Research classified by Journal of Economic Literature (JEL) codes

2005

• John R. Graham & Campbell R. Harvey & Hai Huang, 2005, "Investor Competence, Trading Frequency, and Home Bias," NBER Working Papers, National Bureau of Economic Research, Inc, number 11426, Jun.
• Anna Pavlova & Roberto Rigobon, 2005, "Wealth Transfers, Contagion, and Portfolio Constraints," NBER Working Papers, National Bureau of Economic Research, Inc, number 11440, Jun.
• Kris James Mitchener & Marc D. Weidenmier, 2005, "Supersanctions and Sovereign Debt Repayment," NBER Working Papers, National Bureau of Economic Research, Inc, number 11472, Jul.
• William H. Branson & Conor N. Healy, 2005, "Monetary and Exchange Rate Policy Coordination in ASEAN 1," NBER Working Papers, National Bureau of Economic Research, Inc, number 11713, Oct.
• Kathryn Dominguez & Freyan Panthaki, 2005, "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers, National Bureau of Economic Research, Inc, number 11769, Nov.
• Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005, "The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly," NBER Working Papers, National Bureau of Economic Research, Inc, number 11840, Dec.
• Axel Boersch-Supan & Alexander Ludwig & Joachim Winter, 2005, "Aging, Pension Reform, and Capital Flows: A Multi-Country Simulation Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 11850, Dec.
• Ross Levine & Sergio Schmukler, 2005, "Internationalization and Stock Market Liquidity," NBER Working Papers, National Bureau of Economic Research, Inc, number 11894, Dec.
• Horobeţ Alexandra, 2005, "Expunerea la riscul valutar a firmelor româneşti: o analiză sectorială," Revista OEconomica, Romanian Society for Economic Science, Revista OEconomica, issue 04, December.
• Yasuhiro Tamba, 2005, "Pricing a Bermudan Swaption with a Short Rate Lattice Method," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 05-03, Mar.
• Hans Degryse & Frank De Jong & Maarten Van Ravenswaaij & Gunther Wuyts, 2005, "Aggressive Orders and the Resiliency of a Limit Order Market," Review of Finance, European Finance Association, volume 9, issue 2, pages 201-242.
• Xavier Freixas, 2005, "Interbank Market Integration under Asymmetric Information," The Review of Financial Studies, Society for Financial Studies, volume 18, issue 2, pages 459-490.
• Maciej Firla-CuchraTim Jenkinson, 2005, "Why Are Securitization Issues Tranched?," Economics Series Working Papers, University of Oxford, Department of Economics, number 2005-FE-04, Mar.
• Maciej Firla-Cuchra & Tim Jenkinson, 2005, "Security Design in the Real World: Why are Securitization Issues Tranched?," Economics Series Working Papers, University of Oxford, Department of Economics, number 225, Mar.
• Maciej Firla-Cuchra, 2005, "Explaining Launch Spreads on Structured Bonds," Economics Series Working Papers, University of Oxford, Department of Economics, number 230, Mar.
• Valerie Cerra & Sweta Chaman Saxena, 2005, "Did Output Recover from the Asian Crisis?," IMF Staff Papers, Palgrave Macmillan, volume 52, issue 1, pages 1-23, April.
• Ross Jennings & Gustavo Maturana, 2005, "The Usefulness Of Chilean Inflation Accounting," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., volume 8, issue 1, pages 85-118.
• L. R. Klein & Wendy Mak, 2005, "Sustainability of the Chinese Economic Expansion," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 10, issue 2, pages 1-14, Summer.
• George M. von Furstenberg, 2005, "Mexico versus Canada: Stability Benefits from Making Common Currency with USD?," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 10, issue 2, pages 15-37, Summer.
• Jo-Hui Chen, 2005, "An Analysis of Industrial Characteristics and Incentives on Foreign Investment: The Case of Rapid Economic Growth in Taiwan," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 10, issue 3, pages 89-107, Fall.
• Jorge Farinha & Miguel Sôro, 2005, "Ex-dividend pricing, taxes and arbitrage opportunities: the case of the Portuguese stock exchange," CEF.UP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 0508, Dec.
• Jorge Farinha & Óscar López de Foronda, 2005, "The relation between dividends and insider ownership in different legal systems: international evidence," CEF.UP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 0509, Dec.
• Sosa Navarro, Ramiro, 2005, "Default Recovery Rates and Implied Default Probability Estimations: Evidence from the Argentinean Crisis," MPRA Paper, University Library of Munich, Germany, number 11054, Jan.
• Ilmolelian, Peter, 2005, "The determinants of the Harare Stock Exchange (HSE) market capitalisation," MPRA Paper, University Library of Munich, Germany, number 1418, Nov.
• Pradhan, Jaya Prakash, 2005, "Different Shades of American Protectionism," MPRA Paper, University Library of Munich, Germany, number 16004, Apr.
• Shinada, Naoki, 2005, "Actual factors to determine cross-currency basis swaps: An empirical study on US dollar/Japanese yen basis swap rates from the late 1990s," MPRA Paper, University Library of Munich, Germany, number 16425, May.
• Chan, Tze-Haw & Baharumshah, Ahmad Zubaidi & Lau, Evan, 2005, "Real Financial Integration among the East Asian Economies: A SURADF Panel Approach," MPRA Paper, University Library of Munich, Germany, number 2021, revised Feb 2007.
• Espinosa Méndez, Christian, 2005, "Evidencia De Comportamiento Caótico En Indices Bursátiles Americanos
  [Evidence Of Chaotic Behavior In American Stock Markets]," MPRA Paper, University Library of Munich, Germany, number 2794, Oct, revised 30 Jun 2006.
• Cotter, John & Hanly, James, 2005, "Re-evaluating Hedging Performance," MPRA Paper, University Library of Munich, Germany, number 3523.
• Parker, John C., 2005, "What is the most appropriate model for generating scenarios for daily foreign exchange rates?," MPRA Paper, University Library of Munich, Germany, number 40269, Jun, revised Jun 2005.
• Hung, Mao-wei & Lee, Cheng-few & So, Leh-chyan, 2005, "Hedging with Foreign-listed Single Stock Futures," MPRA Paper, University Library of Munich, Germany, number 52372.
• Han, Bing & Hirshleifer, David & Wang, Tracy, 2005, "Investor Overconfidence and the Forward Discount Puzzle," MPRA Paper, University Library of Munich, Germany, number 6497, Jun, revised Dec 2007.
• Angelidis, Timotheos & Degiannakis, Stavros, 2005, "Modeling Risk for Long and Short Trading Positions," MPRA Paper, University Library of Munich, Germany, number 80467.
• Kim Oosterlinck & Loredana Ureche-Rangau, 2005, "Entre la peste et le choléra : le détenteur d’obligations peut préférer la répudiation au défaut…," Revue d'Économie Financière, Programme National Persée, volume 79, issue 2, pages 309-331, DOI: 10.3406/ecofi.2005.3992.
• Lorenzo Cappiello & Nikolaos Panigirtzoglou, 2005, "Estimates of Foreign Exchange Risk Premia: A Pricing Kernel Approach," Working Papers, Queen Mary University of London, School of Economics and Finance, number 547, Oct.
• John Board & Charles Sutcliffe, 2005, "Joined-Up Pensions Policy in the UK: An Asset-Libility Model for Simultaneously Determining the Asset Allocation and Contribution Rate," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2005-11, Sep.
• Carol Alexander & Andreza Barbosa, 2005, "Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2005-16, Dec.
• Guido M. Sandleris, 2005, "Sovereign Defaults: Information, Investment and Credit," 2005 Meeting Papers, Society for Economic Dynamics, number 21.
• Martin Bodenstein, 2005, "International Asset Markets and Real Exchange Rate Volatility," 2005 Meeting Papers, Society for Economic Dynamics, number 352.
• Emine Boz, 2005, "Do Miracles Lead to Crises?: An Informational Frictions Explanation to Emerging Market Financial Crises," 2005 Meeting Papers, Society for Economic Dynamics, number 496.
• Marcio Gomes Pinto Garcia & Alexandre Lowenkron, 2005, "Cousin risks: the extent and the causes of positive correlation between country and currency risks," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 507, Sep.
• Marcio Gomes Pinto Garcia & Fábio Urban, 2005, "O Mercado interbancário de câmbio no Brasil,Creation-Date: 2005-07," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 509, Mar.
• Akiko Terada-Hagiwara, 2005, "Foreign Exchange Reserves, Exchange Rate Regimes, and Monetary Policy: Issues in Asia," ADB Economics Working Paper Series, Asian Development Bank, number 61, Jan.
• Tobias C. Hoschka, 2005, "Developing the Market for Local Currency Bonds by Foreign Issuers: Lessons from Asia," ADB Economics Working Paper Series, Asian Development Bank, number 63, Feb.
• Paul Dickie & Emma Xiaoqin Fan, 2005, "Banks and Corporate Debt Market Development," ADB Economics Working Paper Series, Asian Development Bank, number 67, Apr.
• Tobias C. Hoschka, 2005, "Local Currency Financing - The Next Frontier for MDBs?," ADB Economics Working Paper Series, Asian Development Bank, number 68, Apr.
• Georges Dionne & Pierre Duchesne & Maria Pacurar, 2005, "Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 05-9, Dec.
• Hee-Yul Chai & Yeongseop Rhee, 2005, "Alternatives of Cross-Border Securities Settlement System in East Asia," East Asian Economic Review, Korea Institute for International Economic Policy, volume 9, issue 2, pages 49-82, DOI: 10.11644/KIEP.JEAI.2005.9.2.144.
• Chi-Young Song, 2005, "Forecasting of Currency Crises in East Asia," East Asian Economic Review, Korea Institute for International Economic Policy, volume 9, issue 1, pages 153-188, DOI: 10.11644/KIEP.JEAI.2005.9.1.140.
• Young Mok Bae, 2005, "The Determinants of Banking Crises and Currency Crises," East Asian Economic Review, Korea Institute for International Economic Policy, volume 9, issue 1, pages 191-220, DOI: 10.11644/KIEP.JEAI.2005.9.1.141.
• Abdulnasser Hatemi-J & Eduardo Roca & Fang Tang, 2005, "US Equity Market Spili-Over and Contagion Effects on Selected Asian Markets Vis-à-vis September 11," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 58, issue 4, pages 449-470.
• Imad A. Moosa & Brien McDonald, 2005, "Operational Hedging as an Alternative to Financial Hedging in the Absence of Sophisticated Financial Markets," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 58, issue 2, pages 241-254.
• Konstantinos Drakos, 2005, "The Elasticity of Substitution across Maturities in International Capital Markets: A Simple Test," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 20, pages 727-745.
• Hugh R. Lamle & Terrence F. Martell, 2005, "A New Era for Commodity Investments," Journal of Financial Transformation, Capco Institute, volume 15, pages 1-6.
• John Cotter & Jim Hanly, 2005, "Re-evaluating hedging performance," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1144, Jul.
• John Cotter & Kevin Dowd, 2005, "Extreme spectral risk measures : an application to futures clearinghouse margin requirements," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1169, Dec.
• John Cotter, 2005, "Modelling catastrophic risk in international equity markets : an extreme value approach," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1196, Apr.
• Alessandra Bonfiglioli & Caterina Mendicino, 2005, "Financial Liberalization, Bank Crises and Growth: Assessing the links," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0044, Mar.
• Rita L. D'Ecclesia & Robert G. Tompkins, 2005, "Estimating default probabilities using a non parametric approach," Computing in Economics and Finance 2005, Society for Computational Economics, number 116, Nov.
• Axel Boersch-Supan & Alexander Ludwig, 2005, "Aging, pension reform, and capital flows: A multi-country simulation model," Computing in Economics and Finance 2005, Society for Computational Economics, number 123, Nov.
• Ritirupa Samanta & Blake LeBaron, 2005, "Extreme Value Theory and Fat Tails in Equity Markets," Computing in Economics and Finance 2005, Society for Computational Economics, number 140, Nov.
• Svetlana Makarova & Wojciech Charemza, 2005, "Stochastic and deterministic unit root models: problem of dominance," Computing in Economics and Finance 2005, Society for Computational Economics, number 190, Nov.
• Magdalena E. Sokalska & Ananda Chanda & Robert F. Engle, 2005, "High Frequency Multiplicative Component Garch," Computing in Economics and Finance 2005, Society for Computational Economics, number 409, Nov.
• Jian Yang & Cheng Hsiao & Qi Li & Zijun Wang, 2005, "The Emerging Market Crisis and Stock Market Linkages: Further Evidence," IEPR Working Papers, Institute of Economic Policy Research (IEPR), number 05.27, Jul.
• Yasuyuki Swada & Pan A. Yotopoulos, 2005, "Corner Solutions, Crises, and Capital Controls: A Theory and an Empirical Analyas on the Optimal Exchane Rate Regime in Emerging Economies," Discussion Papers, Stanford Institute for Economic Policy Research, number 04-037, Aug.
• Haubrich, Joseph G. & Santos, Joao A. C., 2005, "Banking and commerce: A liquidity approach," Journal of Banking & Finance, Elsevier, volume 29, issue 2, pages 271-294, February.
• Bjonnes, Geir Hoidal & Rime, Dagfinn, 2005, "Dealer behavior and trading systems in foreign exchange markets," Journal of Financial Economics, Elsevier, volume 75, issue 3, pages 571-605, March.
• de Jong, Frank & de Roon, Frans A., 2005, "Time-varying market integration and expected returns in emerging markets," Journal of Financial Economics, Elsevier, volume 78, issue 3, pages 583-613, December.
• Bjonnes, Geir Hoidal & Rime, Dagfinn & Solheim, Haakon O.Aa., 2005, "Liquidity provision in the overnight foreign exchange market," Journal of International Money and Finance, Elsevier, volume 24, issue 2, pages 175-196, March.
• Berben, Robert-Paul & Jansen, W. Jos, 2005, "Comovement in international equity markets: A sectoral view," Journal of International Money and Finance, Elsevier, volume 24, issue 5, pages 832-857, September.
• Dellas, Harris & Hess, Martin, 2005, "Financial development and stock returns: A cross-country analysis," Journal of International Money and Finance, Elsevier, volume 24, issue 6, pages 891-912, October.
• Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2005, "'Some contagion, some interdependence': More pitfalls in tests of financial contagion," Journal of International Money and Finance, Elsevier, volume 24, issue 8, pages 1177-1199, December.
• Oxelheim, Lars & Rafferty, Michael, 2005, "On the static efficiency of secondary bond markets," Journal of Multinational Financial Management, Elsevier, volume 15, issue 2, pages 117-135, April.
• Frenkel, Michael & Pierdzioch, Christian & Stadtmann, Georg, 2005, "The effects of Japanese foreign exchange market interventions on the yen/U.S. dollar exchange rate volatility," International Review of Economics & Finance, Elsevier, volume 14, issue 1, pages 27-39.
• Timotheos Angelidis & Stavros Degiannakis, 2005, "Modeling risk for long and short trading positions," Journal of Risk Finance, Emerald Group Publishing Limited, volume 6, issue 3, pages 226-238, July, DOI: 10.1108/15265940510599838.

2004

• Doidge, Craig & Karolyi, G. Andrew & Stulz, Rene M., 2004, "Why are foreign firms listed in the U.S. worth more?," Journal of Financial Economics, Elsevier, volume 71, issue 2, pages 205-238, February.
• Ng, David T., 2004, "The international CAPM when expected returns are time-varying," Journal of International Money and Finance, Elsevier, volume 23, issue 2, pages 189-230, March.
• Bams, Dennis & Walkowiak, Kim & Wolff, Christian C. P., 2004, "More evidence on the dollar risk premium in the foreign exchange market," Journal of International Money and Finance, Elsevier, volume 23, issue 2, pages 271-282, March.
• Gropp, Reint & Moerman, Gerard, 2004, "Measurement of contagion in banks' equity prices," Journal of International Money and Finance, Elsevier, volume 23, issue 3, pages 405-459, April.
• Block, Steven A. & Vaaler, Paul M., 2004, "The price of democracy: sovereign risk ratings, bond spreads and political business cycles in developing countries," Journal of International Money and Finance, Elsevier, volume 23, issue 6, pages 917-946, October.
• Koedijk, Kees G. & Tims, Ben & van Dijk, Mathijs A., 2004, "Purchasing power parity and the euro area," Journal of International Money and Finance, Elsevier, volume 23, issue 7-8, pages 1081-1107.
• Flavin, Thomas J., 2004, "The effect of the Euro on country versus industry portfolio diversification," Journal of International Money and Finance, Elsevier, volume 23, issue 7-8, pages 1137-1158.
• Bauer, Rob & Derwall, Jeroen & Molenaar, Roderick, 2004, "The real-time predictability of the size and value premium in Japan," Pacific-Basin Finance Journal, Elsevier, volume 12, issue 5, pages 503-523, November.
• Cauchie, Severine & Hoesli, Martin & Isakov, Dusan, 2004, "The determinants of stock returns in a small open economy," International Review of Economics & Finance, Elsevier, volume 13, issue 2, pages 167-185.
• Shaun A. Bond & Mardi Dungey & Renee Fry, 2004, "A web of shocks: Crises across Asian real estate market," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2004-02, Jun.
• Gevorgyan Ruben & Melikyan Narine, 2004, "Missing Data Problem and the Empirical Yield Curve Analysis. An Example of T-bills Market in Armenia," EERC Working Paper Series, EERC Research Network, Russia and CIS, number 04-03e, Feb.
• Edwards, Sebastian, 2004, "The economics of Latin American art: creativity patterns and rates of return," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123098, Apr.
• Esho, Neil & Kollo, Michael G. & Sharpe, Ian G., 2004, "Eurobond underwriter spreads," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24744, Jun.
• Julliard, Christian, 2004, "Human capital and international portfolio choice," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4813, Oct.
• Saziye Gazioglu & W. David McCausland, 2004, "An Intertemporal Model of the Real Exchange Rate, Stock Market, and International Debt Dynamics: Policy Simulations," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 7, issue 2, pages 73-88, Winter.
• Martínez, Lorenza & Tornell, Aarón & Westermann, Frank, 2004, "Globalización, crecimiento y crisis financieras. Lecciones de México y del mundo en desarrollo," El Trimestre Económico, Fondo de Cultura Económica, volume 71, issue 282, pages 251-351, abril-jun.
• Johnson, Christian A. & Soriano, Fabián A., 2004, "Volatilidad del mercado accionario y la crisis asiática. Evidencia internacional de asimetrías," El Trimestre Económico, Fondo de Cultura Económica, volume 71, issue 282, pages 355-388, abril-jun.
• Lozano Gutiérrez, Ma. Carmen & Fuentes Martín, Federico, 2004, "La reducción del riesgo cambiario en los préstamos en divisas," El Trimestre Económico, Fondo de Cultura Económica, volume 71, issue 282, pages 389-415, abril-jun.
• Parisi, Antonino & Parisi, Franco & Cornejo, Edinson, 2004, "Algoritmos genéticos y modelos multivariados recursivos en la predicción de índices bursátiles de América del Norte: IPC, TSE, NASDAQ y DJI," El Trimestre Económico, Fondo de Cultura Económica, volume 71, issue 284, pages 789-809, octubre-d.
• James Payne & Anandi Sahu, 2004, "Random walks, cointegration, and the transmission of shocks across global real estate and equity markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 28, issue 2, pages 198-210, June, DOI: 10.1007/BF02761611.
• Thierry Ané & Chiraz Labidi, 2004, "Return interval, dependence structure, and multivariate normality," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 28, issue 3, pages 285-299, September, DOI: 10.1007/BF02751733.
• Javier Biscarri & Fernando Gracia, 2004, "Stock market cycles and stock market development in Spain," Spanish Economic Review, Springer;Spanish Economic Association, volume 6, issue 2, pages 127-151, July, DOI: 10.1007/s10108-003-0078-7.
• Geir Høidal Bjønnes & Dagfinn Rime & Haakon O. Aa. Solheim, 2004, "Liquidity provision in the overnight foreign exchange market," Discussion Papers, Statistics Norway, Research Department, number 391, Sep.
• John Cotter, 2004, "Downside risk for European equity markets," Applied Financial Economics, Taylor & Francis Journals, volume 14, issue 10, pages 707-716, DOI: 10.1080/0960310042000243547.
• Pilar Abad & Alfonso Novales, 2004, "Volatility transmission across the term structure of swap markets: international evidence," Applied Financial Economics, Taylor & Francis Journals, volume 14, issue 14, pages 1045-1058, DOI: 10.1080/0960310042000245563.
• Kpate Adjaoute & Jean-Pierre Danthine, 2004, "Portfolio diversification: alive and well in Euro-land!," Applied Financial Economics, Taylor & Francis Journals, volume 14, issue 17, pages 1225-1231, DOI: 10.1080/0960310042000203028.
• Stavros Degiannakis, 2004, "Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model," Applied Financial Economics, Taylor & Francis Journals, volume 14, issue 18, pages 1333-1342, DOI: 10.1080/0960310042000285794.
• Siem Jan Koopman & Borus Jungbacker & Eugenie Hol, 2004, "Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-016/4, Feb.
• Martin Martens & Dick van Dijk & Michiel de Pooter, 2004, "Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-067/4, Jun.
• Degryse, H.A. & Nguyen, G., 2004, "Interbank Exposures : An Empirical Examination of Systemic Risk in the Belgian Banking System," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-4.
• de Roon, F.A., 2004, "On the Estimation Error in Mean-Variance Efficient Portfolio Weights," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-106.
• Degryse, H.A. & Nguyen, G., 2004, "Interbank Exposures : An Empirical Examination of Systemic Risk in the Belgian Banking System," Other publications TiSEM, Tilburg University, School of Economics and Management, number 24d7f8a9-0f7c-411a-843c-c.
• Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2004, "Do countries or industries explain momentum in Europe?," Other publications TiSEM, Tilburg University, School of Economics and Management, number 73c21ccd-7c67-4e11-8eac-5.
• Kristin J. Forbes & Menzie D. Chinn, 2004, "A Decomposition of Global Linkages in Financial Markets Over Time," The Review of Economics and Statistics, MIT Press, volume 86, issue 3, pages 705-722, August.
• Juan-Ángel Jiménez-Martín & Rafael Flores de Frutos, 2004, "The Fit of Dynamic Equilibrium Models of Exchange Rate," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0411.
• Juan-Ángel Jiménez-Martín & Rodrigo Peruga Urrea, 2004, "Macroeconomic and policy uncertainty and Exchange rate risk Premium," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0412.
• Juan-Ángel Jiménez-Martín & Rafael Flores de Frutos, 2004, "Seasonal Fluctuations and Dynamic Equilibrium Models of Exchange Rate," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0413.
• Serafín Frache & Gabriel Katz, 2004, "Estimating a Risky Term Structure of Uruguayan Sovereign Bonds," Documentos de Trabajo (working papers), Department of Economics - dECON, number 0304, May.
• Daal, Elton & Naka, Atsuyuki & Yu, Jung-Suk, 2004, "Volatility clustering, leverage effects, and jumps dynamics in emerging Asian equity markets," Working Papers, University of New Orleans, Department of Economics and Finance, number 2004-05, Sep.
• Fernando Broner & Roberto Rigobon, 2004, "Why are capital flows so much more volatile in emerging than in developed countries?," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 862, Oct.
• Alessandra Bonfiglioli & Caterina Mendicino, 2004, "Financial liberalization, bank crises and growth: Assessing the links," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 946, Oct.
• Broner, Fernando A.,Lorenzoni, Guido,Schmukler, 2004, "ĸºä»€Ä¹ˆæ–°Å…´Ç» Ƶžé€‰Æ‹©Å ‘È¡Œçÿ­Æœÿ债券ϼŸ," Policy Research Working Paper Series, The World Bank, number 3389, Sep.
• Bernd Hayo & Ali M. Kutan, 2004, "The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2004-656, Feb.
• Jian Tong & Chenggang Xu, 2004, "Financial Sector Returns and Creditor Moral Hazard: Evidence from Indonesia, Korea, and Thailand," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2004-687, May.
• Takao Kato & Cheryl Long, 2004, "Executive Compensation, Firm Performance, and State Ownership in China: Evidence from New Panel Data," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2004-690, May.
• Art A. Durnev & Amrita S. Nain, 2004, "The Unanticipated Effects of Insider Trading Regulation," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2004-695, May.
• Tomas Dvorak & Chris R. A. Geiregat, 2004, "Are the new and old EU countries financially integrated?," Department of Economics Working Papers, Department of Economics, Williams College, number 2004-09, May.
• Tomoko Harigaya & Alan de Brauw, 2004, "Seasonal Migration and Improving Living Standards in Vietnam," Department of Economics Working Papers, Department of Economics, Williams College, number 2004-10, Sep.
• Michel Normandin, 2004, "Canadian and U.S. financial markets: testing the international integration hypothesis under time‐varying conditional volatility," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 37, issue 4, pages 1021-1041, November, DOI: 10.1111/j.0008-4085.2004.00258.x.
• Niklas Wagner & Terry A. Marsh, 2004, "Surprise Volume and Heteroskedasticity in Equity Market Returns," Econometrics, University Library of Munich, Germany, number 0409009, Sep.
• Alfonso Mendoza, 2004, "Modelling Long Memory and Risk Premia in Latin American Sovereign Bond Markets," Econometrics, University Library of Munich, Germany, number 0410004, Oct.
• Terry A. Marsh & Niklas Wagner, 2004, "Return-Volume Dependence and Extremes in International Equity Markets," Finance, University Library of Munich, Germany, number 0401007, Jan.
• Fernando Rubio, 2004, "Simple Trading Rules: Trading On Ibex At Meff," Finance, University Library of Munich, Germany, number 0402001, Feb, revised 28 Jul 2005.
• Fernando Rubio, 2004, "Corte Transversal De Los Retornos Esperados En El Mercado Accionario Chileno," Finance, University Library of Munich, Germany, number 0402002, Feb.
• Fernando Rubio, 2004, "Some Technical Analysis On The Stock Market: Spain And Usa," Finance, University Library of Munich, Germany, number 0402017, Feb, revised 27 Jul 2005.
• Capocci Daniel & Corhay Albert & Hübner Georges, 2004, "Hedge Fund Performance and Persistence in Bull and Bear Markets," Finance, University Library of Munich, Germany, number 0402018, Feb.
• Bernd Hayo & Ali Kutan, 2004, "The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets," Finance, University Library of Munich, Germany, number 0403002, Mar.
• Fernando Rubio, 2004, "Intangibles Y Valoracion De Empresas: Evidencia Empirica," Finance, University Library of Munich, Germany, number 0404014, Apr.
• Peik Granlund, 2004, "Economic evaluation of bank exit regimes in US, EU and Japanese financial centres," Finance, University Library of Munich, Germany, number 0405002, May.
• Fernando Rubio, 2004, "Eficiencia Simple Del Mercado De Renta Fija En Chile," Finance, University Library of Munich, Germany, number 0405009, May.
• Ciccarelli Salvatore, 2004, "Dematerialising Capital In Financial Firms: An Option Based Approach," Finance, University Library of Munich, Germany, number 0405013, May.
• Bill B. Francis & Iftekhar Hasan & Delroy M. Hunter, 2004, "Return-volatility linkages in the international equity and currency markets," Finance, University Library of Munich, Germany, number 0405022, May.
• Fernando Rubio, 2004, "Contrastacion De Metodologías Para El Cálculo De Beta De Mercado: El Caso De España," Finance, University Library of Munich, Germany, number 0405030, May.
• Fernando Rubio, 2004, "Technical Analysis On Foreign Exchange: 1975 - 2004," Finance, University Library of Munich, Germany, number 0405033, May, revised 01 Jul 2004.
• José Carlos Dias & Luís Lopes & Vitor Martins & José Manuel Benzinho, 2004, "Efficiency tests in the Iberian stock markets," Finance, University Library of Munich, Germany, number 0406001, Jun.
• Daniel Stavarek, 2004, "Linkages between Stock Prices and Exchange Rates in the EU and the United States," Finance, University Library of Munich, Germany, number 0406006, Jun.
• Roland Shami & Don U.A. Galagedera, 2004, "Beta Risk and Regime Shift in Market Volatility," Finance, University Library of Munich, Germany, number 0406012, Jun.
• Cornelis A. Los, 2004, "Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data," Finance, University Library of Munich, Germany, number 0409033, Sep.
• Cornelis A. Los, 2004, "The Changing Concept of Financial Risk," Finance, University Library of Munich, Germany, number 0409034, Sep.
• Cornelis A. Los & Jeyanthi Karuppiah, 2004, "Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997," Finance, University Library of Munich, Germany, number 0409037, Sep.
• Cornelis A. Los, 2004, "Optimal Asian Multi-Currency Strategy Portfolios with Exact Risk Attribution," Finance, University Library of Munich, Germany, number 0409038, Sep.
• Cornelis A. Los, 2004, "Valuation of Six Asian Stock Markets: Financial System Identification in Noisy Environments," Finance, University Library of Munich, Germany, number 0409039, Sep.
• Cornelis A. Los, 2004, "Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets," Finance, University Library of Munich, Germany, number 0409040, Sep.
• Cornelis A. Los & Joanna M. Lipka, 2004, "Long-Term Dependence Characteristics of European Stock Indices," Finance, University Library of Munich, Germany, number 0409044, Sep.
• Cornelis A. Los, 2004, "Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries," Finance, University Library of Munich, Germany, number 0409047, Sep.
• Nyo Nyo A. Kyaw & Cornelis A. Los & Sijing Zong, 2004, "Persistence Characteristics of Latin American Financial Markets," Finance, University Library of Munich, Germany, number 0409048, Sep.
• Sutthisit Jamdee & Cornelis A. Los, 2004, "Long Memory Options: Valuation," Finance, University Library of Munich, Germany, number 0409049, Sep.
• Cornelis A. Los & Rossitsa M. Yalamova, 2004, "Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash," Finance, University Library of Munich, Germany, number 0409050, Sep.
• Fernando Rubio, 2004, "Caso Banco Galicia Y Buenos Aires S.A," Finance, University Library of Munich, Germany, number 0410003, Oct, revised 17 Aug 2005.
• Fernando Rubio, 2004, "Data Mining Sobre El Beta En España," Finance, University Library of Munich, Germany, number 0410011, Oct.
• Fernando Rubio, 2004, "Caso Zurich Y Bsch En Bolivia," Finance, University Library of Munich, Germany, number 0410014, Oct.
• Mansor H. Ibrahim, 2004, "Integration or Segmentation of Malaysian Equity Market: An Analysis of Pre- and Post- Capital Controls," Finance, University Library of Munich, Germany, number 0411010, Nov.
• Andrea Brasili & Giuseppe Vulpes, 2004, "Co-movements in EU banks’ fragility: a dynamic factor model approach," Finance, University Library of Munich, Germany, number 0411011, Nov, revised 02 Nov 2005.
• Julius Moschitz, 2004, "Spillovers across High Yield Markets," Finance, University Library of Munich, Germany, number 0412024, Dec.
• Alicia Garcia Herrero & Antonio Diez de los Rios, 2004, "Contagion And Portfolio Shift In Emerging Countries´ Sovereign Bonds," International Finance, University Library of Munich, Germany, number 0403002, Mar.
• Lucio Vinhas de Souza, 2004, "Financial Liberalization and Business Cycles: The Experience of Future EU Member States in the Baltics and Central Eastern Europe," International Finance, University Library of Munich, Germany, number 0403009, Mar.
• MARAIS Elise, 2004, "La contagion financi`ere : une ´etude empirique sur les causalités lors de la crise asiatique," International Finance, University Library of Munich, Germany, number 0404003, Apr.
• Alicia Garcia Herrero & Sonsoles Gallego Herrero & Cristina Luna Abella, 2004, "Investing In The Financial Sector Of Emerging Countries: Potential Risk And How To Manage Them," International Finance, University Library of Munich, Germany, number 0404015, Apr.
• Edgar L. Feige & James M. Johannes, 2004, "Testing The Causal Relationship Between Domestic Credit And Reserve Components Of A Country'S Monetary Base," International Finance, University Library of Munich, Germany, number 0404016, Apr.
• Iftekhar Hasan & Heiko Schmiedel, 2004, "Do networks in the stock exchange industry pay off? European evidence," International Finance, University Library of Munich, Germany, number 0405002, May.
• Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004, "Characterizing Asymmetric Information in International Equity Markets," International Finance, University Library of Munich, Germany, number 0405005, May.
• Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004, "International Equity Flows and Returns: A Quantitative Equilibrium Approach," International Finance, University Library of Munich, Germany, number 0405006, May.
• Syed A. Basher & Perry Sadorsky, 2004, "Oil price risk and emerging stock markets," International Finance, University Library of Munich, Germany, number 0410003, Oct.
• Eric Hillebrand & Gunther Schnabl, 2004, "The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection," International Finance, University Library of Munich, Germany, number 0410008, Oct.
• Hongquan Zhu & Zudi Lu & Shouyang Wang & Abdol S. Soofi, 2004, "Causal Linkages Among Shanghai, Shenzhen, And Hong Kong Stock Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 02, pages 135-149, DOI: 10.1142/S0219024904002414.
• Mohammad S. Hasan, 2004, "On The Validity Of The Random Walk Hypothesis Applied To The Dhaka Stock Exchange," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 08, pages 1069-1085, DOI: 10.1142/S0219024904002797.
• Mao-wei Hung & Cheng-few Lee & Leh-chyan So, 2004, "Hedging with Foreign-Listed Single Stock Futures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Peter G. Zhang, 2004, "Chinese Yuan Revaluation and Derivative Products," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, "Chinese Yuan (Renminbi) Derivative Products".
• Peter G. Zhang, 2004, "Open-Door Policy and a Quarter-Century Reform," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, "Chinese Yuan (Renminbi) Derivative Products".
• Peter G. Zhang, 2004, "The Chinese Economy," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, "Chinese Yuan (Renminbi) Derivative Products".
• Peter G. Zhang, 2004, "Banking System in China," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, "Chinese Yuan (Renminbi) Derivative Products".
• Peter G. Zhang, 2004, "The Chinese Capital Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, "Chinese Yuan (Renminbi) Derivative Products".
• Peter G. Zhang, 2004, "Foreign Exchange Administration," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, "Chinese Yuan (Renminbi) Derivative Products".
• Peter G. Zhang, 2004, "Foreign Exchange Market," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, "Chinese Yuan (Renminbi) Derivative Products".
• Peter G. Zhang, 2004, "Foreign Exchange Forwards and Swaps," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, "Chinese Yuan (Renminbi) Derivative Products".
• Peter G. Zhang, 2004, "Non-Deliverable Forwards and Swaps," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, "Chinese Yuan (Renminbi) Derivative Products".
• Peter G. Zhang, 2004, "Foreign Exchange Futures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, "Chinese Yuan (Renminbi) Derivative Products".
• Peter G. Zhang, 2004, "Foreign Exchange Options," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, "Chinese Yuan (Renminbi) Derivative Products".
• Peter G. Zhang, 2004, "The Asian Financial Crisis," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, "Chinese Yuan (Renminbi) Derivative Products".
• Peter G. Zhang, 2004, "FX Forwards and Futures during the Asian Crisis," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 13, "Chinese Yuan (Renminbi) Derivative Products".
• Peter G. Zhang, 2004, "NDFs during the Asian Financial Crisis," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 14, "Chinese Yuan (Renminbi) Derivative Products".
• Peter G. Zhang, 2004, "Swaps," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 15, "Chinese Yuan (Renminbi) Derivative Products".
• Peter G. Zhang, 2004, "Options, Structured Notes, and Other Products," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 16, "Chinese Yuan (Renminbi) Derivative Products".
• Peter G. Zhang, 2004, "CNY Forwards," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 17, "Chinese Yuan (Renminbi) Derivative Products".
• Peter G. Zhang, 2004, "CNY NDFs," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 18, "Chinese Yuan (Renminbi) Derivative Products".
• Peter G. Zhang, 2004, "Uses of CNY NDFs," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 19, "Chinese Yuan (Renminbi) Derivative Products".
• Peter G. Zhang, 2004, "Chinese Yuan Swaps," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 20, "Chinese Yuan (Renminbi) Derivative Products".
• Peter G. Zhang, 2004, "CNY Nondeliverable Options," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 21, "Chinese Yuan (Renminbi) Derivative Products".
• Peter G. Zhang, 2004, "Structured Deposits Related to CNY," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 22, "Chinese Yuan (Renminbi) Derivative Products".