Research classified by Journal of Economic Literature (JEL) codes

0

• Mordecai Kurz, , "Endogenous Uncertainty: A Unified View of Market Volatility," Working Papers, Stanford University, Department of Economics, number 97027.
• Mordecai Kurz, , "Endogenous Uncertainty: A Unified View of Market Volatility," Working Papers, Stanford University, Department of Economics, number 98013.
• Mordecai Kurz & Maurizio Motolese, , "Endogenous Uncertainty and Market Volatility," Working Papers, Stanford University, Department of Economics, number 99005.
• Blake LeBaron, , "Experiments in Evolutionary Finance," Working papers, University of Wisconsin - Madison, number _001.
• Kirchler, Erich & Maciejovsky, Boris & Weber, Martin, 0000, "Framing Effects on Asset Markets - An Experimental Analysis -," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 01-09, 00.
• Peter N Smith & Michael R Wickens, , "Asset Pricing with Observable Stochastic Discount Factors," Discussion Papers, Department of Economics, University of York, number 02/03.
• P N Smith & S Sorensen & M R Wickens, , "Macroeconomic Sources of Equity Risk," Discussion Papers, Department of Economics, University of York, number 03/13.
• P N Smith & S Sorensen & M R Wickens, , "An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors," Discussion Papers, Department of Economics, University of York, number 03/14.
• Peter D Spencer, , "Coupon Bond Valuation with a Non-Affine Discount Yield Model," Discussion Papers, Department of Economics, University of York, number 03/16.
• Peter Spencer & Zhuoshi Liu, , "An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK," Discussion Papers, Department of Economics, University of York, number 09/16.
• Pongrapeeporn Abhakorn & Peter N. Smith & Michael R. Wickens, , "A Cross Section of Equity Returns: The No-Arbitrage Test," Discussion Papers, Department of Economics, University of York, number 11/23.
• Pongrapeeporn Abhakorn & Peter N. Smith & Michael R. Wickens, , "Consumption, Size and Book-to-Market Ratio in Equity Returns," Discussion Papers, Department of Economics, University of York, number 11/24.
• Ralf Becker & Urs Fischbacher & Thorsten Hens, , "Soft Landing of a Stock Market Bubble, An Experimental Study," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 090.
• Anke Gerber & Thorsten Hens & Bodo Vogt, , "Coordination in a Repeated Stochastic Game with Imperfect Monitoring," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 126.
• Haim Levy & Enrico De Giorgi & Thorsten Hens, , "Prospect Theory and the CAPM: A contradiction or coexistence?," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 157.
• Haim Levy & Enrico De Giorgi & Thorsten Hens, , "Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 161.
• Thorsten Hens & P. Jean-Jacques Herings & Arkadi Predtetchinskii, , "Limits to Arbitrage when Market Participation Is Restricted," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 176.
• Patrick Leoni, , "When Are Market Crashes Driven by Speculation?," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 197.
• Pierre Monnin, , "Are stock markets really like beauty contests? Empirical evidence of higher order belief's impact on asset prices," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 202.
• Patrick Leoni, , "Market Power, Survival and Accuracy of Predictions in Financial Markets," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 216.
• Stefan Reimann, , "On the distribution of stock-market returns - Implications of Evolutionary Finance," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 232.
• Francesco Audrino & Enrico De Giorgi, , "Beta Regimes for the Yield Curve," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 244.
• Chiara PERONI, 2010, "Testing Linearity in Term Structures," EcoMod2010, EcoMod, number 259600130, May.
• Dayong Zhang & David Dickinson & Marco R. Barassi, 2006, "Structural Breaks, Cointegration and the B Share Discount in Chinese Stock Market," EcoMod2006, EcoMod, number 272100108, Jun.
• Marco GALLEGATI, 2001, "A Wavelet Analysis of MENA stock markets," Middle East and North Africa, EcoMod, number 330400031, Jan.
• Andrei SEMENOV, 2010, "Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation," EcoMod2004, EcoMod, number 330600126, Jan.
• Andrei SEMENOV, 2010, "High-Order Consumption Moments and Asset Pricing," EcoMod2004, EcoMod, number 330600127, Jan.

None

• David Arnold, 2019, "The Impact of Privatization of State-Owned Enterprises on Workers," Working Papers, Princeton University, Department of Economics, Industrial Relations Section., number 625, Feb.
• Burkhard Heer & Alfred Maussner & Bernd Suessmuth, 2018, "Cyclical Asset Returns in the Consumption and Investment Goods Sector," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 28, pages 51-70, April, DOI: 10.1016/j.red.2017.07.008.
• Robert Barro & Tao Jin, 2021, "Rare Events and Long-Run Risks," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 39, pages 1-25, January, DOI: 10.1016/j.red.2020.08.002.
• Feng Dong & Jianjun Miao & Pengfei Wang, 2020, "Asset Bubbles and Monetary Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 37, pages 68-98, August, DOI: 10.1016/j.red.2020.06.003.
• Greg Howard & Jack Liebersohn, 2023, "Regional Divergence and House Prices," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 49, pages 312-350, July, DOI: 10.1016/j.red.2022.10.002.
• Robert Barro, 2023, "r Minus g," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 48, pages 1-17, April, DOI: 10.1016/j.red.2022.10.001.
• Athanasios Geromichalos & Lucas Herrenbrueck & Sukjoon Lee, 2023, "The Strategic Determination of the Supply of Liquid Assets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 49, pages 1-36, July, DOI: 10.1016/j.red.2022.08.003.
• John Cotter & Jim Hanly, None, "Hedging: scaling and the investor horizon," Journal of Risk, Journal of Risk.
• Burkhard Raunig & Martin Scheicher, None, "A value-at-risk analysis of credit default swaps," Journal of Risk, Journal of Risk.
• Peter Christoffersen & Sílvia Gonçalves, None, "Estimation risk in financial risk management," Journal of Risk, Journal of Risk.
• Arabinda Basistha & Alexander Kurov & Marketa Halova Wolfe, None, "Volatility forecasting: the role of internet search activity and implied volatility," Journal of Risk Model Validation, Journal of Risk Model Validation.
• Pavel Ciaian & d’Artis Kancs & Miroslava Rajcaniova, None, "The price of Bitcoin: GARCH evidence from high-frequency data," Journal of Investment Strategies, Journal of Investment Strategies.
• Guglielmo Maria Caporale & Alex Plastun, None, "Abnormal returns and stock price movements: some evidence from developed and emerging markets," Journal of Investment Strategies, Journal of Investment Strategies.
• Victor Olkhov, None, "The econophysics of asset prices, returns and multiple expectations," Journal of Network Theory in Finance, Journal of Network Theory in Finance.
• L. Umamaheswari et. al, , "Should Shrimp Farmers Pay Paddy Farmers? The Challenges of Examining Salinisation Externalities in South India," Working papers, The South Asian Network for Development and Environmental Economics, number 41.
• Ratna Kumar Jha & Adhrit Regmi, , "Productivity of Pesticides in Vegetable Farming in Nepal," Working papers, The South Asian Network for Development and Environmental Economics, number 43.
• Odlyzko Andrew, 2010, "This Time Is Different: An Example of a Giant, Wildly Speculative, and Successful Investment Mania," The B.E. Journal of Economic Analysis & Policy, De Gruyter, volume 10, issue 1, pages 1-28, July, DOI: 10.2202/1935-1682.2584.
• Friedberg Leora & Webb Anthony, 2007, "Life Is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk," The B.E. Journal of Economic Analysis & Policy, De Gruyter, volume 7, issue 1, pages 1-33, July, DOI: 10.2202/1935-1682.1785.
• De Santis Massimiliano, 2010, "Demystifying the Equity Premium," The B.E. Journal of Macroeconomics, De Gruyter, volume 10, issue 1, pages 1-33, May, DOI: 10.2202/1935-1690.1930.
• Walentin Karl, 2010, "Earnings Inequality and the Equity Premium," The B.E. Journal of Macroeconomics, De Gruyter, volume 10, issue 1, pages 1-23, November, DOI: 10.2202/1935-1690.1939.
• Challe Edouard & Ragot Xavier, 2011, "Bubbles and Self-Fulfilling Crises," The B.E. Journal of Macroeconomics, De Gruyter, volume 11, issue 1, pages 1-38, May, DOI: 10.2202/1935-1690.2064.
• Luo Yulei & Young Eric R, 2009, "Rational Inattention and Aggregate Fluctuations," The B.E. Journal of Macroeconomics, De Gruyter, volume 9, issue 1, pages 1-43, April, DOI: 10.2202/1935-1690.1700.
• Craine Roger & Martin Vance L, 2009, "Interest Rate Conundrum," The B.E. Journal of Macroeconomics, De Gruyter, volume 9, issue 1, pages 1-29, March, DOI: 10.2202/1935-1690.1819.
• Kiley Michael T., 2003, "An Analytical Approach to the Welfare Cost of Business Cycles and the Benefit from Activist Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, volume 3, issue 1, pages 1-26, March, DOI: 10.2202/1534-6005.1089.
• Kimura Takeshi & Small David H., 2006, "Quantitative Monetary Easing and Risk in Financial Asset Markets," The B.E. Journal of Macroeconomics, De Gruyter, volume 6, issue 1, pages 1-54, March, DOI: 10.2202/1534-5998.1274.
• Zhang Qiang, 2006, "The Spirit of Capitalism and Asset Pricing: An Empirical Investigation," The B.E. Journal of Macroeconomics, De Gruyter, volume 6, issue 3, pages 1-25, November, DOI: 10.2202/1534-5998.1418.
• Cvitanic Jaksa & Malamud Semyon, 2010, "Relative Extinction of Heterogeneous Agents," The B.E. Journal of Theoretical Economics, De Gruyter, volume 10, issue 1, pages 1-23, February, DOI: 10.2202/1935-1704.1605.
• Angrisani Marco & Guarino Antonio & Huck Steffen & Larson Nathan C, 2011, "No-Trade in the Laboratory," The B.E. Journal of Theoretical Economics, De Gruyter, volume 11, issue 1, pages 1-58, April, DOI: 10.2202/1935-1704.1745.
• Hansen Frank, 2007, "Decreasing Relative Risk Premium," The B.E. Journal of Theoretical Economics, De Gruyter, volume 7, issue 1, pages 1-31, October, DOI: 10.2202/1935-1704.1370.
• Miyazaki Kenji & Saito Makoto, 2009, "Risk Premiums versus Waiting-Options Premiums: A Simple Numerical Example," The B.E. Journal of Theoretical Economics, De Gruyter, volume 9, issue 1, pages 1-31, March, DOI: 10.2202/1935-1704.1326.
• Rodríguez Longarela Iñaki, 2003, "A Simple Linear Programming Approach to Gain, Loss and Asset Pricing," The B.E. Journal of Theoretical Economics, De Gruyter, volume 2, issue 1, pages 1-10, January, DOI: 10.2202/1534-598X.1064.
• Gunderson James E, 2006, "Nonrevealing Equilibria and Consumption-Based Asset Pricing Models," The B.E. Journal of Theoretical Economics, De Gruyter, volume 6, issue 1, pages 1-19, December, DOI: 10.2202/1534-598X.1335.
• Trifi Amine, 2006, "Issues of Aggregation Over Time of Conditional Heteroscedastic Volatility Models: What Kind of Diffusion Do We Recover?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 4, pages 1-26, December, DOI: 10.2202/1558-3708.1314.
• Lee Jin, 2007, "Fractionally Integrated Long Horizon Regressions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 1, pages 1-20, March, DOI: 10.2202/1558-3708.1337.
• Kiliç Rehim, 2007, "Conditional Volatility and Distribution of Exchange Rates: GARCH and FIGARCH Models with NIG Distribution," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 3, pages 1-33, September, DOI: 10.2202/1558-3708.1430.
• De Santis Massimiliano, 2007, "Movements in the Equity Premium: Evidence from a Time-Varying VAR," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 4, pages 1-41, December, DOI: 10.2202/1558-3708.1523.
• Driffill John & Kenc Turalay & Sola Martin & Spagnolo Fabio, 2009, "The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 1, pages 1-24, March, DOI: 10.2202/1558-3708.1490.
• Choi Seungmoon, 2009, "Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 1, pages 1-41, March, DOI: 10.2202/1558-3708.1614.
• Peroni Chiara, 2009, "A Non-Parametric Investigation of Risk Premia," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 4, pages 1-52, September, DOI: 10.2202/1558-3708.1617.
• Dueker Michael J. & Psaradakis Zacharias & Sola Martin & Spagnolo Fabio, 2011, "Contemporaneous-Threshold Smooth Transition GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 2, pages 1-25, March, DOI: 10.2202/1558-3708.1755.
• Anufriev Mikhail & Bottazzi Giulio, 2012, "Asset Pricing with Heterogeneous Investment Horizons," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 4, pages 1-38, October, DOI: 10.1515/1558-3708.1903.
• Kim Sangbae & In Francis Haeuck, 2003, "The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 7, issue 4, pages 1-18, December, DOI: 10.2202/1558-3708.1183.
• Kelly David L. & Steigerwald Douglas G, 2004, "Private Information and High-Frequency Stochastic Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 1, pages 1-30, March, DOI: 10.2202/1558-3708.1167.
• Bhar Ramaprasad & Chiarella Carl & Runggaldier Wolfgang J., 2004, "Inferring the Forward Looking Equity Risk Premium from Derivative Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 1, pages 1-26, March, DOI: 10.2202/1558-3708.1141.
• Ales Bulir & Jan Vlcek, 2019, "Monetary Policy Is Not Always Systematic and Data-Driven: Evidence from the Yield Curve," Working Papers, Czech National Bank, Research and Statistics Department, number 2019/3, Sep.
• C.J.M. Kool, 2006, "An Analysis of Financial Stability Indicators in European Banking: The Role of Common Factors," Working Papers, Utrecht School of Economics, number 06-12, Dec.
• C.J.M. Kool, 2006, "Financial Stability in European Banking: The Role of Common Factors," Working Papers, Utrecht School of Economics, number 06-13, Jun.
• M. Hadzi-Vaskov & C.J.M. Kool, 2007, "Stochastic Discount Factor Approach to International Risk-Sharing: Evidence from Fixed Exchange Rate Episodes," Working Papers, Utrecht School of Economics, number 07-33.
• M. Hadzi-Vaskov & C.J.M. Kool, 2007, "Stochastic Discount Factor Approach to International Risk-Sharing:A Robustness Check of the Bilateral Setting," Working Papers, Utrecht School of Economics, number 07-34.
• M.I. Droes & W.H.J. Hassink, 2009, "Sale Price Expectations and Mortgage Commitment: Inaccuracy versus Price Setting Behaviour," Working Papers, Utrecht School of Economics, number 09-24, Sep.
• L. Spierdijk & J.A. Bikker, 2012, "Mean Reversion in Stock Prices: Implications for Long-Term Investors," Working Papers, Utrecht School of Economics, number 12-07.