Research classified by Journal of Economic Literature (JEL) codes

2002

• Fornari, Fabio & Monticelli, Carlo & Pericoli, Marcello & Tivegna, Massimo, 2002, "The impact of news on the exchange rate of the lira and long-term interest rates," Economic Modelling, Elsevier, volume 19, issue 4, pages 611-639, August.
• Malliaris, A. G., 2002, "Global monetary instability: The role of the IMF, the EU and NAFTA," The North American Journal of Economics and Finance, Elsevier, volume 13, issue 1, pages 72-92, May.
• Houweling, P. & Vorst, A.C.F., 2002, "An Empirical Comparison of Default Swap Pricing Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number ERS-2002-23-F&A, Feb.
• de Goeij, P. & Marquering, W.A., 2002, "Modeling the Conditional Covariance between Stock and Bond Returns," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2002-11-F&A, Jan.
• Houweling, P. & Vorst, A.C.F., 2002, "An Empirical Comparison of Default Swap Pricing Models," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2002-23-F&A, Feb.
• van den Bergh, W.-M. & Steenbeek, O.W. & van den Berg, J.H., 2002, "Relative Distress and Return Distribution Characteristics of Japanese Stocks, a Fuzzy-Probabilistic Approach," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2002-29-F&A, Mar.
• Post, G.T. & Levy, H., 2002, "Does Risk Seeking Drive Asset Prices? A stochastic dominance analysis of aggregate investor preferences," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2002-50-F&A, May.
• Bolton, R.N. & Lemo, K.N. & Verhoef, P.C., 2002, "The Theoretical Underpinnings of Customer Asset Management," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2002-80-MKT, Sep.
• de Goeij, P. & Marquering, W.A., 2002, "Do Macroeconomic Announcements Cause Asymetric Volatility?," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2002-103-F&A, Nov.
• Henry Schellhorn, 2002, "Optimal Changes of Gaussian Measures, with Application to Finance," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp127, May.
• Alexandre Ziegler, 2002, "Why does Implied Risk Aversion Smile?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp47, May.
• Markus LEIPPOLD & Fabio TROJANI & Paolo VANINI, 2002, "A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp48, Apr.
• Didier Cossin & Tomas Hricko & Daniel Aunon-Nerin & Zhijiang Huang, 2002, "Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp65, Dec.
• Peng Cheng & Olivier Scaillet, 2002, "Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp67, Nov.
• Eric Jondeau & Michael Rockinger, 2002, "The Allocation of Assets Under Higher Moments," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp71, Dec.
• Tom A. FEARNLEY, 2002, "Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp95, Jul.
• Tom A. FEARNLEY, 2002, "Tests of an International Capital Asset Pricing Model with Stocks and Government Bonds and Regime Switching Prices of Risk and Intercepts," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp97, Jul.
• Reint Gropp & Jukka M. Vesala & Giuseppe Vulpes, 2002, "Equity and bond market signals as leading indicators of bank fragility," Conference Series ; [Proceedings], Federal Reserve Bank of Boston.
• Michael J. Fleming, 2002, "Are larger Treasury issues more liquid? Evidence from bill reopenings," Proceedings, Federal Reserve Bank of Cleveland, pages 707-739.
• Yukako Ono, 2002, "Outsourcing business services and the role of central administrative offices," Working Paper Series, Federal Reserve Bank of Chicago, number WP-02-01.
• Michael J. Fleming, 2002, "Are larger Treasury issues more liquid? Evidence from bill reopenings," Staff Reports, Federal Reserve Bank of New York, number 145.
• Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002, "Skewness and Kurtosis Implied by Option Prices: A Second Comment," FMG Discussion Papers, Financial Markets Group, number dp419, Jul.
• Jonathan Parker & Markus K Brunnermeier, 2002, "Optimal Expectations," FMG Discussion Papers, Financial Markets Group, number dp434, Dec.
• John Y. Campbell & Glen B. Taksler, 2002, "Equity Volatility and Corporate Bond Yields," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1945.
• Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002, "Comovement," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1953.
• John Y. Campbell & Tuomo Vuolteenaho, 2002, "Bad Beta, Good Beta," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1971.
• John Y. Campbell, 2002, "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1974.
• Malcolm Baker & Jeremy C. Stein, 2002, "Market Liquidity as a Sentiment Indicator," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1977.
• Martin Evans, 2002, "Real Risk, Inflation Risk, and the Term Structure," Working Papers, Georgetown University, Department of Economics, number gueconwpa~02-02-10, Feb.
• Karine Michalon, 2002, "Impact des interruptions de cotation sur la microstructure du marché boursier français," Post-Print, HAL, number halshs-00142776.
• Elisabeth Combes Thuélin, 2002, "Developpement Des Marches Financiers Et Evaluation Des Actifs Bancaires : Cout Historique Versus Juste Valeur. L'Exemple De La Titrisation," Post-Print, HAL, number halshs-00584458, May.
• Christiansen, Charlotte & Nielsen, Helena Skyt, 2002, "The Educational Asset Market: A Finance Perspective on Human Capital Investment," Working Papers, University of Aarhus, Aarhus School of Business, Department of Economics, number 02-10, Jul.
• Jensen, Bjarne Astrup, 2002, "On valuation before and after tax in no arbitrage models: Tax neutrality in the discrete time model," Working Papers, Copenhagen Business School, Department of Finance, number 2002-1, Mar.
• Benninga, Simon & Björk, Tomas & Wiener, Zvi, 2002, "On the Use of Numeraires in Option pricing," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 484, Jan.
• Medeiros, Marcelo C. & Teräsvirta, Timo & Rech, Gianluigi, 2002, "Building neural network models for time series: A statistical approach," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 508, Sep.
• Giordani, Paolo & Söderlind, Paul, 2002, "Is there Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 519, Dec, revised 01 Oct 2003.
• Nilsson, Birger, 2002, "International Asset Pricing and the Benefits from World Market Diversification," Working Papers, Lund University, Department of Economics, number 2002:1, Feb.
• Asgharian, Hossein & Hansson, Björn, 2002, "Cross Sectional Analysis of the Swedish Stock Market," Working Papers, Lund University, Department of Economics, number 2002:19, Oct.
• Bansal, Ravi & Dahlquist, Magnus, 2002, "Expropriation Risk and Return in Global Equity Markets," SIFR Research Report Series, Institute for Financial Research, number 8, Nov.
• Dahlquist, Magnus & Pinkowitz, Lee & Stulz, René M. & Williamson, Rohan, 2002, "Corporate Governance and the Home Bias," SIFR Research Report Series, Institute for Financial Research, number 11, Nov.
• Daunfeldt, Sven-Olov, 2002, "Tax Policy Changes and Ex-dividend Behavior: The Case of Sweden," Umeå Economic Studies, Umeå University, Department of Economics, number 585, Feb.
• Brännäs, Kurt, 2002, "Conditional Heteroskedasticity in some Common Count Data Models for Financial Time Series Data," Umeå Economic Studies, Umeå University, Department of Economics, number 592, Oct.
• Brännäs, Kurt & Quoreshi, Shahiduzzaman & Simonsen, Ola, 2002, "Extreme-Value Characteristics in Daily Time Series of Swedish Stock Returns," Umeå Economic Studies, Umeå University, Department of Economics, number 597, Dec.
• Belén Nieto, 2002, "La valoración intertemporal de activos: un análisis empírico para el mercado español de valores," Investigaciones Economicas, Fundación SEPI, volume 26, issue 3, pages 497-524, September.
• Shigeyuki Hamori & Akira Tokihisa, 2002, "Some International Evidence on the Seasonality of Stock Prices," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 1, issue 1, pages 79-86, April.
• Yamai, Yasuhiro & Yoshiba, Toshinao, 2002, "Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 20, issue 3, pages 181-237, October.
• Okina, Kunio & Shiratsuka, Shigenori, 2002, "Asset Price Bubbles, Price Stability, and Monetary Policy: Japan' s Experience," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 20, issue 3, pages 35-76, October.
• Fernando Lefort & Eduardo Walker, 2002, "Cambios Estructurales e Integración. Discusión y Análisis del Mercado Accionario Chileno," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 39, issue 116, pages 95-122.
• Belén Nieto & Rosa Rodríguez & Rosa Rodríguez- Barrera, 2002, "The Consumption-Wealth And Book-To-Market Ratios In A Dynamic Asset Pricing Context," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2002-24, Sep.
• Ayla Ogus, 2002, "Pricing of S&P 100 Index Options Based On Garch Volatility Estimates," Working Papers, Izmir University of Economics, number 0201, Aug.
• Christopher Otrok & B. Ravikumar & Charles H. Whiteman, 2002, "Evaluating asset-pricing models using the Hansen-Jagannathan bound: a Monte Carlo investigation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 17, issue 2, pages 149-174.

2001

• Menkveld, A.J., 2001, "Splitting Orders in Fragmented Markets; evidence from cross-listed stocks," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2001-20, Jun.
• Yacine AÏT-SAHALIA, & Michael W. BRANDT, 2001, "Variable Selection for Portfolio Choice," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp34, Feb.
• Laurent BARRAS, & Dušan ISAKOV, 2001, "How To Diversify Internationally: A Comparison of Conditional and Unconditional Asset Allocation Methods," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp37, Nov.
• Manfred GILLI, & Peter WINKER, 2001, "Indirect Estimation of the Parameters of Agent Based Models of Financial Markets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp38, Nov.
• Jan ERICSSON & Olivier RENAULT, 2001, "Liquidity and Credit Risk," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp42, Aug.
• Michal Slavík, 2001, "Interest Rates Time Structure and Domestic Bond Prices," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 51, issue 10, pages 591-607, October.
• Michaela Skolková & Vladimír Stiller & Jan Syrovátka, 2001, "The Role of Asset Prices in the Monetary Transmission Mechanism," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 51, issue 9, pages 488-506, September.
• Michael T. Kiley, 2001, "An analytical approach to the welfare cost of business cycles and the benefit from activist monetary policy," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2001-41.
• Ellen R. McGrattan & Edward C. Prescott, 2001, "Taxes, regulations, and asset prices," Working Papers, Federal Reserve Bank of Minneapolis, number 610, DOI: 10.21034/wp.610.
• Michael J. Fleming, 2001, "Financial market implications of the federal debt paydown," Staff Reports, Federal Reserve Bank of New York, number 120, Mar.
• Martin Lettau, 2001, "Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle?," Staff Reports, Federal Reserve Bank of New York, number 130.
• Andrew B. Abel, 2001, "An exploration of the effects of pessimism and doubt on asset returns," Working Papers, Federal Reserve Bank of Philadelphia, number 01-1.
• Andrew B. Abel, 2001, "Will bequests attenuate the predicted meltdown in stock prices when baby boomers retire?," Working Papers, Federal Reserve Bank of Philadelphia, number 01-2.
• Hyun Song Shin, 2001, "Disclosures and Asset Returns," FMG Discussion Papers, Financial Markets Group, number dp371, Mar.
• Sven Rady, 2001, "Housing Market Dynamics: on the Contribution of Income Shocks and Credit Constraints," FMG Discussion Papers, Financial Markets Group, number dp375, Mar.
• Jean-Pierre Zigrand & Jon Danielsson, 2001, "What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model," FMG Discussion Papers, Financial Markets Group, number dp393, Oct.
• Allan Timmermann & Massimo Guidolin, 2001, "Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities," FMG Discussion Papers, Financial Markets Group, number dp397, Nov.
• Barras, L. & Isakov, D., 2001, "How to Diversify Internationally? A Comparison of Conditional and Unconditional Asset Allocation Methods," Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve-, number 2001.07.
• Assoé, K., 2001, "Volatility Spillovers between Foreign Exchange and Emerging Stock Markets," Papers, Ecole des Hautes Etudes Commerciales de Montreal-, number 2001-04.
• Laurent Calvet & Martin Gonzalez-Eiras & Paolo Sodini, 2001, "Financial Innovation, Market Participation and Asset Prices," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1928.
• Ait-Sahalia, Y. & Brandt, M.W., 2001, "Variable Selection for Portfolio Choice," Papers, Manitoba - Department of Economics, number 34.
• Barras, L. & Isakov, D., 2001, "How to Diversify Internationally? A Comparison of Conditional and Unconditional Asset Allocation Methods," Papers, Manitoba - Department of Economics, number 37.
• Winmker, P. & Gilli, M., 2001, "Indirect Estimation of the Parameters of Agent Based Models of Financial Markets," Papers, Manitoba - Department of Economics, number 38.
• Cassola, N. & Luis, J.B., 2001, "A Two-Factor Model of the German Term Structure of Interest Rates," Papers, Quebec a Montreal - Recherche en gestion, number 46.
• Jean-Luc Prigent, 2001, "Option Pricing with a General Marked Point Process," Post-Print, HAL, number hal-03679678, Feb, DOI: 10.1287/moor.26.1.50.10592.
• Elyès Jouini & Hedi Kallal & Clotilde Napp, 2001, "Arbitrage and viability in securities markets with fixed trading costs," Post-Print, HAL, number halshs-00167157.
• Niehaus, Frank, 2001, "The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-234, Feb.
• Skogsvik, Kenth & Skogsvik, Stina, 2001, "P/E-ratios in Relative Valuation - a Mission Impossible?," SSE/EFI Working Paper Series in Business Administration, Stockholm School of Economics, number 2001:7, Apr.
• Raahauge, Peter, 2001, "Empirical Rationality in the Stock Market," Working Papers, Copenhagen Business School, Department of Finance, number 2001-9, Dec.
• Dahl, Christian M. & Nielsen, Steen, 2001, "The Random Walk Of Stock Prices: Implications Of Recent Nonpara-Metric Tests," Working Papers, Copenhagen Business School, Department of Economics, number 07-2001, Aug.
• Nivorozhkin, Eugene, 2001, "An Analysis of Subordinated Debt in Banking: The Case of Costly Bankruptcy," Working Papers in Economics, University of Gothenburg, Department of Economics, number 44, May, revised 19 Dec 2001.
• Reneby, Joel & Ericsson, Jan, 2001, "The Valuation of Corporate Liabilities: Theory and Tests," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 445, Feb, revised 07 Jan 2003.
• Söderlind, Paul, 2001, "Monetary Policy and Bond Option Pricing in an Analytical RBC Model," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 0447, May, revised 03 Jan 2003.
• Longarela, Iñaki R., 2001, "An Extension of Good-Deal Asset Price Bounds," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 0448, May, revised 19 Oct 2001.
• Calvet, Laurent & Gonzalez-Eiras, Martin & Sodini, Paolo, 2001, "Financial Innovation, Market Participation and Asset Prices," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 464, Aug.
• Graflund, Andreas, 2001, "Some Time Serial Properties of the Swedish Real Estate Stock Market, 1939-1998," Working Papers, Lund University, Department of Economics, number 2001:8, Jun.
• Dahlquist, Magnus & Robertsson, Göran, 2001, "Foreigners´ Trading and Price Effects Across Firms," SIFR Research Report Series, Institute for Financial Research, number 1, Dec.
• Berg, Lennart, 2001, "Prices and Constant Quality Price Indexes for Multi-Dwelling and Commercial Buildings in Sweden," Working Paper Series, Uppsala University, Department of Economics, number 2002:2, Oct.
• Viceira, Luis & Campbell, John, 2001, "Who Should Buy Long-Term Bonds?," Scholarly Articles, Harvard University Department of Economics, number 3128709.
• Campbell, John, 2001, "Why Long Horizons? A Study of Power Against Persistent Alternatives," Scholarly Articles, Harvard University Department of Economics, number 3196341.
• Cocco, Joao & Gomes, Francisco & Maenhout, Pascal J. & Campbell, John Y. & Viceira, Luis Manuel, 2001, "Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor," Scholarly Articles, Harvard University Department of Economics, number 3353758.
• Luigi Montrucchio & Fabio Privileggi, 2001, "On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 05-2001, Jan.
• Maitreesh Ghatak & Massimo Morelli & Tomas Sjoström, 2001, "Credit rationing, wealth inequality, and allocation of talent," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 23-2001, Jul.
• Dupont, Dominique Y., 2001, "Hedging Barrier Options: Current Methods and Alternatives," Economics Series, Institute for Advanced Studies, number 103, Sep.
• Enric Valor & Hipòlit Torró & Vicente Meneu, 2001, "Single Factor Stochastic Models With Seasonality Applied To Underlying Weather Derivatives Variables," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2001-22, Nov.
• María Jesús Pastor & Juan Francisco Martín, 2001, "Efectos A Largo Plazo De Las Ampliaciones De Capital En El Mercado Español," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2001-26, Dec.
• Chen, Shu-Heng & Lux, Thomas & Marchesi, Michele, 2001, "Testing for non-linear structure in an artificial financial market," Journal of Economic Behavior & Organization, Elsevier, volume 46, issue 3, pages 327-342, November.
• Montrucchio, Luigi & Privileggi, Fabio, 2001, "On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type," Journal of Economic Theory, Elsevier, volume 101, issue 1, pages 158-188, November.
• Khan, M. Ali & Sun, Yeneng, 2001, "Asymptotic Arbitrage and the APT with or without Measure-Theoretic Structures," Journal of Economic Theory, Elsevier, volume 101, issue 1, pages 222-251, November.
• Jones, Charles M. & Lipson, Marc L., 2001, "Sixteenths: direct evidence on institutional execution costs," Journal of Financial Economics, Elsevier, volume 59, issue 2, pages 253-278, February.
• Backus, David & Foresi, Silverio & Mozumdar, Abon & Wu, Liuren, 2001, "Predictable changes in yields and forward rates," Journal of Financial Economics, Elsevier, volume 59, issue 3, pages 281-311, March.
• Froot, Kenneth A., 2001, "The market for catastrophe risk: a clinical examination," Journal of Financial Economics, Elsevier, volume 60, issue 2-3, pages 529-571, May.
• Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2001, "Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices," Journal of Financial Economics, Elsevier, volume 61, issue 3, pages 345-381, September.
• Jouini, Elyes & Kallal, Hedi & Napp, Clotilde, 2001, "Arbitrage and viability in securities markets with fixed trading costs," Journal of Mathematical Economics, Elsevier, volume 35, issue 2, pages 197-221, April.
• Guidolin, Massimo & Timmermann, Allan, 2001, "Option prices under Bayesian learning: implied volatility dynamics and predictive densities," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119091, Nov.
• Zigrand, Jean-Pierre, 2001, "Rational limits to arbitrage," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 25068, Oct.
• Zigrand, Jean-Pierre & Danielsson, Jon, 2001, "What happens when you regulate risk?: evidence from a simple equilibrium model," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 25069, Oct.
• Frank De Jong & Joost Driessen & Antoon Pelsser, 2001, "Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis," Review of Finance, European Finance Association, volume 5, issue 3, pages 201-237.
• David Feldman, 2001, "Production and the Real Rate of Interest: A Sample Path Equilibrium," Review of Finance, European Finance Association, volume 5, issue 3, pages 239-267.
• John Y. Campbell & João Cocco & Francisco Gomes & Pascal J. Maenhout & Luis M. Viceira, 2001, "Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor," Review of Finance, European Finance Association, volume 5, issue 3, pages 269-292.
• John R. M. Hand, 2001, "The Role of Book Income, Web Traffic, and Supply and Demand in the Pricing of U.S. Internet Stocks," Review of Finance, European Finance Association, volume 5, issue 3, pages 295-317.
• Lamont, Owen & Polk, Christopher & Saa-Requejo, Jesus, 2001, "Financial Constraints and Stock Returns," The Review of Financial Studies, Society for Financial Studies, volume 14, issue 2, pages 529-554.
• Alvarez, Fernando & Jermann, Urban J, 2001, "Quantitative Asset Pricing Implications of Endogenous Solvency Constraints," The Review of Financial Studies, Society for Financial Studies, volume 14, issue 4, pages 1117-1151.
• Neil Shephard & Ole E. Barndorff-Nielsen & University of Aarhus, 2001, "Normal Modified Stable Processes," Economics Series Working Papers, University of Oxford, Department of Economics, number 72, Jul.
• Fernando Díaz & Rodrigo Sánchez, 2001, "Acciones Tecnológicas: ¿Un Episodio De Burbujas Especulativas En El Mercado?," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., volume 4, issue 1, pages 37-82.
• Yochanan Shachmurove, 2001, "Annualized Returns of Venture-Backed Public Companies Categorized by Stage of Financing: An Empirical Investigation of IPOS in the Last Three Decades," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 6, issue 1, pages 44-58, Spring.
• Otrok, Christopher & Ravikumar, B & Whiteman, Charles, 2001, "Stochastic Discount Factor Models and the Equity Premium Puzzle," MPRA Paper, University Library of Munich, Germany, number 22938, Nov, revised Nov 2004.
• Hirshleifer, David, 2001, "Investor Psychology and Asset Pricing," MPRA Paper, University Library of Munich, Germany, number 5300, Feb.
• Cakir, Murat, 2001, "Credit Derivatives in Managing Off Balance Sheet Risks by Banks," MPRA Paper, University Library of Munich, Germany, number 55976, Jul.
• Magni, Carlo Alberto, 2001, "Valore Aggiunto Sistemico: un'alternativa all'EVA quale indice di sovraprofitto periodale," MPRA Paper, University Library of Munich, Germany, number 7525, Jan.
• Grum, Andraž & Dolenc, Primož, 2001, "The analysis of factors that determine the level of interest rates paid on treasury bills in Slovenia," MPRA Paper, University Library of Munich, Germany, number 7585, Oct.
• Robert Kast & André Lapied & Sophie Pardo & Camélia Protopopescu, 2001, "Évaluation de risques controversés par la théorie des options réelles," Économie et Prévision, Programme National Persée, volume 149, issue 3, pages 51-63, DOI: 10.3406/ecop.2001.6291.
• Jean-Pierre Berdot & Daniel Goyeau & Jacques Léonard, 2001, "Diversification et valorisation des actifs financiers : logique sectorielle contre logique de Place," Revue d'Économie Financière, Programme National Persée, volume 61, issue 1, pages 173-191, DOI: 10.3406/ecofi.2001.3891.
• Giulio Cifarelli & Giovanna Paladino, 2001, "Volatility spillovers and the role of leading financial centres," BNL Quarterly Review, Banca Nazionale del Lavoro, volume 54, issue 216, pages 37-71.
• Giulio Cifarelli & Giovanna Paladino, 2001, "Volatility spillovers and the role of leading financial centres," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, volume 54, issue 216, pages 37-71.
• Bernardino Adão & Fátima Silva, 2001, "A New Representation for the Foreign Currency Risk Premium," Working Papers, Banco de Portugal, Economics and Research Department, number w200103.
• Chakravarty, Sugato & Harris, Fredreck H. deB. & Wood, Roger A., 2001, "Do Bid-Ask Spreads or Bid and Ask Depths Convey New Information First?," Purdue University Economics Working Papers, Purdue University, Department of Economics, number 1149.
• Chakravarty, Sugato & Sakar, Asani, 2001, "A Model of Broker's Trading with Applications to Order Flow Internalization," Purdue University Economics Working Papers, Purdue University, Department of Economics, number 1150.
• Luci Ellis & Dan Andrews, 2001, "City Sizes, Housing Costs, and Wealth," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2001-08, Oct.
• Antionio Diaz & Frank Skinner, 2001, "Estimating Corporate Yield Curves," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2001-01.
• Simonne Varotto, 2001, "Credit Risk Diversification," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2001-07, Aug.
• Marcelo C. Medeiros & Timo Terasvirta, 2001, "Statistical methods for modelling neural networks," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 445, Sep.
• Chaoshin Chiao & Ken Hung & Gladson I. Nwanna, 2001, "Market Liberalization and Exchange-Rate Exposure: The Case of Taiwanese Exporting Firms," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 54, issue 2, pages 137-161.
• Richard Heaney & Vince Hooper, 2001, "Regionalism, Political Risk and Capital Market Segmentation in International Asset Pricing," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 16, pages 299-312.
• Sergei Esipov & Igor Vaysburd, 2001, "Dynamic investment strategies and their risk-return measures," Journal of Financial Transformation, Capco Institute, volume 2, pages 87-92.
• Medrano, Luis Angel & Vives, Xavier, 2001, "Strategic Behavior and Price Discovery," RAND Journal of Economics, The RAND Corporation, volume 32, issue 2, pages 221-248, Summer.
• Larry G. Epstein & JianJun Miao, 2001, "A Two-Person Dynamic Equilibrium under Ambiguity," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 478, Jan.
• Frank Richter, 2001, "Simplified Discounting Rules In Binomial Models," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 53, issue 3, pages 175-196.
• Leonie Bell & Tim Jenkinson, 2001, "New evidence of the impact of dividend taxation and on the identity of the marginal investor," OFRC Working Papers Series, Oxford Financial Research Centre, number 2001fe14.
• Blake LeBaron, 2001, "Volatility," Computing in Economics and Finance 2001, Society for Computational Economics, number 108, Apr.
• Doyne Farmer, John Geanakoplos, and Paul Melby, 2001, "Market making, price formation, and technical trading," Computing in Economics and Finance 2001, Society for Computational Economics, number 111, Apr.
• W.A. Brock, C.H. Hommes and F.O.O. Wagener, 2001, "Evolutionary dynamics in financial markets with many trader types," Computing in Economics and Finance 2001, Society for Computational Economics, number 119, Apr.
• Nicholas T. Chan and Christian Shelton, 2001, "An Adaptive Electronic Market-Maker," Computing in Economics and Finance 2001, Society for Computational Economics, number 146, Apr.
• Shu-Heng Chen and Chung-Chih Liao, 2001, "Agent-Based Modeling of Price Discovery and Excessive Volatility in Financial Markets," Computing in Economics and Finance 2001, Society for Computational Economics, number 165, Apr.
• J. Huston McCulloch, 2001, "The Inflation Premium implicit in the US Real and Nominal," Computing in Economics and Finance 2001, Society for Computational Economics, number 210, Apr.
• Cees Diks and Roy van der Weide, 2001, "Asset pricing with a continuum of belief types," Computing in Economics and Finance 2001, Society for Computational Economics, number 217, Apr.
• Dietmar P.J. Leisen and Kenneth L. Judd, 2001, "A Partial Equilibrium Model of Option Markets," Computing in Economics and Finance 2001, Society for Computational Economics, number 219, Apr.
• Vassil A. Konstantinov, 2001, "Intergenerational Risk Sharing and Asset Returns," Computing in Economics and Finance 2001, Society for Computational Economics, number 228, Apr.
• Gustavo Athayde and Renato Flores, 2001, "Finding a maximum skewness portfolio," Computing in Economics and Finance 2001, Society for Computational Economics, number 273, Apr.
• Carl Chiarella and Xue-Zhong He, 2001, "A Non-Stationary Asset Pricing Model under Heterogeneous Expectations," Computing in Economics and Finance 2001, Society for Computational Economics, number 39, Apr.
• Michael Brandt, Qi Zeng and Lu Zhang, 2001, "Equilibrium Stock Return Dynamics Under Alternative Rules of Learning About Hidden States," Computing in Economics and Finance 2001, Society for Computational Economics, number 41, Apr.
• Karl Schmedders, Felix Kubler, 2001, "Asset Pricing in Models with incomplete markets and default," Computing in Economics and Finance 2001, Society for Computational Economics, number 58, Apr.
• Peter Winker and Manfred Gilli, 2001, "Indirect Estimation of the Parameters of Agent Based Models of Financial Markets," Computing in Economics and Finance 2001, Society for Computational Economics, number 59, Apr.
• Frank Niehaus, 2001, "The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model," Computing in Economics and Finance 2001, Society for Computational Economics, number 60, Apr.
• Thomas Lux, 2001, "The Multi-Fractal Model of Asset Returns: Simple Moment and GMM Estimation," Computing in Economics and Finance 2001, Society for Computational Economics, number 62, Apr.
• Prasad V. Bidarkota and J. Huston McCulloch, 2001, "Consumption Asset Pricing with Stable Shocks: Exploring a Solution and Its Implications for the Equity Premium Puzzle," Computing in Economics and Finance 2001, Society for Computational Economics, number 70, Apr.
• Christopher Otrok, B. Ravikumar, Charles H. Whiteman, 2001, "Spectral Implications of Security Market Data for Models of Dynamic Economies," Computing in Economics and Finance 2001, Society for Computational Economics, number 71, Apr.
• Chia-Hsuan Yeh, Shu-Heng Chen, 2001, "The Influence of Market Size in an Artificial Stock Market: The Approach Based on Genetic Programming," Computing in Economics and Finance 2001, Society for Computational Economics, number 74, Apr.
• Roel Oomen, 2001, "Using High Frequency Data to Calculate, Model and Forecast Realized Volatility," Computing in Economics and Finance 2001, Society for Computational Economics, number 75, Apr.
• Fabio Antonelli & Emilio Barucci & Maria Elvira Mancino, 2001, "Asset pricing with endogenous aspirations," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 24, issue 1, pages 21-39, May, DOI: 10.1007/s102030170007.
• P. Pellizzari, 2001, "Efficient Monte Carlo pricing of European options¶using mean value control variates," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 24, issue 2, pages 107-126, November, DOI: 10.1007/s102030170002.
• Fulvio Ortu, 2001, "Arbitrage, linear programming and martingales¶in securities markets with bid-ask spreads," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 24, issue 2, pages 79-105, November, DOI: 10.1007/s102030170001.
• Kirchler, Erich & Maciejovsky, Boris & Weber, Martin, 2001, "Framing effects on asset markets: An experimental analysis," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,17.
• Schulz, Rainer & Werwatz, Axel, 2001, "A state space model for Berlin house prices," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,58.
• Giesecke, Kay, 2001, "Correlated default with incomplete information," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,30.
• Giesecke, Kay, 2001, "Default compensator, incomplete information, and the term structure of credit spreads," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,8.
• Lüders, Erik & Peisl, Bernhard, 2001, "How do investors' expectations drive asset prices?," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 01-15.
• Hess, Dieter E. & Lüders, Erik, 2001, "Accounting for stock-based compensation: an extended clean surplus relation," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 01-42.
• Murad S. Taqqu, 2001, "Bachelier and his times: A conversation with Bernard Bru," Finance and Stochastics, Springer, volume 5, issue 1, pages 3-32.
• Carl Chiarella & Oh Kang Kwon, 2001, "Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model," Finance and Stochastics, Springer, volume 5, issue 2, pages 237-257.
• (**), Hui Wang & Jaksa Cvitanic & (*), Walter Schachermayer, 2001, "Utility maximization in incomplete markets with random endowment," Finance and Stochastics, Springer, volume 5, issue 2, pages 259-272.
• Emmanuel Temam & Emmanuel Gobet, 2001, "Discrete time hedging errors for options with irregular payoffs," Finance and Stochastics, Springer, volume 5, issue 3, pages 357-367.
• Philip Jefferson, 2001, "Price dynamics when there are alternatives to cash payment," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 25, issue 2, pages 149-171, June, DOI: 10.1007/BF02744519.
• Hakan Berument & Halil Kiymaz, 2001, "The day of the week effect on stock market volatility," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 25, issue 2, pages 181-193, June, DOI: 10.1007/BF02744521.
• Mario Reyes, 2001, "Asymmetric volatility spillover in the Tokyo stock exchange," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 25, issue 2, pages 206-213, June, DOI: 10.1007/BF02744523.
• Sy-Ming Guu & Kenneth L. Judd, 2001, "Asymptotic methods for asset market equilibrium analysis," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 18, issue 1, pages 127-157.
• Karl Schmedders, 2001, "Monopolistic security design in finance economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 18, issue 1, pages 37-72.
• Felix Kubler, 2001, "Computable general equilibrium with financial markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 18, issue 1, pages 73-96.
• David McMillan & Angela Black, 2001, "Nonlinear error correction in spot and forward exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 137, issue 4, pages 737-750, December, DOI: 10.1007/BF02707431.
• Thomas Lux, 2001, "The limiting extremal behaviour of speculative returns: an analysis of intra-daily data from the Frankfurt Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, volume 11, issue 3, pages 299-315, DOI: 10.1080/096031001300138708.
• Eduardo L. Giménez, 2001, "Complete and Incomplete Markets with Short-Sale Constraints," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-034/1, Mar.
• Bert Menkveld, 2001, "Splitting Orders in Fragmented Markets," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-059/2, Jun.
• de Jong, F.C.J.M. & de Roon, F.A., 2001, "Time Varying Market Integration and Expected Rteurns in Emerging Markets," Discussion Paper, Tilburg University, Center for Economic Research, number 2001-78.
• Grant, S. & Quiggin, J., 2001, "The Risk Premium for Equity : Explanations and Implications," Discussion Paper, Tilburg University, Center for Economic Research, number 2001-89.
• Michael Berkowitz, 2001, "Common Risk Factors in Explaining Canadian Equity Returns," Working Papers, University of Toronto, Department of Economics, number berk-00-01, Dec.
• Andrew B. Abel, 2001, "Will Bequests Attenuate The Predicted Meltdown In Stock Prices When Baby Boomers Retire?," The Review of Economics and Statistics, MIT Press, volume 83, issue 4, pages 589-595, November.
• Christian A.Johnson, 2001, "Value at risk: teoría y aplicaciones," Estudios de Economia, University of Chile, Department of Economics, volume 28, issue 2 Year 20, pages 217-247, December.
• Jose Tavares & Rossen Valkanov, 2001, "The neglected effect of fiscal policy on stock and bond returns," Nova SBE Working Paper Series, Universidade Nova de Lisboa, Nova School of Business and Economics, number wp413.