Research classified by Journal of Economic Literature (JEL) codes

2002

• Schulz, Rainer, 2002, "Real estate valuation according to standardized methods: An empirical analysis," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,55.
• Walther, Ursula, 2002, "Das Äquivalenzprinzip der Finanzmathematik," Freiberg Working Papers, TU Bergakademie Freiberg, Faculty of Economics and Business Administration, number 2002/08.
• Hayo, Bernd & Kutan, Ali M., 2002, "The impact of news, oil prices, and international spillovers on Russian financial markets," ZEI Working Papers, University of Bonn, ZEI - Center for European Integration Studies, number B 20-2002.
• Lüders, Erik, 2002, "Why Are Asset Returns Predictable?," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 02-48.
• Lüders, Erik, 2002, "Asset Prices and Alternative Characterizations of the Pricing Kernel," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 02-10.
• Mladen Koljatic & Rafael Aguila & Monica Silva, 2002, "Caso De Estudio: El Compromiso De Un Lider Empresarial Con El Mejoramiento De La Educacion," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., volume 5, issue 2, pages 151-178.
• Joel C. Yu, 2002, "A Test of the CAPM on Philippine Common Stocks," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, volume 39, issue 1, pages 121-141, June.
• Alexis Derviz, 2002, "The uncovered parity properties of the czech koruna," Prague Economic Papers, Prague University of Economics and Business, volume 2002, issue 1, pages 17-37, DOI: 10.18267/j.pep.186.
• Markus K. Brunnermeier & Jonathan A. Parker, 2002, "Optimal Expectations," Working Papers, Princeton University, School of Public and International Affairs, Discussion Papers in Economics, number 146, Dec.
• Yacine Ait-Sahalia & Jonathan A. Parker & Motohiro Yogo, 2002, "Luxury Goods and the Equity Premium," Working Papers, Princeton University, School of Public and International Affairs, Discussion Papers in Economics, number 145, Aug.
• Sandrine Lardic & Valérie Mignon, 2002, "Étude d’événements sur données intraquotidiennes françaises : les réactions des actionnaires aux annonces," Revue d'Économie Financière, Programme National Persée, volume 66, issue 2, pages 335-340, DOI: 10.3406/ecofi.2002.3761.
• Bert Scholtens & Marélie Steensma, 2002, "Stocks and shocks," BNL Quarterly Review, Banca Nazionale del Lavoro, volume 55, issue 223, pages 347-361.
• Jacob A. Bikker, 2002, "Cross-sector diversification in financial conglomerates: simulations with a fair-value assets and liabilities model," BNL Quarterly Review, Banca Nazionale del Lavoro, volume 55, issue 223, pages 363-389.
• Bert Scholtens & Marélie Steensma, 2002, "Stocks and shocks," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, volume 55, issue 223, pages 347-361.
• Jacob A. Bikker, 2002, "Cross-sector diversification in financial conglomerates: simulations with a fair-value assets and liabilities model," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, volume 55, issue 223, pages 363-389.
• Robert Elliott & Dilip B. Madan & Frank Milne, 2002, "Incomplete Diversification And Asset Pricing," Working Paper, Economics Department, Queen's University, number 1081, Feb.
• Allen Head & Gregor W. Smith, 2002, "The Ccapm Meets Euro-interest Rate Persistence, 1960-2000," Working Paper, Economics Department, Queen's University, number 1250, Aug.
• Antonio Mele, 2002, "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Working Papers, Queen Mary University of London, School of Economics and Finance, number 460, Jun.
• Turan G. Bali & Salih N. Neftci, 2002, "Disturbing Extremal Behavior of Spot Rate Dynamics," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2002-03, Jan.
• Chris Brooks & Apostolos Katsaris, 2002, "Forecasting the Collapse of Speculative Bubbles: An Empirical Investigation of the S&P 500 Composite Index," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2002-04, Mar.
• Chris Brooks & Apostolos Katsaris, 2002, "A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2002-14, Apr.
• Carol Alexander, 2002, "Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2003-06, Nov, revised Mar 2003.
• Mariana Mazzucato, 2002, "The PC Industry: New Economy or Early Life-Cycle?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 5, issue 2, pages 318-345, April, DOI: 10.1006/redy.2002.0164.
• David A. Chapman, 2002, "Does Intrinsic Habit Formation Actually Resolve the Equity Premium Puzzle?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 5, issue 3, pages 618-645, July, DOI: 10.1006/redy.2001.0155.
• Leonardo Souza & Alvaro Veiga & Marcelo C. Medeiros, 2002, "Evaluating the performance of GARCH models using White´s Reality Check," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 453, Apr.
• Marcelo C. Medeiros & Timo Terasvirta & Gianluigi Rech, 2002, "Building Neural Network Models for Time Series: A Statistical Approach," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 461, Aug.
• Richard Heaney & Vince Hooper, 2002, "Regional Integration of Stock Markets in Latin America," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 17, pages 745-760.
• Jose R. Sanchez-Fung, 2002, "Non-linear modeling of daily exchange rate returns, volatility, and 'news' in a small developing economy," Economics Discussion Papers, School of Economics, Kingston University London, number 2002-4, Jan.
• Koren Miklós & Szeidl Ádám, 2002, "Portfolio Choice with Illiquid Assets," Rajk László Szakkollégium Working Papers, Rajk László College, number 6, Feb.
• Larry Epstein & Martin Schneider, 2002, "Learning Under Ambiguity," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 497, Oct, revised Mar 2005.
• Wolfgang Bühler & Christian Koziol, 2002, "Valuation Of Convertible Bonds With Sequential Conversion," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 54, issue 4, pages 302-334, October.
• Stuart McDonald & Rodney Beard, 2002, "Numerical Simulation of the Term Structure of Interest Rates using a Random Field," Computing in Economics and Finance 2002, Society for Computational Economics, number 105, Jul.
• Christopher Rude, 2002, "Information, Trading, and the Pricing of Risky Financial Securities:," Computing in Economics and Finance 2002, Society for Computational Economics, number 119, Jul.
• Vassil A. Konstantinov, 2002, "Fed Funds Rate Targeting, Monetary Regimes and the Term Structure of Interbank Rates: Explaining the Predictability Smile," Computing in Economics and Finance 2002, Society for Computational Economics, number 132, Jul.
• Frank Niehaus, 2002, "Heterogeneous Preferences and the Representative Investor," Computing in Economics and Finance 2002, Society for Computational Economics, number 152, Jul.
• Carl Chiarella & Mauro Gallegati & Roberto Leombruni & Antonio Palestrini, 2002, "Asset Price Dynamics among Heterogeneous Interacting Agents," Computing in Economics and Finance 2002, Society for Computational Economics, number 222, Jul.
• Roland Mallier, 2002, "Valuing Semi-American Putable Bonds under CIR," Computing in Economics and Finance 2002, Society for Computational Economics, number 259, Jul.
• Alvaro Veiga & Leonardo Souza, 2002, "A Multi-Factor Model with Irregular Returns for missing values imputation in emergent markets: Application to Brazilian Equity Data," Computing in Economics and Finance 2002, Society for Computational Economics, number 280, Jul.
• Jerry Coakley & Ana-Maria Fuertes, 2002, "An MTAR Test for Stock Market Bubbles," Computing in Economics and Finance 2002, Society for Computational Economics, number 298, Jul.
• John Driffill & Turalay Kenc & Martin Sola, 2002, "Merton-style option pricing under regime switching," Computing in Economics and Finance 2002, Society for Computational Economics, number 304, Jul.
• Simone Alfarano & Thomas Lux, 2002, "A minimal noise trader model with realistic time series," Computing in Economics and Finance 2002, Society for Computational Economics, number 317, Jul.
• Tom Dahlstrom & Pierre Mella-Barral, 2002, "Corporate Walkout Decisions and the Value of Default," Computing in Economics and Finance 2002, Society for Computational Economics, number 357, Jul.
• Tetsuya Noguchi & Berc Rustem, 2002, "An algorithm for the quasivariational inequality arising in option pricing with transaction costs I," Computing in Economics and Finance 2002, Society for Computational Economics, number 378, Jul.
• Tetsuya Noguchi & Berc Rustem, 2002, "An algorithm for the quasivariational inequality arising in option pricing with transaction costs II," Computing in Economics and Finance 2002, Society for Computational Economics, number 379, Jul.
• Cees Diks & Roy van der Weid, 2002, "Endogenous Noise from Continuous Choice," Computing in Economics and Finance 2002, Society for Computational Economics, number 382, Jul.
• John Duffy & M. Utku Unver, 2002, "Asset Price Bubbles and Crashes With Zero--Intelligence Traders," Computing in Economics and Finance 2002, Society for Computational Economics, number 39, Jul.
• Min-Hsien Chiang & Chihwa Kao, 2002, "Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Models," Computing in Economics and Finance 2002, Society for Computational Economics, number 60, Jul.
• Carl Chiarella & Silvana Musti, 2002, "Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility," Computing in Economics and Finance 2002, Society for Computational Economics, number 84, Jul.
• Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2002, "Price Dynamics And Diversification Under Heterogeneous Expectations," Computing in Economics and Finance 2002, Society for Computational Economics, number 88, Jul.
• Chia-Hsuan Yeh, 2002, "The Influence of Representation in the GP-Based Artificial Double Auction Market: The Cases of GP with and without Automatically Defined Functions," Computing in Economics and Finance 2002, Society for Computational Economics, number 90, Jul.
• M. LiCalzi & P. Pellizzari, 2002, "Clashing Fundamentalists and the Dynamics of Price Formation," Computing in Economics and Finance 2002, Society for Computational Economics, number 95, Jul.
• Wolfgang Drobetz & Patrick Wegmann, 2002, "Mean Reversion on Global Stock Markets," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 138, issue III, pages 215-239, September.
• Wolfgang Drobetz & Susanne Stürmer & Heinz Zimmermann, 2002, "Conditional Asset Pricing in Emerging Stock Markets," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 138, issue IV, pages 507-526, December.
• Benoit Pochard & Jean-Philippe Bouchaud, 2002, "The skewed multifractal random walk with applications to option smiles," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 0204047, Apr.
• Marc Yor & Dilip B. Madan & Hélyette Geman, 2002, "Stochastic volatility, jumps and hidden time changes," Finance and Stochastics, Springer, volume 6, issue 1, pages 63-90.
• Paolo Guasoni, 2002, "Risk minimization under transaction costs," Finance and Stochastics, Springer, volume 6, issue 1, pages 91-113.
• Josep Vives & Jorge A. León & Frederic Utzet & Josep L. Solé, 2002, "On Lévy processes, Malliavin calculus and market models with jumps," Finance and Stochastics, Springer, volume 6, issue 2, pages 197-225.
• Victoria Steblovskaya & Sergio Albeverio, 2002, "A model of financial market with several interacting assets. Complete market case," Finance and Stochastics, Springer, volume 6, issue 3, pages 383-396.
• Philip Protter & Emmanuelle Clément & Damien Lamberton, 2002, "An analysis of a least squares regression method for American option pricing," Finance and Stochastics, Springer, volume 6, issue 4, pages 449-471.
• Ernesto Mordecki, 2002, "Optimal stopping and perpetual options for Lévy processes," Finance and Stochastics, Springer, volume 6, issue 4, pages 473-493.
• John Krainer & Stephen F. LeRoy, 2002, "Equilibrium valuation of illiquid assets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 19, issue 2, pages 223-242.
• Takashi Kamihigashi, 2002, "A simple proof of the necessity of the transversality condition," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 20, issue 2, pages 427-433.
• Brandt, Michael W. & Santa-Clara, Pedro, 2002, "Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets," Journal of Financial Economics, Elsevier, volume 63, issue 2, pages 161-210, February.
• Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2002, "Breadth of ownership and stock returns," Journal of Financial Economics, Elsevier, volume 66, issue 2-3, pages 171-205.
• Gromb, Denis & Vayanos, Dimitri, 2002, "Equilibrium and welfare in markets with financially constrained arbitrageurs," Journal of Financial Economics, Elsevier, volume 66, issue 2-3, pages 361-407.
• Cohen, Randolph B. & Gompers, Paul A. & Vuolteenaho, Tuomo, 2002, "Who underreacts to cash-flow news? evidence from trading between individuals and institutions," Journal of Financial Economics, Elsevier, volume 66, issue 2-3, pages 409-462.
• Abouda, Moez & Chateauneuf, Alain, 2002, "Characterization of symmetrical monotone risk aversion in the RDEU model," Mathematical Social Sciences, Elsevier, volume 44, issue 1, pages 1-15, September.
• William Schwert, G., 2002, "Stock volatility in the new millennium: how wacky is Nasdaq?," Journal of Monetary Economics, Elsevier, volume 49, issue 1, pages 3-26, January.
• Lettau, Martin & Ludvigson, Sydney, 2002, "Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment," Journal of Monetary Economics, Elsevier, volume 49, issue 1, pages 31-66, January.
• Otrok, Christopher & Ravikumar, B. & Whiteman, Charles H., 2002, "Habit formation: a resolution of the equity premium puzzle?," Journal of Monetary Economics, Elsevier, volume 49, issue 6, pages 1261-1288, September.
• Piotrowski, E.W & Sładkowski, J, 2002, "Quantum market games," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 312, issue 1, pages 208-216, DOI: 10.1016/S0378-4371(02)00842-7.
• Chakravarty, Sugato & Sarkar, Asani, 2002, "A model of broker's trading, with applications to order flow internalization," Review of Financial Economics, Elsevier, volume 11, issue 1, pages 19-36.
• Pongrapeeporn Abhakorn & Peter N. Smith & Michael R.Wickens, 2013, "What do the Fama-French Factors Add to C-CAPM?," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2013-23, May.
• Zigrand, Jean-Pierre, 2002, "Rational asset pricing implications from realistic trading frictions," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24933, Mar.
• Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002, "Skewness and kurtosis implied by option prices: a second comment," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24938, Jul.
• Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002, "Revisited multi-moment approximate option pricing models a general comparison (Part 1)," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24950, Dec.
• Brunnermeier, Markus K. & Parker, Jonathan A., 2002, "Optimal expectations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24954, Dec.
• Julliard, Christian, 2002, "The international diversification puzzle is not worse than you think," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4814, Jun.
• Danielle Wood & Kym Anderson, 2002, "What Determines the Future Value of an Icon Wine? Evidence from Australia," Centre for International Economic Studies Working Papers, University of Adelaide, Centre for International Economic Studies, number 2002-33, Nov.
• Maitreesh Ghatak & Massimo Morelli & Tomas Sjostrom, 2002, "Credit Rationing, Wealth Inequality, and Allocation of Talent," Economics Working Papers, Institute for Advanced Study, School of Social Science, number 0026, Oct.
• Tobias J. Moskowitz & Annette Vissing-Jørgensen, 2002, "The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?," American Economic Review, American Economic Association, volume 92, issue 4, pages 745-778, September, DOI: 10.1257/00028280260344452.
• Marshall, Pablo & Walker, Eduardo, 2002, "Asymmetric Reaction to Information and Serial Dependence of Short-run Returns," Journal of Applied Economics, Universidad del CEMA, volume 5, issue 2, pages 1-20, November, DOI: 10.22004/ag.econ.44293.
• Elliott, Robert & Madan, Dilip & Milne, Frank, 2002, "Incomplete Diversification and Asset Pricing," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273557, Feb, DOI: 10.22004/ag.econ.273557.
• Head, Allen C. & Smith, Gregor W., 2002, "The CCAPM Meets Euro-Interest Rate Persistence, 1960-2000," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273749, Aug, DOI: 10.22004/ag.econ.273749.
• Diks, C.G.H. & Weide, R. van der, 2002, "Continuous Beliefs Dynamics," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 02-11.
• Nikolay Stoychev, 2002, "Financial assets: market behavior and profitability," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 68-92.
• Fabio Fornari, 2002, "The size of the equity premium," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 447, Jul.
• Erdem Basci, 2002, "Bond Premium in Turkey," Working Papers, Department of Economics, Bilkent University, number 0207.
• Roger Otten & Dennis Bams, 2002, "European Mutual Fund Performance," European Financial Management, European Financial Management Association, volume 8, issue 1, pages 75-101, March, DOI: 10.1111/1468-036X.00177.
• Peter Smith & Michael Wickens, 2002, "Asset Pricing with Observable Stochastic Discount Factors," Journal of Economic Surveys, Wiley Blackwell, volume 16, issue 3, pages 397-446, July, DOI: 10.1111/1467-6419.00173.
• Torben G. Andersen & Luca Benzoni & Jesper Lund, 2002, "An Empirical Investigation of Continuous‐Time Equity Return Models," Journal of Finance, American Finance Association, volume 57, issue 3, pages 1239-1284, June, DOI: 10.1111/1540-6261.00460.
• Leonie Bell & Tim Jenkinson, 2002, "New Evidence of the Impact of Dividend Taxation and on the Identity of the Marginal Investor," Journal of Finance, American Finance Association, volume 57, issue 3, pages 1321-1346, June, DOI: 10.1111/1540-6261.00462.
• Yacine Aït‐Sahalia, 2002, "Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion," Journal of Finance, American Finance Association, volume 57, issue 5, pages 2075-2112, October, DOI: 10.1111/1540-6261.00489.
• Martin D. D. Evans, 2002, "FX Trading and Exchange Rate Dynamics," Journal of Finance, American Finance Association, volume 57, issue 6, pages 2405-2447, December, DOI: 10.1111/1540-6261.00501.
• Douglas A. Shackelford & Robert E. Verrecchia, 2002, "Intertemporal Tax Discontinuities," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 40, issue 1, pages 205-222, March, DOI: 10.1111/1475-679X.00044.
• Ole E. Barndorff‐Nielsen & Neil Shephard, 2002, "Econometric analysis of realized volatility and its use in estimating stochastic volatility models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 64, issue 2, pages 253-280, May, DOI: 10.1111/1467-9868.00336.
• Chris Brooks & Ólan T. Henry, 2002, "The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 64, issue 5, pages 487-507, December, DOI: 10.1111/1468-0084.00274.
• Josep Pijoan-Mas, 2002, "Pricing Risk in Economies with Heterogenous Agents and Incomplete Markets," Centro de Alti­simos Estudios Ri­os Pe©rez(CAERP), Centro de Altisimos Estudios Rios Perez (CAERP), number 3, Dec.
• Corrado, L. & Marcus Miller & Lei Zhang, 2002, "Exchange Rate Monitoring Bands: Theory and Policy," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0209, Apr.
• Darsinos, T. & Satchell, S.E., 2002, "The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0217, Jun.
• Darsinos, T. & Satchell, S.E., 2002, "On the Valuation of Warrants and Executive Stock Options: Pricing Formulae for Firms with Multiple Warrants/Executive Options," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0218, Jul.
• J.-H. Steffi Yang & Satchell, S.E., 2002, "The Impact of Technical Analysis on Asset Price Dynamics," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0219, Jul.
• Magnus Bild & Paul Guest & Andy Cosh & Mikael Runsten, 2002, "Do takeovers create value? A residual income approach on UK data," Working Papers, Centre for Business Research, University of Cambridge, number wp252, Dec.
• Pablo Marshall & Eduardo Walker, 2002, "Asymmetric Reaction to Information and Serial Dependence of Short-run Returns," Journal of Applied Economics, Universidad del CEMA, volume 5, pages 273-292, November.
• Maitreesh Ghatak & Massimo Morelli & Tomas Sjostrom, 2002, "Credit Rationing, Wealth Inequality, and Allocation of Talent," STICERD - Theoretical Economics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 441, Oct.
• Christian A. Johnson, 2002, "Value at Risk: Teoría y Aplicaciones," Working Papers Central Bank of Chile, Central Bank of Chile, number 136, Jan.
• Juan Dubra & Helios Herrera, 2002, "Market Participation, Information and Volatility," Working Papers, Centro de Investigacion Economica, ITAM, number 0206, Nov.
• Karine Gobert & Patrick González & Michel Poitevin & Alexandra Lai, 2002, "Bank Value and Financial Fragility," CIRANO Project Reports, CIRANO, number 2002rp-07, Mar.
• Kris Jacobs, 2002, "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers, CIRANO, number 2002s-08, Jan.
• Kris Jacobs & Kevin Q. Wang, 2002, "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers, CIRANO, number 2002s-11, Feb.
• Peter Christoffersen & Kris Jacobs, 2002, "Which Volatility Model for Option Valuation?," CIRANO Working Papers, CIRANO, number 2002s-33, Apr.
• Ilhem Kassar & Pierre Lasserre, 2002, "Species Preservation and Biodiversity Value: A Real Options Approach," CIRANO Working Papers, CIRANO, number 2002s-82, Sep.
• Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2002, "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach," CIRANO Working Papers, CIRANO, number 2002s-85, Nov.
• Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002, "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers, CIRANO, number 2002s-90, Dec.
• Luis Eduardo Arango & Luis Fernando Melo, 2002, "Estimaci�n de la Estructura a Plazo de las Tasas de Inter�s en Colombia," Borradores de Economia, Banco de la Republica, number 2594, Jan.
• Ignacio V√©lez-Pareja, 2002, "Costo de capital para empresas no transadas en bolsa," Proyecciones Financieras y Valoración, Master Consultores, number 2207, May.
• KIRMAN, Alan & TEYSSIÈRE, Gilles, 2002, "Bubbles and long-range dependence in asset prices volatilities," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002060, Oct.
• Cespa, Giovanni, 2002, "Short-term investment and equilibrium multiplicity," European Economic Review, Elsevier, volume 46, issue 9, pages 1645-1670, October.
• Hong, Harrison & Rady, Sven, 2002, "Strategic trading and learning about liquidity," Journal of Financial Markets, Elsevier, volume 5, issue 4, pages 419-450, October.
• Moore, Michael J. & Roche, Maurice J., 2002, "Less of a puzzle: a new look at the forward forex market," Journal of International Economics, Elsevier, volume 58, issue 2, pages 387-411, December.
• Grande, Giuseppe & Ventura, Luigi, 2002, "Labor income and risky assets under market incompleteness: Evidence from Italian data," Journal of Banking & Finance, Elsevier, volume 26, issue 2-3, pages 597-620, March.
• Iori, Giulia, 2002, "A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions," Journal of Economic Behavior & Organization, Elsevier, volume 49, issue 2, pages 269-285, October.
• Takashi Kamihigashi, 2002, "Necessity of Transversality Conditions for Stochastic Problems," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number 128, Apr.
• Medvegyev, Péter, 2002, "A pénzügyi eszközök árazásának alaptétele diszkrét idejű modellekben
  [The fundamental proposition of financial-resource pricing in discrete-time models]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 7, pages 597-620.
• Jean-Pierre Danthine & John B. Donaldson & Christos Giannikos & Hany Guirguis, 2002, "On the Consequences of State Dependent Preferences for the Pricing of Financial Assets," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 02.17, Oct.
• Fabrice Herve, 2002, "La persistance de la performance des fonds de pension individuels britanniques : une étude empirique sur des fonds investis en actions et des fonds obligataires," Working Papers, Laboratoire Orléanais de Gestion - université d'Orléans, number 2002-3.
• Gobert, Karine & González, Patrick & Poitevin, Michel, 2002, "Bank Value and Financial Fragility," Cahiers de recherche, Université Laval - Département d'économique, number 0206.
• Gobert, Karine & Gonzalez, Patrick & Poitevin, Michel, 2002, "Bank Value and Financial Fragility," Cahiers de recherche, GREEN, number 0202.
• Lux, Thomas & Sornette, Didier, 2002, "On Rational Bubbles and Fat Tails," Journal of Money, Credit and Banking, Blackwell Publishing, volume 34, issue 3, pages 589-610, August.
• Fleming, Michael J, 2002, "Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings," Journal of Money, Credit and Banking, Blackwell Publishing, volume 34, issue 3, pages 707-735, August.
• George Athanassakos, 2002, "The Scrutinized-firm Effect, Portfolio Rebalancing, Stock Return Seasonality, and the Pervasiveness of the January Effect in Canada," Multinational Finance Journal, Multinational Finance Journal, volume 6, issue 1, pages 1-27, March.
• Bilgehan Yazici & Gulnur Muradoglu, 2002, "Dissemination of Stock Recommendations and Small Investors: Who Benefits?," Multinational Finance Journal, Multinational Finance Journal, volume 6, issue 1, pages 29-42, March.
• Marco Corazza & A. G. Malliaris, 2002, "Multi-Fractality in Foreign Currency Markets," Multinational Finance Journal, Multinational Finance Journal, volume 6, issue 2, pages 65-98, June.
• Mondher Bellalah & Marc Lavielle, 2002, "A Decomposition of Empirical Distributions with Applications to the Valuation of Derivative Assets," Multinational Finance Journal, Multinational Finance Journal, volume 6, issue 2, pages 99-130, June.
• Larry R. Gorman & Bjorn N. Jorgensen, 2002, "Domestic versus International Portfolio Selection: A Statistical Examination of the Home Bias," Multinational Finance Journal, Multinational Finance Journal, volume 6, issue 3-4, pages 131-166, September.
• Jun Yu & Zhenlin Yang & Xibin Zhang, 2002, "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 17/02, Nov.
• BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda., 2002, "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2002-17.
• Marie-Claude BEAULIEU & Jean-Marie DUFOUR & Lynda KHALAF, 2002, "Testing Mean-Variance Efficiency In Capm With Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 17-2002.
• Yacine Ait-Sahalia & Per A. Mykland, 2002, "The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0276, Apr.
• Yacine Aït-Sahalia & Robert Kimmel, 2002, "Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0286, Dec.
• Kent Smetters, 2002, "Controlling the Cost of Minimum Benefit Guarantees in Public Pension Conversions," NBER Working Papers, National Bureau of Economic Research, Inc, number 8732, Jan.
• Amit Goyal & Ivo Welch, 2002, "Predicting the Equity Premium With Dividend Ratios," NBER Working Papers, National Bureau of Economic Research, Inc, number 8788, Feb.
• Wayne E. Ferson & Andrew Siegel, 2002, "Stochastic Discount Factor Bounds with Conditioning Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 8789, Feb.
• Wayne Ferson & Kenneth Khang, 2002, "Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 8790, Feb.
• Heber Farnsworth & Wayne E. Ferson & David Jackson & Steven Todd, 2002, "Performance Evaluation with Stochastic Discount Factors," NBER Working Papers, National Bureau of Economic Research, Inc, number 8791, Feb.
• Randolph B. Cohen & Paul A. Gompers & Tuomo Vuolteenaho, 2002, "Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions," NBER Working Papers, National Bureau of Economic Research, Inc, number 8793, Feb.
• Malcolm Baker & Jeremy C. Stein, 2002, "Market Liquidity as a Sentiment Indicator," NBER Working Papers, National Bureau of Economic Research, Inc, number 8816, Feb.
• Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002, "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 8822, Mar.
• Tobias J. Moskowitz & Annette Vissing-Jorgensen, 2002, "The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8876, Apr.
• Annette Vissing-Jorgensen, 2002, "Towards an Explanation of Household Portfolio Choice Heterogeneity: Nonfinancial Income and Participation Cost Structures," NBER Working Papers, National Bureau of Economic Research, Inc, number 8884, Apr.
• Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002, "Comovement," NBER Working Papers, National Bureau of Economic Research, Inc, number 8895, Apr.
• Yacine Ait-Sahalia & Jefferson Duarte, 2002, "Nonparametric Option Pricing under Shape Restrictions," NBER Working Papers, National Bureau of Economic Research, Inc, number 8944, May.
• Yacine Ait-Sahalia, 2002, "Closed-Form Likelihood Expansions for Multivariate Diffusions," NBER Working Papers, National Bureau of Economic Research, Inc, number 8956, May.
• John Y. Campbell & Glen B. Taksler, 2002, "Equity Volatility and Corporate Bond Yields," NBER Working Papers, National Bureau of Economic Research, Inc, number 8961, May.
• Lubos Pastor & Pietro Veronesi, 2002, "Stock Valuation and Learning about Profitability," NBER Working Papers, National Bureau of Economic Research, Inc, number 8991, Jun.
• G. Andrew Karolyi & Rene M. Stulz, 2002, "Are Financial Assets Priced Locally or Globally?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8994, Jun.
• Michael W. Brandt & Qiang Kang, 2002, "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 9056, Jul.
• John Y. Campbell & Luis M. Viceira & Joshua S. White, 2002, "Foreign Currency for Long-Term Investors," NBER Working Papers, National Bureau of Economic Research, Inc, number 9075, Jul.
• Peter G. Dunne & Michael J. Moore & Richard Portes, 2002, "Defining Benchmark Status: An Application using Euro-Area Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 9087, Aug.
• Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2002, "Spurious Regressions in Financial Economics?," NBER Working Papers, National Bureau of Economic Research, Inc, number 9143, Sep.
• Nicholas Barberis & Richard Thaler, 2002, "A Survey of Behavioral Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 9222, Sep.
• Dennis R. Capozza & Patric H. Hendershott & Charlotte Mack & Christopher J. Mayer, 2002, "Determinants of Real House Price Dynamics," NBER Working Papers, National Bureau of Economic Research, Inc, number 9262, Oct.
• Stefano Cavaglia & Robert J. Hodrick & Moroz Vadim & Xiaoyan Zhang, 2002, "Pricing the Global Industry Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 9344, Nov.
• Joao Gomes & Amir Yaron & Lu Zhang, 2002, "Asset Pricing Implications of Firms' Financing Constraints," NBER Working Papers, National Bureau of Economic Research, Inc, number 9365, Dec.
• Takatoshi Ito & Yuko Hashimoto, 2002, "High Frequency Contagion of Currency Crises in Asia," NBER Working Papers, National Bureau of Economic Research, Inc, number 9376, Dec.
• Christopher S. Jones & Jay Shanken, 2002, "Mutual Fund Performance with Learning Across Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 9392, Dec.