Research classified by Journal of Economic Literature (JEL) codes

2006

• Sergey Belousov, 2006, "Volatility modeling with jumps: applications to Russian and American stock markets (in Russian)," Quantile, Quantile, issue 1, pages 101-110, September.
• Carol Alexander & Andreza Barbosa, 2006, "Minimum Variance Hedging and Stock Index Market Efficiency," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2006-04, Jul, revised Sep 2006.
• Stephen Brammer & Chris Brooks & Stephen Pavelin, 2006, "The Stock Performance of America's 100 Best Corporate Citizens," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2006-06, Jul.
• Pietro Reichlin, 2006, "Explaning the Correlation Between Output and Volatility in a Model of International Risk-Sharing and Limited Commitment," 2006 Meeting Papers, Society for Economic Dynamics, number 251.
• Todd Keister, 2006, "Expectations and Contagion in Self-fulfilling Currency Attacks," 2006 Meeting Papers, Society for Economic Dynamics, number 485.
• Fernando Broner & Alberto Martin & Jaume Ventura, 2006, "Sovereign Risk and Secondary Markets," 2006 Meeting Papers, Society for Economic Dynamics, number 565.
• Craig Burnside & Martin Eichenbaum & Isaac Kleshchelski & Sergio Rebelo, 2006, "The Returns to Currency Speculation," 2006 Meeting Papers, Society for Economic Dynamics, number 864.
• Adrien Verdelhan, 2006, "A Habit-Based Explanation of the Exchange Rate Risk Premium," 2006 Meeting Papers, Society for Economic Dynamics, number 872.
• Márcio Gomes Pinto Garcia & Juliana Salomão, 2006, "Alongamento dos títulos de renda fixa no Brasil," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 515, Mar.
• Márcio Gomes Pinto Garcia & Bernando S. de M. Carvalho, 2006, "Ineffective controls on capital inflows under sophisticated financial markets: Brazil in the nineties," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 516, Mar.
• Jungwon Suh, 2006, "Integration among Major Capital Markets in the World: An Investigation Focusing on Firm Value," East Asian Economic Review, Korea Institute for International Economic Policy, volume 10, issue 1, pages 99-128, DOI: 10.11644/KIEP.JEAI.2006.10.1.153.
• Abdulnasser Hatemi-J & Eduardo Roca & Jia Qiu Qiu, 2006, "Does it Pay for Australian Investors to Diversify into their Country's Major Trading Partners?," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 59, issue 3, pages 295-316.
• Tassos G. Anastasatos & Ian R. Davidson, 2006, "An Empirical Characterisation of Speculative Pressure: A Comprehensive Panel Study Using LDV Models in High Frequency," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 21, pages 619-656.
• Pankaj Jain, 2006, "Improving liquidity through efficient stock market structure and operational design," Journal of Financial Transformation, Capco Institute, volume 18, pages 151-159.
• Hong Li & Ewa Majerowska, 2006, "Stock market integration: a multivariate GARCH analysis on Poland and Hungary," Economics Discussion Papers, School of Economics, Kingston University London, number 2006-2, Jan.
• Raj Aggarwal & Brian M. Lucey & Cal Muckley, 2006, "Dynamics of equity market integration in Europe : impact of political-economy events," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1154, Jun.
• John Cotter & Kevin Dowd, 2006, "Estimating financial risk measures for futures positions : a non-parametric approach," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1172, Dec.
• John Cotter & Kevin Dowd, 2006, "Spectral risk measures with an application to futures clearinghouse variation margin requirements," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1189, Oct.
• L. Baele & K. Inghelbrecht, 2006, "Structural versus Temporary Drivers of Country and Industry Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 06/413, Sep.
• Nick Samouilhan, 2006, "The Relationship Between International Equity Market Behaviour and the JSE," ERSA Working Paper Series, Economic Research Southern Africa, number 042, Sep.
• Nick Samouilhan, 2006, "The Price of Risk on the JSE," ERSA Working Paper Series, Economic Research Southern Africa, number 049, Jan.
• Cemal Berk OÄŸuzsoy & Sibel Güven, 2006, "Turn of the Month and Turn of the Month Surrounding Days Effects in Istanbul Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 5, issue 1, pages 1-13, April, DOI: 10.1177/097265270500500101.
• Aktham Maghyereh, 2006, "Regional Integration of Stock Markets in MENA Countries," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 5, issue 1, pages 59-94, April, DOI: 10.1177/097265270500500103.
• Michael E. Drew & Alastair Marsden & Madhu Veeraraghavan, 2006, "Small Firm Effect, Liquidity and Security Returns," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 5, issue 2, pages 135-149, August, DOI: 10.1177/097265270600500202.
• Emine Boz, 2006, "Can Miracles Lead to Crises? An Informational Frictions Explanation of Emerging Markets Crises," Computing in Economics and Finance 2006, Society for Computational Economics, number 19, Jul.
• Adrien Verdelhan, 2006, "A Habit-Based Explanation of the Exchange Rate Risk Premium," Computing in Economics and Finance 2006, Society for Computational Economics, number 217, Jul.
• Valentyn Panchenko, 2006, "Evaluating the Predictive Abilities of Semiparametric Multivariate Models," Computing in Economics and Finance 2006, Society for Computational Economics, number 382, Jul.
• Hercules Vladimirou & Nikolas Topaloglou & Stavros A. Zenios, 2006, "A Stochastic Programming Framework for International PortfolioManagement," Computing in Economics and Finance 2006, Society for Computational Economics, number 404, Jul.
• Lukas Ladislav, 2006, "Dynamic equilibrium conditions used for building a family of FX rate simulation models," Computing in Economics and Finance 2006, Society for Computational Economics, number 419, Jul.
• Michael G. Papaioannou, 2006, "Exchange Rate Risk Measurement and Management: Issues and Approaches for Firms," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, volume 4, issue 2, pages 129-146.
• Kho, Bong-Chan & Stulz, Rene M. & Warnock, Francis E., 2006, "Financial Globalization, Governance, and the Evolution of the Home Bias," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2006-12, Jul.
• Armstrong, Christopher & Barth, Mary E. & Jagolinzer, Alan D. & Riedl, Edward J., 2006, "Market Reaction to Events Surrounding the Adoption of IFRS in Europe," Research Papers, Stanford University, Graduate School of Business, number 1937, Apr.
• Henry, Peter B., 2006, "Capital Account Liberalization: Theory, Evidence, and Speculation," Research Papers, Stanford University, Graduate School of Business, number 1951, Nov.
• Andres Vesilind, 2006, "Profitability of simple trading strategies exploiting the forward premium bias in foreign exchange markets and the time premium in yield curves," Bank of Estonia Working Papers, Bank of Estonia, number 2006-04, Oct, revised 12 Oct 2006.
• Daouk, Hazem & Lee, Charles M.C. & Ng, David, 2006, "Capital market governance: How do security laws affect market performance?," Journal of Corporate Finance, Elsevier, volume 12, issue 3, pages 560-593, June.
• Chen, Shiu-Sheng, 2006, "Revisiting the interest rate-exchange rate nexus: a Markov-switching approach," Journal of Development Economics, Elsevier, volume 79, issue 1, pages 208-224, February.
• von Furstenberg, George M., 2006, "Mexico versus Canada: Stability benefits from making common currency with USD?," The North American Journal of Economics and Finance, Elsevier, volume 17, issue 1, pages 65-78, March.
• Dvorak, Tomas & Podpiera, Richard, 2006, "European Union enlargement and equity markets in accession countries," Emerging Markets Review, Elsevier, volume 7, issue 2, pages 129-146, June.
• Ehling, Paul & Ramos, Sofia B., 2006, "Geographic versus industry diversification: Constraints matter," Journal of Empirical Finance, Elsevier, volume 13, issue 4-5, pages 396-416, October.
• Campa, Jose Manuel & Fernandes, Nuno, 2006, "Sources of gains from international portfolio diversification," Journal of Empirical Finance, Elsevier, volume 13, issue 4-5, pages 417-443, October.
• Schulmeister, Stephan, 2006, "The interaction between technical currency trading and exchange rate fluctuations," Finance Research Letters, Elsevier, volume 3, issue 3, pages 212-233, September.
• Boyer, M. Martin & van Norden, Simon, 2006, "Exchange rates and order flow in the long run," Finance Research Letters, Elsevier, volume 3, issue 4, pages 235-243, December.
• Mende, Alexander & Menkhoff, Lukas, 2006, "Profits and speculation in intra-day foreign exchange trading," Journal of Financial Markets, Elsevier, volume 9, issue 3, pages 223-245, August.
• Bissoondoyal-Bheenick, Emawtee & Brooks, Robert & Yip, Angela Y.N., 2006, "Determinants of sovereign ratings: A comparison of case-based reasoning and ordered probit approaches," Global Finance Journal, Elsevier, volume 17, issue 1, pages 136-154, September.
• Basher, Syed A. & Sadorsky, Perry, 2006, "Oil price risk and emerging stock markets," Global Finance Journal, Elsevier, volume 17, issue 2, pages 224-251, December.
• De Broeck, Mark & Slok, Torsten, 2006, "Interpreting real exchange rate movements in transition countries," Journal of International Economics, Elsevier, volume 68, issue 2, pages 368-383, March.
• Gravelle, Toni & Kichian, Maral & Morley, James, 2006, "Detecting shift-contagion in currency and bond markets," Journal of International Economics, Elsevier, volume 68, issue 2, pages 409-423, March.
• Broner, Fernando A. & Gaston Gelos, R. & Reinhart, Carmen M., 2006, "When in peril, retrench: Testing the portfolio channel of contagion," Journal of International Economics, Elsevier, volume 69, issue 1, pages 203-230, June.
• Uribe, Martin & Yue, Vivian Z., 2006, "Country spreads and emerging countries: Who drives whom?," Journal of International Economics, Elsevier, volume 69, issue 1, pages 6-36, June.
• Ghironi, Fabio, 2006, "Macroeconomic interdependence under incomplete markets," Journal of International Economics, Elsevier, volume 70, issue 2, pages 428-450, December.

2005

• Doidge, Craig & Karolyi, G. Andrew & Lins, Karl V. & Millers, Darius P. & Stulz, Rene M., 2005, "Private Benefits of Control, Ownership, and the Cross-Listing Decision," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2005-2, Feb.
• Han, Bing & Hirshleifer, David & Wang, Tracy Yue, 2005, "Investor Overconfidence and the Forward Discount Puzzle," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2005-21, Oct.
• Stulz, Rene M., 2005, "Financial Globalization, Corporate Governance, and Eastern Europe," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2005-27, Dec.
• Doidge, Craig & Karolyi, G. Andrew & Lins, Karl V. & Miller, Darius & Stulz, Rene M., 2005, "Private Benefits of Control, Ownership, and the Cross-Listing Decision," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 05-1, Feb.
• Viviana Fernández, 2005, "The International CAPM and a wavelet-based decomposition of Value at Risk," Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile, number 203.
• Andres Vesilind & Toivo Kuus, 2005, "Application of investment models in foreign exchange reserve management in Eesti Pank," Bank of Estonia Working Papers, Bank of Estonia, number 2005-6, Oct, revised 10 Oct 2005.
• Charemza, Wojciech W. & Lifshits, Mikhail & Makarova, Svetlana, 2005, "Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results," Journal of Economic Dynamics and Control, Elsevier, volume 29, issue 1-2, pages 63-96, January.
• van der Hart, Jaap & de Zwart, Gerben & van Dijk, Dick, 2005, "The success of stock selection strategies in emerging markets: Is it risk or behavioral bias?," Emerging Markets Review, Elsevier, volume 6, issue 3, pages 238-262, September.
• Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie, 2005, "Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements," Journal of Empirical Finance, Elsevier, volume 12, issue 3, pages 445-475, June.
• Worthington, Andrew & Kay-Spratley, Adam & Higgs, Helen, 2005, "Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis," Energy Economics, Elsevier, volume 27, issue 2, pages 337-350, March.
• Karuppiah, Jeyanthi & Los, Cornelis A., 2005, "Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997," International Review of Financial Analysis, Elsevier, volume 14, issue 2, pages 211-246.
• Kraussl, Roman, 2005, "Do credit rating agencies add to the dynamics of emerging market crises?," Journal of Financial Stability, Elsevier, volume 1, issue 3, pages 355-385, April.
• Weinschelbaum, Federico & Wynne, Jose, 2005, "Renegotiation, collective action clauses and sovereign debt markets," Journal of International Economics, Elsevier, volume 67, issue 1, pages 47-72, September.
• Marta Gómez-Puig, 2005, "Monetary Integration And The Cost Of Borrowing," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 05-05, Jan.
• Marta Gómez-Puig, 2005, "The Impact Of Monetary Union On Eu-15 Sovereign Debt Yield Spreads," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 05-11, Dec.
• Daouk, Hazem & Lee, Charles M.C. & Ng, David T.C., 2005, "Capital Market Governance: How Do Security Laws Affect Market Performance?," Working Papers, Cornell University, Department of Applied Economics and Management, number 127078, DOI: 10.22004/ag.econ.127078.
• Taing, Siv & Worthington, Andrew, 2005, "Return Relationships Among European Equity Sectors: A Comparative Analysis Across Selected Sectors in Small and Large Economies," Journal of Applied Economics, Universidad del CEMA, volume 8, issue 2, pages 1-18, November, DOI: 10.22004/ag.econ.37160.
• McGraw, Patricia A., 2005, "Privatization and the Corporate Cost of Capital in New Zealand: An Application of Fama and French (1999)," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 1, issue 01, pages 1-25, June, DOI: 10.22004/ag.econ.143482.
• Alessandro Maia Pinheiro & Mário Miguel Amin, 2005, "Fluxos De Capitais E Componentes Macroecômicos: Análise De Inter-Relações Através Da Aplicação De Um Modelo De Vetores Auto-Regressivos (Var)," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 036.
• Osvaldo Cândido da Silva Filho & Bruno Ferreira Frascaroli & Sinézio Fernandes Maia, 2005, "Transmissão De Preços No Mercado Internacional Da Soja: Uma Abordagem Pelos Modelos Armax E Var," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 145.
• Pompeo Della Posta, 2005, "Fundamentals, International Role of Euro and 'Framing' of Expectations: What are the Determinants of the Dollar/Euro Exchange Rate?," Working Papers de Economia (Economics Working Papers), Departamento de Economia, Gestão e Engenharia Industrial, Universidade de Aveiro, number 24, Aug.
• Marta Gomez Puig, 2005, "Monetary Integration and the Cost of Borrowing," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 134.
• Pavel Dupsiva & Michal Prückner, 2005, "Evolution Of Prague Stock Exchange," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
• Alicia Garcia-Herrero & Lucia Cuadro-Saez, 2005, "Finance for Growth: Does a Balanced Financial Structure Matter?," Working Papers, BBVA Bank, Economic Research Department, number 0503, Jun.
• Michael R. King & Rasmus Fatum, 2005, "The Effectiveness of Official Foreign Exchange Intervention in a Small Open Economy: The Case of the Canadian Dollar," Staff Working Papers, Bank of Canada, number 05-21, DOI: 10.34989/swp-2005-21.
• Marc-André Gosselin & Nicolas Parent, 2005, "An Empirical Analysis of Foreign Exchange Reserves in Emerging Asia," Staff Working Papers, Bank of Canada, number 05-38, DOI: 10.34989/swp-2005-38.
• Fernando Restoy & Rosa Rodríguez, 2005, "Can fundamentals explain cross-country correlations of asset returns?," Working Papers, Banco de España, number 0540, Nov.
• 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.
• Andrea Resti & Andrea Sironi, 2005, "The Basel Committee Approach To Risk-Weights And External Ratings: What Do We Learn From Bond Spreads?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 548, Feb.
• Luis Fernando Melo Velandia & Juan Mauricio ramírez & Mario Andrés Ramos, 2005, "Construcción de un "Ïndice de Percepción de Riesgo" de los Mercados Financieros Globales," Borradores de Economia, Banco de la Republica de Colombia, number 344, Jul, DOI: 10.32468/be.344.
• Fleuriet, V., 2005, "Faiblesses des marchés financiers chinois : des réformes indispensables pour la diversification du financement de l’économie," Bulletin de la Banque de France, Banque de France, issue 140, pages 53-63.
• De Sèze, N., 2005, "Target 2 : du concept à la réalité," Bulletin de la Banque de France, Banque de France, issue 144, pages 45-52.
• R. Gaston Gelos & Carmen M. Reinhart & Fernando Broner, 2015, "When in Peril, Retrench: Testing the Portfolio Channel of Contagion," Working Papers, Barcelona School of Economics, number 207, Sep.
• Benjamin H Cohen, 2005, "Currency choice in international bond issuance," BIS Quarterly Review, Bank for International Settlements, June.
• Guonan Ma & Eli M Remolona, 2005, "Opening markets through a regional bond fund: lessons from ABF2," BIS Quarterly Review, Bank for International Settlements, June.
• Robert McCauley, 2005, "Distinguishing global dollar reserves from official holdings in the United States," BIS Quarterly Review, Bank for International Settlements, September.
• Camilo E Tovar, 2005, "International government debt denominated in local currency: recent developments in Latin America," BIS Quarterly Review, Bank for International Settlements, December.
• Bernd Hayo & Ali M. Kutan, 2005, "The impact of news, oil prices, and global market developments on Russian financial markets," The Economics of Transition, The European Bank for Reconstruction and Development, volume 13, issue 2, pages 373-393, April, DOI: 10.1111/j.1468-0351.2005.00214.x.
• Q. Farooq Akram, & Dagfinn Rime & Lucio Sarno, 2005, "Arbitrage in the foreign exchange market: Turning on the microscope," Working Paper, Norges Bank, number 2005/12, Nov.
• Geir H. Bjønnes & Steinar Holden & Dagfinn Rime & Haakon O.Aa. Solheim, 2005, "“Large” vs. “small” players: A closer look at the dynamics of speculative attacks," Working Paper, Norges Bank, number 2005/13, Nov.
• Adrien Verdelhan, 2005, "A Habit-Based Explanation of the Exchange Rate Risk Premium," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2005-032, Aug.
• Kugler, Peter & Weder, Beatrice, 2005, "Why are Returns on Swiss Franc Asset so Low?," Working papers, Faculty of Business and Economics - University of Basel, number 2005/08.
• Irina Bunda, 2005, "Un modèle de crises jumelles inspiré de la crise asiatique," Revue économique, Presses de Sciences-Po, volume 56, issue 4, pages 903-937.
• Rodolfo Apreda, 2005, "Arbitrage in foreign exchange markets within the context of a transactional algebra," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 290, Jun.
• Siv Taing & Andrew Worthington, 2005, "Return relationships among European equity sectors: A comparative analysis across selected sectors in small and large economies," Journal of Applied Economics, Universidad del CEMA, volume 8, pages 371-388, November.
• Zuzana Fungacova, 2005, "Building a Castle on Sand: Effects of Mass Privatization on Capital Market Creation in Transition Economies," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp256, Apr.
• Fernando A. Broner & Roberto Rigobon, 2005, "Why are Capital Flows so Much More Volatile in Emerging Than in Developed Countries?," Working Papers Central Bank of Chile, Central Bank of Chile, number 328, Sep.
• Alejandro Micco & Ugo Panizza, 2005, "Bank Concentration and Credit Volatility," Working Papers Central Bank of Chile, Central Bank of Chile, number 342, Dec.
• Tood Keister, 2005, "Expectations and Contagion in Self-Fulfilling Currency Attacks," Working Papers, Centro de Investigacion Economica, ITAM, number 0501, Apr.
• Olena Havrylchyk & Emilia Jurzyk, 2005, "Profitability of Foreign and Domestic Banks in Central and Eastern Europe : Does the Mode of Entry Matter?," Working Papers, CEPII research center, number 2005-21, Dec.
• Sophie Brana & Delphine Lahet, 2005, "La propagation des crises financieres dans les pays emergents : la contagion est-elle discriminante ?," Economie Internationale, CEPII research center, issue 103, pages 73-96.
• Luis Fernando Melo Velandia & Juan Mauricio Ram�rez C. & Mario Andr�s Ramos V., 2005, "Construcci�N De Un �Ndice De Percepci�N De Riesgo De Los Mercados Financieros Globales," Borradores de Economia, Banco de la Republica, number 2194, Jun.
• David Quintana Montero & Pedro Isasi Vinuela., 2005, "Revisión de precios y reputación de asesores financieros: dos propuestas de índices para explicar el rendimiento a corto plazo de las salida," Estudios Gerenciales, Universidad Icesi.
• Luis Berggrun, 2005, "Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A. - BANCOLOMBIA," Borradores de Economía y Finanzas, Universidad Icesi, number 3370, Dec.
• Julio César Alonso & Carlos Patino, 2005, "¿Crecer para exportar o exportar para crecer?," Borradores de Economía y Finanzas, Universidad Icesi, number 3793, Mar.
• Carlos Caballero, 2005, "Las crisis financieras del último cuarto del siglo XX," Coyuntura Económica, Fedesarrollo.
• Natalia Salazar Ferro, 2005, "Evolución y determinantes del margen de intermediación en Colombia," Coyuntura Económica, Fedesarrollo.
• Miller, Marcus, 2005, "World Finance and the US 'New Economy': Risk Sharing and Risk Exposure," CEPR Discussion Papers, Centre for Economic Policy Research, number 4855, Jan.
• Bolton, Patrick & Jeanne, Olivier, 2005, "Structuring and Restructuring Sovereign Debt: The Role of Seniority," CEPR Discussion Papers, Centre for Economic Policy Research, number 4901, Feb.
• Estrin, Saul & Tian, Lihui, 2005, "Retained State Shareholding in Chinese PLCs: Does Government Ownership Reduce Corporate Value?," CEPR Discussion Papers, Centre for Economic Policy Research, number 4919, Feb.
• Wolff, Christian & Verschoor, Willem F C & Jongen, Ron, 2005, "Time Variation in Term Premia: International Evidence," CEPR Discussion Papers, Centre for Economic Policy Research, number 4959, Mar.
• Pagano, Marco & Zechner, Josef & Randl, Otto & Halling, Michael, 2005, "Where is the Market? Evidence from Cross-Listings," CEPR Discussion Papers, Centre for Economic Policy Research, number 4987, Apr.
• Rigobon, Roberto & Pavlova, Anna, 2005, "Wealth Transfers, Contagion and Portfolio Constraints," CEPR Discussion Papers, Centre for Economic Policy Research, number 5117, Jul.
• Schneider, Martin & Albuquerque, Rui & Bauer, Gregory, 2005, "International Equity Flows and Returns: A Quantitative Equilibrium Approach," CEPR Discussion Papers, Centre for Economic Policy Research, number 5159, Aug.
• Kugler, Peter & Weder di Mauro, Beatrice, 2005, "Why Are Returns on Swiss Franc Assets So Low? Rare Events May Solve the Puzzle," CEPR Discussion Papers, Centre for Economic Policy Research, number 5181, Aug.
• Yafeh, Yishay & Khanna, Tarun, 2005, "Business Groups in Emerging Markets: Paragons or Parasites?," CEPR Discussion Papers, Centre for Economic Policy Research, number 5208, Sep.
• Schotman, Peter C & Zalewska, Ania, 2005, "Non-synchronous Trading and Testing for Market Integration in Central European Emerging Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 5352, Nov.
• Eleni Constantinou & Avo Kazandjian & George Kouretas & Vera Tahmazian, 2005, "Common Stochastic Trends among the Cyprus Stock Exchange and the ASE, LSE and NYSE," Working Papers, University of Crete, Department of Economics, number 0520, Nov.
• Eleni Constantinou & Avo Kazandjian & George Kouretas & Vera Tahmazian, 2005, "Cointegration, causality and domestic portfolio diversification in the Cyprus Stock Exchange," Working Papers, University of Crete, Department of Economics, number 0522, Nov.
• Andrea Terzi, 2005, "International Financial Instability in a World of Currencies Hierarchy," DISCE - Quaderni dell'Istituto di Economia e Finanza, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE), number ief0064, Sep.
• Richards, Anthony, 2005, "Big Fish in Small Ponds: The Trading Behavior and Price Impact of Foreign Investors in Asian Emerging Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 40, issue 1, pages 1-27, March.
• Baele, Lieven, 2005, "Volatility Spillover Effects in European Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 40, issue 2, pages 373-401, June.
• Mark A. Carlson & Galina B. Hale, 2005, "Courage to Capital? A Model of the Effects of Rating Agencies on Sovereign Debt Role-over," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1506, Apr.
• Michel Beine & Oscar Bernal Diaz, 2005, "Why do Central Banks intervene secretly? preliminary evidence of the BoJ," DULBEA Working Papers, ULB -- Universite Libre de Bruxelles, number in, Mar.
• Raja Kali & Jayati Sarkar, 2005, "Diversification, Propping and Monitoring - Business Groups, Firm Performance and the Indian Economic Transition," Finance Working Papers, East Asian Bureau of Economic Research, number 22357, Jan.
• Garbaravicius, Tomas & Dierick, Frank, 2005, "Hedge funds and their implications for financial stability," Occasional Paper Series, European Central Bank, number 34, Aug.
• Ehling, Paul & Ramos, Sofia Brito, 2005, "Geographic versus industry diversification: constraints matter," Working Paper Series, European Central Bank, number 425, Jan.
• Castrén, Olli, 2005, "Estimating and analysing currency options implied risk-neutral density functions for the largest new EU member states," Working Paper Series, European Central Bank, number 440, Feb.
• Castrén, Olli & Mazzotta, Stefano, 2005, "Foreign exchange option and returns based correlation forecasts: evaluation and two applications," Working Paper Series, European Central Bank, number 447, Feb.
• Miller, Marcus & Castrén, Olli & Zhang, Lei, 2005, "Capital flows and the US "New Economy": consumption smoothing and risk exposure," Working Paper Series, European Central Bank, number 459, Mar.
• Cappiello, Lorenzo & Manganelli, Simone & Gérard, Bruno, 2005, "Measuring comovements by regression quantiles," Working Paper Series, European Central Bank, number 501, Jul.
• Humphrey, David & Pagès, Henri, 2005, "Settlement finality as a public good in large-value payment systems," Working Paper Series, European Central Bank, number 506, Jul.
• Cappiello, Lorenzo & De Santis, Roberto A., 2005, "Explaining exchange rate dynamics: the uncovered equity return parity condition," Working Paper Series, European Central Bank, number 529, Sep.
• Kollo, Michael G., 2005, "Underwriter competition and gross spreads in the eurobond market," Working Paper Series, European Central Bank, number 550, Nov.
• Dvorak, Tomas & Podpiera, Richard, 2005, "European Union enlargement and equity markets in accession countries," Working Paper Series, European Central Bank, number 552, Nov.
• Lane, Philip R., 2005, "Global bond portfolios and EMU," Working Paper Series, European Central Bank, number 553, Nov.
• Mehl, Arnaud & Reynaud, Julien, 2005, "The determinants of "domestic" original sin in emerging market economies," Working Paper Series, European Central Bank, number 560, Dec.
• González, Fernando & Launonen, Simo, 2005, "Towards European monetary integration: the evolution of currency risk premium as a measure for monetary convergence prior to the implementation of currency unions," Working Paper Series, European Central Bank, number 569, Dec.
• 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.
• Luca Papi, 2005, "Central Bank Autonomy without Monetary Policy," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), volume 12, issue 1, pages 3-18, July, DOI: 10.1007/s11300-005-0031-6.
• Egil Matsen, 2005, "International diversification, growth, and welfare with non-traded income risk and incomplete markets," Applied Financial Economics, Taylor & Francis Journals, volume 15, issue 15, pages 1063-1072, DOI: 10.1080/09603100500120670.
• Melisso Boschi, 2005, "International financial contagion: evidence from the Argentine crisis of 2001-2002," Applied Financial Economics, Taylor & Francis Journals, volume 15, issue 3, pages 153-163, DOI: 10.1080/0960310042000306943.
• Jose Pastor & Lorenzo Serrano, 2005, "Efficiency, endogenous and exogenous credit risk in the banking systems of the Euro area," Applied Financial Economics, Taylor & Francis Journals, volume 15, issue 9, pages 631-649, DOI: 10.1080/09603100500065214.
• John Cotter, 2005, "Tail behaviour of the euro," Applied Economics, Taylor & Francis Journals, volume 37, issue 7, pages 827-840, DOI: 10.1080/0003684042000338694.
• Daniel Capocci & Albert Corhay & Georges Hubner, 2005, "Hedge fund performance and persistence in bull and bear markets," The European Journal of Finance, Taylor & Francis Journals, volume 11, issue 5, pages 361-392, DOI: 10.1080/1351847042000286676.
• Eduardo Borensztein & Jong‐Wha Lee, 2005, "Financial reform and the efficiency of credit allocation in Korea," Journal of Economic Policy Reform, Taylor & Francis Journals, volume 8, issue 1, pages 55-68, DOI: 10.1080/1384128042000328941.
• Niklas Wagner & Terry Marsh, 2005, "Surprise volume and heteroskedasticity in equity market returns," Quantitative Finance, Taylor & Francis Journals, volume 5, issue 2, pages 153-168, DOI: 10.1080/14697680500147978.
• Siv Taing & Andrew Worthington, 2005, "Return Relationships Among European Equity Sectors: A Comparative Analysis Across Selected Sectors in Small and Large Economies," Journal of Applied Economics, Taylor & Francis Journals, volume 8, issue 2, pages 371-388, November, DOI: 10.1080/15140326.2005.12040633.
• Ana Maria Herrera & Pinar Ozbay, 2005, "A Dynamic Model of Central Bank Intervention," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 0501.
• B. Jungbacker & S.J. Koopman, 2005, "Model-based Measurement of Actual Volatility in High-Frequency Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-002/4, Jan.
• Dick van Dijk & Haris Munandar & Christian M. Hafner, 2005, "The Euro Introduction and Non-Euro Currencies," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-044/4, May, revised 08 Jun 2006.
• Eiling, E. & Gerard, B. & de Roon, F.A., 2005, "Asset Allocation in the Euro-Zone : Industry or Country Based?," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-2.
• Robert P. Flood & Andrew K. Rose, 2005, "Financial Integration: A New Methodology And An Illustration," Journal of the European Economic Association, MIT Press, volume 3, issue 6, pages 1349-1359, December.
• Stefano Schiavo, 2005, "Euro bonds: in search of financial spillovers," Department of Economics Working Papers, Department of Economics, University of Trento, Italia, number 0502.
• Alar Kein, 2005, "An Investigation of the Role of Cross-Border Spillover of Returns and Volatility in the Estonian Stock Market," Working Papers, Tallinn School of Economics and Business Administration, Tallinn University of Technology, number 120.
• Andrew Ang & Angela Maddaloni, 2005, "Do Demographic Changes Affect Risk Premiums? Evidence from International Data," The Journal of Business, University of Chicago Press, volume 78, issue 1, pages 341-380, January, DOI: 10.1086/426528.
• Geert Bekaert & Campbell R. Harvey & Angela Ng, 2005, "Market Integration and Contagion," The Journal of Business, University of Chicago Press, volume 78, issue 1, pages 39-70, January, DOI: 10.1086/426519.
• Charles Engel & Kenneth D. West, 2005, "Exchange Rates and Fundamentals," Journal of Political Economy, University of Chicago Press, volume 113, issue 3, pages 485-517, June, DOI: 10.1086/429137.
• Stephen L. Ross, 2005, "The Continuing Practice and Impact of Discrimination," Working papers, University of Connecticut, Department of Economics, number 2005-19, Jun, revised Jul 2006.
• Kim Oosterlinck & Loredana Ureche-Rangau, 2005, "Entre la peste et le choléra: le détenteur d'obligations peut préférer la répudiation au défaut," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/6693.
• Graciela L. Kaminsky, 2005, "International Capital Flows, Financial Stability and Growth," Working Papers, United Nations, Department of Economics and Social Affairs, number 10, Dec.
• Jayati Ghosh, 2005, "The Economic and Social Effects of Financial Liberalization: A Primer for Developing Countries," Working Papers, United Nations, Department of Economics and Social Affairs, number 4, Oct.
• Kabir, M. Humayun & Hassan, M. Kabir & Maroney, Neal C., 2005, "International Diversification with American Depository Receipts (ADRs)," Working Papers, University of New Orleans, Department of Economics and Finance, number 2005-05.
• Surbhi Jain & N.R. Bhanumurthy, 2005, "Financial markets integration in India," Asia-Pacific Development Journal, United Nations Economic and Social Commission for Asia and the Pacific (ESCAP), volume 12, issue 2, pages 15-32, December.
• Fernando Broner & Jaume Ventura, 2005, "Globalization and risk sharing," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 837, Oct, revised Apr 2009.
• Laura Nyantung Beny, 2005, "Do Insider Trading Laws Matter? Some Preliminary Comparative Evidence," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp741, Jan.
• Lihui Tian & Saul Estrin, 2005, "Retained State Shareholding in Chinese PLCs: Does Government Ownership Reduce Corporate Value?," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp750, Feb.
• Jes??s Crespo-Cuaresma & Bal??zs ??gert & Ronald MacDonald, 2005, "Non-Linear Exchange Rate Dynamics in Target Zones: A Bumpy Road Towards A Honeymoon Some Evidence from the ERM, ERM2 and Selected New EU Member States," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp771, May.
• Balazs Egert & Evzen Kocenda, 2005, "Contagion Across and Integration of Central and Eastern European Stock Markets: Evidence from Intraday Data," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp798, Nov.
• Stephan Schulmeister, 2005, "The Interaction between Technical Currency Trading and Exchange Rate Fluctuations," WIFO Working Papers, WIFO, number 264, Dec.
• Gultekin Isiklar, 2005, "Structural VAR identification in asset markets using short-run market inefficiencies," Econometrics, University Library of Munich, Germany, number 0501001, Jan, revised 02 Jan 2005.
• Maurício Yoshinori Une & Marcelo Savino Portugal, 2005, "Fear of disruption: a model of Markov-switching regimes for the Brazilian country risk conditional volatility," Econometrics, University Library of Munich, Germany, number 0509005, Sep.
• Jayesh Kumar, 2005, "Corporate Governance Mechanisms and Firm Financing in India," Finance, University Library of Munich, Germany, number 0502003, Feb.
• Stefano d'Addona & Axel H. Kind, 2005, "International Stock-Bond Correlations in a Simple Affine Asset Pricing Model," Finance, University Library of Munich, Germany, number 0502018, Feb.
• Marcos Mailoc López de Prado & Achim Peijan, 2005, "Measuring Loss Potential of Hedge Fund Strategies," Finance, University Library of Munich, Germany, number 0503010, Mar.
• Ulrich Pape & Stephan Schmidt-Tank, 2005, "Liquidity Effects of Changes in a Pan-European Stock Index," Finance, University Library of Munich, Germany, number 0503016, Mar.