Research classified by Journal of Economic Literature (JEL) codes

2001

• 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.
• José Penalva, 2001, "Insuring California earthquakes and the role for catastrophe bonds," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 527, Jan.
• Giovanni Cespa, 2001, "A comparison of stock market mechanisms," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 545, May, revised Nov 2003.
• Juan-Pedro Gómez & Fernando Zapatero, 2001, "Asset pricing implications of benchmarking: A two-factor CAPM," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 693, Jul.
• Mark Aguiar & Fernando Broner, 2001, "Determining underlying macroeconomic fundamentals during emerging market crises: Are conditions as bad as they seem?," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 863, Aug, revised Aug 2004.
• Ralf Becker & Walter Enders & A. Stan Hurn, 2001, "Testing for Time Dependence in Parameters," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 58, Jun.
• David Heath & Eckhard Platen, 2001, "Perfect Hedging of Index Derivatives Under a Locally Arbitrage Free Minimal Market Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 61, Jun.
• Angela Black & Patricia Fraser & Nicolaas Groenewold, 2001, "US Stock Prices and Macroeconomic Fundamentals," Economics Discussion / Working Papers, The University of Western Australia, Department of Economics, number 01-08.
• Angela Black & Patricia Fraser & Nicolaas Groenewold, 2001, "How Big is the Speculative Component in Australian Share Prices?," Economics Discussion / Working Papers, The University of Western Australia, Department of Economics, number 01-14.
• Gregory W. Huffman, 2001, "Do Values of Existing Home Sales Reflect Property Values?," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0122, Sep.
• Norbert Jobst & Stavros A. Zenios, 2001, "Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 01-25, Jul.
• William A. Barnett, 2001, "Fellow's Opinion: Tastes and Technology, Curvature is not Sufficient for Regularity," Econometrics, University Library of Munich, Germany, number 0110007, Oct.
• William A. Barnett & Meenakshi Pasupathy, 2001, "Regularity Of The Generalized Quadratic Production Model: A Counterexample," Econometrics, University Library of Munich, Germany, number 0112001, Dec.
• Jan Hanousek & Libor Nemecek, 2001, "Mispricing and Lasting Arbitrage between Parallel Markets in the Czech Republic," Finance, University Library of Munich, Germany, number 0012007, Feb.
• George Vachadze, 2001, "A Short-Horizon Model of Asset Pricing: Equilibrium Analysis," Finance, University Library of Munich, Germany, number 0012008, Feb.
• George Vachadze, 2001, "A Temporary Equilibrium Model of Asset Pricing," Finance, University Library of Munich, Germany, number 0012009, Feb.
• Jiri Hoogland & Dimitri Neumann, 2001, "Asians and cash dividends: Exploiting symmetries in pricing theory," Finance, University Library of Munich, Germany, number 0105002, May.
• Jiri Hoogland & Dimitri Neumann, 2001, "Tradable Schemes," Finance, University Library of Munich, Germany, number 0105003, May.
• Author Miloslav, 2001, "Bifurcation Routes in Financial Markets," Finance, University Library of Munich, Germany, number 0109001, Sep.
• Patrick Houweling & Ton Vorst, 2001, "An Empirical Comparison of Default Swap Pricing Models," Finance, University Library of Munich, Germany, number 0112003, Dec.
• E. W. Piotrowski & J. Sladkowski, 2001, "Quantum Market Games," Game Theory and Information, University Library of Munich, Germany, number 0103003, Apr.
• P.J.J. Herings & F. Kubler, 2001, "Computing Equilibria in Finance Economies," GE, Growth, Math methods, University Library of Munich, Germany, number 0205003, Oct.
• Philippe Martin & H=E9l=E8ne Rey=, 2001, "Financial Super-Markets: Size Matters for Asset Trade," International Finance, University Library of Munich, Germany, number 0012001, Feb.
• 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.
• Robert J. Shiller & Stefano Athanasoulis, 2001, "The Significance of the Market Portfolio," Yale School of Management Working Papers, Yale School of Management, number ysm133, Mar.
• Zhiwu Chen & Ming Dong, 2001, "Stock Valuation and Investment Strategies," Yale School of Management Working Papers, Yale School of Management, number ysm212, Jul, revised 01 Oct 2001.
• Deen Kemsley, 2001, "Dividend Tax Capitalization: Clarifications and Responses to Recent Challenges," Yale School of Management Working Papers, Yale School of Management, number ysm216, Aug.
• Matthew I. Spiegel & Harry Mamaysky, 2001, "A Theory of Mutual Funds: Optimal Fund Objectives and Industry Organization," Yale School of Management Working Papers, Yale School of Management, number ysm219, Sep.
• Jack Clark Francis & Roger G. Ibbotson, 2001, "Empirical Risk-Return Analysis of Real Estate Investments in the U.S., 1972-1999," Yale School of Management Working Papers, Yale School of Management, number ysm235, Oct.
• Alok Kumar & William N. Goetzmann, 2001, "Equity Portfolio Diversification," Yale School of Management Working Papers, Yale School of Management, number ysm236, Oct.
• Bing NMI1 Han & Mark Grinblatt, 2001, "The Disposition Effect and Momentum," Yale School of Management Working Papers, Yale School of Management, number ysm239, Nov.
• Deen Kemsley & Doron Nissim, 2001, "Valuation of the Debt-Tax Shield," Yale School of Management Working Papers, Yale School of Management, number ysm249, Dec.
• 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.
• 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.
• Robert E. Hall, 2001, "Struggling to Understand the Stock Market," American Economic Review, American Economic Association, volume 91, issue 2, pages 1-11, May.
• Robert S. Chirinko & Huntley Schaller, 2001, "Business Fixed Investment and "Bubbles": The Japanese Case," American Economic Review, American Economic Association, volume 91, issue 3, pages 663-680, June.
• Robert E. Hall, 2001, "The Stock Market and Capital Accumulation," American Economic Review, American Economic Association, volume 91, issue 5, pages 1185-1202, December.
• Bart Hobijn & Boyan Jovanovic, 2001, "The Information-Technology Revolution and the Stock Market: Evidence," American Economic Review, American Economic Association, volume 91, issue 5, pages 1203-1220, December.
• Frank Niehaus, 2001, "The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model," CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 2A.2, Jan.
• Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2001, "Evolutionary Dynamics in Financial Markets With Many Trader Types," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 01-01.
• DE CEUSTER, Marc & ANNAERT, Jan & HODSGON, Allan, 2001, "Moment condition failure Australian evidence," Working Papers, University of Antwerp, Faculty of Business and Economics, number 2001010, Apr.
• Brock,W.A. & Hommes,C.H., 2001, "Evolutionary dynamics in financial markets with many trader types," Working papers, Wisconsin Madison - Social Systems, number 7.
• Fabio Panetta, 2001, "The Stability of the Relation between the Stock Market and Macroeconomic Forces," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 393, Feb.
• Fabio Fornari & Antonio Mele, 2001, "Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 396, Feb.
• Fabio Fornari & Antonio Mele, 2001, "A Simple Approach to the Estimation of Continuous Time CEV Stochastic Volatility Models of the Short-Term Rate," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 397, Feb.
• Giuseppe Grande & Luigi Ventura, 2001, "Labor Income and Risky Assets under Market Incompleteness: Evidence from Italian Data," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 399, Mar.
• Francisco Alonso & Roberto Blanco & Ana del Río & Alicia Sanchís, 2001, "Estimating liquidity premia in the Spanish Government securities market," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "Market liquidity: proceedings of a workshop held at the BIS".
• Claudio Borio & Haibin Zhu, 2008, "Capital regulation, risk-taking and monetary policy: a missing link in the transmission mechanism?," BIS Working Papers, Bank for International Settlements, number 268, Dec.
• Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2011, "Currency Momentum Strategies," BIS Working Papers, Bank for International Settlements, number 366, Dec.
• Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012, "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," BIS Working Papers, Bank for International Settlements, number 374, Mar.
• Abraham Lioui & Patrice Poncet, 2001, "Dynamic Asset Pricing With Non-Redundant Forwards," Working Papers, Bar-Ilan University, Department of Economics, number 2001-10, May.
• Abraham Lioui & Patrice Poncet, 2001, "General Equilibrium Pricing of Trading Strategy Risk," Working Papers, Bar-Ilan University, Department of Economics, number 2001-13, Jul.
• James M. Poterba & Scott J. Weisbenner, 2001, "Capital Gains Tax Rules, Tax‐loss Trading, and Turn‐of‐the‐year Returns," Journal of Finance, American Finance Association, volume 56, issue 1, pages 353-368, February, DOI: 10.1111/0022-1082.00328.
• Yacine AÏT‐SAHALI & Michael W. Brandt, 2001, "Variable Selection for Portfolio Choice," Journal of Finance, American Finance Association, volume 56, issue 4, pages 1297-1351, August, DOI: 10.1111/0022-1082.00369.
• David Hirshleifer, 2001, "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, volume 56, issue 4, pages 1533-1597, August, DOI: 10.1111/0022-1082.00379.
• Bengt Holmström & Jean Tirole, 2001, "LAPM: A Liquidity‐Based Asset Pricing Model," Journal of Finance, American Finance Association, volume 56, issue 5, pages 1837-1867, October, DOI: 10.1111/0022-1082.00391.
• Dubra Juan & Echenique Federico, 2001, "Monotone Preferences over Information," The B.E. Journal of Theoretical Economics, De Gruyter, volume 1, issue 1, pages 1-18, December, DOI: 10.2202/1534-598X.1033.
• Robert Kast & André Lapied & Sophie Pardo & Camelia Protopopescu, 2001, "Évaluation de risques controversés par la théorie des options réelles," Economie & Prévision, La Documentation Française, volume 149, issue 3, pages 51-63.
• Lewin, R.A. & Satchell, S.E., 2001, "The Derivation of a New Model of Equity Duration," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0104, May.
• M. Pitsillis & S. Satchell, 2001, "Improving the Estimates of the Risk Premia - Application in the UK Financial Market," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0109, Jul.
• Brandt, Michael & Cochrane, John & Santa-Clara, Pedro, 2001, "International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth!," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt1jw137zd, Jul.
• Grinblatt, Mark & Han, Bing, 2001, "The Disposition Effect and Momentum," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt6qg5d62p, Oct.
• Kelly, David & LeRoy, Stephen F., 2001, "Liquidity and Liquidation," University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara, number qt4fq7n6pj, Dec.
• Raúl Susmel & Madhu Kalimipalli, 2001, "Regime-Switching Stochastic Volatility and Short-Term Interest Rates," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 197, May.
• S. Brock Blomberg, 2001, ""Dumb And Dumber" Explanations For Exchange Rate Dynamics," Journal of Applied Economics, Universidad del CEMA, volume 4, pages 187-216, November.
• Sven Rady & François Ortalo-Magné, 2001, "Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints," CESifo Working Paper Series, CESifo, number 470.
• Steven A. Block & Paul M. Vaaler, 2001, "The Price of Democracy: Sovereign Risk Ratings, Bond Spreads and Political Business Cycles in Developing Countries," CID Working Papers, Center for International Development at Harvard University, number 82, Dec.
• Kris Jacobs, 2001, "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers, CIRANO, number 2001s-12, Feb.
• Jin-Chuan Duan & Kris Jacobs, 2001, "Short and Long Memory in Equilibrium Interest Rate Dynamics," CIRANO Working Papers, CIRANO, number 2001s-22, Mar.
• Peter Christoffersen & Kris Jacobs, 2001, "The Importance of the Loss Function in Option Pricing," CIRANO Working Papers, CIRANO, number 2001s-45, Jul.
• Ignacio Velez-Pareja, 2001, "Economic Value Measurement: Investment Recovery and Value Added - IRVA," Proyecciones Financieras y Valoración, Master Consultores, number 2404, Feb.
• Ignacio V√©lez Pareja, 2001, "Calculating Betas (C√°lculo De Betas. In Spanish)," Proyecciones Financieras y Valoración, Master Consultores, number 8084, Feb.
• Ignacio V√©lez Pareja, 2001, "Calculating Betas," Proyecciones Financieras y Valoración, Master Consultores, number 8085, Feb.
• Ashley Winston, 2001, "Developing a Cost of Capital Module for Computable General Equilibrium Modelling," Centre of Policy Studies/IMPACT Centre Working Papers, Victoria University, Centre of Policy Studies/IMPACT Centre, number op-96, Dec.
• 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.
• 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.
• 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.
• 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.

2000

• Jérôme Detemple & Carlton Osakwe, 2000, "The Valuation of Volatility Options," Review of Finance, European Finance Association, volume 4, issue 1, pages 21-50.
• Nicolas Clerc & Rajna Gibson, 2000, "Do Newly Listed Derivatives Affect the Market Risk Premium in a Thin Stock Market?," Review of Finance, European Finance Association, volume 4, issue 2, pages 97-127.
• Lo, Andrew W & Wang, Jiang, 2000, "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," The Review of Financial Studies, Society for Financial Studies, volume 13, issue 2, pages 257-300.
• Athanasoulis, Stefano G & Shiller, Robert J, 2000, "The Significance of the Market Portfolio," The Review of Financial Studies, Society for Financial Studies, volume 13, issue 2, pages 301-329.
• Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 2000, "Do Call Prices and the Underlying Stock Always Move in the Same Direction?," The Review of Financial Studies, Society for Financial Studies, volume 13, issue 3, pages 549-584.