Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets," Review of Finance, European Finance Association, volume 7, issue 2, pages 191-233.
• Arie Melnik & Doron Nissim, 2003, "Debt Issue Costs and Issue Characteristics in the Market for U.S. Dollar Denominated International Bonds," Review of Finance, European Finance Association, volume 7, issue 2, pages 277-296.
• Tom Dahlström & Pierre Mella-Barral, 2003, "Corporate Walkout Decisions and the Value of Default," Review of Finance, European Finance Association, volume 7, issue 3, pages 325-360.
• Siim Kallast & Andi Kivinukk, 2003, "Pricing and Hedging American Options Using Approximations by Kim Integral Equations," Review of Finance, European Finance Association, volume 7, issue 3, pages 361-383.
• Wayne E. Ferson & Andrew F. Siegel, 2003, "Stochastic Discount Factor Bounds with Conditioning Information," The Review of Financial Studies, Society for Financial Studies, volume 16, issue 2, pages 567-595.
• Antonio Mele, 2003, "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," The Review of Financial Studies, Society for Financial Studies, volume 16, issue 3, pages 679-716, July.
• Hans Dewachter & Konstantijn Maes & Kristien Smedts, 2003, "Monetary unification and the price of risk: An unconditional analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 139, issue 2, pages 276-305, June, DOI: 10.1007/BF02659746.
• Lionel Nesta & Pier-Paolo Saviotti, 2003, "Intangible Assests and Market Value: Evidence from Biotechnology Firms," SPRU Working Paper Series, SPRU - Science Policy Research Unit, University of Sussex Business School, number 87, Jun.
• Giulio Bottazzi & Maria Giovanna Devetag, 2003, "Expectations Structure in Asset Pricing Experiments," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2003/19, Dec.
• Laura Veldkamp, 2003, "Media Frenzies in Markets for Financial Information," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 03-20.
• Jose Sanchez-Fung, 2003, "Non-linear modelling of daily exchange rate returns, volatility, and 'news' in a small developing economy," Applied Economics Letters, Taylor & Francis Journals, volume 10, issue 4, pages 247-250, DOI: 10.1080/1350485032000050635.
• Nuno Cassola & Jorge Barros Luis, 2003, "A two-factor model of the German term structure of interest rates," Applied Financial Economics, Taylor & Francis Journals, volume 13, issue 11, pages 783-806, DOI: 10.1080/0960310022000020915.
• William Barnett & Meenakshi Pasupathy, 2003, "Regularity of the Generalized Quadratic Production Model: A Counterexample," Econometric Reviews, Taylor & Francis Journals, volume 22, issue 2, pages 135-154, DOI: 10.1081/ETC-120020460.
• José Pablo Dapena, 2003, "On the Valuation of Companies with Growth Opportunities," Journal of Applied Economics, Taylor & Francis Journals, volume 6, issue 1, pages 49-72, May, DOI: 10.1080/15140326.2003.12040585.
• Joe Akira Yoshino, 2003, "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Taylor & Francis Journals, volume 6, issue 2, pages 385-403, November, DOI: 10.1080/15140326.2003.12040600.
• Saadet Kirbas-Kasman & Adnan Kasman, 2003, "Volatility of ISE and Business Cycle," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 3, issue 1, pages 67-84.
• Cees Diks & Roy van der Weide, 2003, "Continuous Beliefs Dynamics," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-007/1, Jan.
• Cars Hommes & Joep Sonnemans & Jan Tuinstra & Henk van de Velden, 2003, "Coordination of Expectations in Asset Pricing Experiments," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-010/1, Jan.
• Patrick Houweling & Albert Mentink & Ton Vorst, 2003, "Valuing Euro Rating-Triggered Step-Up Telecom Bonds," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-028/2, Apr.
• Patrick Houweling & Albert Mentink & Ton Vorst, 2003, "How to measure Corporate Bond Liquidity?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-030/2, Mar.
• Joep Sonnemans, 2003, "Price Clustering and Natural Resistance Points in the Dutch Stock Market," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-043/1, Jun.
• M. Angeles Carnero & Siem Jan Koopman & Marius Ooms, 2003, "Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-071/4, Sep.
• Cees Diks & Roy van der Weide, 2003, "Heterogeneity as a Natural Source of Randomness," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-073/1, Sep.
• Bas Peeters & Cees L. Dert & André Lucas, 2003, "Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-090/2, Oct.
• de Goeij, P. C. & Marquering, W., 2003, "Do Macroeconomic Announcements Cause Asymmetric Volatility," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-131.
• Guha, R. & Sbuelz, A., 2003, "Structural RFV : Recovery Form and Defaultable Debt Analysis," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-37.
• Sbuelz, A., 2003, "Analytic American Option Pricing and Applications," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-64.
• Baele, L., 2003, "Volatility Spillover Effects in European Equity Markets," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-114.
• Evan W. Anderson & Lars Peter Hansen & Thomas J. Sargent, 2003, "A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection," Journal of the European Economic Association, MIT Press, volume 1, issue 1, pages 68-123, March.
• Giulio Bottazzi & Giovanna Devetag, 2003, "Expectations Structure in Asset Pricing Experiments," ROCK Working Papers, Department of Computer and Management Sciences, University of Trento, Italy, number 022, Jan, revised 12 Jun 2008.
• Juan Ángel Jiménez Martín & Rodrigo Peruga Urrea, 2003, "La Transición al Euro y la Prima de Riesgo en el Mercado de Divisas," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0306.
• Pastor, Lubos & Stambaugh, Robert F., 2003, "Liquidity Risk and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, volume 111, issue 3, pages 642-685, June, DOI: 10.1086/374184.
• Joao Gomes & Leonid Kogan & Lu Zhang, 2003, "Equilibrium Cross Section of Returns," Journal of Political Economy, University of Chicago Press, volume 111, issue 4, pages 693-732, August, DOI: 10.1086/375379.
• Javier DePeña & Luis A. Gil-Alana, 2003, "The explaining role of the Earning-Price Ratio in the Spanish Stock Market," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 03/03, Jan.
• Herings, P.J.J. & Kubler, F., 2003, "Approximate CAPM when preferences are CRRA," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 040, Jan, DOI: 10.26481/umamet.2003040.
• Hens, Th. & Herings, P.J.J. & Predtetchinski, A., 2003, "Limits to arbitrage when market participation is restricted," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 051, Jan, DOI: 10.26481/umamet.2003051.
• Daal, Elton & Farhat, Joseph Basheer & Wei, Peihwang P., 2003, "Reexamining the maturity effect using extensive futures data," Working Papers, University of New Orleans, Department of Economics and Finance, number 2003-06.
• He, Wei & Wei, Peihwang P., 2003, "Is overreaction an explanation for the value effect? A study using implied volatility from option prices," Working Papers, University of New Orleans, Department of Economics and Finance, number 2003-11.
• Arturo Kohatsu & Montero Miquel, 2003, "Malliavin calculus in finance," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 672, Apr.
• Juan-Pedro Gómez & Richard Priestly & Fernando Zapatero, 2003, "Keeping up with the Joneses: An international asset pricing model," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 694, Jun.
• José Penalva, 2003, "Implications of dynamic trading for insurance markets," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 720, Dec.
• Lucy Amigo Dobaño & Francisco Rodríguez de Prado, 2003, "Alteraciones en el comportamiento bursátil de las acciones de empresas tecnológicas inducidas por el vencimiento de derivados," Working Papers, Universidade de Vigo, Departamento de Economía Aplicada, number 0308, Jun.
• Raquel Arévalo Tomé & José María Chamorro Rivas, 2003, "A Quality Index for Spanish Housing," Working Papers, Universidade de Vigo, Departamento de Economía Aplicada, number 0309, Oct.
• Leo Krippner, 2003, "Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation," Working Papers in Economics, University of Waikato, number 03/01, Sep.
• Steven Block & Burkhard N. Schrage & Paul M. Vaaler, 2003, "Democratization???s Risk Premium: Partisan and Opportunistic Political Business Cycle Effects on Sovereign Ratings in Developing Countries," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 546, Feb.
• Steven A. Block & Burkhard N. Schrage & Paul M. Vaaler, 2003, "DEMOCRACY???S SPREAD: Elections and Sovereign Debt in Developing Countries," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2003-575, May.
• Chu‐Sheng Tai, 2003, "Looking for contagion in currency futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 10, pages 957-988, October.
• Carl Chiarella & Thuy‐Duong Tô, 2003, "The jump component of the volatility structure of interest rate futures markets: An international comparison," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 12, pages 1125-1158, December.
• John Duffy & M. Utku Unver, 2003, "Asset Price Bubbles and Crashes with Near-Zero-Intelligence Traders: Towards an Understanding of Laboratory Findings," Computational Economics, University Library of Munich, Germany, number 0307001, Jul, revised 17 Mar 2004.
• Gilles DUFRENOT & Dominique GUEGAN & Anne PEGUIN-FEISSOLLE, 2003, "A SETAR model with long-memory dynamics," Econometrics, University Library of Munich, Germany, number 0309002, Sep.
• Ross M. Miller, 2003, "Don't Let Your Robots Grow Up To Be Traders: Artificial Intelligence, Human Intelligence, and Asset-Market Bubbles," Experimental, University Library of Munich, Germany, number 0306001, Jun.
• Danyang Xie, 2003, "Toward a Theory of Asset Subscription," Finance, University Library of Munich, Germany, number 0303001, Mar.
• Thomas Schuster, 2003, "Fifty-Fifty. Stock Recommendations and Stock Prices. Effects and Benefits of Investment Advice in the Business Media," Finance, University Library of Munich, Germany, number 0303002, Mar.
• Jaime A. Londoño, 2003, "State Tameness: A New Approach for Credit Constrains," Finance, University Library of Munich, Germany, number 0305001, May, revised 16 Feb 2004.
• Dan Galai & Alon Raviv & Zvi Wiener, 2003, "Liquidation Triggers and the Valuation of Equity and Debt," Finance, University Library of Munich, Germany, number 0305002, May.
• Falko Fecht, 2003, "On the Stability of Different Financial Systems," Finance, University Library of Munich, Germany, number 0305008, May.
• Thomas Schuster, 2003, "News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media," Finance, University Library of Munich, Germany, number 0305009, May.
• Christophe Boucher, 2003, "“Winners take all competition”, creative destruction and stock market bubble," Finance, University Library of Munich, Germany, number 0305010, May.
• Ananth Rao, 2003, "Analysis of UAE Bank Stocks," Finance, University Library of Munich, Germany, number 0306001, Jun.
• Erdinc Altay, 2003, "The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework," Finance, University Library of Munich, Germany, number 0307006, Jul.
• Thomas Schuster, 2003, "Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media," Finance, University Library of Munich, Germany, number 0307014, Jul.
• Kian-Ping Lim & M. Azali & M.S. Habibullah & Venus Khim-Sen Liew, 2003, "Are Non-Linear Dynamics a Universal Occurrence? Further Evidence From Asian Stock Markets," Finance, University Library of Munich, Germany, number 0308001, Aug.
• Kian-Ping Lim & Venus Khim-Sen Liew, 2003, "Testing for Non-Linearity in ASEAN Financial Markets," Finance, University Library of Munich, Germany, number 0308002, Aug.
• Kian-Ping Lim & Hock-Ann Lee & Venus Khim-Sen Liew, 2003, "International Diversification Benefits in ASEAN Stock Markets: a Revisit," Finance, University Library of Munich, Germany, number 0308003, Aug.
• Erdinc Altay, 2003, "Cross-Autocorrelation between Small and Large Cap Portfolios in the German and Turkish Stock Markets," Finance, University Library of Munich, Germany, number 0308005, Aug.
• Antonio Falato, 2003, "Happiness Maintenance and Asset Prices," Finance, University Library of Munich, Germany, number 0310003, Oct.
• Vladislav Kargin, 2003, "Consistent Estimation of Pricing Kernels from Noisy Price Data," Finance, University Library of Munich, Germany, number 0311001, Nov.
• Christophe Faugere & Julian Van Erlach, 2003, "The Equity Premium: Explained by GDP Growth and Consistent with Portfolio Insurance," Finance, University Library of Munich, Germany, number 0311004, Nov.
• Christophe Faugere & Julian Van Erlach, 2003, "A General Theory of Stock Market Valuation and Return," Finance, University Library of Munich, Germany, number 0311005, Nov, revised 17 May 2004.
• Paolo Pellizzari, 2003, "Static Hedging of Multivariate Derivatives by Simulation," Finance, University Library of Munich, Germany, number 0311013, Nov, revised 04 Dec 2003.
• Markus Ricke, 2003, "What is the Link Between Margin Loans and Stock Market Bubbles?," Finance, University Library of Munich, Germany, number 0311014, Nov, revised 17 Dec 2004.
• Elyès Jouini & Clotilde Napp, 2003, "Consensus consumer and intertemporal asset pricing with heterogeneous beliefs," Finance, University Library of Munich, Germany, number 0312001, Dec.
• Christian Julliard, 2003, "The international diversification puzzle is not worse than you think," International Finance, University Library of Munich, Germany, number 0301004, Jan.
• James R. Lothian & Liuren Wu, 2003, "Uncovered Interest Rate Parity Over the Past Two Centuries," International Finance, University Library of Munich, Germany, number 0311009, Nov.
• William A. Barnett, 2003, "Aggregation-Theoretic Monetary Aggregation over the Euro Area, when Countries are Heterogeneous," Macroeconomics, University Library of Munich, Germany, number 0309018, Sep.
• Goetz von Peter, 2003, "A Unified Approach to Credit Crunches, Financial Instability, and Banking Crises," Macroeconomics, University Library of Munich, Germany, number 0312006, Dec.
• Hayette Gatfaoui, 2003, "How Does Systematic Risk Impact Stocks ? A Study On the French Financial Market," Risk and Insurance, University Library of Munich, Germany, number 0308004, Aug.
• J. P. Mei & Hsien-Hsing Liao, 2003, "Introduction: Real Estate Analysis in a Dynamic Risk Environment," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Crocker H. Liu & Jianping J. P. Mei, 2003, "The Predictability of Returns on Equity REITs and their Co-movement with Other Assets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Jianping J. P. Mei & Crocker H. Liu, 2003, "The Predictability of Real Estate Returns and Market Timing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Crocker H. Liu & Jianping Mei, 2003, "A Time-varying Risk Analysis of Equity and Real Estate Markets in the U.S. and Japan," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Jianping (J.P.) Mei & Bin Gao, 2003, "Price Reversal, Transaction Costs, and Arbitrage Profits in Real Estate Securities Market," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Jianping (J.P.) Mei & Anthony Saunders, 2003, "Bank Risk and Real Estate: An Asset Pricing Perspective," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Jianping (J.P.) Mei, 2003, "Assessing the "Santa Claus" Approach to Asset Allocation: Implications for Commercial Real Estate Investment," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Jianping (J.P.) Mei & Anthony Saunders, 2003, "The Time-variation of Risk for Life Insurance Companies," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Kevin Wenli Lu & Jianping (J.R) Mei, 2003, "The Return Distributions of Property Shares in Emerging Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Jianping (J.P.) Mei & Jiawei Hu, 2003, "Conditional Risk Premiums of Asian Real Estate Stocks," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Hsien-Hsing Liao & Jianping (J.P.) Mei, 2003, "Institutional Factors and Real Estate Returns: A Cross-Country Study," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Andrei Semenov, 2003, "High-Order Consumption Moments and Asset Pricing," Working Papers, York University, Department of Economics, number 2003_4, Dec, revised Jan 2005.
• Andrei Semenov, 2003, "An Empirical Assessment of a Consumption CAPM with a Reference Level under Incomplete Consumption Insurance," Working Papers, York University, Department of Economics, number 2003_5, Dec.
• Lingfeng Li, 2003, "Macroeconomic Factors and the Correlation of Stock and Bond Returns," Yale School of Management Working Papers, Yale School of Management, number ysm324, Nov.
• David M. Schizer & Michael R. Powers & Martin Shubik, 2003, "Market Bubbles and Wasteful Avoidance: Tax and Regulatory Constraints on Short Sales," Yale School of Management Working Papers, Yale School of Management, number ysm356, Apr.
• Judith A. Chevalier & Austan Goolsbee, 2003, "Valuing Internet Retailers: Amazon and Barnes and Noble," Yale School of Management Working Papers, Yale School of Management, number ysm416, Oct.
• Alok Kumar & William N. Goetzmann, 2003, "Diversification Decisions of Individual Investors and Asset Prices," Yale School of Management Working Papers, Yale School of Management, number ysm441, Nov.
• Manuel Espitia Escuer & Gema Pastor Agust�n, 2003, "Las Opciones Reales y su influencia en la valoraci�n de empresas," Documentos de Trabajo, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza, number dt2003-01, Jan.
• Oehler, Andreas & Häcker, Mirko, 2003, "Kurseinfluss mittlerer und großer Transaktionen am deutschen Aktienmarkt," Discussion Papers, University of Bamberg, Chair of Finance, number 20.
• Dufour, Jean-Marie & Beaulieu, Marie-Claude & Khalaf, Lynda, 2003, "Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2003,01.
• Fecht, Falko, 2003, "On the Stability of Different Financial Systems," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2003,10.
• Lux, Thomas, 2003, "The multi-fractal model of asset returns: Its estimation via GMM and its use for volatility forecasting," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2003-13.
• Lux, Thomas, 2003, "Detecting multi-fractal properties in asset returns: The failure of the scaling estimator," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2003-14.
• Alfarano, Simone & Lux, Thomas, 2003, "A minimal noise trader model with realistic time series properties," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2003-15.
• Ahrens, Ralf & Reitz, Stefan, 2003, "Heterogeneous Expectations in the Foreign Exchange Market Evidence from the Daily Dollar/DM Exchange Rate," CFS Working Paper Series, Center for Financial Studies (CFS), number 2003/11.
• Entorf, Horst & Jamin, Gösta, 2003, "The dollar and the German stock market: determination of exposure to and pricing of exchange rate risk using APT-modelling," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 127.
• Overbeck, Ludger & Schmidt, Wolfgang M., 2003, "Modeling default dependence with threshold models," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 41.
• Heidorn, Thomas & König, Lars, 2003, "Investitionen in Collateralized Debt Obligations," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 44.
• Valckx, Nico, 2003, "Price dividend models, expectations formation, and monetary policy," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 217.
• Fengler, Matthias R. & Härdle, Wolfgang & Mammen, Enno, 2003, "Implied volatility string dynamics," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2003,54.
• Schmidt, Robert, 2003, "Zur Qualität professioneller Wechselkursprognosen," W.E.P. - Würzburg Economic Papers, University of Würzburg, Department of Economics, number 36.
• Bofinger, Peter & Schmidt, Robert, 2003, "Should one rely on professional exchange rate forecasts: An empirical analysis of professional forecasts for the €/US-$ rate," W.E.P. - Würzburg Economic Papers, University of Würzburg, Department of Economics, number 38.
• Leitner, Johannes & Schmidt, Robert & Bofinger, Peter, 2003, "Biases of professional exchange rate forecasts: Psychological explanations and an experimentally based comparison to novices," W.E.P. - Würzburg Economic Papers, University of Würzburg, Department of Economics, number 39.
• Eberts, Elke, 2003, "The Connection of Stock Markets Between Germany and the USA: New Evidence From a Co-integration Study," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 03-36.
• Stehle, Richard & Schulz, Anja & Schröder, Michael & Eberts, Elke & Ziegler, Andreas, 2003, "Multifaktormodelle zur Erklärung deutscher Aktienrenditen: eine empirische Analyse," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 03-45.
• Meitner, Matthias, 2003, "Option-Style Multi-Factor Comparable Company Valuation for Practical Use," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 03-76.

2002

• Sabine Langner, 2002, "Asset Backed Securities," Schmalenbach Journal of Business Research, Springer, volume 54, issue 7, pages 656-673, November, DOI: 10.1007/BF03372691.
• Juan A. Lafuente, 2002, "Intraday return and volatility relationships between the Ibex 35 spot and futures markets," Spanish Economic Review, Springer;Spanish Economic Association, volume 4, issue 3, pages 201-220.
• Jan Hanousek & Libor Nemecek, 2002, "Mispricing and lasting arbitrage between parallel markets in the Czech Republic," The European Journal of Finance, Taylor & Francis Journals, volume 8, issue 1, pages 46-69, DOI: 10.1080/13518470110047639.
• David Heath & Eckhard Platen, 2002, "A variance reduction technique based on integral representations," Quantitative Finance, Taylor & Francis Journals, volume 2, issue 5, pages 362-369, DOI: 10.1088/1469-7688/2/5/305.
• Pablo Marshall & Eduardo Walker, 2002, "Asymmetric Reaction to Information and Serial Dependence of Short-Run Returns," Journal of Applied Economics, Taylor & Francis Journals, volume 5, issue 2, pages 273-292, November, DOI: 10.1080/15140326.2002.12040580.
• Asli Bayar & Ozgur Berk Kan, 2002, "Day of the Week Effects : Recent Evidence from Nineteen Stock Markets," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 2, issue 2, pages 77-90.
• Patrick Houweling & Ton Vorst, 2002, "An Empirical Comparison of Default Swap Pricing Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-004/2, Jan.
• Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2002, "Model Risk and Regulatory Capital," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-27.
• Baquero, G. & Ter Horst, J.R. & Verbeek, M.J.C.M., 2002, "Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-111.
• Kerkhof, F.L.J. & Pelsser, A., 2002, "Observational Equivalence of Discrete String Models and Market Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-28.
• Orazio P. Attanasio & James Banks & Sarah Tanner, 2002, "Asset Holding and Consumption Volatility," Journal of Political Economy, University of Chicago Press, volume 110, issue 4, pages 771-792, August, DOI: 10.1086/340774.
• Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002, "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Journal of Political Economy, University of Chicago Press, volume 110, issue 4, pages 793-824, August, DOI: 10.1086/340776.
• Yeung Lewis Chan & Leonid Kogan, 2002, "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," Journal of Political Economy, University of Chicago Press, volume 110, issue 6, pages 1255-1285, December, DOI: 10.1086/342806.
• Marc Schaberg & Dean Baker & Robert Pollin, 2002, "Securities Transaction Taxes for U.S. Financial Markets," Working Papers, Political Economy Research Institute, University of Massachusetts at Amherst, number wp20.
• Giovanni Cespa, 2002, "Giffen goods and market making," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 681, Apr, revised May 2003.
• Antje Dudenhausen & Erik Schlögl & Lutz Schlögl, 1999, "Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 19, Aug.
• Carl Chiarella & Oh-Kang Kwon, 1999, "Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 5, Apr.
• David Heath & Eckhard Platen, 2002, "A Variance Reduction Technique Based on Integral Representations," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 75, Mar.
• Ram Bhar & Carl Chiarella & Thuy Duong To, 2002, "A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 80, May.
• Carl Chiarella & Shenhuai Gao, 2002, "Modelling the Value of the S&P 500 - A System Dynamics Perspective," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 115, Apr.
• Carl Chiarella & Shenhuai Gao, 2002, "Solving the Price-Earnings Puzzle," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 116, Apr.
• Sebastian Auguste & Kathryn M.E. Dominguez & Herman Kamil & Linda L. Tesar, 2002, "Cross-Border Trading as a Mechanism for Capital Flight: ADRs and the Argentine Crisis," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 513, Nov.
• Chitru S. Fernando & Srinivasan Krishnamurthy & Paul A. Spindt, 2002, "Is the Offer Price in IPOs Informative? Underpricing, Ownership Structure, and Performance," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 01-33, Feb.
• François Ortalo-Magné & Sven Rady, 2002, "Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints," Wisconsin-Madison CULER working papers, University of Wisconsin Center for Urban Land Economic Research, number 02-01, Mar.
• Norman Ehrentreich, 2002, "The Santa Fe Artificial Stock Market Re-Examined - Suggested Corrections," Computational Economics, University Library of Munich, Germany, number 0209001, Sep.
• Sugato Chakravarty & Frederick H. deB. Harris & Robert A. Wood, 2002, "Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?," Econometrics, University Library of Munich, Germany, number 0201003, Jan.
• Ross M. Miller, 2002, "Can Markets Learn to Avoid Bubbles?," Experimental, University Library of Munich, Germany, number 0201001, Jan, revised 07 Jan 2002.
• Mathias Drehmann & Joerg Oechssler & Andreas Roider, 2002, "Herding and Contrarian Behavior in Financial Markets - An Internet Experiment," Experimental, University Library of Munich, Germany, number 0210001, Oct.
• Jiri Hoogland & Dimitri Neumann & Michel Vellekoop, 2002, "Symmetries in Jump-Diffusion Models with Applications in Option Pricing and Credit Risk," Finance, University Library of Munich, Germany, number 0203001, Mar.
• Bakhodir A Ergashev, 2002, "A note on a generalized Black-Scholes formula," Finance, University Library of Munich, Germany, number 0203006, Mar.
• Patrick Houweling & Albert Mentink & Ton Vorst, 2002, "Is Liquidity Reflected in Bond Yields? Evidence from the Euro Corporate Bond Market," Finance, University Library of Munich, Germany, number 0206001, Jun.
• Bakhodir Ergashev, 2002, "On valuing corporate debt with the volatility of corporate assets evolving according to an Ornstein-Uhlenbeck process," Finance, University Library of Munich, Germany, number 0206002, Jun.
• David Backus & Silverio Foresi & Liuren Wu, 2002, "Accouting for Biases in Black-Scholes," Finance, University Library of Munich, Germany, number 0207008, Aug.
• Massoud Heidari & Liuren Wu, 2002, "Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives," Finance, University Library of Munich, Germany, number 0207010, Aug, revised 10 Sep 2002.
• Peter Carr & Liuren Wu, 2002, "Time-Changed Levy Processes and Option Pricing," Finance, University Library of Munich, Germany, number 0207011, Aug.
• Peter Carr & Liuren Wu, 2002, "The Finite Moment Log Stable Process and Option Pricing," Finance, University Library of Munich, Germany, number 0207012, Aug.
• Massoud Heidari & Liuren WU, 2002, "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance, University Library of Munich, Germany, number 0207013, Aug.
• Markus Leippold & Liuren Wu, 2002, "Design and Estimation of Quadratic Term Structure Models," Finance, University Library of Munich, Germany, number 0207014, Aug.
• Markus Leippold & Liuren Wu, 2002, "Asset Pricing Under The Quadratic Class," Finance, University Library of Munich, Germany, number 0207015, Aug.
• Gautam Goswami & Milind Shrikhande & Liuren Wu, 2002, "A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs," Finance, University Library of Munich, Germany, number 0207016, Aug.
• David Backus & Liuren Wu & Stanley Zin, 2002, "Markov Chain Approximations For Term Structure Models," Finance, University Library of Munich, Germany, number 0207018, Sep.
• Peter Carr & Liuren Wu, 2002, "What Type of Process Underlies Options? A Simple Robust Test," Finance, University Library of Munich, Germany, number 0207019, Sep.
• Bernd Hayo & Ali Kutan, 2002, "The Impact of News, Oil Prices, and International Spillovers on Russian Financial Markets," Finance, University Library of Munich, Germany, number 0209001, Sep.
• Marcel Hendrickx, 2002, "The Geometry of Payoff Spaces," Finance, University Library of Munich, Germany, number 0209006, Sep.
• Daniel Capocci, 2002, "An Analysis of Hedge Fund Performance," Finance, University Library of Munich, Germany, number 0210001, Oct.
• Mathias Drehmann & Joerg Oechssler & Andreas Roider, 2002, "Herding and Contrarian Behavior in Financial Markets - An Internet Experiment," Finance, University Library of Munich, Germany, number 0210005, Oct.
• Li Chen & H. Vincent Poor, 2002, "A General Characterization of Quadratic Term Structure Models," Finance, University Library of Munich, Germany, number 0211008, Nov.
• Eric Benhamou, 2002, "A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks," Finance, University Library of Munich, Germany, number 0212003, Dec.
• Eric Benhamou, 2002, "A Martingale Result for Convexity Adjustment in the Black Pricing Model," Finance, University Library of Munich, Germany, number 0212005, Dec.
• Eric Benhamou, 2002, "Option pricing with Levy Process," Finance, University Library of Munich, Germany, number 0212006, Dec.
• Erkan Yalcin, 2002, "Existence of Equilibrium in Incomplete Markets with Non-Ordered Preferences," GE, Growth, Math methods, University Library of Munich, Germany, number 0204002, Apr.
• Irene de Greef & Ralph de Haas, 2002, "Housing Prices, Bank Lending, and Monetary Policy," Macroeconomics, University Library of Munich, Germany, number 0209010, Sep.
• K. Tobias Winther, 2002, "Value Creation and Profit Optimization," Microeconomics, University Library of Munich, Germany, number 0206001, Jun, revised 08 Dec 2003.
• Glaser, Markus & Weber, Martin, 2002, "Momentum and Turnover: Evidence from the German Stock Market," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 02-43, May.
• Shinichi Hirota & Shyam Sunder, 2002, "Stock Market as a 'Beauty Contest': Investor Beliefs and Price Bubbles sans Dividend Anchors," Yale School of Management Working Papers, Yale School of Management, number ysm2, Nov.
• Harry Mamaysky, 2002, "On the Joint Pricing of Stocks and Bonds: Theory and Evidence," Yale School of Management Working Papers, Yale School of Management, number ysm256, Jan.
• Tobias J. Moskowitz & Mark Grinblatt, 2002, "What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns?," Yale School of Management Working Papers, Yale School of Management, number ysm259, Jan.
• Masahiro Watanabe, 2002, "Rational Trend Followers and Contrarians in Excessively Volatile, Correlated Markets," Yale School of Management Working Papers, Yale School of Management, number ysm267, May.
• Shinichi Hirota & Shyam NMI Sunder, 2002, "Stock Market as a 'Beauty Contest': Investor Beliefs and Price Bubbles sans Dividend Anchors," Yale School of Management Working Papers, Yale School of Management, number ysm271, Nov.
• William Goetzmann & Ning Zhu, 2002, "Rain or Shine: Where is the Weather Effect?," Yale School of Management Working Papers, Yale School of Management, number ysm296, Aug, revised 01 Sep 2009.
• Ray Fair, 2002, "Risk Aversion and Stock Prices," Yale School of Management Working Papers, Yale School of Management, number ysm311, Oct, revised 01 Aug 2007.
• Francis, Bill B. & Hasan, Iftekhar & Hunter, Delroy M., 2002, "Return-volatility linkages in the international equity and currency markets," Bank of Finland Research Discussion Papers, Bank of Finland, number 9/2002.
• Keloharju, Matti & Malkamäki, Markku & Nyborg, Kjell G. & Rydqvist, Kristian, 2002, "A Descriptive analysis of the Finnish treasury bond market 1991-1999," Bank of Finland Research Discussion Papers, Bank of Finland, number 16/2002.
• Schürger, Klaus, 2002, "Laplace transforms and suprema of stochastic processes," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 10/2002.
• Thierbach, Frank, 2002, "Mean-Variance Hedging under Additional Market Information," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 11/2002.
• Dudenhausen, Antje & Schlögl, Lutz, 2002, "An Examination of the Effects of Parameter Misspecification," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 22/2002.
• Evstigneev, Igor V. & Schürger, Klaus & Taksar, Michael I., 2002, "On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 24/2002.
• Drehmann, Mathias & Oechssler, Jörg & Roider, Andreas, 2002, "Herding and Contrarian Behavior in Financial Markets: An Internet Experiment," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 25/2002.
• Dudenhausen, Antje, 2002, "How to Avoid a Hedging Bias," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 34/2002.
• Zühlsdorff, Christian, 2002, "The Pricing of Derivatives on Assets with Quadratic Volatility," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 5/2002.
• Zühlsdorff, Christian, 2002, "Extended Libor Market Models with Affine and Quadratic Volatility," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 6/2002.
• Schürger, Klaus, 2002, "Maximal Arbitrage," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 9/2002.
• Kim, Jeong-Ryeol, 2002, "The stable long-run CAPM and the cross-section of expected returns," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2002,05.
• Upper, Christian & Werner, Thomas, 2002, "Tail Wags Dog? Time-Varying Information Shares in the Bund Market," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2002,24.
• Schindler, Dirk, 2002, "Besteuerung des Nichts: Steuerarbitrage und das schwindende Aufkommen bei Kapitaleinkommensteuern," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 02/16.
• Fischer, Matthias J., 2002, "Skew generalized secant hyperbolic distributions: unconditional and conditional fit to asset returns," Discussion Papers, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics, number 46/2002.
• Kirch, Michael & Krutchenko, R. N. & Melnikov, Aleksandr V., 2002, "Efficient hedging for a complete jump-diffusion model," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,27.
• Giesecke, Kay, 2002, "Compensator-based simulation of correlated defaults," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,47.
• Giesecke, Kay, 2002, "An exponential model for dependent defaults," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,52.
• Giesecke, Kay, 2002, "Credit risk modeling and valuation: An introduction," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,54.