Research classified by Journal of Economic Literature (JEL) codes

2014

• Petra Andrlikova, 2014, "Is Barrier version of Merton model more realistic? Evidence from Europe," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 0801868, Oct.
• Thorsten Lehnert, 2014, "Press Freedom and Jumps in Stock Prices," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 0902033, Dec.
• Thomas Nitschka, 2014, "What News Drive Variation in Swiss and US Bond and Stock Excess Returns?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 150, issue II, pages 89-118, June.
• Lucas Herrenbrueck, 2014, "Quantitative Easing and the Liquidity Channel of Monetary Policy," Discussion Papers, Department of Economics, Simon Fraser University, number dp14-09, Dec, revised Apr 2016.
• Stefan Trappl & Karl Zehetner & Robert Pichler, 2014, "The Effect of the Introduction of a »Pay Per Use« Option within motor TPL insurance," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, volume 1, issue 1, pages 73-87, DOI: 10.7172/2353-6845.jbfe.2014.1.5.
• Roshni Mohanty & Srinivasan P, 2014, "The Time-Varying Risk And Return Trade-Off In Indian Stock Markets," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 6, issue 2 (June), pages 266-281.
• Tao Zeng & Yong Li & Jun Yu, 2014, "Deviance Information Criterion for Comparing VAR Models," Working Papers, Singapore Management University, School of Economics, number 01-2014, Jun.
• Andras Fulop & Jun Yu, 2014, "Bayesian Analysis of Bubbles in Asset Prices," Working Papers, Singapore Management University, School of Economics, number 04-2014, Jul.
• Yan Li & Liangjun Su & Yuewu Xu, 2014, "A Combined Approach to the Inference of Conditional Factor Models," Working Papers, Singapore Management University, School of Economics, number 10-2014, Aug.
• Thomas Nitschka, 2014, "The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?," Working Papers, Swiss National Bank, number 2014-01.
• Thomas Nitschka, 2014, "Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market," Working Papers, Swiss National Bank, number 2014-13.
• Marc Peters & Hugues Pirotte, 2014, "Unveiling Sovereign Effects in European Banks CDS Spreads Variations," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 14-018, Aug.
• Bruno Giovannetti & Mauro Rodrigues, Eduardo Ros, 2014, "Investment Grade, Asset Prices and Changes in the Source of Systematic Risk," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2014_05, Apr.
• Chara Theodoraki, 2014, "The interpretative ability of coefficient R2 to calculate the firm value," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, volume 64, issue 1, pages 29-41, January-M.
• Yuri Golubev & Wolfgang Härdle & Roman Timofeev, 2014, "Testing monotonicity of pricing kernels," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 98, issue 4, pages 305-326, October, DOI: 10.1007/s10182-014-0225-5.
• Jörn Sass & Manfred Schäl, 2014, "Numeraire portfolios and utility-based price systems under proportional transaction costs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 37, issue 2, pages 195-234, October, DOI: 10.1007/s10203-012-0132-8.
• Matteo Del Vigna, 2014, "A note on the existence of CAPM equilibria with homogeneous cumulative prospect theory preferences," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 37, issue 2, pages 341-348, October, DOI: 10.1007/s10203-012-0140-8.
• Xianzhe Chen & Weidong Tian, 2014, "Optimal portfolio choice and consistent performance," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 37, issue 2, pages 453-474, October, DOI: 10.1007/s10203-013-0154-x.
• Chau Le & Dickinson David, 2014, "Asset price volatility and financial contagion: analysis using the MS-VAR framework," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 4, issue 2, pages 133-162, December, DOI: 10.1007/s40822-014-0009-y.
• Seokchin Kim & Cheolho Park & Youngjun Yun, 2014, "Hedging with mini gold futures: evidence from Korea," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 4, issue 2, pages 163-176, December, DOI: 10.1007/s40822-014-0012-3.
• Francesca Biagini & Hans Föllmer & Sorin Nedelcu, 2014, "Shifting martingale measures and the birth of a bubble as a submartingale," Finance and Stochastics, Springer, volume 18, issue 2, pages 297-326, April, DOI: 10.1007/s00780-013-0221-8.
• Emmanuel Gobet, 2014, "A correction note to “Discrete time hedging errors for options with irregular payoffs”," Finance and Stochastics, Springer, volume 18, issue 2, pages 483-485, April, DOI: 10.1007/s00780-014-0226-y.
• Winslow Strong, 2014, "Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension," Finance and Stochastics, Springer, volume 18, issue 3, pages 487-514, July, DOI: 10.1007/s00780-014-0230-2.
• Agostino Capponi & Stefano Pagliarani & Tiziano Vargiolu, 2014, "Pricing vulnerable claims in a Lévy-driven model," Finance and Stochastics, Springer, volume 18, issue 4, pages 755-789, October, DOI: 10.1007/s00780-014-0239-6.
• Marcel Nutz, 2014, "Superreplication under model uncertainty in discrete time," Finance and Stochastics, Springer, volume 18, issue 4, pages 791-803, October, DOI: 10.1007/s00780-014-0238-7.
• Irene Klein & Emmanuel Lépinette & Lavinia Perez-Ostafe, 2014, "Asymptotic arbitrage with small transaction costs," Finance and Stochastics, Springer, volume 18, issue 4, pages 917-939, October, DOI: 10.1007/s00780-014-0242-y.
• Omid Sabbaghi & Navid Sabbaghi, 2014, "An empirical analysis of the Carbon Financial Instrument," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 38, issue 2, pages 209-234, April, DOI: 10.1007/s12197-011-9208-5.
• Haiyan Zhou & Stephen Owusu-Ansah, 2014, "Cross listing, disclosure regimes, and trading volume sensitivity to stock returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 38, issue 3, pages 383-406, July, DOI: 10.1007/s12197-011-9222-7.
• Richard Borghesi, 2014, "The impact of the disposition effect on asset prices: insight from the NBA," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 38, issue 4, pages 698-711, October, DOI: 10.1007/s12197-013-9260-4.
• Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2014, "Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-13, Apr.
• Tom Engsted, 2014, "Fama on bubbles," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-28, Aug.
• Nektarios Aslanidis & Charlotte Christiansen & Neophytos Lambertides & Christos S. Savva, 2014, "Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-45, Nov.
• Martin M. Andreasen & Andrew Meldrum, 2014, "Dynamic term structure models: The best way to enforce the zero lower bound," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-47, Nov.
• Tim Bollerslev & Sophia Zhengzi Li & Viktor Todorov, 2014, "Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-48, Dec.
• Tim Bollerslev & Viktor Todorov & Lai Xu, 2014, "Tail Risk Premia and Return Predictability," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-49, Sep.
• Cristina M. Scherrer, 2014, "Cross listing: price discovery dynamics and exchange rate effects," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-53, Dec.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2014, "The Risk Premia Embedded in Index Options," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-56, Dec.
• Peter Christoffersen & Xuhui (Nick) Pan, 2014, "Equity Portfolio Management Using Option Price Information," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-05, Apr.
• Peter Christoffersen & Xuhui (Nick) Pan, 2014, "Oil Volatility Risk and Expected Stock Returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-06, Dec.
• Peter Christoffersen & Bruno Feunou & Yoontae Jeon, 2014, "Option Valuation with Observable Volatility and Jump Dynamics," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-07, Aug.
• Kadir G. Babaoglou & Peter Christoffersen & Steven L. Heston & Kris Jacobs, 2014, "Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-55, Nov.
• Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern, 2014, "The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2014-14, Nov.
• Katya Kartashova, 2014, "Private Equity Premium Puzzle Revisited," American Economic Review, American Economic Association, volume 104, issue 10, pages 3297-3334, October.
• Marco Cipriani & Antonio Guarino, 2014, "Estimating a Structural Model of Herd Behavior in Financial Markets," American Economic Review, American Economic Association, volume 104, issue 1, pages 224-251, January.
• Michael D. Bauer & Glenn D. Rudebusch & Jing Cynthia Wu, 2014, "Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment," American Economic Review, American Economic Association, volume 104, issue 1, pages 323-337, January.
• Jonathan H. Wright, 2014, "Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Reply," American Economic Review, American Economic Association, volume 104, issue 1, pages 338-341, January.
• Markus K. Brunnermeier & Yuliy Sannikov, 2014, "A Macroeconomic Model with a Financial Sector," American Economic Review, American Economic Association, volume 104, issue 2, pages 379-421, February.
• Jordi Gal?, 2014, "Monetary Policy and Rational Asset Price Bubbles," American Economic Review, American Economic Association, volume 104, issue 3, pages 721-752, March, DOI: 10.1257/aer.104.3.721.
• Andr? Kurmann & Elmar Mertens, 2014, "Stock Prices, News, and Economic Fluctuations: Comment," American Economic Review, American Economic Association, volume 104, issue 4, pages 1439-1445, April.
• Eric Budish & Peter Cramton & John Shim, 2014, "Implementation Details for Frequent Batch Auctions: Slowing Down Markets to the Blink of an Eye," American Economic Review, American Economic Association, volume 104, issue 5, pages 418-424, May.
• Christian Gollier, 2014, "Discounting and Growth," American Economic Review, American Economic Association, volume 104, issue 5, pages 534-537, May.
• Eugene F. Fama, 2014, "Two Pillars of Asset Pricing," American Economic Review, American Economic Association, volume 104, issue 6, pages 1467-1485, June.
• Robert J. Shiller, 2014, "Speculative Asset Prices," American Economic Review, American Economic Association, volume 104, issue 6, pages 1486-1517, June.
• Veronica Guerrieri & Robert Shimer, 2014, "Dynamic Adverse Selection: A Theory of Illiquidity, Fire Sales, and Flight to Quality," American Economic Review, American Economic Association, volume 104, issue 7, pages 1875-1908, July.
• Larry G. Epstein & Emmanuel Farhi & Tomasz Strzalecki, 2014, "How Much Would You Pay to Resolve Long-Run Risk?," American Economic Review, American Economic Association, volume 104, issue 9, pages 2680-2697, September.
• Ishani Tewari, 2014, "The Distributive Impacts of Financial Development: Evidence from Mortgage Markets during US Bank Branch Deregulation," American Economic Journal: Applied Economics, American Economic Association, volume 6, issue 4, pages 175-196, October.
• Felix Kubler & Larry Selden & Xiao Wei, 2014, "When Is a Risky Asset "Urgently Needed"?," American Economic Journal: Microeconomics, American Economic Association, volume 6, issue 2, pages 131-162, May.
• Spyridon D. Symeonides & Gerassimos Sapountzoglou, 2014, "On financial bubbles, investment decisions and investor’s utility," Working Papers, Athens University Of Economics and Business, Department of Economics, number 201406, Jun.
• Du, Xiaodong & Hennessy, David & Feng, Hongli, 2014, "Tail Dependence is to be Expected Among Crop Yields," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota, Agricultural and Applied Economics Association, number 174315, DOI: 10.22004/ag.econ.174315.
• Saguatti, Annachiara & Erickson, Kenneth & Gutierrez, Luciano, 2014, "Spatial panel models for the analysis of land prices," 2014 Third Congress, June 25-27, 2014, Alghero, Italy, Italian Association of Agricultural and Applied Economics (AIEAA), number 172997, DOI: 10.22004/ag.econ.172997.
• Khatik-, S.K. & Kr Nag, Amit, 2014, "Analyzing soundness of Nationalized Banks in India: a camel approach," APSTRACT: Applied Studies in Agribusiness and Commerce, AGRIMBA, volume 8, issue 01, pages 1-6, DOI: 10.22004/ag.econ.187531.
• Cordier, Jean & Gohin, Alexandre, 2014, "Quel impact des nouveaux spéculateurs sur les prix agricoles ? Une analyse empirique des fonds d’investissement," Économie rurale, French Society of Rural Economics (SFER Société Française d'Economie Rurale), volume 343, issue September.
• Siddiqi, Hammad, 2014, "Mental Accounting: A New Behavioral Explanation of Covered Call Performance," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 162567, Jan, DOI: 10.22004/ag.econ.162567.
• Siddiqi, Hammad, 2014, "The Financial Market Consequences of Growing Awareness: The Case of Implied Volatiltiy Skew," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 162568, Jan, DOI: 10.22004/ag.econ.162568.
• Siddiqi, Hammad, 2014, "The Routes to Chaos in the Bitcoins Market," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 164178, Feb, DOI: 10.22004/ag.econ.164178.
• Siddiqi, Hammad, , "Analogy Making and the Puzzles of Index Option Returns and Implied Volatility Skew: Theory and Empirical Evidence," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 177302, DOI: 10.22004/ag.econ.177302.
• Siddiqi, Hammad, 2014, "Analogy Making and the Structure of Implied Volatility Skew," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 187407, Oct, DOI: 10.22004/ag.econ.187407.
• Sun, Baojing & van Kooten, G. Cornelis, 2014, "Financial Weather Options for Crop Production," Working Papers, University of Victoria, Resource Economics and Policy, number 164323, Feb, DOI: 10.22004/ag.econ.164323.
• Vivien Lespagnol & Juliette Rouchier, 2014, "Trading volume and market efficiency: an Agent Based Model with heterogenous knowledge about fundamentals," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1419, May, revised May 2014.
• Dorel Berceanu & Nicolae Sichigea & Daniel Militaru, 2014, "Risk Measurement Using The ? (Beta) Coefficient For Financial Investment Companies," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 42, pages 279-288.
• Marian Siminica & Mirela Ganea & Silviu Cârstina, 2014, "Subjective Nature Of Asset Valuation Yield Method," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 42, pages 7-12.
• Prof. Marian Siminica Ph. D & Lector. Mirela Ganea Ph. D & Stud. Silviu Carstina Ph.D Student, 2014, "Estimate Profitability Indicators In The Assessment Process," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 22, pages 172-176, APRIL.
• Taamouti, Abderrahim & Bouezmarni, Taoufik & El Ghouch, Anouar, 2014, "Nonparametric estimation and inference for conditional density based Granger causality measures," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2014025, Jan.
• De Winne, Rudy & Platten, Isabelle & Gresse, Carole, 2014, "Liquidity and risk sharing benefits from opening an ETF market with liquidity providers: Evidence from the CAC 40 index," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2014003, Jan.
• Teodor Hada & Teodora Maria Avram, 2014, "A Study On Determing The Financial Position Based On Financial Diagnosis In Companies Listed On The Bucharest Stock Exchange," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 16, pages 1-9.
• Frank Kleibergen & Zhaoguo Zhan, 2014, "Unexplained factors and their effects on second pass R-squared’s," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 14-05, Dec.
• Robert Faff, 2014, "Alpha," Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, volume 13, issue 4, pages 607-622, December.
• Hommes, C.H. & in 't Veld, D., 2014, "Booms, busts and behavioural heterogeneity in stock prices," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 14-14.
• Pawel Gajewski, 2014, "Sovereign spreads and financial market behavior before and during the crisis," Lodz Economics Working Papers, University of Lodz, Faculty of Economics and Sociology, number 4/2014, Sep.
• Patricia M. Dechow & Richard G. Sloan & Jenny Zha, 2014, "Stock Prices and Earnings: A History of Research," Annual Review of Financial Economics, Annual Reviews, volume 6, issue 1, pages 343-363, December.
• Robert A. Jarrow, 2014, "Forward Rate Curve Smoothing," Annual Review of Financial Economics, Annual Reviews, volume 6, issue 1, pages 443-458, December.
• Ana Fostel & John Geanakoplos, 2014, "Endogenous Collateral Constraints and the Leverage Cycle," Annual Review of Economics, Annual Reviews, volume 6, issue 1, pages 771-799, August.
• Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2014, "Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading," Papers, arXiv.org, number 1402.2046, Feb.
• Ivan Medovikov, 2014, "Can Analysts Predict Rallies Better Than Crashes?," Papers, arXiv.org, number 1405.3225, May.
• Pavel Ciaian & Miroslava Rajcaniova & d'Artis Kancs, 2014, "The Economics of BitCoin Price Formation," Papers, arXiv.org, number 1405.4498, May.
• Gianluca Cassese, 2014, "Option Pricing in an Imperfect World," Papers, arXiv.org, number 1406.0412, Jun, revised Sep 2016.
• Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2014, "A general HJM framework for multiple yield curve modeling," Papers, arXiv.org, number 1406.4301, Jun, revised May 2015.
• Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014, "The Random Walk of High Frequency Trading," Papers, arXiv.org, number 1408.3650, Aug, revised Aug 2014.
• Jorgen Vitting Andersen & Ioannis Vrontos & Petros Dellaportas & Serge Galam, 2014, "Communication impacting financial markets," Papers, arXiv.org, number 1410.2550, Oct.
• John Cotter & Enrique Salvador, 2014, "The non-linear trade-off between return and risk: a regime-switching multi-factor framework," Papers, arXiv.org, number 1410.6005, Oct.
• Gianluca Cassese, 2014, "Asset Pricing in an Imperfect World," Papers, arXiv.org, number 1410.6408, Oct.
• Jaroslav Boroviv{c}ka & Lars Peter Hansen & Jos'e A. Scheinkman, 2014, "Misspecified Recovery," Papers, arXiv.org, number 1412.0042, Nov, revised Oct 2015.
• Michail Anthropelos & Constantinos Kardaras, 2014, "Equilibrium in risk-sharing games," Papers, arXiv.org, number 1412.4208, Dec, revised Jul 2016.
• Klaus Adam & Johannes Beutel & Albert Marcet, 2014, "Stock Price Booms and Expected Capital Gains," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 948.14, Mar.
• Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2014, "Factor Models of Stock Returns: GARCH Errors versus Time - Varying Betas," DEOS Working Papers, Athens University of Economics and Business, number 1409, Sep.
• Ivana Tadic, 2014, "The Definition Of „Bundles“ Of Human Resource Management Function And Their Connection With The Financial Performance Of Companies," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, volume 23, issue 1, pages 145-170, june.
• Dean Uckar & Andrej Grbin, 2014, "Identification Of Significant Financial Indicators For The Market Valuation Of Croation Shares," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, volume 23, issue 2, pages 573-588, december.
• Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014, "Multivariate variance ratio statistics," CeMMAP working papers, Institute for Fiscal Studies, number 29/14, Jun, DOI: 10.1920/wp.cem.2014.2914.
• Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2014, "Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1623.
• Michele Leonardo Bianchi, 2014, "An analysis on the difference between bank index-linked bonds’ prices and their fair-value," BANCARIA, Bancaria Editrice, volume 6, pages 28-48, June.
• Noureddine Benlagha, 2014, "Volatility Linkage of Nominal and Index-linked Bond Returns: A Multivariate BEKK-GARCH Approach," Review of Economics & Finance, Better Advances Press, Canada, volume 4, pages 49-60, November.
• Soloschenko, Max & Weber, Enzo, 2014, "Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 475, Apr.
• Arina Nikandrova, 2014, "Informational and Allocative Efficiency in Financial Markets with Costly Information," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 1403, Mar.
• Yunus Aksoy & Henrique S. Basso, 2014, "Securitization and Asset Prices," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 1411, Nov.
• Gonzalo De Cadenas Santiago & Alicia Garcia-Herrero & Alvaro Ortiz Vidal-Abarca, 2014, "Monetary policy in the North, effects in the South," Working Papers, BBVA Bank, Economic Research Department, number 1429, Oct.
• Bruno Feunou & Jean-Sébastien Fontaine, 2014, "Bond Risk Premia and Gaussian Term Structure Models," Staff Working Papers, Bank of Canada, number 14-13, DOI: 10.34989/swp-2014-13.
• Michael Ehrmann & David-Jan Jansen, 2014, "It Hurts (Stock Prices) When Your Team Is About to Lose a Soccer Match," Staff Working Papers, Bank of Canada, number 14-2, DOI: 10.34989/swp-2014-2.
• Ron Alquist & Gregory Bauer & Antonio Diez de los Rios, 2014, "What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?," Staff Working Papers, Bank of Canada, number 14-42, DOI: 10.34989/swp-2014-42.
• Teodora Paligorova & Jun Yang, 2014, "Corporate Governance, Product Market Competition and Debt Financing," Staff Working Papers, Bank of Canada, number 14-5, DOI: 10.34989/swp-2014-5.
• Sermin Gungor & Richard Luger, 2014, "Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings," Staff Working Papers, Bank of Canada, number 14-51, DOI: 10.34989/swp-2014-51.
• George Jiang & Ingrid Lo & Giorgio Valente, 2014, "High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market," Staff Working Papers, Bank of Canada, number 14-56, DOI: 10.34989/swp-2014-56.
• Óscar Arce & Sergio Mayordomo, 2014, "Short-sale constraints and financial stability: Evidence from the Spanish market," Working Papers, Banco de España, number 1410, Jun.
• Juan Ángel García & Ricardo Gimeno, 2014, "Flight-to-liquidity flows in the euro area sovereign debt crisis," Working Papers, Banco de España, number 1429, Dec.
• Junye Li & Gabriele Zinna, 2014, "On bank credit risk: systemic or bank-specific? Evidence from the US and UK," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 951, Feb.
• Gabriele Zinna, 2014, "Price pressures in the UK index-linked market: an empirical investigation," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 968, Jul.
• Giuseppe Grande & Sergio Masciantonio & Andrea Tiseno, 2014, "The interest-rate sensitivity of the demand for sovereign debt. Evidence from OECD countries (1995-2011)," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 988, Oct.
• Junye Li & Gabriele Zinna, 2014, "How much of bank credit risk is sovereign risk? Evidence from the eurozone," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 990, Oct.
• Hernández Juan R., 2014, "Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis," Working Papers, Banco de México, number 2014-09, May.
• García-Verdú Santiago & Ramos Francia Manuel, 2014, "Interventions and Expected Exchange Rates in Emerging Market Economies," Working Papers, Banco de México, number 2014-11, Jun.
• Hernández del Valle Gerardo, 2014, "On a new class of barrier options," Working Papers, Banco de México, number 2014-23, Nov.
• José E. Gómez-González & Julián A. Parra-Polania, 2014, "Bitcoin: something seems to be ‘fundamentally’ wrong," Borradores de Economia, Banco de la Republica de Colombia, number 819, May, DOI: 10.32468/be.819.
• Juan Pablo Franco & José E. Gómez González & Jair N. Ojeda & Jhon Edward Torres, 2014, "Burbujas en precios de activos financieros: existencia, persistencia y migración," Borradores de Economia, Banco de la Republica de Colombia, number 823, May, DOI: 10.32468/be.823.
• Wilmar Cabrera & Jorge Hurtado & Miguel Morales & Juan Sebastián Rojas, 2014, "A Composite Indicator of Systemic Stress (CISS) for Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 826, Jun, DOI: 10.32468/be.826.
• Juan Andrés Espinosa Torres & Luis Fernando Melo Velandia & José Fernando Moreno Gutiérrez, 2014, "Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano," Borradores de Economia, Banco de la Republica de Colombia, number 854, Dec, DOI: 10.32468/be.854.
• José E. Gómez-González & Luis Fernando Melo Velandia, 2014, "Efectos de «ángeles caídos» en el mercado accionario colombiano: estudio de eventos del caso Interbolsa," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 32, issue 75, pages 23-27, December, DOI: 10.1016/j.espe.2014.07.001.
• Irena Jankovic & Bosko Zivkovic, 2014, "An Analysis Of The Effect Of Currency Mismatch On A Country’S Default Risk," Economic Annals, Faculty of Economics and Business, University of Belgrade, volume 59, issue 201, pages 85-122, April – J.
• Kern E., 2014, "Le marché de la titrisation en Europe : caractéristiques et perspectives," Analyse et synthèse, Banque de France, number 31.
• Fulvio Pegoraro & Siegel, A. F. & Luca Tiozzo Pezzoli, 2014, "International Yield Curves and Principal Components Selection Techniques: An Empirical Assessment," Working papers, Banque de France, number 489.
• Fulvio Pegoraro & Siegel, A. F. & Luca Tiozzo Pezzoli, 2014, "Specification Analysis of International Treasury Yield Curve Factors," Working papers, Banque de France, number 490.
• J. Dugast & T. Foucault, 2014, "False News, Informational Efficiency, and Price Reversals," Working papers, Banque de France, number 513.
• Jean-Paul Renne, 2014, "Fixed-Income Pricing in a Non-Linear Interest-Rate Model," Working papers, Banque de France, number 517.
• Pier Lopez, 2014, "The Term Structure of the Welfare Cost of Uncertainty," Working papers, Banque de France, number 521.
• Bernales, A. & Dugast, J., 2014, "Trading algorithmique et trading haute fréquence - Compte rendu de l’atelier de recherche organisé par la Banque de France le 8 novembre 2013," Bulletin de la Banque de France, Banque de France, issue 195, pages 45-47.
• A. Bernales. & J. Dugast., 2014, "International workshop on algorithmic and high-frequency trading:a brief summary," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 33, pages 39-42, spring.
• Klaus Adam & Juan Pablo Nicolini & Albert Marcet, 2015, "Stock Market Volatility and Learning," Working Papers, Barcelona School of Economics, number 336, Sep.
• Vidović Jelena & Poklepović Tea & Aljinović Zdravka, 2014, "How to Measure Illiquidity on European Emerging Stock Markets?," Business Systems Research, Sciendo, volume 5, issue 3, pages 67-81, September, DOI: 10.2478/bsrj-2014-0020.
• Yasushi Asako & Kozo Ueda, 2014, "The Boy Who Cried Bubble: Public Warnings Against Riding Bubbles," Economic Inquiry, Western Economic Association International, volume 52, issue 3, pages 1137-1152, July.
• Ahmad K. Naimzada & Giorgio Ricchiuti, 2014, "Complexity with Heterogeneous Fundamentalists and a Multiplicative Price Mechanism," Economic Notes, Banca Monte dei Paschi di Siena SpA, volume 43, issue 3, pages 233-247, November.
• Sergio Mayordomo & Juan Ignacio Peña & Eduardo S. Schwartz, 2014, "Are All Credit Default Swap Databases Equal?," European Financial Management, European Financial Management Association, volume 20, issue 4, pages 677-713, September, DOI: 10.1111/j.1468-036X.2013.12023.x.
• Ron Bird & Harry Liem & Susan Thorp, 2014, "Infrastructure: Real Assets and Real Returns," European Financial Management, European Financial Management Association, volume 20, issue 4, pages 802-824, September, DOI: 10.1111/j.1468-036X.2012.00650.x.
• Carmelo Giaccotto & Alain Krapl, 2014, "Good News and Bad News about Firm-Level Stock Returns of Internationally Exposed Firms," International Review of Finance, International Review of Finance Ltd., volume 14, issue 4, pages 523-550, December.
• John H. Cochrane, 2014, "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," Journal of Finance, American Finance Association, volume 69, issue 1, pages 1-49, February.
• David Backus & Mikhail Chernov & Stanley Zin, 2014, "Sources of Entropy in Representative Agent Models," Journal of Finance, American Finance Association, volume 69, issue 1, pages 51-99, February.
• Leonid Kogan & Dimitris Papanikolaou, 2014, "Growth Opportunities, Technology Shocks, and Asset Prices," Journal of Finance, American Finance Association, volume 69, issue 2, pages 675-718, April.
• Miguel Antón & Christopher Polk, 2014, "Connected Stocks," Journal of Finance, American Finance Association, volume 69, issue 3, pages 1099-1127, June.
• Karthik Balakrishnan & Mary Brooke Billings & Bryan Kelly & Alexander Ljungqvist, 2014, "Shaping Liquidity: On the Causal Effects of Voluntary Disclosure," Journal of Finance, American Finance Association, volume 69, issue 5, pages 2237-2278, October.
• Byeong-Je An & Andrew Ang & Turan G. Bali & Nusret Cakici, 2014, "The Joint Cross Section of Stocks and Options," Journal of Finance, American Finance Association, volume 69, issue 5, pages 2279-2337, October.
• Ravi Bansal & Dana Kiku & Ivan Shaliastovich & Amir Yaron, 2014, "Volatility, the Macroeconomy, and Asset Prices," Journal of Finance, American Finance Association, volume 69, issue 6, pages 2471-2511, December.
• Davide Pettenuzzo & Francesco Ravazzolo, 2014, "Optimal portfolio choice under decision-based model combinations," Working Paper, Norges Bank, number 2014/15, Nov.
• Peter N. Ireland, 2014, "Monetary Policy, Bond Risk Premia, and the Economy," Boston College Working Papers in Economics, Boston College Department of Economics, number 852, Feb.
• Rodrigo Guimarães, 2014, "Expectations, risk premia and information spanning in dynamic term structure model estimation," Bank of England working papers, Bank of England, number 489, Mar.
• Sheheryar Malik & Andrew Meldrum, 2014, "Evaluating the robustness of UK term structure decompositions using linear regression methods," Bank of England working papers, Bank of England, number 518, Dec.
• Koichiro Kamada, 2014, "Central Bank Communication and the Management of Market Confidence: Two Episodes in 2013 in the U.S. and Japan," Bank of Japan Research Laboratory Series, Bank of Japan, number 14-E-1, Dec.
• Robert J. Barro, 2014, "Safe Assets," Working Papers, Economic Research Institute, Bank of Korea, number 2014-28, Sep.
• M. Falagiarda & W. D. Gregori, 2014, "Fiscal Policy Announcements of Italian Governments and Spread Reaction during the Sovereign Debt Crisis," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp961, Sep.
• Ege Yazgan, 2014, "The effect of investors' confidence on monetary policy- economic growth relationship: a Multivariate GARCH approach," BIFEC Book of Abstracts & Proceedings, Research and Business Development Department, Borsa Istanbul, volume 1, issue 2, pages 82-109, March.
• Jose L. Fillat & STEFANIA GARETTO & Lindsay Oldenski, 2014, "Diversification, Cost Structure, and the Risk Premium of Multinational Corporations," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2014-007, May.
• Jose L. Fillat & Stefania Garetto, 2014, "Risk, Returns, and Multinational Production," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2014-008, Nov.
• Meitner Matthias & Streitferdt Felix G., 2014, "DCF-Valuations of Companies in Crisis: Distress-Related Leverage, Identification of Risk Positions, Discounting Techniques, and “Beta Flips”," Journal of Business Valuation and Economic Loss Analysis, De Gruyter, volume 9, issue 1, pages 145-174, January, DOI: 10.1515/jbvela-2013-0019.
• Daniel L. Tortorice, 2014, "Equity Return Predictability, Time Varying Volatility and Learning About the Permanence of Shocks," Working Papers, Brandeis University, Department of Economics and International Business School, number 70, May.
• Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014, "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers, Brandeis University, Department of Economics and International Business School, number 75, Jul.
• Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014, "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers, Brandeis University, Department of Economics and International Business School, number 75R, Jul, revised Jul 2016.
• Davide Pettenuzzo & Francesco Ravazzolo, 2014, "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers, Brandeis University, Department of Economics and International Business School, number 80, Oct.
• Antonio Zoratto Sanvicente, 2014, "The Brazilian Stock Market in the Pre-Ibovespa Era," Brazilian Review of Finance, Brazilian Society of Finance, volume 12, issue 1, pages 1-12.
• Rafael Falcão Noda & Roy Martelanc & José Roberto Securato, 2014, "Mean-Variance Efficiency of the Market Portfolio," Brazilian Review of Finance, Brazilian Society of Finance, volume 12, issue 1, pages 67-88.
• Frances Fischberg Blank & Carlos Patricio Samanez & Tara Keshar Nanda Baidya & Fernando Antonio Lucena Aiube, 2014, "Conditional CAPM: Time-varying Betas in the Brazilian Market," Brazilian Review of Finance, Brazilian Society of Finance, volume 12, issue 2, pages 163-199.
• Marcelo C. Medeiros & Artur M. Passos & Gabriel F. R. Vasconcelos, 2014, "Parametric Portfolio Selection: Evaluating and Comparing to Markowitz Portfolios," Brazilian Review of Finance, Brazilian Society of Finance, volume 12, issue 2, pages 257-284.
• Wlademir Ribeiro Prates & André Alves Portela Santos & Newton Carneiro Affonso da Costa Jr., 2014, "Overconfidence, turnover, and return: evidence from the Brazilian market," Brazilian Review of Finance, Brazilian Society of Finance, volume 12, issue 3, pages 351-383.
• Gabriel Godofredo Fiuza de Bragança & Marcelo de Sales Pessoa & Katia Rocha, 2014, "Brazilian Regulatory Interventions, Volatility and Contagion: A VIRF analysis," Brazilian Review of Finance, Brazilian Society of Finance, volume 12, issue 3, pages 385-409.
• Pedro Luiz Albertin Bono Milan & William Eid Junior, 2014, "High Portfolio Turnover And Performance Of Equity Mutual Funds," Brazilian Review of Finance, Brazilian Society of Finance, volume 12, issue 4, pages 469-497.
• Elena Asparouhova & Peter Bossaerts & Jon Eguia & William Zame, 2014, "Asset Prices and Asymmetric Reasoning," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 14/640, May.
• Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014, "A Compound Multifractal Model for High-Frequency Asset Returns," BYU Macroeconomics and Computational Laboratory Working Paper Series, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory, number 2014-05, Aug.
• Scott S. Condie & Kerk L. Phillips, 2014, "Can Irrational Investors Survive in the Long Run?: The Role of Generational Type Transmission," BYU Macroeconomics and Computational Laboratory Working Paper Series, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory, number 2014-09, Oct.
• Nesrine Bentemessek Kahia, 2014, "Actif sous-jacent et produits dérivés financiers de la Compagnie des Mers du Sud. La rationalité de la bulle reconsidérée," Revue économique, Presses de Sciences-Po, volume 65, issue 5, pages 781-803.
• Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014, "Multivariate Variance Ratio Statistics," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1459, Jun.
• João Pinto & Mário Coutinho dos Santos, 2014, "Corporate Financing Choices after the 2007-2008 Financial Crisis," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 03, Apr.
• Dunne, Peter G. & Fleming, Michael J. & Zholos, Andrey, 2014, "ECB Monetary Operations and the Interbank Repo Market," Research Technical Papers, Central Bank of Ireland, number 09/RT/14, Aug.
• Kelly, Robert & O'Malley, Terence, 2014, "A Transitions-Based Model of Default for Irish Mortgages," Research Technical Papers, Central Bank of Ireland, number 17/RT/14, Nov.
• David E. Allen & Michael McAleer & Marcel Scharth, 2014, "Asymmetric Realized Volatility Risk," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/20, Jul.
• David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014, "Volatility Spillovers from Australia's major trading partners across the GFC," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/23, Aug.
• Petar Jevtic & Patrizia Semeraro, 2014, "A class of multivariate marked Poisson processes to model asset returns," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 351.
• Vincenzo Merella & Stephen E. Satchell, 2014, "Technology Shocks and Asset Pricing: The Role of Consumer Confidence," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 352.
• Maryam Sami & Sandro Brusco, 2014, "Reputational Concerns and Price Comovements," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 384.
• Athanasios Geromichalos & Jiwon Lee & Seungduck Lee & Keita Oikawa, 2014, "Over-the-Counter Trade and the Value of Assets as Collateral," Working Papers, University of California, Davis, Department of Economics, number 96, Nov.
• Yang, Yan & Copeland, Laurence, 2014, "The Effects of Sentiment on Market Return and Volatility and The Cross-Sectional Risk Premium of Sentiment-affected Volatility," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2014/12, Jul.