Research classified by Journal of Economic Literature (JEL) codes

2014

• Al-Shboul, Mohammad & Anwar, Sajid, 2014, "Time-varying exchange rate exposure and exchange rate risk pricing in the Canadian Equity Market," Economic Modelling, Elsevier, volume 37, issue C, pages 451-463, DOI: 10.1016/j.econmod.2013.11.034.
• Tse, Chin-Bun & Rodgers, Timothy & Niklewski, Jacek, 2014, "The 2007 financial crisis and the UK residential housing market: Did the relationship between interest rates and house prices change?," Economic Modelling, Elsevier, volume 37, issue C, pages 518-530, DOI: 10.1016/j.econmod.2013.08.013.
• Long, Ling & Tsui, Albert K. & Zhang, Zhaoyong, 2014, "Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market," Economic Modelling, Elsevier, volume 37, issue C, pages 89-102, DOI: 10.1016/j.econmod.2013.11.002.
• Fung, Ka Wai Terence & Lau, Chi Keung Marco & Chan, Kwok Ho, 2014, "The conditional equity premium, cross-sectional returns and stochastic volatility," Economic Modelling, Elsevier, volume 38, issue C, pages 316-327, DOI: 10.1016/j.econmod.2014.01.009.
• Jouini, Jamel & Harrathi, Nizar, 2014, "Revisiting the shock and volatility transmissions among GCC stock and oil markets: A further investigation," Economic Modelling, Elsevier, volume 38, issue C, pages 486-494, DOI: 10.1016/j.econmod.2014.02.001.
• Shamsuddin, Abul, 2014, "Are Dow Jones Islamic equity indices exposed to interest rate risk?," Economic Modelling, Elsevier, volume 39, issue C, pages 273-281, DOI: 10.1016/j.econmod.2014.03.007.
• Demir, İshak, 2014, "Monetary policy responses to the exchange rate: Empirical evidence from the ECB," Economic Modelling, Elsevier, volume 39, issue C, pages 63-70, DOI: 10.1016/j.econmod.2014.02.024.
• Yang, Chunpeng & Cai, Chuangqun, 2014, "Higher order expectations in sentiment asset pricing model," Economic Modelling, Elsevier, volume 39, issue C, pages 95-100, DOI: 10.1016/j.econmod.2014.02.033.
• Dong, Yinghui & Wang, Guojing, 2014, "Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain," Economic Modelling, Elsevier, volume 40, issue C, pages 91-100, DOI: 10.1016/j.econmod.2014.03.004.
• Lai, Hung-Cheng & Wang, Kuan-Min, 2014, "Relationship between the trading behavior of three institutional investors and Taiwan Stock Index futures returns," Economic Modelling, Elsevier, volume 41, issue C, pages 156-165, DOI: 10.1016/j.econmod.2014.05.007.
• Borenstein, Eliezer & Elkayam, David, 2014, "The equity premium in a small open economy and an application to Israel," Economic Modelling, Elsevier, volume 43, issue C, pages 81-99, DOI: 10.1016/j.econmod.2014.07.047.
• Wang, Yuming & Ma, Jinpeng, 2014, "Excess volatility and the cross-section of stock returns," The North American Journal of Economics and Finance, Elsevier, volume 27, issue C, pages 1-16, DOI: 10.1016/j.najef.2013.10.003.
• Lakicevic, Milan & Shachmurove, Yochanan & Vulanovic, Milos, 2014, "Institutional changes of Specified Purpose Acquisition Companies (SPACs)," The North American Journal of Economics and Finance, Elsevier, volume 28, issue C, pages 149-169, DOI: 10.1016/j.najef.2014.03.002.
• Liu, Qiang & Guo, Shuxin, 2014, "Variance-constrained canonical least-squares Monte Carlo: An accurate method for pricing American options," The North American Journal of Economics and Finance, Elsevier, volume 28, issue C, pages 77-89, DOI: 10.1016/j.najef.2014.02.002.
• Zhang, Tai-Wei & Wu, Wei-Hwa, 2014, "The asymmetric predictability of high-yield bonds," The North American Journal of Economics and Finance, Elsevier, volume 29, issue C, pages 146-155, DOI: 10.1016/j.najef.2014.06.001.
• Hunzinger, Chadd B. & Labuschagne, Coenraad C.A., 2014, "The Cox, Ross and Rubinstein tree model which includes counterparty credit risk and funding costs," The North American Journal of Economics and Finance, Elsevier, volume 29, issue C, pages 200-217, DOI: 10.1016/j.najef.2014.06.002.
• Boubaker, Sabri & Jouini, Jamel, 2014, "Linkages between emerging and developed equity markets: Empirical evidence in the PMG framework," The North American Journal of Economics and Finance, Elsevier, volume 29, issue C, pages 322-335, DOI: 10.1016/j.najef.2014.06.004.
• Grobys, Klaus, 2014, "Momentum in global equity markets in times of troubles: Does the economic state matter?," Economics Letters, Elsevier, volume 123, issue 1, pages 100-103, DOI: 10.1016/j.econlet.2014.01.028.
• Chevapatrakul, Thanaset, 2014, "Monetary environments and stock returns revisited: A quantile regression approach," Economics Letters, Elsevier, volume 123, issue 2, pages 122-126, DOI: 10.1016/j.econlet.2014.01.033.
• Suzuki, Shiba, 2014, "An exploration of the effect of doubt during disasters on equity premiums," Economics Letters, Elsevier, volume 123, issue 3, pages 270-273, DOI: 10.1016/j.econlet.2014.02.010.
• Guo, Guixia & Wang, Frank Yong & Wei, Xu, 2014, "Optimal tranching with diverse beliefs," Economics Letters, Elsevier, volume 124, issue 2, pages 222-226, DOI: 10.1016/j.econlet.2014.05.030.
• Han, Heejoon & Park, Joon Y., 2014, "GARCH with omitted persistent covariate," Economics Letters, Elsevier, volume 124, issue 2, pages 248-254, DOI: 10.1016/j.econlet.2014.05.016.
• Back, Kerry, 2014, "A characterization of the coskewness–cokurtosis pricing model," Economics Letters, Elsevier, volume 125, issue 2, pages 219-222, DOI: 10.1016/j.econlet.2014.09.008.
• Nichol, Eoghan & Dowling, Michael, 2014, "Profitability and investment factors for UK asset pricing models," Economics Letters, Elsevier, volume 125, issue 3, pages 364-366, DOI: 10.1016/j.econlet.2014.10.013.
• Todorov, Viktor & Tauchen, George & Grynkiv, Iaryna, 2014, "Volatility activity: Specification and estimation," Journal of Econometrics, Elsevier, volume 178, issue P1, pages 180-193, DOI: 10.1016/j.jeconom.2013.08.015.
• Hamilton, James D. & Wu, Jing Cynthia, 2014, "Testable implications of affine term structure models," Journal of Econometrics, Elsevier, volume 178, issue P2, pages 231-242, DOI: 10.1016/j.jeconom.2013.08.024.
• Choi, Hwan-sik & Jeong, Minsoo & Park, Joon Y., 2014, "An asymptotic analysis of likelihood-based diffusion model selection using high frequency data," Journal of Econometrics, Elsevier, volume 178, issue P3, pages 539-557, DOI: 10.1016/j.jeconom.2013.08.036.
• Li, Yong & Zeng, Tao & Yu, Jun, 2014, "A new approach to Bayesian hypothesis testing," Journal of Econometrics, Elsevier, volume 178, issue P3, pages 602-612, DOI: 10.1016/j.jeconom.2013.08.035.
• Xiu, Dacheng, 2014, "Hermite polynomial based expansion of European option prices," Journal of Econometrics, Elsevier, volume 179, issue 2, pages 158-177, DOI: 10.1016/j.jeconom.2014.01.003.
• Kleppe, Tore Selland & Yu, Jun & Skaug, Hans J., 2014, "Maximum likelihood estimation of partially observed diffusion models," Journal of Econometrics, Elsevier, volume 180, issue 1, pages 73-80, DOI: 10.1016/j.jeconom.2014.02.002.
• Bondarenko, Oleg, 2014, "Variance trading and market price of variance risk," Journal of Econometrics, Elsevier, volume 180, issue 1, pages 81-97, DOI: 10.1016/j.jeconom.2014.02.001.
• Renault, Eric & van der Heijden, Thijs & Werker, Bas J.M., 2014, "The dynamic mixed hitting-time model for multiple transaction prices and times," Journal of Econometrics, Elsevier, volume 180, issue 2, pages 233-250, DOI: 10.1016/j.jeconom.2014.01.009.
• Taamouti, Abderrahim & Bouezmarni, Taoufik & El Ghouch, Anouar, 2014, "Nonparametric estimation and inference for conditional density based Granger causality measures," Journal of Econometrics, Elsevier, volume 180, issue 2, pages 251-264, DOI: 10.1016/j.jeconom.2014.03.001.
• Kurz-Kim, Jeong-Ryeol & Loretan, Mico, 2014, "On the properties of the coefficient of determination in regression models with infinite variance variables," Journal of Econometrics, Elsevier, volume 181, issue 1, pages 15-24, DOI: 10.1016/j.jeconom.2014.02.004.
• Gouriéroux, C. & Monfort, A. & Renne, J.P., 2014, "Pricing default events: Surprise, exogeneity and contagion," Journal of Econometrics, Elsevier, volume 182, issue 2, pages 397-411, DOI: 10.1016/j.jeconom.2014.05.005.
• Borovička, Jaroslav & Hansen, Lars Peter, 2014, "Examining macroeconomic models through the lens of asset pricing," Journal of Econometrics, Elsevier, volume 183, issue 1, pages 67-90, DOI: 10.1016/j.jeconom.2014.06.010.
• Aït-Sahalia, Yacine & Laeven, Roger J.A. & Pelizzon, Loriana, 2014, "Mutual excitation in Eurozone sovereign CDS," Journal of Econometrics, Elsevier, volume 183, issue 2, pages 151-167, DOI: 10.1016/j.jeconom.2014.05.006.
• Bollerslev, Tim & Todorov, Viktor, 2014, "Time-varying jump tails," Journal of Econometrics, Elsevier, volume 183, issue 2, pages 168-180, DOI: 10.1016/j.jeconom.2014.05.007.
• Bekaert, Geert & Hoerova, Marie, 2014, "The VIX, the variance premium and stock market volatility," Journal of Econometrics, Elsevier, volume 183, issue 2, pages 181-192, DOI: 10.1016/j.jeconom.2014.05.008.
• Caginalp, Gunduz & DeSantis, Mark & Sayrak, Akin, 2014, "The nonlinear price dynamics of U.S. equity ETFs," Journal of Econometrics, Elsevier, volume 183, issue 2, pages 193-201, DOI: 10.1016/j.jeconom.2014.05.009.
• Bhargava, Alok, 2014, "Firms’ fundamentals, macroeconomic variables and quarterly stock prices in the US," Journal of Econometrics, Elsevier, volume 183, issue 2, pages 241-250, DOI: 10.1016/j.jeconom.2014.05.014.
• Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2014, "Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2014/03, Apr.
• David C Broadstock & Rui Wang & Dayong Zhang, 2014, "The direct and indirect effects of oil shocks on energy related stocks," Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS), Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey, number 146, Apr.
• Minxian Yang, 2014, "The Risk Return Relationship: Evidence from Index Return and Realised Variance Series," Discussion Papers, School of Economics, The University of New South Wales, number 2014-16, Mar.
• N. Kundan Kishor & James Morley, 2014, "What Moves the Price-Rent Ratio for Housing? A Modified Present-Value Approach," Discussion Papers, School of Economics, The University of New South Wales, number 2014-20, Apr.
• N. Kundan Kishor & James Morley, 2014, "What Factors Drive the Price-Rent Ratio for the Housing Market? A Modified Present-Value Approach," Discussion Papers, School of Economics, The University of New South Wales, number 2014-20, Apr.
• Ziemowit Bednarek & Marian Moszoro, 2014, "The Arrow--Lind theorem revisited: ownership concentration and valuation," Applied Financial Economics, Taylor & Francis Journals, volume 24, issue 5, pages 357-375, March, DOI: 10.1080/09603107.2013.877569.
• Tatsuyoshi Miyakoshi & Kui-Wai Li & Junji Shimada, 2014, "Rational expectation bubbles: evidence from Hong Kong's sub-indices," Applied Economics, Taylor & Francis Journals, volume 46, issue 20, pages 2429-2440, July, DOI: 10.1080/00036846.2014.904493.
• Muhammad Omer & Jakob de Haan & Bert Scholtens, 2014, "Testing uncovered interest rate parity using LIBOR," Applied Economics, Taylor & Francis Journals, volume 46, issue 30, pages 3708-3723, October, DOI: 10.1080/00036846.2014.939375.
• Theoharry Grammatikos & Robert Vermeulen, 2014, "The 2007--2009 financial crisis: changing market dynamics and the impact of credit supply and aggregate demand sensitivity," Applied Economics, Taylor & Francis Journals, volume 46, issue 8, pages 895-911, March, DOI: 10.1080/00036846.2013.859379.
• Taoufik Bouezmarni & Abderrahim Taamouti, 2014, "Nonparametric tests for conditional independence using conditional distributions," Journal of Nonparametric Statistics, Taylor & Francis Journals, volume 26, issue 4, pages 697-719, December, DOI: 10.1080/10485252.2014.945447.
• Cary Deck & David Porter & Vernon Smith, 2014, "Double Bubbles in Assets Markets With Multiple Generations," Journal of Behavioral Finance, Taylor & Francis Journals, volume 15, issue 2, pages 79-88, April, DOI: 10.1080/15427560.2014.908884.
• M�rcio Poletti Laurini, 2014, "Dynamic functional data analysis with non-parametric state space models," Journal of Applied Statistics, Taylor & Francis Journals, volume 41, issue 1, pages 142-163, January, DOI: 10.1080/02664763.2013.838663.
• Heejoon Han & Dennis Kristensen, 2014, "Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 32, issue 3, pages 416-429, July, DOI: 10.1080/07350015.2014.897954.
• Petter Bjerksund & Gunnar Stensland, 2014, "Closed form spread option valuation," Quantitative Finance, Taylor & Francis Journals, volume 14, issue 10, pages 1785-1794, October, DOI: 10.1080/14697688.2011.617775.
• Vassilis A. Efthymiou & George N. Leledakis, 2014, "The price impact of the disposition effect on the ex-dividend day of NYSE and AMEX common stocks," Quantitative Finance, Taylor & Francis Journals, volume 14, issue 4, pages 711-724, April, DOI: 10.1080/14697688.2014.891759.
• Roberto Ghiselli Ricci & Carlo Alberto Magni, 2014, "Axiomatization of residual income and generation of financial securities," Quantitative Finance, Taylor & Francis Journals, volume 14, issue 7, pages 1257-1271, July, DOI: 10.1080/14697688.2012.717415.
• Nicholas Apergis & Beatrice Simo-Kengne & Rangan Gupta, 2014, "The Long-Run Relationship Between Consumption, House Prices, and Stock Prices in South Africa: Evidence from Provincial-level Data," Journal of Real Estate Literature, Taylor & Francis Journals, volume 22, issue 1, pages 83-99, January, DOI: 10.1080/10835547.2014.12090371.
• Carlo Alberto Magni, 2014, "Mathematical Analysis of Average Rates of Return and Investment Decisions: The Missing Link," The Engineering Economist, Taylor & Francis Journals, volume 59, issue 3, pages 175-206, July, DOI: 10.1080/0013791X.2014.881174.
• Nikola Mirkov, 2014, "International financial transmission of the Fed's monetary policy," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 7, issue 2, pages 7-49, September.
• Živilė Savickaitė, 2014, "The Evaluation of Company's Intangible Assets' influence for Business Value," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 7, issue 3, pages 133-155, December.
• Yuan Yuan, 2014, "Funding Liquidity and Market Liquidity," DETU Working Papers, Department of Economics, Temple University, number 1406, Dec.
• Canofari Paolo & Marini Giancarlo & Piersanti Giovanni, 2014, "Expectations and systemic risk in EMU government bond spreads," wp.comunite, Department of Communication, University of Teramo, number 0113, Sep.
• Victoria Atanasov, 2014, "Common Risk Factors in Equity Markets," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-070/IV, Jun.
• David E. Allen & Michael McAleer & Marcel Scharth, 2014, "Asymmetric Realized Volatility Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-075/III, Jun.
• Albert J. Menkveld & Marius A. Zoican, 2014, "Need for Speed? Exchange Latency and Liquidity," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-097/IV, Jul.
• David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014, "Volatility Spillovers from Australia's Major Trading Partners across the GFC," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-106/III, Aug.
• Marcin Wojtowicz, 2014, "Capital Structure Arbitrage revisited," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-137/IV/DSF81, Oct.
• Breaban, A.G. & Noussair, C.N., 2014, "Fundamental Value Trajectories and Trader Characteristics in an Asset Market Experiment," Discussion Paper, Tilburg University, Center for Economic Research, number 2014-010.
• Penasse, J.N.G. & Renneboog, L.D.R., 2014, "Bubbles and Trading Frenzies : Evidence from the Art Market," Discussion Paper, Tilburg University, Center for Economic Research, number 2014-068.
• Penasse, J.N.G. & Renneboog, L.D.R., 2014, "Bubbles and Trading Frenzies : Evidence from the Art Market," Discussion Paper, Tilburg University, Tilburg Law and Economic Center, number 2014-046.
• Penasse, J.N.G. & Renneboog, L.D.R., 2014, "Bubbles and Trading Frenzies : Evidence from the Art Market," Other publications TiSEM, Tilburg University, School of Economics and Management, number 386dd5e7-e672-4d9d-829c-6.
• Penasse, J.N.G. & Renneboog, L.D.R., 2014, "Bubbles and Trading Frenzies : Evidence from the Art Market," Other publications TiSEM, Tilburg University, School of Economics and Management, number bf0d8984-df7f-4f02-afc7-3.
• Karehnke, P., 2014, "Portfolio choice and asset pricing with endogenous beliefs and skewness preference," Other publications TiSEM, Tilburg University, School of Economics and Management, number d0a7843a-5bc8-4fa8-97d6-f.
• Josh Stillwagon, 2014, "Testing the Expectations Hypothesis with Survey Forecasts: The Impacts of Consumer Sentiment and the Zero Lower Bound in an I(2) CVAR," Working Papers, Trinity College, Department of Economics, number 1401, Jan.
• Lescourret, Laurence & Moinas, Sophie, 2014, "Liquidity Supply across Multiple Trading Venues," TSE Working Papers, Toulouse School of Economics (TSE), number 14-533, Oct, revised Mar 2015.
• Gollier, Christian, 2014, "Gamma discounters are short-termist," TSE Working Papers, Toulouse School of Economics (TSE), number 14-499, Jun, revised Oct 2014.
• Yulei Peng & Anastasia Zervou, 2014, "Monetary Policy Rules and the Equity Premium," Working Papers, Texas A&M University, Department of Economics, number 20141115_001, Nov.
• Samuel Brazys & Peter Heaney & Patrick Paul Walsh, 2014, "From the Great Lakes to the Great Rift Valley: Does Strategic Economic Policy Explain the 2009 Malawi Election?," Working Papers, Geary Institute, University College Dublin, number 201401, Feb.
• John Cotter & Davide Avino, 2014, "Sovereign and bank CDS spreads: two sides of the same coin?," Working Papers, Geary Institute, University College Dublin, number 201402, Feb.
• John Cotter & Niall O'Sullivan & Francesco Rossi, 2014, "The Conditional Pricing of Systematic and Idiosyncratic Risk in the UK Equity Market," Working Papers, Geary Institute, University College Dublin, number 201403, Feb.
• John Cotter & Jim Hanly, 2014, "Performance of Utility Based Hedges," Working Papers, Geary Institute, University College Dublin, number 201404, Feb.
• John Cotter & Stuart Gabriel & Richard Roll, 2014, "Can housing risk be diversified? A cautionary tale from the housing boom and bust," Working Papers, Geary Institute, University College Dublin, number 201412, Oct.
• John Cotter & Enrique Salvador, 2014, "The non-linear trade-off between return and risk: a regime-switching multi-factor framework," Working Papers, Geary Institute, University College Dublin, number 201414, Nov.
• David E. Allen & Michael McAleer & Marcel Scharth, 2014, "Asymmetric Realized Volatility Risk," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2014-16, Jun.
• Pilar Abad Romero & Maria Dolores Robles Fernández, 2014, "The Risk-Return binomial after rating changes," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2014-23, Jul.
• Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio, 2014, "Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2014-25.
• Frederico Belo & Xiaoji Lin & Santiago Bazdresch, 2014, "Labor Hiring, Investment, and Stock Return Predictability in the Cross Section," Journal of Political Economy, University of Chicago Press, volume 122, issue 1, pages 129-177, DOI: 10.1086/674549.
• Venky Venkateswaran & Randall Wright, 2014, "Pledgability and Liquidity: A New Monetarist Model of Financial and Macroeconomic Activity," NBER Macroeconomics Annual, University of Chicago Press, volume 28, issue 1, pages 227-270, DOI: 10.1086/674600.
• Martin Lettau & Sydney C. Ludvigson, 2014, "Shocks and Crashes," NBER Macroeconomics Annual, University of Chicago Press, volume 28, issue 1, pages 293-354, DOI: 10.1086/674605.
• Alejandro Bernales & Diether W. Beuermann & Gonzalo Cortazar, 2014, "Thinly traded securities and risk management," Estudios de Economia, University of Chile, Department of Economics, volume 41, issue 1 Year 20, pages 5-48, June.
• Alasdair Brown & Fuyu Yang, 2014, "The Role of Speculative Trade in Market Efficiency: Evidence from a Betting Exchange," University of East Anglia Applied and Financial Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK., number 068, Dec.
• Anna Iara & Guntram Wolff, 2014, "Rules and risk in the Euro area," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/386950, Jun.
• Aaron Hedlund, 2014, "The Cyclical Dynamics of Illiquid Housing, Debt, and Foreclosures," Working Papers, Department of Economics, University of Missouri, number 1416, Aug.
• Aaron Hedlund, 2014, "Illiquidity and its Discontents: Trading Delays and Foreclosures in the Housing Market," Working Papers, Department of Economics, University of Missouri, number 1417, Sep.
• Mirko Abbritti & Salvatore Dell'Erba & ​Antonio Moreno & Sergio Sola, 2014, "Global Factors in the Term Structure of Interest Rates," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 01/14, Jan.
• Magomet Yandiev, 2014, "Relationship Between Interest Rate and Corporate Bond Yield," Working Papers, Moscow State University, Faculty of Economics, number 0006, Jan.
• Gaertner, Manfred, 2014, "Standards are Poor: On Competence and Professional Integrity at the Leading Rating Agency," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1418, Jul.
• Fecht, Falko & Füss, Roland & Rindler, Philipp B., 2014, "Corporate Transparency and Bond Liquidity," Working Papers on Finance, University of St. Gallen, School of Finance, number 1404, Feb.
• Trojani, Fabio & Wiehenkamp, Christian & Wrampelmeyer, Jan, 2014, "Ambiguity and Reality," Working Papers on Finance, University of St. Gallen, School of Finance, number 1418, Dec.
• Haerri, Matthias & Morkoetter, Stefan & Westerfeld, Simone, 2014, "Sovereign Risk and the Pricing of Corporate Credit Default Swaps," Working Papers on Finance, University of St. Gallen, School of Finance, number 1423, May, revised Feb 2015.
• Daniele Girardi, 2014, "Explaining the time-varying relation between agricultural prices and stock market dynamics," Department of Economics University of Siena, Department of Economics, University of Siena, number 701, Oct.
• Xue-Zhong He & Kai Li, 2014, "Time Series Momentum and Market Stability," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 341, Feb.
• Carl Chiarella & Xue-Zhong He & Remco C.J. Zwinkels, 2014, "Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 344, Mar.
• KiHoon Jimmy Hong & Eliza Wu, 2014, "Can Momentum Factors Be Used to Enhance Accounting Information based Fundamental Analysis in Explaining Stock Price Movements?," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 346, Mar.
• KiHoon Jimmy Hong & Bin Peng & Xiaohui Zhang, 2014, "Capturing the Impact of Latent Industry-Wide Shocks with Dynamic Panel Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 347, Mar.
• Mark POMYKACZ & Chris OLMSTED, 2014, "Options in Real Estate Valuation," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 9, issue 1, pages 72-93.
• Don GUARINO & Cameron CHEHRAZI & Brad A. BOHL, 2014, "Ground Lease Provisions. A Case Study for Leasehold Valuation," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 9, issue 2, pages 122-137.
• Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2014, "Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading," Working Papers, University of Verona, Department of Economics, number 02/2014, Feb.
• FETINIUC, Valentina & IVAN, Luchian & GHERBOVEŢ, Sergiu, 2014, "Speculative Bubbles And Financial Crises," Journal of Financial and Monetary Economics, Centre of Financial and Monetary Research "Victor Slavescu", volume 1, issue 1, pages 153-162.
• Elisabetta Basilico & Tommi Johnsen, 2014, "Disentangling the Accruals Mispricing in Europe: Is It an Industry Effect?," Working Papers, Venice School of Management - Department of Management, Università Ca' Foscari Venezia, number 05, Apr.
• Piasecki Krzysztof, 2014, "Intuitionistic Assessment Of Behavioural Present Value," Folia Oeconomica Stetinensia, Sciendo, volume 13, issue 2, pages 49-62, DOI: 10.2478/foli-2013-0021.
• Urbański Stanisław & Jawor Paweł & Urbański Kacper, 2014, "The Impact Of Penny Stocks On The Pricing Of Companies Listed On The Warsaw Stock Exchange In Light Of The CAPM," Folia Oeconomica Stetinensia, Sciendo, volume 14, issue 2, pages 163-178, December, DOI: 10.1515/foli-2015-0015.
• Wolski Rafał, 2014, "Application of the Beta Coefficient in the Market of Direct residential Real Estate Investments," Real Estate Management and Valuation, Sciendo, volume 22, issue 2, pages 13-21, July, DOI: 10.2478/remav-2014-0013.
• Gdakowicz Anna, 2014, "The Application of Japanese Candlestick Charting on the Residential Real Estate Market," Real Estate Management and Valuation, Sciendo, volume 22, issue 4, pages 27-34, February, DOI: 10.2478/remav-2014-0034.
• Charles Noussair & Steven Tucker, 2014, "Cash Inflows and Bubbles in Asset Markets with Constant Fundamental Values," Working Papers in Economics, University of Waikato, number 14/03, Feb.
• Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik, 2014, "Simple heuristics for pricing VIX options," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2014-25.
• Anginer, Deniz & Cerutti, Eugenio & Martinez Peria, Maria Soledad, 2014, "Foreign bank subsidiaries'default risk during the global crisis : what factors help insulate affiliates from their parents ?," Policy Research Working Paper Series, The World Bank, number 7053, Oct.
• Katrin Rabitsch, 2014, "An Incomplete Markets Explanation to the UIP Puzzle," Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics, number wuwp171, Mar.
• Wing Chan, Derek Wang, Terence Chong, 2014, "Price Limit And Stock Volatility In China During Financial Crises," LCERPA Working Papers, Laurier Centre for Economic Research and Policy Analysis, number wm0069, Mar.
• Benjamin Born & Michael Ehrmann & Marcel Fratzscher, 2014, "Central Bank Communication on Financial Stability," Economic Journal, Royal Economic Society, volume 124, issue 577, pages 701-734, June.
• Mikhail Golosov & Guido Lorenzoni & Aleh Tsyvinski, 2014, "Decentralized Trading With Private Information," Econometrica, Econometric Society, volume 82, issue 3, pages 1055-1091, May, DOI: 10.3982/ECTA8911.
• Zhiguo He & Konstantin Milbradt, 2014, "Endogenous Liquidity and Defaultable Bonds," Econometrica, Econometric Society, volume 82, issue 4, pages 1443-1508, July.
• Guglielmo Maria Caporale & Luis Gil‐Alana, 2014, "Long‐Run and Cyclical Dynamics in the US Stock Market," Journal of Forecasting, John Wiley & Sons, Ltd., volume 33, issue 2, pages 147-161, March.
• MÁrcio Poletti Laurini & Luiz Koodi Hotta, 2014, "Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations," Journal of Forecasting, John Wiley & Sons, Ltd., volume 33, issue 3, pages 214-230, April.
• Mohammad Al‐Shboul & Sajid Anwar, 2014, "Foreign exchange rate exposure: Evidence from Canada," Review of Financial Economics, John Wiley & Sons, volume 23, issue 1, pages 18-29, January, DOI: 10.1016/j.rfe.2013.12.001.
• Leh-Chyan So, 2014, "Are Real Options "Real"? Isolating Uncertainty From Risk In Real Options Analysis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 9, issue 01, pages 1-18, DOI: 10.1142/S2010495214500018.
• Chia-Lin Chang & Shing-Yang Hu & Shih-Ti Yu, 2014, "Recent Developments In Quantitative Finance: An Overview," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 9, issue 02, pages 1-7, DOI: 10.1142/S2010495214020023.
• Junya Jiang & Weidong Tian, 2014, "Equilibrium analysis of one aggressive investment strategy," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., volume 1, issue 04, pages 1-29, DOI: 10.1142/S2345768614500366.
• Santiago García-Verdú & Manuel Ramos-Francia, 2014, "Interventions and Expected Exchange Rates in Emerging Market Economies," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 4, issue 01, pages 1-34, DOI: 10.1142/S2010139214500025.
• Antje Berndt & Anastasiya Ostrovnaya, 2014, "Do Equity Markets Favor Credit Market News Over Options Market News?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 4, issue 02, pages 1-51, DOI: 10.1142/S2010139214500062.
• Jing-Zhi Huang & Li Xu, 2014, "Stochastic Volatility Models for Asset Returns with Leverage, Skewness and Heavy-Tails via Scale Mixture," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 4, issue 03, pages 1-31, DOI: 10.1142/S2010139214500116.
• Oleg Bondarenko, 2014, "Why Are Put Options So Expensive?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 4, issue 03, pages 1-50, DOI: 10.1142/S2010139214500153.
• Mark H A Davis & Sébastien Lleo, 2014, "Risk-Sensitive Investment Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9026, ISBN: ARRAY(0x62e7b478), March.
• Mark H. A. Davis & Sébastien Lleo, 2014, "The Merton Problem," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, "RISK-SENSITIVE INVESTMENT MANAGEMENT".
• Mark H. A. Davis & Sébastien Lleo, 2014, "Risk-Sensitive Asset Management," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, "RISK-SENSITIVE INVESTMENT MANAGEMENT".
• Mark H. A. Davis & Sébastien Lleo, 2014, "Managing Against a Benchmark," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, "RISK-SENSITIVE INVESTMENT MANAGEMENT".
• Mark H. A. Davis & Sébastien Lleo, 2014, "Asset and Liability Management," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, "RISK-SENSITIVE INVESTMENT MANAGEMENT".
• Mark H. A. Davis & Sébastien Lleo, 2014, "Investment Constraints," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, "RISK-SENSITIVE INVESTMENT MANAGEMENT".
• Mark H. A. Davis & Sébastien Lleo, 2014, "Infinite Horizon Problems," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, "RISK-SENSITIVE INVESTMENT MANAGEMENT".
• Mark H. A. Davis & Sébastien Lleo, 2014, "Jumps in Asset Prices," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, "RISK-SENSITIVE INVESTMENT MANAGEMENT".
• Mark H. A. Davis & Sébastien Lleo, 2014, "General Jump-Diffusion Setting," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, "RISK-SENSITIVE INVESTMENT MANAGEMENT".
• Mark H. A. Davis & Sébastien Lleo, 2014, "Fund Separation and Fractional Kelly Strategies," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, "RISK-SENSITIVE INVESTMENT MANAGEMENT".
• Mark H. A. Davis & Sébastien Lleo, 2014, "Managing Against a Benchmark: Jump-Diffusion Case," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, "RISK-SENSITIVE INVESTMENT MANAGEMENT".
• Mark H. A. Davis & Sébastien Lleo, 2014, "Asset and Liability Management: Jump-Diffusion Case," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, "RISK-SENSITIVE INVESTMENT MANAGEMENT".
• Mark H. A. Davis & Sébastien Lleo, 2014, "Factor and Securities Models," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, "RISK-SENSITIVE INVESTMENT MANAGEMENT".
• Mark H. A. Davis & Sébastien Lleo, 2014, "Case Studies," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 13, "RISK-SENSITIVE INVESTMENT MANAGEMENT".
• Mark H. A. Davis & Sébastien Lleo, 2014, "Numerical Methods," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 14, "RISK-SENSITIVE INVESTMENT MANAGEMENT".
• Mark H. A. Davis & Sébastien Lleo, 2014, "Factor Estimation: Filtering and Black-Litterman," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 15, "RISK-SENSITIVE INVESTMENT MANAGEMENT".
• Lars Peter Hansen & Thomas J Sargent, 2014, "A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, "UNCERTAINTY WITHIN ECONOMIC MODELS".
• Crocker H. Liu & Adam Nowak & Stuart Rosenthal, 2014, "Bubbles, Post-Crash Dynamics, and the Housing Market," Working Papers, Department of Economics, West Virginia University, number 14-18, May.
• Zachary McGurk & Adam Nowak, 2014, "The Relationship Between Stock Returns and Investor Sentiment: Evidence from Social Media," Working Papers, Department of Economics, West Virginia University, number 14-38, Dec.
• Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2014, "European Equity Investing through the Financial Crisis: Can Risk Parity, Momentum or Trend Following Help to Reduce Tail Risk?," Discussion Papers, Department of Economics, University of York, number 14/02, Jan.
• Tihana Škrinjarić Bruno Besek, 2014, "Pre and Post Crisis Performance Measurement of Croatian Stock Market," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, volume 17, issue 2, pages 97-116, November.
• Alicia Mar�n Solano & Sandra Ferreruela Garc�s, 2014, "An�lisis del comportamiento imitador intrad�a en el mercado de valores espa�ol durante el periodo de crisis 2008-2009," Documentos de Trabajo, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza, number dt2014-01, Jan.
• Schwarz, Claudia, 2014, "Investor fears and risk premia for rare events," Discussion Papers, Deutsche Bundesbank, number 03/2014.
• Cici, Gjergji & Gibson, Scott & Gündüz, Yalin & Merrick, John J., 2014, "Market transparency and the marking precision of bond mutual fund managers," Discussion Papers, Deutsche Bundesbank, number 09/2014.
• Eder, Armin & Fecht, Falko & Pausch, Thilo, 2014, "Banks, markets, and financial stability," Discussion Papers, Deutsche Bundesbank, number 31/2014.
• Fricke, Christoph & Menkhoff, Lukas, 2014, "Financial conditions, macroeconomic factors and (un)expected bond excess returns," Discussion Papers, Deutsche Bundesbank, number 35/2014.
• Dötz, Niko, 2014, "Decomposition of country-specific corporate bond spreads," Discussion Papers, Deutsche Bundesbank, number 37/2014.
• Vilsmeier, Johannes, 2014, "Updating the option implied probability of default methodology," Discussion Papers, Deutsche Bundesbank, number 43/2014.
• Bethke, Sebastian & Kempf, Alexander & Trapp, Monika, 2014, "Investor sentiment, flight-to-quality, and corporate bond comovement," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-06 [rev.].
• Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2014, "Investor sentiment, flight-to-quality, and corporate bond comovement," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-06 [rev.2].
• Cici, Gjergji & Gibson, Scott & Gündüz, Yalin & Merrick, John J., 2014, "Market transparency and the marking precision of bond mutual fund managers," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-07 [rev.].
• Grammig, Joachim & Schaub, Eva-Maria, 2014, "Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 14-05.
• Sönksen, Jantje & Grammig, Joachim, 2020, "Empirical Asset Pricing with Multi-Period Disaster Risk: A Simulation-Based Approach," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 14-06, revised 2020, DOI: 10.2139/ssrn.3377345.
• Theissen, Erik & Zehnder, Lars Simon, 2014, "Estimation of trading costs: Trade indicator models revisited," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 14-09.
• Betermier, Sebastien & Calvet, Laurent E. & Sodini, Paolo, 2014, "Who are the value and growth investors?," CFS Working Paper Series, Center for Financial Studies (CFS), number 455.
• Friewald, Nils & Jankowitsch, Rainer & Subrahmanyam, Marti G., 2014, "To disclose or not to disclose: Transparency and liquidity in the structured product market," CFS Working Paper Series, Center for Financial Studies (CFS), number 461.
• Grammig, Joachim & Schaub, Eva-Maria, 2014, "Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing models," CFS Working Paper Series, Center for Financial Studies (CFS), number 479.
• Grammig, Joachim & Sönksen, Jantje, 2014, "Consumption-based asset pricing with rare disaster risk," CFS Working Paper Series, Center for Financial Studies (CFS), number 480.
• Kräussl, Roman & Lehnert, Thorsten & Martelin, Nicolas, 2014, "Is there a bubble in the art market?," CFS Working Paper Series, Center for Financial Studies (CFS), number 493.
• Ferreira Filipe, Sara & Grammatikos, Theoharry & Michala, Dimitra, 2014, "Pricing Default Risk: The good, the bad, and the anomaly," EIF Working Paper Series, European Investment Fund (EIF), number 2014/23.
• Bag, Dinabandhu, 2014, "Market leverage of real estate firms in India: empirical study," EconStor Conference Papers, ZBW - Leibniz Information Centre for Economics, number 272924.
• Shachmurove, Yochanan & Vulanovic, Milos, 2014, "SPACs with focus on China," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 92407.
• Horváth, Roman & Maršál, Aleš, 2014, "The term structure of interest rates in a small open economy DSGE model with Markov switching," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 22.
• Franke, Reiner & Ghonghadze, Jaba, 2014, "Integrating Real Sector Growth and Inflation Into An Agent-Based Stock Market Dynamics," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 4.
• Chen, Zhenxi, 2014, "Estimating heterogeneous agents behavior with different investment horizons in stock markets," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 5.
• Dhaoui, Abderrazak & Khraief, Naceur, 2014, "Empirical linkage between oil price and stock market returns and volatility: Evidence from international developed markets," Economics Discussion Papers, Kiel Institute for the World Economy, number 2014-12.
• Bossone, Biagio, 2014, "Secular stagnation," Economics Discussion Papers, Kiel Institute for the World Economy, number 2014-47.
• Raddant, Matthias & Wagner, Friedrich, 2014, "Transitions in the stock markets of the US, UK, and Germany," Kiel Working Papers, Kiel Institute for the World Economy, number 1979.
• Ye, Qing & Turner, John D., 2014, "The cross-section of stock returns in an early stock market," QUCEH Working Paper Series, Queen's University Belfast, Queen's University Centre for Economic History, number 14-05.
• Belke, Ansgar, 2014, "Exit Strategies and Their Impact on the Euro Area - A Model Based View," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 467, DOI: 10.4419/86788527.
• Buss, Adrian & Uppal, Raman & Vilkov, Grigory, 2015, "Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 41, revised 2015, DOI: 10.2139/ssrn.2397083.
• Aït-Sahalia, Yacine & Laeven, Roger J. A. & Pelizzon, Loriana, 2014, "Mutual excitation in eurozone sovereign CDS," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 51, DOI: 10.2139/ssrn.2438625.
• Kraft, Holger & Seiferling, Thomas & Seifried, Frank Thomas, 2016, "Optimal consumption and investment with Epstein-Zin recursive utility," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 52, revised 2016, DOI: 10.2139/ssrn.2444747.
• Baghestanian, Sascha & Walker, Todd B., 2015, "Anchoring in experimental asset markets," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 54, revised 2015, DOI: 10.2139/ssrn.2456941.
• Curatola, Giuliano & Donadelli, Michael & Gioffré, Alessandro & Grüning, Patrick, 2015, "Austerity, fiscal uncertainty, and economic growth: Insights from fiscally weak EU countries," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 56, revised 2015, DOI: 10.2139/ssrn.2458855.