Research classified by Journal of Economic Literature (JEL) codes

2013

• Kratz , Marie, 2013, "There is a VaR Beyond Usual Approximations," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1317, Nov.
• Busse, Marc & Dacorogna, Michel & Kratz, Marie, 2013, "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1321, Dec.
• Calvet , Laurent E. & Fearnley, Marcus & Adlai J. , Fisher & Markus, Leippold, 2013, "What's Beneath the Surface? Option Pricing with Multifrequency Latent States," HEC Research Papers Series, HEC Paris, number 969, Jan.
• Morellec , Erwan & Valta , Philip & Zhdanov , Alexei, 2013, "Financing Investment: The Choice between Bonds and Bank Loans," HEC Research Papers Series, HEC Paris, number 1010, Dec.
• Dimson, Elroy & Rousseau, Peter L. & Spaenjers, Christophe, 2013, "The Price of Wine," HEC Research Papers Series, HEC Paris, number 1019, Dec.
• Laura Coroneo & Domenico Giannone & Michèle Modugno, 2013, "Unspanned Macroeconomic Factors in the Yields Curve," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2013-07, Jan.
• Thiago De Oliveira Souza, 2013, "Discount Rates, Market Frictions and the Mystery of the Size Premium," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2013-43, Nov.
• Salines, Marion & Glöckler, Gabriel & Gade, Thomas & Strodthoff, Steffen, 2013, ""Loose lips sinking markets?": the impact of political communication on sovereign bond spreads," Occasional Paper Series, European Central Bank, number 150, Jul.
• Hiebert, Paul & Sydow, Matthias, 2009, "What drives returns to euro area housing? Evidence from a dynamic dividend-discount model," Working Paper Series, European Central Bank, number 1019, Mar.
• Werner, Thomas & Lemke, Wolfgang, 2009, "The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics," Working Paper Series, European Central Bank, number 1045, Apr.
• Scheicher, Martin & Fender, Ingo, 2009, "The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices," Working Paper Series, European Central Bank, number 1056, May.
• Ehrmann, Michael & Sondermann, David, 2009, "The reception of public signals in financial markets - what if central bank communication becomes stale?," Working Paper Series, European Central Bank, number 1077, Aug.
• Ejsing, Jacob & Sihvonen, Jukka, 2009, "Liquidity premia in German government bonds," Working Paper Series, European Central Bank, number 1081, Aug.
• Andersson, Magnus & Alexopoulou, Ioana & Georgescu, Oana-Maria, 2009, "An empirical study on the decoupling movements between corporate bond and CDS spreads," Working Paper Series, European Central Bank, number 1085, Aug.
• Alexopoulou, Ioana & Bunda, Irina & Ferrando, Annalisa, 2009, "Determinants of government bond spreads in new EU countries," Working Paper Series, European Central Bank, number 1093, Sep.
• Castrén, Olli & Kavonius, Ilja Kristian, 2009, "Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area," Working Paper Series, European Central Bank, number 1124, Dec.
• Attinasi, Maria Grazia & Checherita-Westphal, Cristina & Nickel, Christiane, 2009, "What explains the surge in euro area sovereign spreads during the financial crisis of 2007-09?," Working Paper Series, European Central Bank, number 1131, Dec.
• Schuknecht, Ludger & von Hagen, Jürgen & Wolswijk, Guido, 2010, "Government bond risk premiums in the EU revisited: the impact of the financial crisis," Working Paper Series, European Central Bank, number 1152, Feb.
• Garcí­a, Juan Angel & Werner, Thomas, 2010, "Inflation risks and inflation risk premia," Working Paper Series, European Central Bank, number 1162, Mar.
• Jaccard, Ivan, 2010, "Asset pricing, habit memory, and the labor market," Working Paper Series, European Central Bank, number 1163, Mar.
• Berg, Tobias, 2010, "The term structure of risk premia: new evidence from the financial crisis," Working Paper Series, European Central Bank, number 1165, Mar.
• de Bondt, Gabe & Peltonen, Tuomas A. & Santabárbara, Daniel, 2010, "Booms and busts in China's stock market: Estimates based on fundamentals," Working Paper Series, European Central Bank, number 1190, May.
• Nyholm, Ken & Vidova-Koleva, Rositsa, 2010, "Nelson-Siegel, affine and quadratic yield curve specifications: which one is better at forecasting?," Working Paper Series, European Central Bank, number 1205, Jun.
• Darracq Pariès, Matthieu & Loublier, Alexis, 2010, "Epstein-Zin preferences and their use in macro-finance models: implications for optimal monetary policy," Working Paper Series, European Central Bank, number 1209, Jun.
• Petrasek, Lubomir, 2010, "Multimarket trading and the cost of debt: evidence from global bonds," Working Paper Series, European Central Bank, number 1212, Jun.
• de Vincent-Humphreys, Rupert & Puigvert Gutiérrez, Josep Maria, 2010, "A quantitative mirror on the Euribor market using implied probability density functions," Working Paper Series, European Central Bank, number 1281, Dec.
• Marqués-Ibáñez, David & Carbó-Valverde, Santiago & Rodríguez Fernández, Francisco, 2011, "Securitization, bank lending and credit quality: the case of Spain," Working Paper Series, European Central Bank, number 1329, Apr.
• Ehrmann, Michael & Fratzscher, Marcel & Born, Benjamin, 2011, "Central bank communication on financial stability," Working Paper Series, European Central Bank, number 1332, Apr.
• Andersson, Magnus & D'Agostino, Antonello & de Bondt, Gabe & Roma, Moreno, 2011, "The predictive content of sectoral stock prices: a US-euro area comparison," Working Paper Series, European Central Bank, number 1343, May.
• Nyborg, Kjell G. & Fecht, Falko & Rocholl, Jörg, 2011, "The price of liquidity: the effects of market conditions and bank characteristics," Working Paper Series, European Central Bank, number 1376, Sep.
• Nakov, Anton & Nuño, Galo, 2011, "Learning from experience in the stock market," Working Paper Series, European Central Bank, number 1396, Nov.
• Ehrmann, Michael & Jansen, David-Jan, 2012, "The pitch rather than the pit: investor inattention during FIFA world cup matches," Working Paper Series, European Central Bank, number 1424, Feb.
• Ejsing, Jacob & Grothe, Magdalena & Grothe, Oliver, 2012, "Liquidity and credit risk premia in government bond yields," Working Paper Series, European Central Bank, number 1440, Jun.
• Gourio, François, 2012, "Macroeconomic implications of time-varying risk premia," Working Paper Series, European Central Bank, number 1463, Aug.
• Colliard, Jean-Edouard, 2013, "Catching falling knives: speculating on market overreaction," Working Paper Series, European Central Bank, number 1545, May.
• Derviz, Alexis, 2013, "Bubbles, bank credit and macroprudential policies," Working Paper Series, European Central Bank, number 1551, Jun.
• Lo Duca, Marco & Hoerova, Marie & Bekaert, Geert, 2013, "Risk, uncertainty and monetary policy," Working Paper Series, European Central Bank, number 1565, Jul.
• Buss, Adrian, 2013, "Capital controls and international financial stability: a dynamic general equilibrium analysis in incomplete markets," Working Paper Series, European Central Bank, number 1578, Aug.
• Duca, John & Muellbauer, John, 2013, "Tobin LIVES: Integrating evolving credit market architecture into flow of funds based macro-models," Working Paper Series, European Central Bank, number 1581, Aug.
• Schwaab, Bernd & Eser, Fabian, 2013, "Assessing asset purchases within the ECB’s securities markets programme," Working Paper Series, European Central Bank, number 1587, Sep.
• Jermann, Urban J. & Yue, Vivian Z., 2013, "Interest rate swaps and corporate default," Working Paper Series, European Central Bank, number 1590, Sep.
• Giuliodori, Massimo & Beetsma, Roel & de Jong, Frank & Widijanto, Daniel, 2013, "Price effects of sovereign debt auctions in the Euro-zone: the role of the crisis," Working Paper Series, European Central Bank, number 1595, Sep.
• Brogaard, Jonathan & Hendershott, Terrence & Riordan, Ryan, 2013, "High frequency trading and price discovery," Working Paper Series, European Central Bank, number 1602, Nov.
• Fontana, Alessandro & Corradin, Stefano, 2013, "House price cycles in Europe," Working Paper Series, European Central Bank, number 1613, Nov.
• Grothe, Magdalena, 2013, "Market pricing of credit rating signals," Working Paper Series, European Central Bank, number 1623, Dec.
• Jordi Mondria & Climent Quintana‐Domeque, 2013, "Financial Contagion and Attention Allocation," Economic Journal, Royal Economic Society, volume 123, issue 568, pages 429-454, May.
• Brice Corgnet & Praveen Kujal & David Porter, 2013, "Reaction to Public Information in Markets: How much does Ambiguity Matter?," Economic Journal, Royal Economic Society, volume 123, issue 569, pages 699-737, June.
• Belo, Frederico & Lin, Xiaoji & Vitorino, Maria Ana, 2013, "Brand Capital and Firm Value," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2013-04, Mar.
• Bao, Jack & Hou, Kewei, 2013, "Comovement of Corporate Bonds and Equities," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2013-11, Jul.
• Buti, Sabrina & Rindi, Barbara & Wen, Yuanji & Werner, Ingrid M., 2013, "Tick Size Regulation and Sub-Penny Trading," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2013-14, Sep.
• Chen, Andrew Y., 2013, "External Habit in a Production Economy," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2013-16, Oct.
• Chabi-Yo, Fousseni & Colacito, Riccardo, 2013, "The Term Structures of Co-entropy in International Financial Markets," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2013-17, Nov.
• Buti, Sabrina & Consonni, Francesco & Rindi, Barbara & Werner, Ingrid M., 2013, "Sub-Penny and Queue-Jumping," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2013-18, Nov.
• Valenzuela, Patricio, 2013, "Rollover Risk and Corporate Bond Spreads," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 13-10.
• Christensen, Jens H. E. & Lopez, Jose A. & Rudebusch, Glenn D., 2013, "A Probability-Based Stress Test of Federal Reserve Assets and Income," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 14-01, Dec.
• Ian Martin, 2013, "The Lucas Orchard," Econometrica, Econometric Society, volume 81, issue 1, pages 55-111, January, DOI: ECTA8446.
• Xiaohong Chen & Jack Favilukis & Sydney C. Ludvigson, 2013, "An estimation of economic models with recursive preferences," Quantitative Economics, Econometric Society, volume 4, issue 1, pages 39-83, March, DOI: QE97.
• Lucas Lucio Godeiro, 2013, "Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012," International Journal of Economics and Financial Issues, Econjournals, volume 3, issue 2, pages 253-275.
• Han-Ching Huang & Yong-Chern Su & Chun-Chi Shih, 2013, "Speed of Convergence to Market Efficiency: Example of Top loser Stocks," International Journal of Economics and Financial Issues, Econjournals, volume 3, issue 3, pages 591-601.
• Patricio Valenzuela, 2013, "Rollover risk and corporate bond spreads," Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile, number 300.
• Nina, Boyarchenko & Mario, Cerrato & John, Crosby & Stewart, Hodges, 2013, "No Good Deals - No Bad Models," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2013-20.
• Afonso, António & Arghyrou, Michael G. & Bagdatoglou, George & Kontonikas, Alexandros, 2013, "On the time-varying relationship between EMU sovereign spreads and their determinants," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2013-47.
• Florackis, Chris & Kontonikas, Alexandros & Kostakis, Alexandros, 2013, "Stock Market Liquidity and Macro-Liquidity Shocks: Evidence from the 2007-2009 Financial Crisis," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2013-58.
• Diasakos, Theodoros M, 2013, "A Simple Characterization of Dynamic Completeness in Continuous Time," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2013-91.
• Diasakos, Theodoros M, 2013, "Comparative Statics of Asset Prices: the effect of other assets' risk," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2013-94.
• Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013, "The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers, Department of Applied Economics II, Universidad de Valencia, number 1305, Jan.
• Yiu, Matthew S. & Yu, Jun & Jin, Lu, 2013, "Detecting bubbles in Hong Kong residential property market," Journal of Asian Economics, Elsevier, volume 28, issue C, pages 115-124, DOI: 10.1016/j.asieco.2013.04.005.
• Jiang, Wei & Stark, Andrew W., 2013, "Dividends, research and development expenditures, and the value relevance of book value for UK loss-making firms," The British Accounting Review, Elsevier, volume 45, issue 2, pages 112-124, DOI: 10.1016/j.bar.2013.03.003.
• Lin, Hui Ling & Pukthuanthong, Kuntara & Walker, Thomas John, 2013, "An international look at the lawsuit avoidance hypothesis of IPO underpricing," Journal of Corporate Finance, Elsevier, volume 19, issue C, pages 56-77, DOI: 10.1016/j.jcorpfin.2012.10.003.
• Byun, Hae-Young & Choi, Sunhwa & Hwang, Lee-Seok & Kim, Robert G., 2013, "Business group affiliation, ownership structure, and the cost of debt," Journal of Corporate Finance, Elsevier, volume 23, issue C, pages 311-331, DOI: 10.1016/j.jcorpfin.2013.09.003.
• Yamamoto, Ryuichi & Hirata, Hideaki, 2013, "Strategy switching in the Japanese stock market," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 10, pages 2010-2022, DOI: 10.1016/j.jedc.2013.05.006.
• Gagliardini, Patrick & Gouriéroux, Christian, 2013, "Correlated risks vs contagion in stochastic transition models," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 11, pages 2241-2269, DOI: 10.1016/j.jedc.2013.05.016.
• Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2013, "The bull and bear market model of Huang and Day: Some extensions and new results," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 11, pages 2351-2370, DOI: 10.1016/j.jedc.2013.06.005.
• Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2013, "Option pricing with discrete time jump processes," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 12, pages 2417-2445, DOI: 10.1016/j.jedc.2013.07.003.
• Panchenko, Valentyn & Gerasymchuk, Sergiy & Pavlov, Oleg V., 2013, "Asset price dynamics with heterogeneous beliefs and local network interactions," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 12, pages 2623-2642, DOI: 10.1016/j.jedc.2013.06.015.
• Ewald, Christian-Oliver & Menkens, Olaf & Hung Marten Ting, Sai, 2013, "Asian and Australian options: A common perspective," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 5, pages 1001-1018, DOI: 10.1016/j.jedc.2013.01.006.
• Chauveau, Th. & Subbotin, A., 2013, "Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 5, pages 1040-1065, DOI: 10.1016/j.jedc.2013.01.011.
• Malevergne, Y. & Saichev, A. & Sornette, D., 2013, "Zipf's law and maximum sustainable growth," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 6, pages 1195-1212, DOI: 10.1016/j.jedc.2013.02.004.
• Kurz, Mordecai & Piccillo, Giulia & Wu, Howei, 2013, "Modeling diverse expectations in an aggregated New Keynesian Model," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 8, pages 1403-1433, DOI: 10.1016/j.jedc.2013.01.016.
• Anufriev, Mikhail & Tuinstra, Jan, 2013, "The impact of short-selling constraints on financial market stability in a heterogeneous agents model," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 8, pages 1523-1543, DOI: 10.1016/j.jedc.2013.04.015.
• Dunbar, Geoffrey, 2013, "Returns-to-scale and the equity premium puzzle," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 9, pages 1736-1754, DOI: 10.1016/j.jedc.2013.04.007.
• Pakoš, Michal, 2013, "Long-run risk and hidden growth persistence," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 9, pages 1911-1928, DOI: 10.1016/j.jedc.2013.04.005.
• Warusawitharana, Missaka, 2013, "The expected real return to equity," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 9, pages 1929-1946, DOI: 10.1016/j.jedc.2013.04.003.
• Zhou, Jian, 2013, "Conditional market beta for REITs: A comparison of modeling techniques," Economic Modelling, Elsevier, volume 30, issue C, pages 196-204, DOI: 10.1016/j.econmod.2012.09.030.
• Yang, Chunpeng & Zhang, Rengui, 2013, "Sentiment asset pricing model with consumption," Economic Modelling, Elsevier, volume 30, issue C, pages 462-467, DOI: 10.1016/j.econmod.2012.11.004.
• Gupta, Rangan & Modise, Mampho P., 2013, "Macroeconomic Variables and South African Stock Return Predictability," Economic Modelling, Elsevier, volume 30, issue C, pages 612-622, DOI: 10.1016/j.econmod.2012.10.015.
• Ahamada, Ibrahim & Jolivaldt, Philippe, 2013, "Time-spectral density and wavelets approaches. Comparative study. Applications to SP500 returns and US GDP," Economic Modelling, Elsevier, volume 31, issue C, pages 460-466, DOI: 10.1016/j.econmod.2012.12.007.
• Jouini, Jamel, 2013, "Stock markets in GCC countries and global factors: A further investigation," Economic Modelling, Elsevier, volume 31, issue C, pages 80-86, DOI: 10.1016/j.econmod.2012.11.039.
• Nneji, Ogonna & Brooks, Chris & Ward, Charles W.R., 2013, "House price dynamics and their reaction to macroeconomic changes," Economic Modelling, Elsevier, volume 32, issue C, pages 172-178, DOI: 10.1016/j.econmod.2013.02.007.
• Mishra, Ashok K. & Moss, Charles B., 2013, "Modeling the effect of off-farm income on farmland values: A quantile regression approach," Economic Modelling, Elsevier, volume 32, issue C, pages 361-368, DOI: 10.1016/j.econmod.2013.02.022.
• Duran, Murat & Gülşen, Eda, 2013, "Estimating inflation compensation for Turkey using yield curves," Economic Modelling, Elsevier, volume 32, issue C, pages 592-601, DOI: 10.1016/j.econmod.2013.02.036.
• Yang, Chunpeng & Zhang, Rengui, 2013, "Dynamic asset pricing model with heterogeneous sentiments," Economic Modelling, Elsevier, volume 33, issue C, pages 248-253, DOI: 10.1016/j.econmod.2013.03.026.
• Zhang, Wei & Shen, Dehua & Zhang, Yongjie & Xiong, Xiong, 2013, "Open source information, investor attention, and asset pricing," Economic Modelling, Elsevier, volume 33, issue C, pages 613-619, DOI: 10.1016/j.econmod.2013.03.018.
• Kiani, Khurshid M., 2013, "Can signal extraction help predict risk premia in foreign exchange rates," Economic Modelling, Elsevier, volume 33, issue C, pages 926-939, DOI: 10.1016/j.econmod.2013.06.005.
• Prat, Georges, 2013, "Equity risk premium and time horizon: What do the U.S. secular data say?," Economic Modelling, Elsevier, volume 34, issue C, pages 76-88, DOI: 10.1016/j.econmod.2012.12.004.
• Yang, Chunpeng & Yan, Wei & Zhang, Rengui, 2013, "Sentiment approach to negative expected return in the stock market," Economic Modelling, Elsevier, volume 35, issue C, pages 30-34, DOI: 10.1016/j.econmod.2013.06.018.
• Yang, Chunpeng & Li, Jinfang, 2013, "Investor sentiment, information and asset pricing model," Economic Modelling, Elsevier, volume 35, issue C, pages 436-442, DOI: 10.1016/j.econmod.2013.07.015.
• Aouadi, Amal & Arouri, Mohamed & Teulon, Frédéric, 2013, "Investor attention and stock market activity: Evidence from France," Economic Modelling, Elsevier, volume 35, issue C, pages 674-681, DOI: 10.1016/j.econmod.2013.08.034.
• Xie, Jun & Yang, Chunpeng, 2013, "Shouldn't all eggs be putted in one basket? A portfolio model based on investor sentiment and inertial thinking," Economic Modelling, Elsevier, volume 35, issue C, pages 682-688, DOI: 10.1016/j.econmod.2013.08.030.
• Shehzad, Choudhry Tanveer & De Haan, Jakob, 2013, "Was the 2007 crisis really a global banking crisis?," The North American Journal of Economics and Finance, Elsevier, volume 24, issue C, pages 113-124, DOI: 10.1016/j.najef.2012.04.002.
• Hammoudeh, Shawkat & McAleer, Michael, 2013, "Risk management and financial derivatives: An overview," The North American Journal of Economics and Finance, Elsevier, volume 25, issue C, pages 109-115, DOI: 10.1016/j.najef.2012.06.014.
• Larsson, Carl F., 2013, "What did Frederick the great know about financial engineering? A survey of recent covered bond market developments and research," The North American Journal of Economics and Finance, Elsevier, volume 25, issue C, pages 22-39, DOI: 10.1016/j.najef.2013.01.001.
• Chia-Lin Chang & Allen, David & McAleer, Michael, 2013, "Recent developments in financial economics and econometrics: An overview," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 217-226, DOI: 10.1016/j.najef.2013.02.001.
• Dungey, Mardi & McKenzie, Michael D. & Yalama, Abdullah, 2013, "The cross market effects of short sale restrictions," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 53-71, DOI: 10.1016/j.najef.2013.06.001.
• Krippner, Leo, 2013, "Measuring the stance of monetary policy in zero lower bound environments," Economics Letters, Elsevier, volume 118, issue 1, pages 135-138, DOI: 10.1016/j.econlet.2012.10.011.
• Haug, Jørgen & Hens, Thorsten & Woehrmann, Peter, 2013, "Risk aversion in the large and in the small," Economics Letters, Elsevier, volume 118, issue 2, pages 310-313, DOI: 10.1016/j.econlet.2012.11.013.
• Massacci, Daniele, 2013, "A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns," Economics Letters, Elsevier, volume 119, issue 2, pages 199-203, DOI: 10.1016/j.econlet.2013.02.031.
• Branch, William A. & Evans, George W., 2013, "Bubbles, crashes and risk," Economics Letters, Elsevier, volume 120, issue 2, pages 254-258, DOI: 10.1016/j.econlet.2013.04.030.
• David, Géraldine & Oosterlinck, Kim & Szafarz, Ariane, 2013, "Art market inefficiency," Economics Letters, Elsevier, volume 121, issue 1, pages 23-25, DOI: 10.1016/j.econlet.2013.06.033.
• Liu, Xiangbo & Qiu, Zhigang & Xiong, Yan, 2013, "VaR constrained asset pricing with relative performance," Economics Letters, Elsevier, volume 121, issue 2, pages 174-178, DOI: 10.1016/j.econlet.2013.07.026.
• Kandrac, John, 2013, "Have Federal Reserve MBS purchases affected market functioning?," Economics Letters, Elsevier, volume 121, issue 2, pages 188-191, DOI: 10.1016/j.econlet.2013.08.011.
• Kandrac, John & Schlusche, Bernd, 2013, "Flow effects of large-scale asset purchases," Economics Letters, Elsevier, volume 121, issue 2, pages 330-335, DOI: 10.1016/j.econlet.2013.09.003.
• Hellström, Jörgen & Liu, Yuna & Sjögren, Tomas, 2013, "Stock exchange mergers and return co-movement: A flexible dynamic component correlations model," Economics Letters, Elsevier, volume 121, issue 3, pages 511-515, DOI: 10.1016/j.econlet.2013.10.001.
• Bollerslev, Tim & Todorov, Viktor & Li, Sophia Zhengzi, 2013, "Jump tails, extreme dependencies, and the distribution of stock returns," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 307-324, DOI: 10.1016/j.jeconom.2012.08.014.
• Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2013, "Chi-squared tests for evaluation and comparison of asset pricing models," Journal of Econometrics, Elsevier, volume 173, issue 1, pages 108-125, DOI: 10.1016/j.jeconom.2012.11.002.
• Bikbov, Ruslan & Chernov, Mikhail, 2013, "Monetary policy regimes and the term structure of interest rates," Journal of Econometrics, Elsevier, volume 174, issue 1, pages 27-43, DOI: 10.1016/j.jeconom.2013.01.002.
• Filipović, Damir & Mayerhofer, Eberhard & Schneider, Paul, 2013, "Density approximations for multivariate affine jump-diffusion processes," Journal of Econometrics, Elsevier, volume 176, issue 2, pages 93-111, DOI: 10.1016/j.jeconom.2012.12.003.
• Florence Guillaume, 2013, "The αVG model for multivariate asset pricing: calibration and extension," Review of Derivatives Research, Springer, volume 16, issue 1, pages 25-52, April, DOI: 10.1007/s11147-012-9080-2.
• Andrey Itkin, 2013, "New solvable stochastic volatility models for pricing volatility derivatives," Review of Derivatives Research, Springer, volume 16, issue 2, pages 111-134, July, DOI: 10.1007/s11147-012-9082-0.
• Gabriel Drimus & Walter Farkas, 2013, "Local volatility of volatility for the VIX market," Review of Derivatives Research, Springer, volume 16, issue 3, pages 267-293, October, DOI: 10.1007/s11147-012-9086-9.
• Valentina Galvani & Stuart Landon, 2013, "Riding the yield curve: a spanning analysis," Review of Quantitative Finance and Accounting, Springer, volume 40, issue 1, pages 135-154, January, DOI: 10.1007/s11156-011-0267-7.
• Karel Hrazdil & Thomas Scott, 2013, "The role of industry classification in estimating discretionary accruals," Review of Quantitative Finance and Accounting, Springer, volume 40, issue 1, pages 15-39, January, DOI: 10.1007/s11156-011-0268-6.
• Frederik Lundtofte, 2013, "The quality of public information and the term structure of interest rates," Review of Quantitative Finance and Accounting, Springer, volume 40, issue 4, pages 715-740, May, DOI: 10.1007/s11156-012-0295-y.
• María O González & Frank Skinner & Samuel Agyei-Ampomah, 2013, "Term structure information and bond strategies," Review of Quantitative Finance and Accounting, Springer, volume 41, issue 1, pages 53-74, July, DOI: 10.1007/s11156-012-0300-5.
• Vivek Singh, 2013, "Did institutions herd during the internet bubble?," Review of Quantitative Finance and Accounting, Springer, volume 41, issue 3, pages 513-534, October, DOI: 10.1007/s11156-012-0320-1.
• Benjamin Blau & Chip Wade, 2013, "Comparing the information in short sales and put options," Review of Quantitative Finance and Accounting, Springer, volume 41, issue 3, pages 567-583, October, DOI: 10.1007/s11156-013-0377-5.
• Carl Chen & Peter Lung & F. Wang, 2013, "Where are the sources of stock market mispricing and excess volatility?," Review of Quantitative Finance and Accounting, Springer, volume 41, issue 4, pages 631-650, November, DOI: 10.1007/s11156-012-0326-8.
• Jungshik Hur & Vivek Singh, 2013, "Does long-term disequilibrium in stock price predict future returns?," Review of Quantitative Finance and Accounting, Springer, volume 41, issue 4, pages 753-767, November, DOI: 10.1007/s11156-012-0331-y.
• Norio Kitagawa & Shin' ya Okuda, 2013, "Management Forecasts, Idiosyncratic Risk, and Information Environment," Discussion Papers, Kobe University, Graduate School of Business Administration, number 2013-38, May, revised Jul 2013.
• Larry Bensimhon & Yuri Biondi, 2013, "Financial Bubbles, Common Knowledge and Alternative Accounting Regimes: An Experimental Analysis of Artificial Spot Security Markets," The Japanese Accounting Review, Research Institute for Economics & Business Administration, Kobe University, volume 3, pages 21-59, December.
• Cheng Wee Tan & Dogan Tirtiroglu & Ercan Tirtiroglu, 2013, "Reits' Growth Options and Asset Pricing Dynamics across Time," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1303, Feb.
• Turan G. Bali & Lin Peng & Yannan Shen & Yi Tang, 2013, "Liquidity Shocks and Stock Market Reactions," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1304, Feb.
• Banu Simmons-Sueer, 2013, "Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 13-328, Jan, DOI: 10.3929/ethz-a-007611520.
• Chia-Lin Chang & David E Allen & Michael McAleer, 2013, "Recent Developments in Financial Economics and Econometrics:An Overview," KIER Working Papers, Kyoto University, Institute of Economic Research, number 842, Jan.
• Robert J. Elliott & Katsumasa Nishide, 2013, "Pricing of Discount Bonds with a Markov Switching Regime　," KIER Working Papers, Kyoto University, Institute of Economic Research, number 859, Apr.
• Chiaki Hara, 2013, "Asset Prices, Trading Volumes, and Investor Welfare in Markets with Transaction Costs　," KIER Working Papers, Kyoto University, Institute of Economic Research, number 862, Apr.
• Michael McAleer & Kim Radalj, 2013, "Herding, Information Cascades and Volatility Spillovers in Futures Markets," KIER Working Papers, Kyoto University, Institute of Economic Research, number 873, Jul.
• Yawen Hudson & Christopher J. Green, 2013, "Born in the USA? Contagious investor sentiment and UK equity returns," Discussion Paper Series, Department of Economics, Loughborough University, number 2013_13, Nov, revised Nov 2013.
• Antony Jackson & Daniel Ladley, 2013, "Market Ecologies: The Interaction and Profitability of Technical Trading Strategies," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 13/02, Jan.
• Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2013, "Fundamentally Wrong: Market Pricing Of Sovereigns And The Greek Financial Crisis," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 13/20, Sep.
• Michael McAleer & Kim Radalj, 2013, "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Journal of Reviews on Global Economics, Lifescience Global, volume 2, pages 307-329.
• Udaibir S. Das & Yinqiu Lu & Michael G. Papaioannou & Iva Petrova, 2013, "Sovereign Risk and Asset and Liability Management—Conceptual Issues," Journal of Reviews on Global Economics, Lifescience Global, volume 2, pages 330-355.
• Fabian Irek & Thorsten Lehnert, 2013, "Do Fund Investors Know that Risk is Sometimes not Priced?," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 13-1.
• Jean-François Carpantier & Christelle Sapata, 2013, "Empirical Welfare Analysis: When Preferences Matter," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 13-11.
• Jean-Sébastien Michel & J. Ari Pandes, 2013, "Why Do Analysts Disagree ?," Cahiers de recherche, CIRPEE, number 1305.
• Georges Dionne & Olfa Maalaoui Chun, 2013, "Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period," Cahiers de recherche, CIRPEE, number 1322.
• David Ardia & Kris Boudt, 2013, "Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy," Cahiers de recherche, CIRPEE, number 1328.
• Bianca De Paoli & Pawel Zabczyk, 2013, "Cyclical Risk Aversion, Precautionary Saving, and Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, volume 45, issue 1, pages 1-36, February, DOI: j.1538-4616.2012.00560.x.
• Chang-Jin Kim & Cheolbeom Park, 2013, "Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability," Journal of Money, Credit and Banking, Blackwell Publishing, volume 45, issue 5, pages 933-952, August.
• Mohammad R. Jahan-Parvar & Xuan Liu & Philip Rothman, 2013, "Equity Returns and Business Cycles in Small Open Economies," Journal of Money, Credit and Banking, Blackwell Publishing, volume 45, issue 6, pages 1117-1146, September.
• Shiba Suzuki, 2013, "An Exploration of the Effect of Doubt During Disasters on Equity Premiums," Discussion Papers, Meisei University, School of Economics, number 22, Feb.
• David S. Sun & Shih-Chuan Tsai & Wei Wang, 2013, "Behavioral Investment Strategy Matters: A Statistical Arbitrage Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 49, issue S3, pages 47-61, July.
• Dimitrios V Kousenidis & Christos Negakis, 2013, "The Underperformance of Young Closed-End Funds in Greece," Multinational Finance Journal, Multinational Finance Journal, volume 17, issue 1-2, pages 107-148, March - J.
• Claudio Morana, 2013, "The oil price-macroeconomy relationship since the mid-1980s: A global perspective," Working Papers, University of Milano-Bicocca, Department of Economics, number 223, Feb, revised Feb 2013.
• Fabio C. Bagliano & Claudio Morana, 2013, "Determinants of US Financial fragility conditions," Working Papers, University of Milano-Bicocca, Department of Economics, number 224, Feb, revised Feb 2013.
• Claudio Morana, 2013, "Oil price dynamics, macro-finance interactions and the role of financial speculation," Working Papers, University of Milano-Bicocca, Department of Economics, number 225, Nov, revised Nov 2013.
• Ahmad Naimzada & Marina Pireddu, 2013, "Dynamic behavior of real and stock markets with a varying degree of interaction," Working Papers, University of Milano-Bicocca, Department of Economics, number 245, Jun, revised Jun 2013.
• Claudio Morana, 2013, "Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns," Working Papers, University of Milano-Bicocca, Department of Economics, number 264, Dec, revised Dec 2013.
• Szilárd Erhart & Imre Ligeti & Zoltán Molnár, 2013, "Reasons for the LIBOR review and its effects on international interbank reference rate quotations," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), volume 8, issue 1, pages 23-34, January.
• Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli, 2013, "A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0038, Jul.
• Lisa Mattioli & Riccardo Ferretti, 2013, "La regolamentazione dello short selling: effetti sul mercato azionario italiano (Short selling ban: effects on the Italian stock market)," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0039, Aug.
• Shin-ichi Fukuda & Mariko Tanaka, 2013, "Financial Crises and Risk Premiums in International Interbank Markets," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 9, issue 1, pages 117-138, January.
• Seiichiro Iwasawa & Tomonori Uchiyama, 2013, "A Behavioral Economics Exploration into the "Volatility Anomaly" ``," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 9, issue 3, pages 457-490, September.
• Kozo Omori, 2013, "The Risk Parity Portfolio and the Low-Risk Asset Anomaly," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 9, issue 3, pages 491-514, September.
• Toshiki Honda, 2013, "Risk and Return in Japanese Equity Market," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 9, issue 3, pages 515-530, September.
• Satoshi Sakamaki, 2013, "The Securities-Correlation Risks and the Volatility Effects in the Japanese Stock Market," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 9, issue 3, pages 531-552, September.
• Svetlana Maslyuka & Kristian Rotarub & Alexander Dokumentovc, 2013, "Price Discontinuities in Energy Spot and Futures Prices," Monash Economics Working Papers, Monash University, Department of Economics, number 33-13, Jul.