Research classified by Journal of Economic Literature (JEL) codes

2004

• Dusan Isakov & Frédéric Sonney, 2004, "Are Practitioners Right? On the Relative Importance of Industrial Factors in International Stock Returns," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 140, issue III, pages 355-379, September.
• Diemo Dietrich, 2004, "Financing FDI into Developing Economies and the International Transmission of Business Cycle Fluctuations," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 140, issue IV, pages 449-481, December.
• Kim Oosterlinck & Loredana Ureche-Rangau, 2004, "Entre la peste et le choléra: le détenteur d'obligations peut préférer la répudiation au défaut," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 04-021.RS, Aug.
• Angelos Kanas, 2004, "Lead-lag effects in the mean and variance of returns of size-sorted UK equity portfolios," Empirical Economics, Springer, volume 29, issue 3, pages 575-592, September, DOI: 10.1007/s00181-004-0199-3.
• de Pooter, M.D. & van Dijk, D.J.C., 2004, "Testing for changes in volatility in heteroskedastic time series - a further examination," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-38, Sep.
• Kole, H.J.W.G. & Koedijk, C.G. & Verbeek, M.J.C.M., 2004, "The effects of systemic crises when investors can be crisis ignorant," 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-2004-027-F&A, Apr.
• Koedijk, C.G. & Tims, B. & van Dijk, M.A., 2004, "Purchasing Power Parity and the Euro Area," 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-2004-025-F&A, Aug.
• Moerman, G.A. & Mahieu, R.J. & Koedijk, C.G., 2004, "Financial Integration Through Benchmarks: The European Banking Sector," 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-2004-110-F&A, Dec.
• Morten Balling (ed.), 2004, "Supervisory Systems, Fiscal Soundness and International Capital Movement: More Challenges for new EU Members," SUERF Studies, SUERF - The European Money and Finance Forum, number 2004/1, ISBN: ARRAY(0x8296a8c8), May.
• SADAHIRO Akira & SHIMASAWA Manabu, 2004, "Ageing policy reforms and international capital flow in a computable two-country OLG model," ESRI Discussion paper series, Economic and Social Research Institute (ESRI), number 097, Apr.
• Kristien Smedts, 2004, "International Dynamic Asset Allocation and the Effect of the Exchange Rate," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number ces0404, Mar.
• Paul EHLING & Sofia B. RAMOS, 2004, "Geographic Versus Industry Diversification: Contraints Matter," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp113, Aug.
• Kpate ADJAOUTE & Jean-Pierre DANTHINE, 2004, "Equity Returns and Integration: Is Europe Changing?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp117, Oct.
• Li JIN & Stewart C. MYERS, 2004, "R2 Around the World: New Theory and New Tests," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp158, Feb.
• Zdenìk Zmeškal, 2004, "Hedging Strategies and Financial Risks," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 1-2, pages 50-63, January.
• Adam Geršl, 2004, "Foreign Exchange Intervention: The Theoretical Debate and the Czech Koruna Episode," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 3-4, pages 94-116, March.
• Pavel Bouc & Martin Cincibuch, 2004, "An Interpretation of Czech FX Options," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 7-8, pages 286-304, July.
• Bernardo Bortolotti & Mara Faccio, 2004, "Reluctant Privatization," Working Papers, Fondazione Eni Enrico Mattei, number 2004.130, Oct.
• Elena Kalotychou, Sotiris K. Staikouras, 2004, "Credit Exposure & Sovereign Risk Analysis : The Case of South America," Frontiers in Finance and Economics, SKEMA Business School, volume 1, issue 1, pages 46-56, June.
• Georges Ogum, Francisca M. Beer, Geneviève Nouyrigat, 2004, "An Empirical Analysis of Kenyan Daily Returns Using EGARCH Models," Frontiers in Finance and Economics, SKEMA Business School, volume 1, issue 2, pages 101-115, December.
• Martin Uribe & Vivian Z. Yue, 2004, "Country spreads and emerging countries: who drives whom?," Proceedings, Federal Reserve Bank of San Francisco, issue jun.
• Fernando Broner & Gaston Gelos & Carmen M. Reinhart, 2004, "When in peril, retrench: testing the portfolio channel of contagion," Proceedings, Federal Reserve Bank of San Francisco, issue jun.
• Fernando Broner & Gaston Gelos & Carmen M. Reinhart, 2004, "When in Peril, Retrench: Testing the Portfolio Channel of Contagion," Working Paper Series, Federal Reserve Bank of San Francisco, number 2004-28, Jul, DOI: 10.24148/wp2004-28.
• Fang Cai & Francis E. Warnock, 2004, "International diversification at home and abroad," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 793.
• John D. Burger & Francis E. Warnock, 2004, "Foreign participation in local-currency bond markets," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 794.
• Carol C. Bertaut & William L. Griever, 2004, "Recent developments in cross-border investment in securities," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), volume 90, issue Win, pages 19-31, DOI: 10.17016/bulletin.2004.90-1-2.
• Neil Esho & Ian Sharpe, 2004, "Eurobond Underwriter Spreads," FMG Discussion Papers, Financial Markets Group, number dp503, Jun.
• Essahbi Essaadi & Jamel Jouini & Wajih Khallouli, 2004, "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Post-Print, HAL, number halshs-00201220, Oct.
• Lütje, Torben & Menkhoff, Lukas, 2004, "What Drives Home Bias? Evidence from Fund Managers Views," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-296, May.
• Lidén, Erik R., 2004, "Are Underwriter-Analysts More Informed? Scandinavian Evidence," Working Papers in Economics, University of Gothenburg, Department of Economics, number 132, Jun, revised 18 Oct 2007.
• Bonfiglioli, Alessandra & Mendicino, Caterina, 2004, "Financial Liberalization, Banking Crises and Growth: Assessing the Links," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 567, Oct.
• Vlachos, Jonas, 2004, "Does Regulatory Harmonization Increase Bilateral Asset Holdings?," Working Paper Series, Research Institute of Industrial Economics, number 612, Mar.
• Oxelheim, Lars & Rafferty, Michael, 2004, "On the Static Efficiency of Secondary Bond Markets," Working Paper Series, Research Institute of Industrial Economics, number 623, Apr.
• Luthman, Ulf, 2004, "TESTING THE EXPECTATIONS HYPOTHESIS WITH SURVEY DATA with an introduction of an analysis of surveyed interest rates," Working Papers, Örebro University, School of Business, number 2004:11, Oct.
• Bhattacharya, Utpal & Daouk, Hazem, 2004, "When No Law is Better than a Good Law," CEI Working Paper Series, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University, number 2004-10, Jun.
• Kim, Kevin Y. & Park, Kwangwoo & Ratti, Ronald A. & Shin, Hyun-Han, 2004, "Do Main Banks Extract Rents from Their Client Firms? Evidence from Korean Chaebol," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 45, issue 1, pages 15-45, June, DOI: 10.15057/7671.
• Salih N. Neftci, 2004, "Swap Curve Dynamics in Hong Kong: An Interpretation," Working Papers, Hong Kong Institute for Monetary Research, number 062004, Mar.
• Yan-leung Cheung & P. Raghavendra Rau & Aris Stouraitis, 2004, "Tunneling, Propping and Expropriation Evidence from Connected arty Transactions in Hong Kong," Working Papers, Hong Kong Institute for Monetary Research, number 092004, May.
• Barry Eichengreen & Pipat Luengnaruemitchai, 2004, "Why Dones't Asia have the biger bond markets," Working Papers, Hong Kong Institute for Monetary Research, number 242004, Dec.
• Junko Shimizu & Eiji Ogawa, 2004, "Risk Properties of AMU denominated Asian Bonds," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d04-45, Nov.
• Janusz Brzeszczynski & Aleksander Welfe, 2004, "Determinants of Short-term Volatility at the Warsaw Stock Exchange: In-sample vs. Out-of-sample Forecasts from Factor and Predictive GARCH Models," CERT Discussion Papers, Centre for Economic Reform and Transformation, Heriot Watt University, number 0408.
• Janusz Brzeszczynski & Robert Kelm, 2004, "Short-Term Dependencies between the Volatility of Currency, Money and Capital Markets: The Case of Poland," CERT Discussion Papers, Centre for Economic Reform and Transformation, Heriot Watt University, number 0409.
• Michel Normandin & Martin Boileau, 2004, "The Current Account and the Interest Differential In Canada," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 04-09, Nov.
• Thierry Ané & Loredana Ureche-Rangau, 2004, "Does trading volume really explain stock returns volatility?," Working Papers, IESEG School of Management, number 2004-FIN-02, Jul.
• Anyfantakis, Costas & Caporale, Guglielmo M. & Pittis, Nikitas, 2004, "Parameter Instability and Forecasting Performance. A Monte Carlo Study," Economics Series, Institute for Advanced Studies, number 160, Jul.
• Galina Hale, 2005, "Courage to Capital? A Model of the Effects of Rating Agencies on Sovereign Debt Roll–over," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp062, Apr.
• Viviana Fernandez, 2005, "The International CAPM and a wavelet-based decomposition of Value at Risk," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp075, Dec.
• Imad A. Moosa, 2004, "What Is Wrong with Market-Based Forecasting of Exchange Rates?," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 2, pages 107-121, August.
• Mirela Malin & Madhu Veeraraghavan, 2004, "On the Robustness of the Fama and French Multifactor Model: Evidence from France, Germany, and the United Kingdom," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 2, pages 155-176, August.
• Yin-Wong Cheung & Menzie D. Chinn & Ian W. Marsh, 2004, "How do UK-based foreign exchange dealers think their market operates?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 9, issue 4, pages 289-306, DOI: 10.1002/ijfe.252.
• Françoise Boye, 2004, "Acces to internacional funds and the boom in Mexico after the tequila crisis: is there any evidence from the companies quoted in the nyse?," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 19, issue 2, pages 119-146, December.
• Mr. Andrew K. Rose & Mr. Robert P Flood, 2004, "Financial Integration: A New Methodology and An Illustration," IMF Working Papers, International Monetary Fund, number 2004/110, Jun.
• Claudia I. Martínez García & Adrián Hernández-del-Valle & Héctor Allier Campuzano, 2004, "Un Modelo De Pronóstico De Contagio," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 3, issue 3, pages 261-275, Septiembr.
• Daniel Vázquez Gotera, 2004, "Crisis Bancarias Y Alternativas Para Modelar El Riesgo De Crédito; En Busca Del Mejor Indicador," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 3, issue 4, pages 391-424, Diciembre.
• Eduardo Sandoval & Rodrigo Saens, 2004, "The Conditional Relationship Between Portfolio Beta and Return: Evidence from Latin America," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 41, issue 122, pages 65-89.
• Michele Fratianni, 2004, "Borders and the Constraints on Globalization," Working Papers, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy, number 2004-05.
• Simmons, Walter & Aggarwal, Raj, 2004, "Purchasing power parity in the eastern Caribbean currency union," Journal of Developing Areas, Tennessee State University, College of Business, volume 38, issue 2, pages 155-169, January-M.
• Frenkel Michael & Stadtmann Georg, 2004, "Trading Rule Profitability and Central Bank Interventions in the Dollar-Deutsch mark Market / Der Zusammenhang zwischen der Profitabilität einer technischen Handelsstrategie und Zentralbankinterventionen im D-Mark/US-Dollar-Markt," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 224, issue 6, pages 653-672, December, DOI: 10.1515/jbnst-2004-0603.
• Tassos Anastasatos & Ian R. Davidson, 2004, "How Homogenous are Currency Crises? A Panel Study using Multiple-Response Models," Discussion Paper Series, Department of Economics, Loughborough University, number 2004_23, Dec, revised Dec 2004.
• Tassos Anastasatos & Ian R. Davidson, 2004, "An Empirical Characterisation of Speculative Pressure: A Comprehensive Panel Study Using LDV Models in High Frequency," Discussion Paper Series, Department of Economics, Loughborough University, number 2004_8, Aug, revised Aug 2004.
• Viktors Ajevskis & Armands Pogulis & Gunars Berzins, 2004, "Foreign Exchange and Money Markets in the Context of the Exchange Rate Target Zone," Working Papers, Latvijas Banka, number 2004/01, Aug.
• Martin Boileau & Michel Normandin, 2004, "The Current Account and the Interest Differential in Canada," Cahiers de recherche, CIRPEE, number 0424.
• D. Johannes Juttner & David Chung & Wayne Leung, 2004, "Emerging Market Bond Returns – An Investor Perspective," Research Papers, Macquarie University, Department of Economics, number 0406, Aug.
• Thomas Flavin, 2004, "The effect of the Euro on country versus industry portfolio diversification," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1411004, Oct.
• Jason Childs & Stuart Mestelman, 2004, "Rate of Return Parity in Experimental Asset Markets," Department of Economics Working Papers, McMaster University, number 2004-01, Jan.
• Barbara Berkel, 2004, "Institutional Determinants of International Equity Portfolios - A Country-Level Analysis," MEA discussion paper series, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy, number 04061, Nov.
• Börsch-Supan, Axel & Ludwig, Alexander & Winter, Joachim, 2004, "Aging, Pension Reform, and Capital Flows: A Multi-Country Simulation Model," MEA discussion paper series, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy, number 04064, Nov.
• Deniz Arinsoy & Erdal Özmen, 2004, "Original Sin Mystery Trinity and Unequal Blessings," ERC Working Papers, ERC - Economic Research Center, Middle East Technical University, number 0415, Oct, revised Oct 2004.
• Gertjan Schut & Ruud van Frederikslust, 2004, "Shareholders Wealth Effects of Joint Venture Strategies," Multinational Finance Journal, Multinational Finance Journal, volume 8, issue 3-4, pages 211-225, september.
• Demissew Diro Ejara & Chinmoy Ghosh, 2004, "Impact of ADR Listing on the Trading Volume and Volatility in the Domestic Market," Multinational Finance Journal, Multinational Finance Journal, volume 8, issue 3-4, pages 247-274, september.
• Olan T. Henry & Nilss Olekalns & Kalvinder Shields, 2004, "Time Variation And Asymmetry In The World Price Of Covariance Risk: The Implications For International Diversification," Department of Economics - Working Papers Series, The University of Melbourne, number 907.
• Valpy FitzGerald & Derya Krolzig, 2004, "Modelling the demand for emerging market assets," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 29, Sep.
• Mathias Hoffmann, 2004, "Saving, investment and the net foreign asset position," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 45, Sep.
• Lucio Vinhas de Souza, 2004, "Financial Liberalization and Business Cycles:The Experience of Future EU Member States in the Baltics and Central Eastern Europe," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 5, Sep.
• Hashem Pesaran & Andreas Pick, 2004, "Econometric Issues in the Analysis of Contagion," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 67, Sep.
• Eric Hillebrand & Gunther Schnabl, 2004, "The Effects of Japanese Foreign Exchange Intervention, GARCH Estimation and Change Point Detection," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 7, Sep.

2003

• Tims, B. & Mahieu, R.J., 2003, "A Range-Based Multivariate Model for Exchange Rate Volatility," 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-2003-022-F&A, Mar.
• Dewachter, H.D.R. & Lyrio, M., 2003, "The Cost of Technical Trading Rules in the Forex Market: A Utility-based Evaluation," 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-2003-052-F&A, Jun.
• Morten Balling (ed.), 2003, "Securing Financial Stability: Problems and Prospects for New EU Members," SUERF Studies, SUERF - The European Money and Finance Forum, number 2003/4, ISBN: ARRAY(0x84810390), May.
• Michael Glezakos & Petros Mylonas, 2003, "Technical Analysis Seems To Be A Valuable Investment Tool In The Athens And Frankfurt Stock Exchanges," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1-2, pages 169-192, January -.
• Dimitrios Kousenidis & Christos Negakis & Ioannis Papanastasiou, 2003, "The Value Relevance of Earnings and Income Smoothing: Greek Evidence on Causality Effects," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3-4, pages 85-94, July - De.
• Sofia B. RAMOS & Ernst-Ludwig VON THADDEN, 2003, "Stock Exchange Competition in a Simple Model of Capital Market Equilibrium," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp109, Nov.
• Foort HAMELINK & Martin HOESLI, 2003, "What Factors Determine International Real Estate Security Returns?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp50, Jul.
• Séverine CAUCHIE & Martin HOESLI & Dušan ISAKOV, 2003, "The Determinants of Stock Returns in a Small Open Economy," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp54, May.
• Dušan Isakov & Frédéric Sonney, 2003, "Are practitioners right? On the relative importance of industrial factors in international stock returns," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp72, Feb.
• Jean-François Bachmann & Guido Bolliger, 2003, "Who are the Best? Local Versus Foreign Analysts on the Latin American Stock Markets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp75, Apr.
• Sofia B. Ramos, 2003, "Competition Between Stock Exchanges: A Survey," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp77, Feb.
• Paul EHLING & Sofia B. RAMOS, 2003, "Geographical versus Industrial Diversification: A Mean Variance Spanning Approach," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp80, Apr.
• Kpate ADJAOUTÉ & Jean-Pierre DANTHINE, 2003, "European Financial Integration and Equity Returns: A Theory-Based Assessment," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp84, Jan.
• Kpate ADJAOUTÉ & Jean-Pierre DANTHINE & Dušan ISAKOV, 2003, "Portfolio Diversification in Europe," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp86, Apr.
• Robin Brooks & Marco Del Negro, 2003, "Firm-level evidence on international stock market movement," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2003-8.
• Ben R. Craig & Ernst Glatzer & Joachim G. Keller & Martin Scheicher, 2003, "The forecasting performance of German stock option densities," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 0312, DOI: 10.26509/frbc-wp-200312.
• Charles Engel & Kenneth D. West, 2003, "Exchange rates and fundamentals," Proceedings, Federal Reserve Bank of San Francisco, issue mar.
• Martin Uribe & Vivian Z. Yue, 2003, "Country Spreads and Emerging Countries: Who Drives Whom?," Working Paper Series, Federal Reserve Bank of San Francisco, number 2004-32, Oct, DOI: 10.24148/wp2004-32.
• Jon Wongswan, 2003, "Transmission of information across international equity markets," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 759.
• Rehm, Hannes, 2003, "Die Zinsbesteuerung in der Europäischen Union," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-281, May.
• Hoidal Bjonnes, Geir & Rime, Dagfinn, 2003, "Dealer Behavior and Trading Systems in Foreign Exchange Markets," SIFR Research Report Series, Institute for Financial Research, number 17, Nov.
• Terence D.Agbeyegbe, 2003, "The tail behavior of stock index return on the Jamaican Stock Exchange," Economics Working Paper Archive at Hunter College, Hunter College Department of Economics, number 305.
• Arie Melnik & Doron Nissim, 2003, "Debt issue costs and issue characteristics in the Eurobond market," ICER Working Papers, ICER - International Centre for Economic Research, number 09-2003, Mar.
• Michel Normandin & Martin Boileau, 2003, "Dynamics of the Current Account and Interest Differentials," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 03-05, Oct.
• Michel Normandin, 2003, "Canadian and U.S. Financial Markets: Testing the International Integration Hypothesis Under Time-Varying Conditional Volatility," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 03-08, Nov.
• Hans-Joachim Voth, 2003, "Convertibility, currency controls and the cost of capital in Western Europe, 1950-1999," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 8, issue 3, pages 255-276, DOI: 10.1002/ijfe.210.
• Fukuhara, Masahiro & Saruwatari, Yasufumi, 2003, "An Analysis of Contagion in Emerging Currency Markets Using Multivariate Extreme Value Theory," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 21, issue 2, pages 113-131, August.
• Ms. Valerie Cerra & Ms. Sweta Chaman Saxena, 2003, "Did Output Recover From the Asian Crisis?," IMF Working Papers, International Monetary Fund, number 2003/048, Mar.
• Mr. Luis Catão & Mr. Allan Timmermann, 2003, "Country and Industry Dynamics in Stock Returns," IMF Working Papers, International Monetary Fund, number 2003/052, Mar.
• Mr. Robin Brooks & Mr. Marco Del Negro, 2003, "Firm-Level Evidenceon International Stock Market Comovement," IMF Working Papers, International Monetary Fund, number 2003/055, Mar.
• Mr. Alessandro Rebucci & Mr. Matteo Ciccarelli, 2003, "Measuring Contagion with a Bayesian Time-Varying Coefficient Model," IMF Working Papers, International Monetary Fund, number 2003/171, Sep.
• Ms. Hali J Edison & Mr. Francis E. Warnock, 2003, "Cross-Border Listings, Capital Controls, and U.S. Equity Flows to Emerging Markets," IMF Working Papers, International Monetary Fund, number 2003/236, Dec.
• Alejandra Cabello & Edgar Ortíz, 2003, "Day Of The Week And Month Of The Year Anomalies In The Mexican Stock Market," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 2, issue 3, pages 217-241, Septiembr.
• Fernando Ossa, 2003, "Introducción al Debate Acerca de la Función de Prestamista de Última Instancia Nacional e Internacional," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 40, issue 120, pages 319-322.
• Fernando Ossa, 2003, "Los Bancos Centrales como Prestamistas de Última Instancia," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 40, issue 120, pages 323-335.
• Esteban Jadresic & Klaus Schmidt-Hebbel & Rodrigo Valdés, 2003, "Crisis Financieras Internacionales, Prestamista de Última Instancia Nacional e Internacional," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 40, issue 120, pages 359-391.
• Alessandro Rebucci, 2003, "Measuring Contagion With A Bayesian Time-Varying Coefficient Model," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2003-20, Jun.
• Trino-Manuel Ñíguez, 2003, "Volatility And Var Forecasting For The Ibex-35 Stock-Return Index Using Figarch-Type Processes And Different Evaluation Criteria," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2003-33, Sep.
• Francisco Pérez García & Joaquín Maudos Villarroya & Juan Francisco Fernández de Guevara Radoselovics, 2003, "Integration And Competition In The European Financial Markets," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2003-12, Jun.
• David Abad & Mikel Tapia, 2003, "Impacto Sobre El Mercado Bursatil Español De Los Cambios En Las Variaciones Mínimas De Precios Tras La Introducción Del Euro," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2003-17, Oct.
• Pierre Giot & Sébastien Laurent, 2003, "Value-at-risk for long and short trading positions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 18, issue 6, pages 641-663, DOI: 10.1002/jae.710.
• Marján, Attila, 2003, "A monetáris unió hatása az európai tőkepiacokra
  [The effect of monetary union on European capital markets]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 9, pages 800-818.
• Börsch-Supan, Axel H. & Heiss, Florian & Ludwig, Alexander & Winter, Joachim, 2003, "Pension reform, capital markets and the rate of return," Munich Reprints in Economics, University of Munich, Department of Economics, number 20200.
• Eric Hillebrand, 2003, "The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection," Departmental Working Papers, Department of Economics, Louisiana State University, number 2003-10, Oct.
• Stéphane Pallage & Michel A. Robe, 2003, "Leland & Pyle Meet Foreign Aid? Adverse Selection and the Procyclicality of Financial Aid Flows," Cahiers de recherche, CIRPEE, number 0327.
• Martin Boileau & Michel Normandin, 2003, "Dynamics of the Current Account and Interest Differentials," Cahiers de recherche, CIRPEE, number 0339.
• Roche, M. & McQuinn, K., 2003, "Efficient allocation of land in a decoupled world," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1190103, Jan.
• Ludwig, Alexander & Winter, Joachim & Börsch-Supan, Axel, 2003, "Aging, pension reform, and capital flows: A multi-country simulation model," MEA discussion paper series, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy, number 03028, Apr.
• Kathryn M. E. Dominguez, 2003, "When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?," Working Papers, Research Seminar in International Economics, University of Michigan, number 506.
• Forbes, Kristen & Chinn, Menzie David, 2003, "A Decomposition of Global Linkages in Financial Markets Over Time," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management, number 4414-03, Mar.
• Shaen Corbet, 2014, "The European Financial Market Stress Index," International Journal of Economics and Financial Issues, Econjournals, volume 4, issue 1, pages 217-230.
• Epstein, Larry G. & Miao, Jianjun, 2003, "A two-person dynamic equilibrium under ambiguity," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 7, pages 1253-1288, May.
• van der Hart, Jaap & Slagter, Erica & van Dijk, Dick, 2003, "Stock selection strategies in emerging markets," Journal of Empirical Finance, Elsevier, volume 10, issue 1-2, pages 105-132, February.
• Edison, Hali J. & Warnock, Francis E., 2003, "A simple measure of the intensity of capital controls," Journal of Empirical Finance, Elsevier, volume 10, issue 1-2, pages 81-103, February.
• Jondeau, Eric & Rockinger, Michael, 2003, "Testing for differences in the tails of stock-market returns," Journal of Empirical Finance, Elsevier, volume 10, issue 5, pages 559-581, December.
• Ledoit, Olivier & Wolf, Michael, 2003, "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection," Journal of Empirical Finance, Elsevier, volume 10, issue 5, pages 603-621, December.
• Giot, Pierre & Laurent, Sebastien, 2003, "Market risk in commodity markets: a VaR approach," Energy Economics, Elsevier, volume 25, issue 5, pages 435-457, September.
• Tattara, Giuseppe, 2003, "Paper money but a gold debt: Italy on the gold standard," Explorations in Economic History, Elsevier, volume 40, issue 2, pages 122-142, April.
• Dominguez, Kathryn M. E., 2003, "The market microstructure of central bank intervention," Journal of International Economics, Elsevier, volume 59, issue 1, pages 25-45, January.
• Payne, Richard & Vitale, Paolo, 2003, "A transaction level study of the effects of central bank intervention on exchange rates," Journal of International Economics, Elsevier, volume 61, issue 2, pages 331-352, December.
• Stulz, Rene M. & Williamson, Rohan, 2003, "Culture, openness, and finance," Journal of Financial Economics, Elsevier, volume 70, issue 3, pages 313-349, December.
• Bordo, Michael D. & MacDonald, Ronald, 2003, "The inter-war gold exchange standard: credibility and monetary independence," Journal of International Money and Finance, Elsevier, volume 22, issue 1, pages 1-32, February.
• Matsen, Egil, 2003, "Habit persistence and welfare gains from international asset trade," Journal of International Money and Finance, Elsevier, volume 22, issue 2, pages 239-260, April.
• Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2003, "Common factors in international bond returns," Journal of International Money and Finance, Elsevier, volume 22, issue 5, pages 629-656, October.
• Edwards, Sebastian & Biscarri, Javier Gomez & Perez de Gracia, Fernando, 2003, "Stock market cycles, financial liberalization and volatility," Journal of International Money and Finance, Elsevier, volume 22, issue 7, pages 925-955, December.
• Brown, Stephen J. & Goetzmann, William N. & Hiraki, Takato & Shiraishi, Noriyoshi, 2003, "An analysis of the relative performance of Japanese and foreign money management," Pacific-Basin Finance Journal, Elsevier, volume 11, issue 4, pages 393-412, September.
• Engstrom, Stefan, 2003, "Costly information, diversification and international mutual fund performance," Pacific-Basin Finance Journal, Elsevier, volume 11, issue 4, pages 463-482, September.
• Climent, Francisco & Meneu, Vicente, 2003, "Has 1997 Asian crisis increased information flows between international markets," International Review of Economics & Finance, Elsevier, volume 12, issue 1, pages 111-143.
• Galiani, Sebastián & Heymann, Daniel & Tommasi, Mariano, 2003, "Great expectations and hard times: the Argentine convertibility plan," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123106, Apr.
• Emilio Ontiveros, 2003, "Un sistema financiero internacional en transición: integración y vulnerabilidad," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 52, issue 01, pages 14-25.
• Daniel Coq Huelva, 2003, "Globalización financiera. ¿Una nueva forma de acumulación de capital?," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 53, issue 02, pages 296-313.
• Parisi F, Antonino & Parisi F, Franco & Guerrero C., José Luis, 2003, "Modelos predictivos de redes neuronales en índices bursátiles," El Trimestre Económico, Fondo de Cultura Económica, volume 70, issue 280, pages 721-744, octubre-d.
• Hans Dewachter & Konstantijn Maes & Kristien Smedts, 2003, "Monetary unification and the price of risk: An unconditional analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 139, issue 2, pages 276-305, June, DOI: 10.1007/BF02659746.
• Sang-Rim Choi & Daekeun Park & Adrian Tschoegl, 2003, "Banks and the world’s major banking centers, 2000," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 139, issue 3, pages 550-568, September, DOI: 10.1007/BF02659674.
• Philippe Bacchetta & Eric van Wincoop, 2003, "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," Working Papers, Swiss National Bank, Study Center Gerzensee, number 03.02, Feb.
• Halit Gonenc & Goknur Z. Buyukkara & Onur Koyuncu, 2003, "Balance Sheet Exchange Rate Exposure, Investment and Firm Value : Evidence from Turkish Firms," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 3, issue 2, pages 1-25.
• Albert J. Menkveld & Siem Jan Koopman & André Lucas, 2003, "Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-037/2, May, revised 13 Oct 2003.
• Baele, L., 2003, "Volatility Spillover Effects in European Equity Markets," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-114.
• van Landschoot, A., 2003, "The Term Structure of Credit Spreads on Euro Corporate Bonds," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-046.
• Olivier Ledoit & Pedro Santa-Clara & Michael Wolf, 2003, "Flexible Multivariate GARCH Modeling with an Application to International Stock Markets," The Review of Economics and Statistics, MIT Press, volume 85, issue 3, pages 735-747, August.
• Juan Ángel Jiménez Martín & Rodrigo Peruga Urrea, 2003, "La Transición al Euro y la Prima de Riesgo en el Mercado de Divisas," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0306.
• Ariane Chapelle & Marie-Paule Laurent & Ariane Szafarz, 2003, "L'effet de l'âge de l'investisseur sur le niveau de risque de son portefeuille," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/715.
• Magdalena Bertino & Reto Bertoni, 2003, "Uruguay : deuda pública y capital local. Una compleja relación (1905-1939)," Documentos de Trabajo (working papers), Instituto de Economía - IECON, number 03-08, Oct.
• Sebastian Edwards & Javier Gómez Biscarri & Fernando Pérez de Gracia, 2003, "Stock Market Cycles, Financial Liberalization and Volatility," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 08/03, May.
• Beine, M. & Laurent, S. & Palm, F.C., 2003, "Central bank FOREX interventions assessed using realized moments," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 043, Jan, DOI: 10.26481/umamet.2003043.
• Maroney, Neal C. & Naka, Atsuyuki, 2003, "Diversification benefit of Japanese real estate over the last four decades," Working Papers, University of New Orleans, Department of Economics and Finance, number 2003-01.
• Olivier Ledoit & Michael Wolf, 2003, "Honey, I shrunk the sample covariance matrix," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 691, Jun.
• Juan-Pedro Gómez & Richard Priestly & Fernando Zapatero, 2003, "Keeping up with the Joneses: An international asset pricing model," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 694, Jun.
• Fernando Broner & Guido Lorenzoni & Sergio L. Schmukler, 2003, "Why do emerging economies borrow short term?," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 838, Aug, revised Dec 2011.
• Fernando Broner & R. Gaston Gelos & Carmen M. Reinhart, 2003, "When in peril, retrench: Testing the portfolio channel of contagion," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 864, Oct, revised May 2005.
• Korkut Erturk, 2003, "On the Changing Nature of Currency Crises," Working Paper Series, Department of Economics, University of Utah, University of Utah, Department of Economics, number 2003_02.
• Claessens,Stijn & Klingebiel,Daniela M. H. & Schmukler,Sergio L., 2003, "Government bonds in domestic and foreign currency: the role of macroeconomic and institutional factors," Policy Research Working Paper Series, The World Bank, number 2986, Mar.
• Levine, Ross & Schmukler, Sergio L., 2003, "Migration, spillovers, and trade diversion : the impact of internationalization on stock market liquidity," Policy Research Working Paper Series, The World Bank, number 3046, May.
• Steven Block & Burkhard N. Schrage & Paul M. Vaaler, 2003, "Democratization???s Risk Premium: Partisan and Opportunistic Political Business Cycle Effects on Sovereign Ratings in Developing Countries," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 546, Feb.
• Steven A. Block & Burkhard N. Schrage & Paul M. Vaaler, 2003, "DEMOCRACY???S SPREAD: Elections and Sovereign Debt in Developing Countries," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2003-575, May.
• Karen Ruckman, 2003, "Expense ratios of North American mutual funds," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 36, issue 1, pages 192-223, March, DOI: 10.1111/1540-5982.00010.
• Rebecca M. Neumann, 2003, "International capital flows under asymmetric information and costly monitoring: implications of debt and equity financing," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 36, issue 3, pages 674-700, August, DOI: 10.1111/1540-5982.t01-2-00008.
• Gabriele Galati & Kostas Tsatsaronis, 2003, "The impact of the euro on Europe's financial markets," Financial Markets, Institutions & Instruments, John Wiley & Sons, volume 12, issue 3, pages 165-222, August, DOI: 10.1111/1468-0416.00064.
• Ying‐Foon Chow & Haynes H. M. Yung & Hua Zhang, 2003, "Expiration day effects: The case of Hong Kong," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 1, pages 67-86, January.
• Pierre Giot, 2003, "The information content of implied volatility in agricultural commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 5, pages 441-454, May.
• Ryan Lemand, 2003, "The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach," Econometrics, University Library of Munich, Germany, number 0307002, Jul, revised 07 Dec 2020.
• Ryan Lemand, 2003, "New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach," Econometrics, University Library of Munich, Germany, number 0307003, Jul, revised 07 Dec 2020.
• Ryan Lemand, 2003, "Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach," Econometrics, University Library of Munich, Germany, number 0307004, Jul, revised 07 Dec 2020.
• Hai-Chin YU & Ming-Chang Huang, 2003, "Statistical properties of volatility in fractal dimension and probability distribution among six stock markets - USA, Japan, Taiwan, South Korea, Singapore, and Hong Kong," Econometrics, University Library of Munich, Germany, number 0308002, Aug, revised 18 Aug 2003.
• Erdinc Altay, 2003, "The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework," Finance, University Library of Munich, Germany, number 0307006, Jul.