Research classified by Journal of Economic Literature (JEL) codes

2001

• Oehler, Andreas & Heilmann, Klaus & Läger, Volker, 2001, "Discovering the best: Informational efficiency and liquidity of alternative trading mechanisms in experimental asset markets," Discussion Papers, University of Bamberg, Chair of Finance, number 18.
• Franke, Günter & Weber, Martin, 2001, "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 01/08.
• Bohl, Martin T. & Siklos, Pierre L., 2001, "Dectecting speculative bubbles in stock prices: A new approach and some evidence for the US," Research Notes, Deutsche Bank Research, number 01-3.
• Erlenmaier, Ulrich & Gersbach, Hans, 2001, "Default probabilities and default correlations," Research Notes, Deutsche Bank Research, number 01-5.
• 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.
• Takashi Kamihigashi, 2001, "A Simple Proof of the Necessity of the Transversality Condition," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number 116, Jan.
• Peghe Braila & Claude Wampach, 2001, "Undiversifiable Returns in a CAPM Economy," Discussion Papers, University of Copenhagen. Department of Economics, number 01-08, Jul.
• Hans Dewachter & Kristien Smedts & Konstantijn Maes, 2001, "Monetary Unification and the Price of Risk: An Unconditional Analysis," International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics, number ces0201, Dec.
• Hans Dewachter & Kristien Smedts & Konstantijn Maes, 2001, "Do Exchange Rates Convert Prices of Risk Across Countries?," International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics, number wpie003, Nov.
• Hans Dewachter & Kristien Smedts & Konstantijn Maes, 2001, "Monetary Unification and the Price of Risk: An Unconditional Analysis," International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics, number wpie006, Dec.
• Panicos Demetriades & Bassam Fattouh & Kalvinder Shields, 2001, "Financial Liberalization and the Evolution of Banking and Financial Risks The Case of South Korea," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 01/1, Jan.
• Hong, Harrison & Rady, Sven, 2001, "Strategic Trading and Learning about Liquidity," Discussion Papers in Economics, University of Munich, Department of Economics, number 15, Jan.
• Rady, Sven & Ortalo-Magné, François, 2001, "Housing Market Dynamics," Discussion Papers in Economics, University of Munich, Department of Economics, number 20, Apr.
• Maurice J. Roche, 2001, "Fads versus fundamentals in farmland prices: comment," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1070301, Mar.
• Amalia Di Iorio & Robert Faff, 2001, "The Effect of Intervaling on the Foreign Exchange Exposure of Australian Stock Returns," Multinational Finance Journal, Multinational Finance Journal, volume 5, issue 1, pages 1-33, March.
• Cathy S. Goldberg & Francisco A. Delgado, 2001, "Financial Integration of Emerging Markets: An Analysis of Latin America Versus South Asia Using Individual Stocks," Multinational Finance Journal, Multinational Finance Journal, volume 5, issue 4, pages 259-301, December.
• Peter M. Garber, 2001, "Famous First Bubbles: The Fundamentals of Early Manias," MIT Press Books, The MIT Press, number 0262571536, edition 1, ISBN: ARRAY(0x72e13320), December.
• Sebastian Edwards & Edgardo Zablotsky, 2001, "Inter-American Seminar on Economics (IASE) 1999," NBER Books, National Bureau of Economic Research, Inc, number edwa01-1, January.
• Michael W. Brandt & Pedro Santa-Clara, 2001, "Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0274, Aug.
• Ellen R. McGrattan & Edward C. Prescott, 2001, "Is the Stock Market Overvalued?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8077, Jan.
• Kenneth A. Froot, 2001, "The Market for Catastrophe Risk: A Clinical Examination," NBER Working Papers, National Bureau of Economic Research, Inc, number 8110, Feb.
• Martin D. D. Evans, 2001, "FX Trading and Exchange Rate Dynamics," NBER Working Papers, National Bureau of Economic Research, Inc, number 8116, Feb.
• Andrew B. Abel, 2001, "Will Bequests Attenuate the Predicted Meltdown in Stock Prices When Baby Boomers Retire?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8131, Feb.
• Andrew B. Abel, 2001, "An Exploration of the Effects of Pessimism and Doubt on Asset Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 8132, Feb.
• Joseph Chen & Harrison Hong & Jeremy C. Stein, 2001, "Breadth of Ownership and Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 8151, Mar.
• Nicholas Barberis & Ming Huang, 2001, "Mental Accounting, Loss Aversion, and Individual Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 8190, Mar.
• John Y. Campbell & Robert J. Shiller, 2001, "Valuation Ratios and the Long-Run Stock Market Outlook: An Update," NBER Working Papers, National Bureau of Economic Research, Inc, number 8221, Apr.
• Tuomo Vuolteenaho, 2001, "What Drives Firm-Level Stock Returns?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8240, Apr.
• Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2001, "The Value Spread," NBER Working Papers, National Bureau of Economic Research, Inc, number 8242, Apr.
• Louis K.C. Chan & Jason Karceski & Josef Lakonishok, 2001, "The Level and Persistence of Growth Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 8282, May.
• Konan Chan & Louis K. C. Chan & Narasimhan Jegadeesh & Josef Lakonishok, 2001, "Earnings Quality and Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 8308, May.
• Martin D. D. Evans & Richard K. Lyons, 2001, "Portfolio Balance, Price Impact, and Secret Intervention," NBER Working Papers, National Bureau of Economic Research, Inc, number 8356, Jul.
• Fernando Alvarez & Urban J. Jermann, 2001, "The Size of the Permanent Component of Asset Pricing Kernels," NBER Working Papers, National Bureau of Economic Research, Inc, number 8360, Jul.
• Michael W. Brandt & John H. Cochrane & Pedro Santa-Clara, 2001, "International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)," NBER Working Papers, National Bureau of Economic Research, Inc, number 8404, Jul.
• Yacine Ait-Sahalia & Jonathan A. Parker & Motohiro Yogo, 2001, "Luxury Goods and the Equity Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 8417, Aug.
• G. William Schwert, 2001, "Stock Volatility in the New Millennium: How Wacky Is Nasdaq?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8436, Aug.
• Lubos Pastor & Robert F. Stambaugh, 2001, "Liquidity Risk and Expected Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 8462, Sep.
• William P. Killeen & Richard K. Lyons & Michael J. Moore, 2001, "Fixed versus Flexible: Lessons from EMS Order Flow," NBER Working Papers, National Bureau of Economic Research, Inc, number 8491, Sep.
• Yacine Ait-Sahalia, 2001, "Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion," NBER Working Papers, National Bureau of Economic Research, Inc, number 8504, Oct.
• Sebastian Edwards & Raul Susmel, 2001, "Volatility Dependence and Contagion in Emerging Equity Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 8506, Oct.
• Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001, "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 8510, Oct.
• Andrew W. Lo & Jiang Wang, 2001, "Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 8565, Oct.
• John Y. Campbell & Yeung Lewis Chan & Luis M. Viceira, 2001, "A Multivariate Model of Strategic Asset Allocation," NBER Working Papers, National Bureau of Economic Research, Inc, number 8566, Oct.
• Yeung Lewis Chan & Leonid Kogan, 2001, "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 8607, Nov.
• Leonid Kogan & Raman Uppal, 2001, "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," NBER Working Papers, National Bureau of Economic Research, Inc, number 8609, Nov.
• Ellen R. McGrattan & Edward C. Prescott, 2001, "The Stock Market Crash of 1929: Irving Fisher Was Right!," NBER Working Papers, National Bureau of Economic Research, Inc, number 8622, Dec.
• Ellen R. McGrattan & Edward C. Prescott, 2001, "Taxes, Regulations, and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 8623, Dec.
• Lee Pinkowitz & Rene M. Stulz & Rohan Williamson, 2001, "Corporate Governance and the Home Bias," NBER Working Papers, National Bureau of Economic Research, Inc, number 8680, Dec.
• Ole E. Barndorff-Nielsen & Neil Shephard, 2001, "Normal modified stable processes," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2001-W6, Jun.
• Takashi Kamihigashi, 2001, "Necessity of Transversality Conditions for Stochastic Problems," Department of Economics Working Papers, Stony Brook University, Department of Economics, number 01-02.
• Helmut Elsinger & Martin Summer, 2001, "Arbitrage and Optimal Portfolio Choice with Financial Constraints," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 49, Aug.
• Maurice J. Roche, 2001, "Fads versus Fundamentals in Farmland Prices: Comment," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, volume 83, issue 4, pages 1074-1077.
• Faig, Miquel, 2001, "Understanding Investment Irreversibility in General Equilibrium," Economic Inquiry, Western Economic Association International, volume 39, issue 4, pages 499-510, October.
• Paul A. Gompers & Andrew Metrick, 2001, "Institutional Investors and Equity Prices," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 116, issue 1, pages 229-259.
• Christian Gollier, 2001, "Wealth Inequality and Asset Pricing," The Review of Economic Studies, Review of Economic Studies Ltd, volume 68, issue 1, pages 181-203.
• 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.
• 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.
• Jenkinson, Tim & Bell, Leonie, 2001, "New Evidence of the Impact of Dividend Taxation and on the Identity of the Marginal Investor," CEPR Discussion Papers, Centre for Economic Policy Research, number 2946, Sep.
• Veronesi, Pietro, 2001, "Belief Dependent Utilities, Aversion to State-Uncertainty and Asset Prices," CEPR Discussion Papers, Centre for Economic Policy Research, number 2965, Sep.
• Timmermann, Allan & Guidolin, Massimo, 2001, "Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities," CEPR Discussion Papers, Centre for Economic Policy Research, number 3005, Oct.
• Rady, Sven & Ortalo-Magné, François, 2001, "Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints," CEPR Discussion Papers, Centre for Economic Policy Research, number 3015, Oct.
• Dahlquist, Magnus & Robertsson, Göran, 2001, "Foreigners Trading and Price Effects Across Firms," CEPR Discussion Papers, Centre for Economic Policy Research, number 3033, Oct.
• Dahlquist, Magnus & Bansal, Ravi, 2001, "Sovereign Risk and Return in Global Equity Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 3034, Oct.
• Miller, Marcus & Weller, Paul, 2001, "Moral Hazard and the US Stock Market: The Idea of a 'Greenspan Put'," CEPR Discussion Papers, Centre for Economic Policy Research, number 3041, Nov.
• Gromb, Denis & Vayanos, Dimitri, 2001, "Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs," CEPR Discussion Papers, Centre for Economic Policy Research, number 3049, Nov.
• Vassalou, Maria, 2001, "News Related to Future GDP Growth as a Risk Factor in Equity Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 3057, Nov.
• Vassalou, Maria & Li, Qing & Xing, Yuhang, 2001, "An Investment-Growth Asset Pricing Model," CEPR Discussion Papers, Centre for Economic Policy Research, number 3058, Nov.
• Perotti, Enrico & Rossetto, Silvia, 2001, "Strategic Advantage and the Optimal Exercise of Entry Options," CEPR Discussion Papers, Centre for Economic Policy Research, number 3061, Nov.
• Yaron, Amir & Storesletten, Kjetil & Telmer, Chris, 2001, "Asset Pricing with Idiosyncratic Risk and Overlapping Generations," CEPR Discussion Papers, Centre for Economic Policy Research, number 3065, Nov.
• Campbell, John Y & Viceira, Luis & Chan, Yeung Lewis, 2001, "A Multivariate Model of Strategic Asset Allocation," CEPR Discussion Papers, Centre for Economic Policy Research, number 3070, Nov.
• de Jong, Frank & de Roon, Frans, 2001, "Time-Varying Market Integration and Expected Returns in Emerging Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 3102, Dec.
• Lettau, Martin & Ludvigson, Sydney, 2001, "Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment," CEPR Discussion Papers, Centre for Economic Policy Research, number 3103, Dec.
• Lettau, Martin & Ludvigson, Sydney, 2001, "Measuring and Modelling Variation in the Risk-Return Trade-off," CEPR Discussion Papers, Centre for Economic Policy Research, number 3105, Dec.
• Dimitris Georgoutsos & George Kouretas, 2001, "Common Stochastic Trends In International Stock Markets: Testing In An Integrated Framework," Working Papers, University of Crete, Department of Economics, number 0104, Jun.
• Fabrizio Erbetta & Luca Agnello, 2001, "The martingales: theoretical and empirical characteristics," CERIS Working Paper, CNR-IRCrES Research Institute on Sustainable Economic Growth - Torino (TO) ITALY - former Institute for Economic Research on Firms and Growth - Moncalieri (TO) ITALY, number 200107, Dec.
• Zhiwu Chen, 2001, "Viable Costs and Equilibrium Prices in Frictional Securities Markets," Annals of Economics and Finance, Society for AEF, volume 2, issue 2, pages 297-323, November.
• Raymond Kan & Guofu Zhou, 2001, "Tests of Mean-Variance Spanning," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 539, Sep.
• John Y. Campbell & Robert J. Shiller, 2001, "Valuation Ratios and the Long-run Stock Market Outlook: An Update," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1295, Mar.
• Juan Dubra & Federico Echenique, 2001, "Measurability Is Not about Information," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1296, Mar.
• Jun Yu & Peter C.B. Phillips, 2001, "Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1309, Jul.
• LESHCHINSKII, Dima, 2001, "Does it pay to voluntarily disclose private information?," HEC Research Papers Series, HEC Paris, number 734, Jun.
• Barros Luís, Jorge & Cassola, Nuno, 2001, "A two-factor model of the German term structure of interest rates," Working Paper Series, European Central Bank, number 46, Mar.
• Brandt, Michael W. & Cochrane, John H. & Santa-Clara, Pedro, 2001, "International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 01-2, Jul.
• Alvarez, Fernando & Jermann, Urban J., 2001, "The Size of the Permanent Component of Asset Pricing Kernels," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 01-4, Nov.
• Edwards, Sebastian & Susmel, Raul, 2001, "Volatility dependence and contagion in emerging equity markets," Journal of Development Economics, Elsevier, volume 66, issue 2, pages 505-532, December.
• Collard, Fabrice & Juillard, Michel, 2001, "Accuracy of stochastic perturbation methods: The case of asset pricing models," Journal of Economic Dynamics and Control, Elsevier, volume 25, issue 6-7, pages 979-999, June.
• Linton, Oliver & Mammen, Enno & Nielsen, Jans Perch & Tanggaard, Carsten, 2001, "Yield curve estimation by kernel smoothing methods," Journal of Econometrics, Elsevier, volume 105, issue 1, pages 185-223, November.
• Fornari, Fabio & Mele, Antonio, 2001, "Recovering the probability density function of asset prices using garch as diffusion approximations," Journal of Empirical Finance, Elsevier, volume 8, issue 1, pages 83-110, March.
• Houweling, Patrick & Hoek, Jaap & Kleibergen, Frank, 2001, "The joint estimation of term structures and credit spreads," Journal of Empirical Finance, Elsevier, volume 8, issue 3, pages 297-323, July.
• Campbell, John Y., 2001, "Why long horizons? A study of power against persistent alternatives," Journal of Empirical Finance, Elsevier, volume 8, issue 5, pages 459-491, December.
• Cherian, Joseph A. & Perotti, Enrico, 2001, "Option pricing and foreign investment under political risk," Journal of International Economics, Elsevier, volume 55, issue 2, pages 359-377, December.
• 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.

2000

• William A. Barnett & Yi Liu, 2000, "Beyond the Risk-neutral Utility Function," Palgrave Macmillan Books, Palgrave Macmillan, chapter 1, in: Michael T. Belongia & Jane M. Binner, "Divisia Monetary Aggregates", DOI: 10.1057/9780230288232_2.
• Ayub, Mehar, 2000, "Stock market consequences of macro economic fundamentals," MPRA Paper, University Library of Munich, Germany, number 442, revised 2001.
• Magni, Carlo Alberto, 2000, "Systemic Value Added, Residual Income and Decomposition of a Cash Flow Stream," MPRA Paper, University Library of Munich, Germany, number 5900, Jul.
• Magni, Carlo Alberto, 2000, "Decomposition of a Certain Cash Flow Stream: Differential Systemic Value and Net Final Value," MPRA Paper, University Library of Munich, Germany, number 7308, May.
• Magni, Carlo Alberto, 2000, "Irr, Roe and Npv: Formal and Conceptual Convergences in a Systemic Approach," MPRA Paper, University Library of Munich, Germany, number 7600, Dec.
• Magni, Carlo Alberto, 2000, "Scomposizione di sovraprofitti: Economic Value Added e Valore Aggiunto Sistemico
  [Excess-profit decomposition: Economic Value Added and Systemic Value Added]," MPRA Paper, University Library of Munich, Germany, number 8935.
• Kyriakos Chourdakis & Elias Tzavalis, 2000, "Option Pricing with a Dividend General Equilibrium Model," Working Papers, Queen Mary University of London, School of Economics and Finance, number 425, Nov.
• Kyriakos Chourdakis, 2000, "Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains," Working Papers, Queen Mary University of London, School of Economics and Finance, number 430, Dec.
• Joelle Miffre, 2000, "The Abnormal Performance of Bond Returns," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2000-03.
• Kais Dachraoui & Georges Dionne, 2000, "Optimal financial portfolio and dependence of risky assets," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 00-12, Dec.
• Daekeun Park, 2000, "In Search for a Measure of Currency Misalignment: the Case of the 1997 Asian Currency Crisis," East Asian Economic Review, Korea Institute for International Economic Policy, volume 4, issue 1, pages 33-61, DOI: 10.11644/KIEP.JEAI.2000.4.1.59.
• Tae-Joon Kim & Jai-Won Ryou, 2000, "The IMF's High Interest Rate Policy and Its Effects on the Stabilization of the Korean Won," East Asian Economic Review, Korea Institute for International Economic Policy, volume 4, issue 1, pages 137-168, DOI: 10.11644/KIEP.JEAI.2000.4.1.62.
• Yousif Khalifa Al-Yousif, 2000, "Financial Markets: An Islamic Perspective," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 53, issue 3, pages 277-298.
• Zengjing Chen & Larry G. Epstein, 2000, "Ambiguity, risk and asset returns in continuous time," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 474, Jul.
• Karl Schmedders, 2000, "Monopolistic Security Design In Finance Economies," Computing in Economics and Finance 2000, Society for Computational Economics, number 129, Jul.
• Eva Carceles, 2000, "Asset Prices And Business Cycles Under Market Incompleteness," Computing in Economics and Finance 2000, Society for Computational Economics, number 364, Jul.
• Quan-Hoang Vuong, 2000, "The Vietnamese Corporate Bond Market An Early Exploration into the 1992-1999 Period," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 00-001.RS.
• Takashi Kamihigashi, 2000, "Necessity of Transversality Conditions for Stochastic Problems," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number 115, Nov.
• Saphores, Jean-Daniel & Khalaf, Lynda & Pelletier, Denis, 2000, "On Jumps and Arch Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests," Cahiers de recherche, Université Laval - Département d'économique, number 0003.
• Saphores, Jean-Daniel & Khalaf, Lynda & Pelletier, Denis, 2000, "On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests," Cahiers de recherche, GREEN, number 0003.