Research classified by Journal of Economic Literature (JEL) codes

2006

• Knetsch, Thomas A., 2006, "Forecasting the price of crude oil via convenience yield predictions," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,12.
• Buchner, Axel & Kaserer, Christoph & Wagner, Niklas, 2006, "Stochastic modeling of private equity: an equilibrium based approach to fund valuation," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2006-02.
• Muermann, Alexander & Shore, Stephen H., 2006, "Strategic trading and manipulation with spot market power," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/07.
• Boenkost, Wolfram & Schmidt, Wolfgang M., 2006, "Interest rate convexity and the volatility smile," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 4.
• Detlefsen, Kai & Härdle, Wolfgang Karl, 2006, "Calibration design of implied volatility surfaces," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-002.
• Belomestny, Denis & Reiß, Markus, 2006, "Spectral calibration of exponential Lévy Models [1]," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-034.
• Belomestny, Denis & Reiß, Markus, 2006, "Spectral calibration of exponential Lévy Models [2]," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-035.
• Gapeev, Pavel V., 2006, "Perpetual barrier options in jump-diffusion models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-058.
• Hlávka, Zdeněk & Peésta, Michal, 2006, "Constrained general regression in pseudo-Sobolev spaces with application to option pricing," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-069.
• Borak, Szymon & Härdle, Wolfgang Karl & Trück, Stefan & Weron, Rafał, 2006, "Convenience yields for CO₂ emission allowance futures contracts," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-076.
• Rostek, Stefan & Schöbel, Rainer, 2006, "Risk preference based option pricing in a fractional Brownian market," Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics, number 299.
• Schöbel, Rainer & Veith, Jochen, 2006, "An overreaction implementation of the coherent market hypothesis and option pricing," Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics, number 306.
• Scarpa, Elisa & Manera, Matteo, 2006, "Pricing and Hedging Illiquid Energy Derivatives: an Application to the JCC Index," International Energy Markets Working Papers, Fondazione Eni Enrico Mattei (FEEM), number 12115, DOI: 10.22004/ag.econ.12115.
• Bharat Ramaswami & Jatinder Bir Singh, 2006, "Underdeveloped spot markets and futures trading: The Soya Oil exchange in India," Discussion Papers, Indian Statistical Institute, Delhi, number 06-03, Mar.
• Maria Carmen Badia Batlle & M. Mercedes Galisteo Rodriguez & M. Teresa Preixens Benedicto, 2006, "Un modelo de riesgo de credito basado en opciones compuestas con barrera. Aplicacion al mercado continuo espanol," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 156.
• Fred Espen Benth & Alvaro Cartea & Ruediger Kiesel, 2006, "Pricing Forward Contracts in Power Markets by the Certainty Equivalence Principle: Explaining the Sign of the Market Risk Premium," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0611, Oct.
• Fousseni Chabi-Yo, 2006, "Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence," Staff Working Papers, Bank of Canada, number 06-38, DOI: 10.34989/swp-2006-38.
• Francisco Alonso & Santiago Forte & José M. Marqués, 2006, "Implied default barrier in credit default swap premia," Working Papers, Banco de España, number 0639, Dec.
• Patrizio Pagano & Massimiliano Pisani, 2006, "Risk-Adjusted Forecasts of Oil Prices," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 585, Mar.
• Nikola Tarashev & Kostas Tsatsaronis, 2006, "Risk premia across asset markets: information from option prices," BIS Quarterly Review, Bank for International Settlements, March.
• Maurizio Luisi & Jeffery D. Amato, 2006, "Macro factors in the term structure of credit spreads," BIS Working Papers, Bank for International Settlements, number 203, Mar.
• Nikola A. Tarashev & Haibin Zhu, 2006, "The pricing of portfolio credit risk," BIS Working Papers, Bank for International Settlements, number 214, Sep.
• Chiaki Hara, 2006, "Heterogeneous Risk Attitudes In A Continuous‐Time Model," The Japanese Economic Review, Japanese Economic Association, volume 57, issue 3, pages 377-405, September, DOI: 10.1111/j.1468-5876.2006.00377.x.
• Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006, "The Cross‐Section of Volatility and Expected Returns," Journal of Finance, American Finance Association, volume 61, issue 1, pages 259-299, February, DOI: 10.1111/j.1540-6261.2006.00836.x.
• Jan Ericsson & Olivier Renault, 2006, "Liquidity and Credit Risk," Journal of Finance, American Finance Association, volume 61, issue 5, pages 2219-2250, October, DOI: 10.1111/j.1540-6261.2006.01056.x.
• Eckhard Platen, 2006, "A Benchmark Approach To Finance," Mathematical Finance, Wiley Blackwell, volume 16, issue 1, pages 131-151, January, DOI: 10.1111/j.1467-9965.2006.00265.x.
• Kjell Bjørn Nordal, 2006, "Banks’ optimal implementation strategies for a risk sensitive regulatory capital rule: a real options and signalling approach," Working Paper, Norges Bank, number 2006/12, Dec.
• Naohiko Baba & Hiromichi Goko, 2006, "Survival Analysis of Hedge Funds," Bank of Japan Working Paper Series, Bank of Japan, number 06-E-5, Mar.
• Alan De Genaro Dario, 2006, "Pricing Volatility Referenced Assets," Brazilian Review of Finance, Brazilian Society of Finance, volume 4, issue 2, pages 203-228.
• Christopher Knittel & Catherine Wolfram & James Bushnell & Severin Borenstein, 2006, "Inefficiencies and Market Power in Financial Arbitrage: A Study of California?s Electricity Markets," Working Papers, University of California, Davis, Department of Economics, number 105, Nov.
• Dirk Hackbarth & Erwan Morellec, 2006, "Stock Returns in Mergers and Acquisitions," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-01, Oct.
• Erwan Morellec & Alexei Zhdanov, 2006, "Financing and Takeovers," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-22, Oct.
• Philippe Ehlers & Philipp J. Schonbucher, 2006, "Pricing Interest Rate-SensitiveCredit Portfolio Derivatives," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-39, Jul, revised Dec 2006.
• Philippe Ehlers & Philipp J. Schoenbucher, 2007, "Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-07, Jan.
• Christian-Olivier Ewald & Klaus Reiner Schenk-Hoppe & Zhaojun Yang, 2007, "Closed-Form Solutions For European And Digital Calls In The Hull And White Stochastic Volatility Model And Their Relation To Locally R-Minimizing And Delta Hedges," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-11, Aug.
• Jaime Villamil, 2006, "Modelos de valoración de opciones europeas en tiempo continuo," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Yaiza García Padrón & Juan García Boza, 2006, "Revisión bibliográfica de la evidencia empírica de los modelos multifactoriales de valoración de activos financieros," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Wolfers, Justin & Zitzewitz, Eric & Snowberg, Erik, 2006, "Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5591, Apr.
• Wolfers, Justin & Zitzewitz, Eric, 2006, "Interpreting Prediction Market Prices as Probabilities," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5676, May.
• Uppal, Raman & Bhamra, Harjoat Singh, 2006, "The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5726, Jun.
• Ken Hung & Chang-Wen Duan & Chin W. Yang, 2006, "Rating, Credit Spread, and Pricing Risky Debt: Empirical Study on Taiwan's Security Market," Annals of Economics and Finance, Society for AEF, volume 7, issue 2, pages 405-424, November.
• Prasad Bhattacharaya & Harminder Singh, 2006, "Estimating Forward Pricing Function: How Efficient is Indian Stock Index Futures Market?," Working Papers, Deakin University, Department of Economics, number 2006_02, May.
• Prasad Bhattacharaya & Harminder Singh & Gerard Gannon, 2006, "Time-Varying Hedge Ratios: An Application to the Indian Stock Futures Market," Working Papers, Deakin University, Department of Economics, number 2006_03, Aug.
• Abdelaziz Elmarzougui, 2006, "Evolution et sensibilité des stock-options : cas du marché français," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2006-8.
• Quentin C. Chu & Mustafa Mesut Kayali, 2006, "Standard & Poor’S Depositary Receipts And The Market Quality Of S&P 500 Index Futures," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 6, issue 3.
• Peter C. B. Phillips & Jun Yu, 2006, "A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 22472, Jan.
• Christensen, Bent Jesper & Nielsen, Morten Orregaard, 2006, "Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting," Journal of Econometrics, Elsevier, volume 133, issue 1, pages 343-371, July.
• Rossi, Alessandro & Gallo, Giampiero M., 2006, "Volatility estimation via hidden Markov models," Journal of Empirical Finance, Elsevier, volume 13, issue 2, pages 203-230, March.
• Denzler, Stefan M. & Dacorogna, Michel M. & Muller, Ulrich A. & McNeil, Alexander J., 2006, "From default probabilities to credit spreads: Credit risk models do explain market prices," Finance Research Letters, Elsevier, volume 3, issue 2, pages 79-95, June.
• Realdon, Marco, 2006, "Quadratic term structure models in discrete time," Finance Research Letters, Elsevier, volume 3, issue 4, pages 277-289, December.
• Los, Cornelis A., 2006, "System identification in noisy data environments: An application to six Asian stock markets," Journal of Banking & Finance, Elsevier, volume 30, issue 7, pages 1997-2024, July.
• Quiggin, John & Chambers, Robert G., 2006, "Capital market equilibrium with moral hazard and flexible technology," Journal of Mathematical Economics, Elsevier, volume 42, issue 3, pages 358-363, June.
• Betts, Caroline M. & Kehoe, Timothy J., 2006, "U.S. real exchange rate fluctuations and relative price fluctuations," Journal of Monetary Economics, Elsevier, volume 53, issue 7, pages 1297-1326, October.
• Beber, Alessandro & Brandt, Michael W., 2006, "The effect of macroeconomic news on beliefs and preferences: Evidence from the options market," Journal of Monetary Economics, Elsevier, volume 53, issue 8, pages 1997-2039, November.
• Cho, Young-Hyun & Linton, Oliver & Whang, Yoon-Jae, 2006, "Are there Monday effects in stock returns: a stochastic dominance approach," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24520, Sep.
• Jorge H. del Castillo-Spíndola, 2006, "A Non-Parametric Test of the Conditional CAPM for the Mexican Economy," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 21, issue 2, pages 275-297.
• Tomáš Tichý, 2006, "Model Dependency of the Digital Option Replication – Replication under an Incomplete Model (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 56, issue 7-8, pages 361-379, July.
• Matteo Manera & Elisa Scarpa, 2006, "Pricing and Hedging Illiquid Energy Derivatives:an Application to the JCC Index," Working Papers, Fondazione Eni Enrico Mattei, number 2006.130, Oct.
• Pengguo wang, 2006, "Option Pricing with Long-Short Spreads," Frontiers in Finance and Economics, SKEMA Business School, volume 3, issue 1, pages 1-28, June.
• Fajardo, Jose Santiago, 2006, "Equivalent Martingale Measures and Lévy Processes," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), volume 60, issue 4, February.
• Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2006, "Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections," Working Paper Series, Federal Reserve Bank of San Francisco, number 2006-08, DOI: 10.24148/wp2006-08.
• Justin Wolfers & Eric Zitzewitz, 2006, "Interpreting Prediction Market Prices as Probabilities," Working Paper Series, Federal Reserve Bank of San Francisco, number 2006-11, Apr, DOI: 10.24148/wp2006-11.
• Tim Bollerslev & Hao Zhou, 2006, "Expected stock returns and variance risk premia," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2007-11.
• Timothy J. Kehoe & David K. Levine, 2006, "Bankruptcy and collateral in debt constrained markets," Staff Report, Federal Reserve Bank of Minneapolis, number 380.
• Yoon-Jae Whang & Young-Hyun Cho & Oliver Linton, 2006, "Are there Monday effects in Stock Returns: A Stochastic Dominance Approach," FMG Discussion Papers, Financial Markets Group, number dp568, Sep.
• Nicole Branger & Antje Mahayni, 2006, "Tractable Hedging - An Implementation of Robust Hedging Strategies," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 135.
• A Gregoriou & A Kontonikas & R MacDonald & A Montagnoli, 2006, "Monetary Policy Shocks and Stock Returns: Evidence from the British Market," Working Papers, Business School - Economics, University of Glasgow, number 2006_15, Sep.
• Hayette Gatfaoui, 2006, "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation," Post-Print, HAL, number hal-00589918.
• Døskeland, Trond M. & Nordahl, Helge A., 2006, "Intergenerational Effects of Guaranteed Pension Contracts," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2006/13, Oct, revised 21 Jun 2007.
• Døskeland, Trond M. & Nordahl, Helge A., 2006, "Optimal Pension Insurance Design," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2006/14, Oct, revised 21 Jun 2007.
• Bjerksund, Petter & Stensland, Gunnar, 2006, "Closed form spread option valuation," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2006/20, Dec.

2005

• Manfredo, Mark R. & Richards, Timothy J., 2005, "Hedging Yield with Weather Derivatives: A Role for Options," 2005 Annual meeting, July 24-27, Providence, RI, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 19369, DOI: 10.22004/ag.econ.19369.
• Turvey, Calum G., 2005, "Managing Food Industry Business and Financial Risks with Commodity-Linked Credit Instruments," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark, European Association of Agricultural Economists, number 24525, DOI: 10.22004/ag.econ.24525.
• Romstad, Eirik & Brimi, Live & Ljorerud, Urda, 2005, "Introducing Genetically Modified Plants: Now or Later - An Option Value Approach," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark, European Association of Agricultural Economists, number 24655, DOI: 10.22004/ag.econ.24655.
• Lanfranco, Bruno A., 2005, "Cobertura del riesgo precios en los mercados de futuros para carne bovina en el marco de la experiencia uruguaya de 1993," Serie Tecnica, Instituto Nacional de Investigacion Agropecuaria (INIA), number 121755, Dec, DOI: 10.22004/ag.econ.121755.
• Yoon, Byung-Sam & Brorsen, B. Wade, 2005, "Can Multiyear Rollover Hedging Increase Mean Returns?," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 37, issue 01, pages 1-14, April, DOI: 10.22004/ag.econ.43713.
• Maria Carmen Badia Batlle & Merche Galisteo & M. Teresa Preixens Benedicto, 2005, "Valoracion de credit default swaps: Una aplicacion del modelo de Hull-White al mercado espanol," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 130.
• Hortensia Fontanals Albiol & Ramon Lacayo, 2005, "Option Valuation As an Expectation in The Complex Domain: The Black-Scholes Case," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 142.
• Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005, "State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle," Staff Working Papers, Bank of Canada, number 05-9, DOI: 10.34989/swp-2005-9.
• Marcello Pericoli, 2005, "Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 545, Feb.
• Jeffery D Amato & Jacob Gyntelberg, 2005, "CDS index tranches and the pricing of credit risk correlations," BIS Quarterly Review, Bank for International Settlements, March.
• Franck Packer & Haibin Zhu, 2005, "Contractual terms and CDS pricing," BIS Quarterly Review, Bank for International Settlements, March.
• Fabio Fornari, 2005, "The rise and fall of US dollar interest rate volatility: evidence from swaptions," BIS Quarterly Review, Bank for International Settlements, September.
• Jeffery D Amato, 2005, "Risk aversion and risk premia in the CDS market," BIS Quarterly Review, Bank for International Settlements, December.
• Haibin Zhu & Benjamin Yibin Zhang & Hao Zhou, 2005, "Explaining credit default swap spreads with equity volatility and jump risks of individual firms," BIS Working Papers, Bank for International Settlements, number 181, Sep.
• Jeffery D. Amato & Eli M Remolona, 2005, "The pricing of unexpected credit losses," BIS Working Papers, Bank for International Settlements, number 190, Nov.
• Martijn Cremers & Joost Driessen & Pascal Maenhout & David Weinbaum, 2005, "Explaining the level of credit spreads: option-implied jump risk premia in a firm value model," BIS Working Papers, Bank for International Settlements, number 191, Nov.
• Eckhard Platen, 2005, "On The Role Of The Growth Optimal Portfolio In Finance," Australian Economic Papers, Wiley Blackwell, volume 44, issue 4, pages 365-388, December, DOI: 10.1111/j.1467-8454.2005.00271.x.
• Gael M. Martin & Catherine S. Forbes & Vance L. Martin, 2005, "Implicit Bayesian Inference Using Option Prices," Journal of Time Series Analysis, Wiley Blackwell, volume 26, issue 3, pages 437-462, May, DOI: 10.1111/j.1467-9892.2005.00410.x.
• Ming Dong & David Hirshleifer, 2005, "A Generalized Earnings‐Based Stock Valuation Model," Manchester School, University of Manchester, volume 73, issue s1, pages 1-31, September, DOI: 10.1111/j.1467-9957.2005.00459.x.
• Vladislav Kargin, 2005, "Lattice Option Pricing By Multidimensional Interpolation," Mathematical Finance, Wiley Blackwell, volume 15, issue 4, pages 635-647, October, DOI: 10.1111/j.1467-9965.2005.00254.x.
• Prasanna Gai & Nicholas Vause, 2005, "Measuring investors' risk appetite," Bank of England working papers, Bank of England, number 283, Nov.
• Guilherme B. Martins & Marcos Eugênio da Silva, 2005, "A Real Option Model with Uncertain, Sequential Investment and with Time to Build," Brazilian Review of Finance, Brazilian Society of Finance, volume 3, issue 2, pages 141-172.
• Hanson, S. & Pesaran, M.H. & Schuermann, T., 2005, "Scope for Credit Risk Diversification," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0519, May.
• Ángel León & Javier Mencía & Enrique Sentana, 2005, "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Working Papers, CEMFI, number wp2005_0509.
• Anderson, Ronald & Carverhill, Andrew, 2005, "A Model of Corporate Liquidity," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4994, Apr.
• Acharya, Viral & Johnson, Tim, 2005, "Insider Trading in Credit Derivatives," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5180, Aug.
• Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan & ,, 2005, "Demand-Based Option Pricing," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5420, Dec.
• Sentana, Enrique & Mencía, Javier & León, à ngel, 2005, "Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5435, Dec.
• Anna Rita Bacinello, 2005, "Modelling the Surrender Conditions in Equity-Linked Life Insurance," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 39, Feb.
• Yoon, Byung-Sam & Brorsen, B. Wade, 2005, "Can Multiyear Rollover Hedging Increase Mean Returns?," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 37, issue 1, pages 65-78, April.
• Baquero, Guillermo & ter Horst, Jenke & Verbeek, Marno, 2005, "Survival, Look-Ahead Bias, and Persistence in Hedge Fund Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 40, issue 3, pages 493-517, September.
• Peter C.B. Phillips & Jun Yu, 2005, "A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1523, Jun.
• Francisco Venegas-Martínez, 2005, "Temporary Stabilization and the Real Option of Waiting when Consumption can be Delayed: an Extreme Value Approach," DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade, number c010_043, Jun.
• John S. Ying & Joel S. Sternberg, 2005, "The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew," Working Papers, University of Delaware, Department of Economics, number 05-12.
• Aviral Chopra and David A. Bessler, 2005, "Price Discovery in the Black Pepper Market in Kerala, India," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 40, issue 1, pages 1-21, January.
• Toshiaki Watanabe & Hirokuni Uchiyama, 2005, "Structural Change in Japanese Business Fluctuations and Nikkei 225 Stock Index Futures Transactions," Finance Working Papers, East Asian Bureau of Economic Research, number 22318, Jan.
• Vahamaa, Sami, 2005, "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Journal of Economics and Business, Elsevier, volume 57, issue 1, pages 23-38.
• Houweling, Patrick & Vorst, Ton, 2005, "Pricing default swaps: Empirical evidence," Journal of International Money and Finance, Elsevier, volume 24, issue 8, pages 1200-1225, December.
• Gary S Shea, 2005, "South Sea Company subscription shares and warrant values in 1720," Working Papers, Economic History Society, number 5021, Apr.
• Fernández-Durán, Juan José & Gregorio-Domínguez, M. Mercedes, 2005, "Valuación actuarial de bonos catastróficos para desastres naturales en México," El Trimestre Económico, Fondo de Cultura Económica, volume 72, issue 288, pages 877-912, octubre-d, DOI: http://dx.doi.org/10.20430/ete.v72i.
• Pietersz, R. & van Regenmortel, M., 2005, "Generic Market Models," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2005-010-F&A, Mar.
• Pietersz, R. & Pelsser, A.A.J., 2005, "A Comparison of Single Factor Markov-Functional and Multi Factor Market Models," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2005-008-F&A, Apr.
• Grubisic, I. & Pietersz, R., 2005, "Efficient Rank Reduction of Correlation Matrices," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2005-009-F&A, Apr.
• Baquero, G. & Verbeek, M.J.C.M., 2005, "A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2005-068-F&A, Nov.
• S.Galluccio & Z. Huang & J.-M. Ly & O. Scaillet, 2005, "Theory and Calibration of Swap Market Models," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp107, Jun.
• Didier Cossin & Hongze Lu, 2005, "Are European Corporate Bond and Default Swap Markets Segmented?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp133, Mar.
• Didier Cossin & Gero Jung, 2005, "Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp134, Mar.
• Michele Moretto & Gianpaolo Rossini, 2005, "Start-up Entry Strategies: Employer vs. Nonemployer firms," Working Papers, Fondazione Eni Enrico Mattei, number 2005.13, Jan.
• Benjamin Y. Zhang & Hao Zhou & Haibin Zhu, 2005, "Explaining credit default swap spreads with the equity volatility and jump risks of individual firms," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2005-63.
• Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2005, "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
• Thomas H. Klier & Richard H. Mattoon & William A. Testa, 2005, "Challenges and prospects for Midwest manufacturing," Chicago Fed Letter, Federal Reserve Bank of Chicago, issue Mar.
• Thomas H. Klier & Richard H. Mattoon & William A. Testa, 2005, "Challenges and prospects for Midwest manufacturing," Chicago Fed Letter, Federal Reserve Bank of Chicago, issue Mar.
• Hayette Gatfaoui, 2005, "How does systematic risk impact stocks ? A study on the French financial market," Working Papers, HAL, number hal-00605035.
• Christiansen, Charlotte & Ranaldo, Angelo, 2005, "Realized Bond-Stock Correlation: Macroeconomic Announcement Effects," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number F-2005-05, Sep.
• Gaspar, Raquel M. & Slinko, Irina, 2005, "Correlation Between Intensity and Recovery in Credit Risk Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 614, Nov.
• Gaspar, Raquel M. & Schmidt, Thorsten, 2005, "Quadratic Portfolio Credit Risk models with Shot-noise Effects," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 616, Dec.
• Björk, Tomas & Biagini, Francesca, 2005, "On the Timing Option in a Futures Contract," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 619, Nov.
• Björk, Tomas & Blix, Magnus & Landen, Camilla, 2005, "On finite dimensional realizations for the term structure of futures prices," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 620, Oct.
• Mjøs, Aksel & Persson, Svein-Arne, 2005, "Callable Risky Perpetual Debt: Options, Pricing And Bankruptcy Implications," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2005/22, Dec.
• Giorgio Valente, 2005, "US Monetary Policy Announcements and the Term Structure of Interest Rate Differentials: Evidence from Hong Kong and Singapore," Working Papers, Hong Kong Institute for Monetary Research, number 092005, Sep.
• José Fajardo & Ernesto Mordecki, 2005, "Duality and Derivative Pricing with Lévy Processes," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2005-01, Nov.
• José Fajardo, 2005, "Equivalent Martingale Measures and Lévy Processes," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2005-07, Nov.
• José Fajardo & Ernesto Mordecki, 2005, "Duality and Derivative Pricing with Time-Changed Lévy Processes," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2005-12, Nov.
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