Research classified by Journal of Economic Literature (JEL) codes

2016

• Andreas Neuhierl & Michael Weber & Michael Weber, 2016, "Monetary Policy and the Stock Market: Time-Series Evidence," CESifo Working Paper Series, CESifo, number 6199.
• Sven Steinkamp & Frank Westermann, 2016, "Multilateral Loans and Interest Rates: Further Evidence on the Seniority Conundrum," CESifo Working Paper Series, CESifo, number 6225.
• M. Hashem Pesaran & Ida Johnsson, 2016, "Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes," CESifo Working Paper Series, CESifo, number 6272.
• Giovanni Cespa & Xavier Vives, 2016, "Market Transparency and Fragility," CESifo Working Paper Series, CESifo, number 6279.
• Nadjeschda Katharina Arnold, 2016, "The Sovereign Default Problem in the Eurozone - Why Limited Liability Resulted in Excessive Debt Accumulation and How Insurance Can Counteract," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 66, April.
• Shin-ichi Fukuda & Mariko Tanaka, 2016, "Monetary Policy and Covered Interest Parity in the Post GFC Period: Evidence from Australian Dollar and the NZ Dollar," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-401, Nov.
• Gabor Pinter, 2016, "The Macroeconomic Shock with the Highest Price of Risk," Discussion Papers, Centre for Macroeconomics (CFM), number 1623, Aug, revised Apr 2017.
• Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016, "Beliefs Aggregation and Return Predictability," Working Papers, Center for Economic and Financial Research (CEFIR), number w0231, Aug.
• Kyoung-hun Bae & Albert S. Kyle & Eun Jung Lee & Anna Obizhaeva, 2016, "Invariance of buy-sell switching points," Working Papers, Center for Economic and Financial Research (CEFIR), number w0232, Oct.
• Robin Greenwood & Samuel G. Hanson & Dimitri Vayanos, 2016, "Forward Guidance in the Yield Curve: Short Rates versus Bond Supply," Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile, chapter 2, in: Elías Albagli & Diego Saravia & Michael Woodford, "Monetary Policy through Asset Markets: Lessons from Unconventional Measures and Implications for an Integrated World".
• Paul Schneider, 2015, "An Anatomy of the Equity Premium," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-61, Dec.
• Steven C. BOURASSA & Martin HOESLI & Elias OIKARINEN, 2016, "Measuring House Price Bubbles," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-01, Jan.
• Martin HERDEGEN & Martin SCHWEIZER, 2016, "Economically Consistent Valuations and Put-Call Parity," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-02, Jan.
• Markus Leippold & Steven Schaerer, 2016, "Discrete-Time Option Pricing with Stochastic Liquidity," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-15, Mar.
• Priyank Gandhi & Hanno N. Lustig & Alberto Plazzi, 2016, "Equity is Cheap for Large Financial Institutions: The International Evidence," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-22, Mar, revised Jun 2016.
• Damir Filipović & Martin Larsson & Anders B. Trolle, 2016, "On the Relation between Linearity-Generating Processes and Linear-Rational Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-23, Mar.
• Rüdiger Fahlenbrach & Robert Prilmeier & René M. Stulz, 2016, "Why Does Fast Loan Growth Predict Poor Performance for Banks?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-24, Mar.
• Damien Ackerer & Damir Filipović, 2016, "Linear Credit Risk Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-34, May, revised Jun 2016.
• Damien Ackerer & Damir Filipović & Sergio Pulido, 2016, "The Jacobi Stochastic Volatility Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-35, May, revised Jun 2016.
• Jean-Christophe Delfim & Martin Hoesli, 2016, "Risk Factors of European Non-Listed Real Estate Fund Returns," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-37, May.
• Damir Filipović & Sander Willems, 2016, "Exact Smooth Term Structure Estimation," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-38, Jun.
• Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2016, "Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-41, Jul.
• Damir Filipovic & Yerkin Kitapbayev, 2016, "On the American Swaption in the Linear-Rational Framework," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-44, Jul.
• Semyon Malamud & Aytek Malkhozov, 2016, "Market Integration and Global Crashes," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-49, Jul.
• Umit Yilmaz, 2016, "Foreign Acquisition and Credit Risk: Evidence from the U.S. CDS Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-50, Jul, revised Dec 2016.
• Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2016, "A Diagnostic Criterion for Approximate Factor Structure," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-51, Aug, revised Dec 2016.
• Ines Chaieb & Vihang R. Errunza & Rajna Gibson, 2016, "How Does Sovereign Bond Market Integration Relate to Fundamentals and CDS Spreads?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-52, Jul.
• Alberto Plazzi & Walter N. Torous, 2016, "Does Corporate Governance Matter? Evidence from the AGR Governance Rating," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-54, Sep.
• Damien Ackerer & Thibault Vatter, 2016, "Dependent Defaults and Losses with Factor Copula Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-59, Oct.
• Marco Di Maggio & Francesco A. Franzoni & Amir Kermani & Carlo Sommavilla, 2016, "The Relevance of Broker Networks for Information Diffusion in the Stock Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-63, Oct.
• Itzhak Ben-David & Francesco A. Franzoni & Rabih Moussawi, 2016, "Exchange Traded Funds (ETFs)," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-64, Oct.
• Falko Fecht & Kjell G. Nyborg & Jörg Rocholl & Jiri Woschitz, 2016, "Collateral, Central Bank Repos, and Systemic Arbitrage," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-66, Nov.
• Semyon Malamud & Andreas Schrimpf, 2016, "Intermediation Markups and Monetary Policy Passthrough," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-75, Dec.
• Pierre Collin-Dufresne & Benjamin Junge & Anders B. Trolle, 2018, "Market Structure and Transaction Costs of Index CDSs," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-40, Jun.
• Christopher Findlay & Silvia Sorescu & Camilo Umana Dajud, 2016, "Markets are Smart! Structural Reforms and Country Risk," Working Papers, CEPII research center, number 2016-23, Sep.
• René Garcia & Caio Almeida & Kym Ardison & Jose Vicente, 2016, "Nonparametric Tail Risk, Stock Returns and the Macroeconomy," CIRANO Working Papers, CIRANO, number 2016s-20, Apr.
• Ales Bulir & Jan Vlcek, 2016, "Monetary Transmission: Are Emerging Market and Low-Income Countries Different?," Working Papers, Czech National Bank, Research and Statistics Department, number 2016/02, Mar.
• Lubos Komarek & Kristyna Ters & Jorg Urban, 2016, "Intraday Dynamics of Euro Area Sovereign Credit Risk Contagion," Working Papers, Czech National Bank, Research and Statistics Department, number 2016/04, Jun.
• Simona Malovana & Jan Frait, 2016, "Monetary Policy and Macroprudential Policy: Rivals or Teammates?," Working Papers, Czech National Bank, Research and Statistics Department, number 2016/06, Sep.
• Jimmy Melo, 2016, "Precios de los activos bajo ambiguedad estructural: portafolios cautelosos, prudenciales y conservadores," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 34, issue 80, pages 91-102, DOI: 10.1016/j.espe.2016.02.003.
• Thomas Goda & Chris Stewart & Alejandro Torres Garc�a, 2016, "Absolute Income Inequality and Rising House Prices," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 15247, Dec.
• Jimmy Saravia & Carlos Garcia & Paula Almonacid, 2016, "The Determinants of Systematic Risk: A Firm Lifecycle Perspective," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 15299, Dec.
• Aneta Wlodarczyk & Iwona Otola, 2016, "Analysis of the Relationship between Market Volatility and Firms Volatility on the Polish Capital Market," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, volume 16, pages 87-116.

2015

• Tom Engsted & Simon J. Hviid & Thomas Q. Pedersen, 2015, "Explosive bubbles in house prices? Evidence from the OECD countries," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-01, Jan.
• Alfonso Irarrazabal & Juan Carlos Parra-Alvarez, 2015, "Time-varying disaster risk models: An empirical assessment of the Rietz-Barro hypothesis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-08, Feb.
• Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2015, "Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-15, Mar.
• Henri Nyberg & Harri Pönkä, 2015, "International Sign Predictability of Stock Returns: The Role of the United States," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-20, May.
• Jonas Nygaard Eriksen, 2015, "Expected Business Conditions and Bond Risk Premia," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-44, Sep.
• Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui, 2015, "Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-54, Nov.
• Alex Edmans & Itay Goldstein & Wei Jiang, 2015, "Feedback Effects, Asymmetric Trading, and the Limits to Arbitrage," American Economic Review, American Economic Association, volume 105, issue 12, pages 3766-3797, December.
• Marco Ottaviani & Peter Norman Sørensen, 2015, "Price Reaction to Information with Heterogeneous Beliefs and Wealth Effects: Underreaction, Momentum, and Reversal," American Economic Review, American Economic Association, volume 105, issue 1, pages 1-34, January.
• Alain Cohn & Jan Engelmann & Ernst Fehr & Michel André Maréchal, 2015, "Evidence for Countercyclical Risk Aversion: An Experiment with Financial Professionals," American Economic Review, American Economic Association, volume 105, issue 2, pages 860-885, February.
• Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2015, "Measuring Uncertainty," American Economic Review, American Economic Association, volume 105, issue 3, pages 1177-1216, March.
• Nicolae Gârleanu & Stavros Panageas & Jianfeng Yu, 2015, "Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion," American Economic Review, American Economic Association, volume 105, issue 7, pages 1979-2010, July.
• Jordi Galí & Luca Gambetti, 2015, "The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence," American Economic Journal: Macroeconomics, American Economic Association, volume 7, issue 1, pages 233-257, January.
• Kevin J. Lansing, 2015, "Asset Pricing with Concentrated Ownership of Capital and Distribution Shocks," American Economic Journal: Macroeconomics, American Economic Association, volume 7, issue 4, pages 67-103, October.
• Sivan Frenkel, 2015, "Repeated Interaction and Rating Inflation: A Model of Double Reputation," American Economic Journal: Microeconomics, American Economic Association, volume 7, issue 1, pages 250-280, February.
• Aurélien Baillon & Han Bleichrodt, 2015, "Testing Ambiguity Models through the Measurement of Probabilities for Gains and Losses," American Economic Journal: Microeconomics, American Economic Association, volume 7, issue 2, pages 77-100, May.
• Kent Daniel & David Hirshleifer, 2015, "Overconfident Investors, Predictable Returns, and Excessive Trading," Journal of Economic Perspectives, American Economic Association, volume 29, issue 4, pages 61-88, Fall.
• Suthawan Prukumpai, 2015, "Time-varying Industrial Portfolio Betas under the Regime-switching Model: Evidence from the Stock Exchange of Thailand," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, volume 22, issue 2, pages 54-76, December.
• Mauricio Drelichman & Hans-Joachim Voth, 2015, "Risk sharing with the monarch: contingent debt and excusable defaults in the age of Philip II, 1556–1598," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), volume 9, issue 1, pages 49-75, January, DOI: 10.1007/s11698-014-0108-8.
• Vidal, R. & Ribal, J., 2015, "Contrastes no parametricos de multiplos fundamentales frente a multiplos bursatiles en empresas alimentarias europeas," Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, volume 15, issue 01, DOI: 10.22004/ag.econ.211281.
• Zaremba, Adam & Nowak, Andrzej, 2015, "Skewness preference across countries," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), volume 11, issue 2, pages 1-16, DOI: 10.22004/ag.econ.246154.
• Siddiqi, Hammad, 2015, "Relative Risk Perception and the Puzzle of Covered Call Writing," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 199882, Mar, DOI: 10.22004/ag.econ.199882.
• Siddiqi, Hammad, 2015, "Anchoring Heuristic in Option Pricing," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 207677, Jul, DOI: 10.22004/ag.econ.207677.
• Siddiqi, Hammad, 2015, "Anchoring Adjusted Capital Asset Pricing Model," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 211224, Oct, DOI: 10.22004/ag.econ.211224.
• Xavier Raurich & Thomas Seegmuller, 2015, "On the Interplay Between Speculative Bubbles and Productive Investment," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1542, Oct, revised 12 Oct 2015.
• Iulia-Oana Stefan, 2015, "The Place Of Bucharest Stock Exchange Amongst The Capital Markets From Central And Eastern Europe," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 2, issue 43, pages 281-292.
• Dorel Berceanu & Nicolae Sichigea & Daniel Militaru, 2015, "Profitability And Risk Analysis Of Pharmaceutical Companies Listed On The Bucharest Stock Exchange," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 2, issue 43, pages 36-42.
• Bocart, Fabian Y.R.P. & Hafner, Christian, 2015, "Fair Revaluation of Wine as an Investment," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2015040, Jan.
• Teodor Hada & Emil Olteanu & Iulian Bogdan Dobra, 2015, "Analysis Of The Average Share Price Of Companies Listed On Bse Depending On The Profit And Exchange Segment. Different Techniques Of General Least Square And Computing Coefficient Covariance For Mean Price Equation Estimation," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 17, pages 1-7.
• Agliari, A. & Hommes, C.H. & Pecora, N., 2015, "Path Dependent Coordination of Expectations in Asset Pricing Experiments: a Behavioral Explanation," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 15-05.
• Annarita COLASANTE & Antonio PALESTRINI & Alberto RUSSO & Mauro GALLEGATI, 2015, "Adaptive Expectations with Correction Bias: Evidence from the lab," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 409, Jul.
• Sonia Wos, 2015, "Rynek Neuer Markt: droga od sukcesu do porażki / Neuer Markt: from Success to Failure," International Economics, University of Lodz, Faculty of Economics and Sociology, issue 11, pages 176-189, September.
• Luca Benzon & Olena Chyruk, 2015, "The Value and Risk of Human Capital," Annual Review of Financial Economics, Annual Reviews, volume 7, issue 1, pages 179-200, December, DOI: 10.1146/annurev-financial-110613-03.
• Robert A. Jarrow, 2015, "Asset Price Bubbles," Annual Review of Financial Economics, Annual Reviews, volume 7, issue 1, pages 201-218, December, DOI: 10.1146/annurev-financial-030215-03.
• Jerry Tsai & Jessica A. Wachter, 2015, "Disaster Risk and Its Implications for Asset Pricing," Annual Review of Financial Economics, Annual Reviews, volume 7, issue 1, pages 219-252, December, DOI: 10.1146/annurev-financial-111914-04.
• Douglas T. Breeden & Robert H. Litzenberger & Tingyan Jia, 2015, "Consumption-Based Asset Pricing, Part 1: Classic Theory and Tests, Measurement Issues, and Limited Participation," Annual Review of Financial Economics, Annual Reviews, volume 7, issue 1, pages 35-83, December, DOI: 10.1146/annurev-financial-111914-04.
• Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015, "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, volume 7, issue 1, pages 483-577, December, DOI: 10.1146/annurev-financial-110311-10.
• Berk A. Sensoy & Steven N. Kaplan, 2015, "Private Equity Performance: A Survey," Annual Review of Financial Economics, Annual Reviews, volume 7, issue 1, pages 597-614, December, DOI: 10.1146/annurev-financial-111914-04.
• David Geltner, 2015, "Real Estate Price Indices and Price Dynamics: An Overview from an Investments Perspective," Annual Review of Financial Economics, Annual Reviews, volume 7, issue 1, pages 615-633, December, DOI: 10.1146/annurev-financial-111914-04.
• Douglas T. Breeden & Robert H. Litzenberger & Tingyan Jia, 2015, "Consumption-Based Asset Pricing, Part 2: Habit Formation, Conditional Risks, Long-Run Risks, and Rare Disasters," Annual Review of Financial Economics, Annual Reviews, volume 7, issue 1, pages 85-131, December, DOI: 10.1146/annurev-financial-091115-01.
• Gianluca Cassese, 2015, "Non Parametric Estimates of Option Prices Using Superhedging," Papers, arXiv.org, number 1502.03978, Feb.
• Franc{c}ois Legendre & Djibril Togola, 2015, "Explicit solution to dynamic portfolio choice problem : The continuous-time detour," Papers, arXiv.org, number 1504.03079, Apr.
• Matthias Raddant & Friedrich Wagner, 2015, "Transitions in the Stock Markets of the US, UK, and Germany," Papers, arXiv.org, number 1504.06113, Apr.
• Jaroslava Hlouskova & Leopold Sogner, 2015, "GMM Estimation of Affine Term Structure Models," Papers, arXiv.org, number 1508.01661, Aug.
• Joao da Gama Batista & Domenico Massaro & Jean-Philippe Bouchaud & Damien Challet & Cars Hommes, 2015, "Do investors trade too much? A laboratory experiment," Papers, arXiv.org, number 1512.03743, Dec.
• Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2015, "Factor Models as 'Explanatory Unifiers' versus 'Explanatory Ideals' of Empirical Regularities of Stock Returns," DEOS Working Papers, Athens University of Economics and Business, number 1507, Feb.
• Conrad, Christian & Mammen , Enno, 2015, "Asymptotics for parametric GARCH-in-Mean Models," Working Papers, University of Heidelberg, Department of Economics, number 0579, Jan.
• Conrad, Christian & Loch, Karin, 2015, "The Variance Risk Premium and Fundamental Uncertainty," Working Papers, University of Heidelberg, Department of Economics, number 0583, Feb.
• Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2015, "An investigation into multivariate variance ratio statistics and their application to stock market predictability," CeMMAP working papers, Institute for Fiscal Studies, number 13/15, Mar, DOI: 10.1920/wp.cem.2015.1315.
• Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton & Sorawoot Srisuma, 2015, "Nonparametric Euler equation identification and estimation," CeMMAP working papers, Institute for Fiscal Studies, number 61/15, Oct, DOI: 10.1920/wp.cem.2015.6115.
• Marcelo Bianconi & Joe Akira Yoshino, 2015, "Empirical Estimation of the Cost of Equity: An Application to Selected Brazilian Utilities Companies," Review of Economics & Finance, Better Advances Press, Canada, volume 5, pages 1-21, February.
• Jaroslaw Nowicki, 2015, "Shareholder Value Creation In Poland. Value Building And Its Transfer To Shareholders In Companies Listed On Warsaw Stock Exchange," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
• Bruno Feunou & Ernest Tafolong, 2015, "Fourier Inversion Formulas for Multiple-Asset Option Pricing," Staff Working Papers, Bank of Canada, number 15-11, DOI: 10.34989/swp-2015-11.
• Fuchun Li, 2015, "Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates," Staff Working Papers, Bank of Canada, number 15-17, DOI: 10.34989/swp-2015-17.
• Bruno Feunou & Mohammad R. Jahan-Parvar & Cédric Okou, 2015, "Downside Variance Risk Premium," Staff Working Papers, Bank of Canada, number 15-36, DOI: 10.34989/swp-2015-36.
• Peter Christoffersen & Bruno Feunou & Yoontae Jeon, 2015, "Option Valuation with Observable Volatility and Jump Dynamics," Staff Working Papers, Bank of Canada, number 15-39, DOI: 10.34989/swp-2015-39.
• Anh Le & Bruno Feunou & Christian Lundblad & Jean-Sébastien Fontaine, 2015, "Tractable Term Structure Models," Staff Working Papers, Bank of Canada, number 15-46, DOI: 10.34989/swp-2015-46.
• Mirta González & María Cecilia Pérez, 2015, "Simulation of the term structure. An application for measuring the interest rate risk," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 201570, Nov.
• Erdinc ALTAY, 2015, "Knightian Uncertainty: The Effects of Risk and Ambiguity on Excess Returns of Borsa Istanbul," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 9, issue 2, pages 45-72.
• Yunus Aksoy & Henrique S. Basso, 2015, "Securitization and asset prices," Working Papers, Banco de España, number 1526, Sep.
• Paul Ehling & Michael Gallmeyer & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2015, "Disagreement about inflation and the yield curve," Working Papers, Banco de España, number 1532, Nov.
• Marcello Pericoli & Marco Taboga, 2015, "Decomposing euro area sovereign spreads: credit, liquidity and convenience," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1021, Jul.
• Marcello Pericoli & Marco Taboga, 2015, "Understanding policy rates at the zero lower bound: insights from a Bayesian shadow rate model," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1023, Jul.
• Gabriele Foà & Leonardo Gambacorta & Luigi Guiso & Paolo Emilio Mistrulli, 2015, "The supply side of household finance," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1044, Nov.
• Zuccardi Huertas Igor Esteban, 2015, "Sovereign Spreads in the Eurozone: Is Market Discipline Working?," Working Papers, Banco de México, number 2015-20, Nov.
• Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2015, "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano," Borradores de Economia, Banco de la Republica de Colombia, number 903, Sep, DOI: 10.32468/be.903.
• Ignacio Lozano-Espitia & Hernando Vargas-Herrera & Norberto Rodríguez-Niño, 2015, "Financial Transaction Tax and Banking Margins: An Empirical Note for Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 909, Oct, DOI: 10.32468/be.909.
• Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015, "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia, Banco de la Republica de Colombia, number 919, Dec, DOI: 10.32468/be.919.
• Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & G. Roussellet, 2015, "Staying at Zero with Affine Processes: An Application to Term Structure Modelling," Working papers, Banque de France, number 558.
• Dujardin, M. & Kelber, A. & Lalliard, A., 2015, "Surévaluation et rentabilité des biens immobiliers en zone euro : l’apport des données en euros par mètre carré," Bulletin de la Banque de France, Banque de France, issue 199, pages 77-88.
• M. Dujardin. & A. Kelber. & A. Lalliard., 2015, "Overvaluation in the housing market and returns on residential real estate in the euro area: insights from data in euro per square metre," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 37, pages 49-63, spring.
• Klaus Adam & Johannes Beutel & Albert Marcet, 2015, "Stock Price Booms and Expected Capital Gains," Working Papers, Barcelona School of Economics, number 757, Sep.
• Klaus Adam & Johannes Beutel & Sebastian Merkel & Albert Marcet, 2015, "Can a Financial Transaction Tax Prevent Stock Price Booms?," Working Papers, Barcelona School of Economics, number 840, Sep.
• Dietrich Domanski & Hyun Song Shin & Vladyslav Sushko, 2015, "The hunt for duration: not waving but drowning?," BIS Working Papers, Bank for International Settlements, number 519, Oct.
• Gabriele Foà & Leonardo Gambacorta & Luigi Guiso & Paolo Emilio Mistrulli, 2015, "The supply side of household finance," BIS Working Papers, Bank for International Settlements, number 531, Dec.
• Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2015, "Mortgage risk and the yield curve," BIS Working Papers, Bank for International Settlements, number 532, Dec.
• Maria Victoria Landaberry & Magdalena Tubio, 2015, "Estimación de índice de precios de inmuebles en Uruguay," Documentos de trabajo, Banco Central del Uruguay, number 2015011.
• Pilar Abad & M. Dolores Robles, 2015, "The Risk–Return Binomial After Rating Changes," Economic Notes, Banca Monte dei Paschi di Siena SpA, volume 44, issue 2, pages 249-274, July.
• Robert J. Barro, 2015, "Environmental Protection, Rare Disasters and Discount Rates," Economica, London School of Economics and Political Science, volume 82, issue 325, pages 1-23, January.
• Marcin Jaskowski & Michael McAleer, 2015, "Volatility smirk as an externality of agency conflict and growing debt," International Journal of Economic Theory, The International Society for Economic Theory, volume 11, issue 4, pages 389-404, December.
• Hideyuki Takamizawa, 2015, "Predicting Interest Rate Volatility Using Information on the Yield Curve," International Review of Finance, International Review of Finance Ltd., volume 15, issue 3, pages 347-386, September.
• Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2015, "Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle," Journal of Finance, American Finance Association, volume 70, issue 5, pages 1903-1948, October.
• Giovanni Cespa & Xavier Vives, 2015, "The Beauty Contest and Short-Term Trading," Journal of Finance, American Finance Association, volume 70, issue 5, pages 2099-2154, October.
• Jakub W. Jurek & Erik Stafford, 2015, "The Cost of Capital for Alternative Investments," Journal of Finance, American Finance Association, volume 70, issue 5, pages 2185-2226, October.
• Rui Albuquerue & Neng Wang, 2015, "Agency Conflicts, Investment, and Asset Pricing: Erratum," Journal of Finance, American Finance Association, volume 70, issue 5, pages 2347-2348, October.
• Bo Tang, 2015, "Exchange Rate Exposure of Chinese Firms at the Industry and Firm Level," Review of Development Economics, Wiley Blackwell, volume 19, issue 3, pages 592-607, August.
• Martin Hoesli & Kustrim Reka, 2015, "Contagion Channels between Real Estate and Financial Markets," Real Estate Economics, American Real Estate and Urban Economics Association, volume 43, issue 1, pages 101-138, March.
• Paolo Gelain & Kevin J. Lansing & Gisle J. Natvik, 2015, "Explaining the Boom-Bust Cycle in the U.S. Housing Market: A Reverse-Engineering Approach," Working Paper, Norges Bank, number 2015/11, Jun.
• Davide Pettenuzzo & Francesco Ravazzolo, 2015, "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 9/2015, Aug.
• Michael Chin & Christopher Polk, 2015, "A forecast evaluation of expected equity return measures," Bank of England Staff Working Paper series, Bank of England, number 520, Jan.
• Evangelos Benos & James Brugler & Erik Hjalmarsson & Filip Zikes, 2015, "Interactions among high-frequency traders," Bank of England Staff Working Paper series, Bank of England, number 523, Feb.
• Martin M Andreasen & Andrew Meldrum, 2015, "Market beliefs about the UK monetary policy life-off horizon: a no-arbitrage shadow rate term structure model approach," Bank of England Staff Working Paper series, Bank of England, number 541, Aug.
• James Brugler, 2015, "Into the light: dark pool trading and intraday market quality on the primary exchange," Bank of England Staff Working Paper series, Bank of England, number 545, Sep.
• Richard D. F. Harris & Linh H Nguyen & Evarist Stoja, 2015, "Extreme downside risk and financial crises," Bank of England Staff Working Paper series, Bank of England, number 547, Sep.
• Christopher Jackson & Joseph Noss, 2015, "A heterogeneous agent model for assessing the effects of capital regulation on the interbank money market under a corridor system," Bank of England Staff Working Paper series, Bank of England, number 548, Sep.
• Martin M Andreasen & Andrew Meldrum, 2015, "Dynamic term structure models: the best way to enforce the zero lower bound in the United States," Bank of England Staff Working Paper series, Bank of England, number 550, Sep.
• Zhuoshi Liu & Elisabetta Vangelista & Iryna Kaminska & Jon Relleen, 2015, "The informational content of market-based measures of inflation expectations derived from govenment bonds and inflation swaps in the United Kingdom," Bank of England Staff Working Paper series, Bank of England, number 551, Sep.
• Marek Raczko, 2015, "Volatility contagion: new evidence from market pricing of volatility risk," Bank of England Staff Working Paper series, Bank of England, number 552, Sep.
• Matthieu Chavaz & Marc Flandreau, 2015, "‘High and dry’: the liquidity and credit of colonial and foreign government debt in the London Stock Exchange (1880–1910)," Bank of England Staff Working Paper series, Bank of England, number 555, Oct.
• Andrew Meldrum & Matt Roberts-Sklar, 2015, "Long-run priors for term structure models," Bank of England Staff Working Paper series, Bank of England, number 575, Dec.
• Iryna Kaminska & Matt Roberts-Sklar, 2015, "A global factor in variance risk premia and local bond pricing," Bank of England Staff Working Paper series, Bank of England, number 576, Dec.
• Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2015, "The Effectiveness of The ECB’s Asset Purchase Programs Of 2009 To 2012," Working Papers, Bank of Greece, number 199, Nov.
• Itamar Caspi, 2015, "Testing for a Housing Bubble at the National and Regional Level: The Case of Israel," Bank of Israel Working Papers, Bank of Israel, number 2015.05, Jul.
• Emanuel Barnea & Yigal Menashe, 2015, "Banks Strategies and Credit Spreads as Leading Indicators for the Real Business Cycles Fluctuations," Bank of Israel Working Papers, Bank of Israel, number 2015.07, Oct.
• Kei Imakubo & Jouchi Nakajima, 2015, "What do negative inflation risk premia tell us?," Bank of Japan Research Laboratory Series, Bank of Japan, number 15-E-4, Jul.
• Ichiro Fukunaga & Naoya Kato, 2015, "Quantitative and Qualitative Monetary Easing and Long-Term Interest Rates: The Effects through the Stock of "Net Supply" and Maturity Structure of Japanese Government Bonds," Bank of Japan Research Laboratory Series, Bank of Japan, number 15-E-7, Dec.
• Kei Imakubo & Jouchi Nakajima, 2015, "Estimating inflation risk premia from nominal and real yield curves using a shadow-rate model," Bank of Japan Working Paper Series, Bank of Japan, number 15-E-1, Apr.
• Tetsuo Kurosaki & Yusuke Kumano & Kota Okabe & Teppei Nagano, 2015, "Liquidity in JGB Markets: An Evaluation from Transaction Data," Bank of Japan Working Paper Series, Bank of Japan, number 15-E-2, May.
• Kyu Ho Kang & Hyung Suk Oh, 2015, "The Effect of U.S. Long-Term Interest Rates on the Term Structure of Korean Interest Rates (in Korean)," Working Papers, Economic Research Institute, Bank of Korea, number 2015-2, Jan.
• Nasif Ozkan & Mustafa Mesut Kayali, 2015, "The accrual anomaly: Evidence from Borsa Istanbul," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 15, issue 2, pages 115-125, June.
• Mouna Boujelbene Abbes & Yousra Trichilli, 2015, "Islamic stock markets and potential diversification benefits," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 15, issue 2, pages 93-105, June.
• Zhongjun Qu & Denis Tkachenko, 2015, "Global Identification in DSGE Models Allowing for Indeterminacy," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2015-001, Aug.
• Cho Daniel & Hanewald Katja & Sherris Michael, 2015, "Risk Analysis for Reverse Mortgages with Different Payout Designs," Asia-Pacific Journal of Risk and Insurance, De Gruyter, volume 9, issue 1, pages 77-105, January, DOI: 10.1515/apjri-2014-0012.
• Argyropoulos Efthymios & Tzavalis Elias, 2015, "Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 19, issue 1, pages 49-70, February, DOI: 10.1515/snde-2012-0024.
• Chen Jau-er, 2015, "Factor instrumental variable quantile regression," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 19, issue 1, pages 71-92, February, DOI: 10.1515/snde-2013-0014.
• Gong Jinguo & Wu Weiou & McMillan David & Shi Daimin, 2015, "Non-parametric estimation of copula parameters: testing for time-varying correlation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 19, issue 1, pages 93-106, February, DOI: 10.1515/snde-2012-0089.
• Abdymomunov Azamat & Kang Kyu Ho, 2015, "The effects of monetary policy regime shifts on the term structure of interest rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 19, issue 2, pages 183-207, April, DOI: 10.1515/snde-2013-0031.
• Feunou Bruno & Tafolong Ernest, 2015, "Fourier inversion formulas for multiple-asset option pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 19, issue 5, pages 531-559, December, DOI: 10.1515/snde-2014-0034.
• Taamouti Abderrahim, 2015, "Stock market’s reaction to money supply: a nonparametric analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 19, issue 5, pages 669-689, December, DOI: 10.1515/snde-2013-0059.
• Daniel Tortorice, 2015, "Long Run Expectations, Learning and the U.S. Housing Market," Working Papers, Brandeis University, Department of Economics and International Business School, number 85, May.
• Alberto Ronchi Neto & Osvaldo Candido, 2015, "Evaluating interest rate term-structure using extensions of the Diebold and Li three factors model," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 2, pages 251-287.
• Antonio Zoratto Sanvicente, 2015, "The Price-Trading Volume Relationship in the Brazilian Stock Market, the Impact of Stock Lending and a Role for Technical Analysis," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 4, pages 631-649.
• Andrea Pinna, 2015, "Price Formation of Pledgeable Securities," BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen, number BEMPS26, Jan.
• Zoe Knight, 2015, "Le développement d'une « finance 2 °C » et l'exemple des green bonds," Revue d'économie financière, Association d'économie financière, volume 0, issue 1, pages 155-174.
• Anne Gerardi & Alain Grandjean & Emmanuel Martinez, 2015, "La quantification des émissions de gaz à effet de serre des institutions financières," Revue d'économie financière, Association d'économie financière, volume 0, issue 1, pages 189-204.
• Marie-Laure Barut-Etherington & Denis Beau, 2015, "Liquidité des marchés obligataires et innovation technologique," Revue d'économie financière, Association d'économie financière, volume 0, issue 4, pages 127-142.
• Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2015, "An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1552, Mar.
• Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton, 2015, "Nonparametric Euler Equation Identification andEstimation," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1560, Oct.
• Roberto Marfè, 2015, "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 407.
• Roberto Marfè, 2015, "Survey Expectations and the Equilibrium Risk-Return Trade Off," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 408.
• Roberto Marfè, 2015, "Corporate Fraction and the Equilibrium Term-Structure of Equity Risk," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 409.
• Michael Hasler & Roberto Marfè, 2015, "Disaster Recovery and the Term Structure of Dividend Strips," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 410.
• Roberto Marfè, 2015, "Labor Rigidity and the Dynamics of the Value Premium," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 429.
• Marina Marena & Andrea Romeo & Patrizia Semeraro, 2015, "Pricing multivariate barrier reverse convertibles with factor-based subordinators," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 439.
• Somnath Chatterjee, 2015, "Modelling credit risk," Handbooks, Centre for Central Banking Studies, Bank of England, number 34, April.
• Athanasios Geromichalos & Lucas Herrenbrueck, 2015, "A Tractable Model of Indirect Asset Liquidity," Working Papers, University of California, Davis, Department of Economics, number 126, Oct.
• Ahdi Noomen Ajmi & Goodness C. Aye & Mehmet Balcilar & Ghassen El Montasser & Rangan Gupta, 2015, "Causality between US economic policy and equity market uncertainties: Evidence from linear and nonlinear tests," Journal of Applied Economics, Universidad del CEMA, volume 18, pages 225-246, November.
• Yunus Aksoy & Henrique S. Basso, 2015, "Securitization and Asset Prices," CESifo Working Paper Series, CESifo, number 5213.
• Michael D. Bauer, 2015, "Restrictions on Risk Prices in Dynamic Term Structure Models," CESifo Working Paper Series, CESifo, number 5241.
• Mordecai Kurz & Maurizio Motolese & Giulia Piccillo & Howei Wu, 2015, "Monetary Policy with Diverse Private Expectations," CESifo Working Paper Series, CESifo, number 5252.
• Gianluca Cafiso, 2015, "Treasury Auctions and Secondary Market Dynamics. An Analysis Based on the MTS Market for Italy," CESifo Working Paper Series, CESifo, number 5357.
• Nadjeschda Arnold & Ray Rees, 2015, "The Sovereign Default Problem in the Eurozone: An Insurance-Based Approach," CESifo Working Paper Series, CESifo, number 5389.
• Casper De Vries & Xuedong Wang & Casper G, de Vries, 2015, "Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates," CESifo Working Paper Series, CESifo, number 5421.
• Stefano Giglio & Matteo Maggiori & Johannes Ströbel & Andreas Weber, 2015, "Climate Change and Long-Run Discount Rates: Evidence from Real Estate," CESifo Working Paper Series, CESifo, number 5608.
• Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2015, "The EMBI in Latin America: Fractional Integration, Non-Linearities and Breaks," CESifo Working Paper Series, CESifo, number 5630.
• Bård Misund & Petter Osmundsen, 2015, "Probable Oil and Gas Reserves and Shareholder Returns: The Impact of Shale Gas," CESifo Working Paper Series, CESifo, number 5687.
• Petra Gerlach-Kristen & Robert N McCauley & Kazuo Ueda, 2015, "Currency intervention and the global portfolio balance effect: Japanese lessons," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-373, Oct.
• Luis Ceballos & Alberto Naudon & Damián Romero, 2015, "Nominal Term Structure and Term Premia: Evidence from Chile," Working Papers Central Bank of Chile, Central Bank of Chile, number 752, Feb.
• Elías Albagli & Luis Ceballos & Sebastián Claro & Damián Romero, 2015, "Channels of US Monetary Policy Spillovers into International Bond Markets," Working Papers Central Bank of Chile, Central Bank of Chile, number 771, Sep.
• Yuki SATO, 2015, "Delegated Portfolio Management, Optimal Fee Contracts, and Asset Prices," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-06, Feb.