Research classified by Journal of Economic Literature (JEL) codes

2005

• 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.
• 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.
• 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.
• Schäfer, Klaus & Pohn-Weidinger, Johannes, 2005, "Exposures and exposure hedging in exchange rate risk management," Freiberg Working Papers, TU Bergakademie Freiberg, Faculty of Economics and Business Administration, number 2005/19.
• Bugár, Gyöngyi & Uzsoki, Máté, 2005, "Nemzetközi részvény befektetési lehetőségek Közép- és Kelet-Európa új európai uniós tagállamainak szemszögéből
  [Opportunities for investing in international stocks, seen from the viewpoint of the new Central and East European member-states of the ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 6, pages 576-598.
• Kiss M., Norbert, 2005, "A jegybanki devizapiaci intervenció hatékonysága. Nemzetközi tapasztalatok és elméleti megfontolások
  [Effectiveness of central-bank intervention on foreign-exchange markets. International experiences and theoretical considerations]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 11, pages 846-872.
• Rasmus Fatum & Michael R. King, 2005, "Rules versus Discretion in Foreign Exchange Intervention: Evidence from Official Bank of Canada High-Frequency Data," EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, number 05-06, May.
• Rasmus Fatum, 2005, "Daily Effects of Foreign Exchange Intervention: Evidence from Official Bank of Canada Data," EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, number 05-07, Jun.
• Viktors Ajevskis & Armands Pogulis, 2005, "Repegging of the Lats to the Euro: Implications for the Financial Sector," Working Papers, Latvijas Banka, number 2005/01, Jun.
• Martin Boileau & Michel Normandin, 2005, "Closing International Real Business Cycle Models with Restricted Financial Markets," Cahiers de recherche, CIRPEE, number 0506.
• Marie-Claude Beaulieu & Jean-Claude Cosset & Naceur Essaddam, 2005, "Price Political Uncertainty and Stock Market Returns: Evidence from the 1995 Quebec Referendum," Cahiers de recherche, CIRPEE, number 0531.
• Georges Dionne & Pierre Duchesne & Maria Pacurar, 2005, "Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange," Cahiers de recherche, CIRPEE, number 0533.
• E.Panopoulou & T. Pantelidis, 2005, "Integration at a cost: Evidence from volatility impulse response functions," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1540305, Mar.
• Benilde Maria do Nascimento Oliveira & Manuel Jose da Rocha Armada, 2005, "Structural Changes of the Conditional Volatility of the Portuguese Stock Market," Multinational Finance Journal, Multinational Finance Journal, volume 9, issue 3-4, pages 189-214, September.
• Lawrence Kryzanowski & Skander Lazrak & Ian Rakita, 2005, "The Behavior of Prices, Trades and Spreads for Canadian IPO’s," Multinational Finance Journal, Multinational Finance Journal, volume 9, issue 3-4, pages 215-236, September.
• Mitchell Ratner & Ricardo P. C. Leal, 2005, "Sector Integration and the Benefits of Global Diversification," Multinational Finance Journal, Multinational Finance Journal, volume 9, issue 3-4, pages 237-269, September.
• Kathryn Dominguez & Freyan Panthaki, 2005, "What Defines 'News' in Foreign Exchange Markets," Working Papers, Research Seminar in International Economics, University of Michigan, number 547.
• Áron Gereben & György Gyomai & Norbert Kiss M., 2005, "The microstructure approach to exchange rates: a survey from a central bank’s viewpoint," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2005/42.
• Csaba Csávás & Szilárd Erhart, 2005, "Are Hungarian financial markets liquid enough? The theory and practice of FX and government securities market liquidity," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2005/44.
• Hooi-Hooi Lean & Marwan Halim, 2005, "Bivariate Causality between Exchange Rates and Stock Prices on Major Asian Countries," Monash Economics Working Papers, Monash University, Department of Economics, number 10/05, Jun.
• Lean Hooi Hooi & Wong Wing Keung & Russell Smyth, 2005, "Revisiting Calender Anomolies in Asian Stock Markets Using a Stochastic Dominance Approach," Monash Economics Working Papers, Monash University, Department of Economics, number 16/05, Sep.
• Dominique Guegan & Sophie A. Ladoucette, 2005, "Dependence modelling of the joint extremes in a portfolio using Archimedean copulas: application to MSCI indices," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number b05101, Dec.
• Jérôme Héricourt & Mathilde Maurel, 2005, "A new look at the Feldstein-Horioka puzzle: an "European-Regional" perspective," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number j05070, Oct.
• Don U.A. Galagedera & Robert D. Brooks, 2005, "Is systematic downside beta risk really priced? Evidence in emerging market data," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/05, May.
• Emawtee Bissoondoyal-Bheenick & Robert Brooks & Angela Y.N.Yip, 2005, "Determinants of Sovereign Ratings: A Comparison of Case-Based Reasoning and Ordered Probit Approaches," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 9/05, May.
• Aaron Tornell & Frank Westermann (ed.), 2005, "Boom-Bust Cycles and Financial Liberalization," MIT Press Books, The MIT Press, number 9780262201599, edition 1, ISBN: ARRAY(0x795309a8), December.
• Refet Gürkaynak & Justin Wolfers, 2005, "Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty, and Risk," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2005".
• Ross Levine & Sergio L. Schmukler, 2005, "Internationalization and the Evolution of Corporate Valuation," NBER Working Papers, National Bureau of Economic Research, Inc, number 11023, Jan.
• Craig Doidge & G. Andrew Karolyi & Karl V. Lins & Darius P. Miller & Rene M. Stulz, 2005, "Private Benefits of Control, Ownership, and the Cross-Listing Decision," NBER Working Papers, National Bureau of Economic Research, Inc, number 11162, Mar.
• Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2005, "Liquidity and Expected Returns: Lessons From Emerging Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 11413, Jun.
• 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.
• 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.

2004

• Doidge, Craig & Karolyi, G. Andrew & Stulz, Rene M., 2004, "Why Do Countries Matter So Much for Corporate Governance?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2004-16, Aug.
• Sarkissian, Sergei & Schill, Michael J., 2004, "Are There Permanent Valuation Gains to Overseas Listing? Evidence from Market Sequencing and Selection," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 05-4, Oct.
• Don U.A. Galagedera & Roland G. Shami, 2004, "Beta Risk and Regime Shift in Market Volatility," Econometric Society 2004 Australasian Meetings, Econometric Society, number 126, Aug.
• Susan Thorp, 2004, "That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds," Econometric Society 2004 Australasian Meetings, Econometric Society, number 148, Aug.
• Jae H. Kim, 2004, "Testing for the martingale hypothesis in Asian stock prices: evidence from a new joint variance ratio test," Econometric Society 2004 Australasian Meetings, Econometric Society, number 98, Aug.
• Eduardo D. Roca & Abdulnasser Hatemi-J, 2004, "The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners," Econometric Society 2004 Australasian Meetings, Econometric Society, number 99, Aug.
• Gamini Premaratne & Lakshmi Bala, 2004, "Stock Market Volatility: Examining North America, Europe and Asia," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 479, Aug.
• Jochen R. Andritzky, 2004, "Implied Default Probabilities and Default Recovery Ratios: An Analysis of Argentine Eurobonds 2000-2002," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 500, Aug.
• Arusha Cooray, 2004, "The Random Walk Behaviour Of Stock Prices: A Comparative Study," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 540, Aug.
• Timothy K. Chue, 2004, "The Spirit of Capitalism and International Risk Sharing," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 589, Aug.
• Anthony S. Tay & Aamir R. Hashmi, 2004, "Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 634, Aug.
• Aditya Goenka & Melisso Boschi, 2004, "International capital flows and transmission of financial crises," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 785, Aug.
• Jae-Young Kim & Woong Yong Park, 2004, "Nonlinear Price Adjustment and Transaction Costs Between Global Stock Markets," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 799, Aug.
• Daniel Heymann - Enrique Kawamura, 2004, "A simple theoretical framework for the analysis of liability dollarization," Econometric Society 2004 Latin American Meetings, Econometric Society, number 120, Aug.
• José Wynne & Federico Weinschelbaum, 2004, "Renegotiation, Collective Action Clauses and Sovereign Debt Markets," Econometric Society 2004 Latin American Meetings, Econometric Society, number 153, Aug.
• Jose Luiz Rossi Junior, 2004, "Foreign Exchange exposure, corporate financial policies and the exchange rate regime: Evidence from Brazil," Econometric Society 2004 Latin American Meetings, Econometric Society, number 163, Aug.
• Fostel Ana & Geanakoplos John, 2004, "Non Monotone Liquidity Under-Supply," Econometric Society 2004 Latin American Meetings, Econometric Society, number 212, Aug.
• Roberto Rigobon & Marcio Garcia, 2004, "A Risk Management Approach to Emerging Market’s Sovereign Debt Sustainability with an application to Brazilian data," Econometric Society 2004 Latin American Meetings, Econometric Society, number 24, Aug.
• Carlos Viana de Carvalho & Kevin Amonlirdviman, 2004, "Myopic Loss Aversion, Asymmetric Correlations, and the Home Bias," Econometric Society 2004 Latin American Meetings, Econometric Society, number 61, Aug.
• Marcio Garcia & Alexandre Lowenkron, 2004, "Cousin Risks: The Extent and the Causes of Positive Correlation between Country and Currency Risks," Econometric Society 2004 Latin American Meetings, Econometric Society, number 68, Aug.
• Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004, "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings, Econometric Society, number 77, Aug.
• Carmela Quintos, 2004, "Extremal Correlation for GARCH Data," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 87, Aug.
• Kai Li, 2004, "The Growth of Global Equity Markets: A Closer Look," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 54, Aug.
• Quentin Grafton, R. & Jotzo, Frank & Wasson, Merrilyn, 2004, "Financing sustainable development: Country Undertakings and Rights for Environmental Sustainability CURES," Ecological Economics, Elsevier, volume 51, issue 1-2, pages 65-78, November.
• Campa, Jose Manuel, 2004, "Exchange rates and trade: How important is hysteresis in trade?," European Economic Review, Elsevier, volume 48, issue 3, pages 527-548, June.
• Capocci, Daniel & Hubner, Georges, 2004, "Analysis of hedge fund performance," Journal of Empirical Finance, Elsevier, volume 11, issue 1, pages 55-89, January.
• Giot, Pierre & Laurent, Sebastien, 2004, "Modelling daily Value-at-Risk using realized volatility and ARCH type models," Journal of Empirical Finance, Elsevier, volume 11, issue 3, pages 379-398, June.
• Nijman, Theo & Swinkels, Laurens & Verbeek, Marno, 2004, "Do countries or industries explain momentum in Europe?," Journal of Empirical Finance, Elsevier, volume 11, issue 4, pages 461-481, September.
• Cotter, John, 2004, "International equity market integration in a small open economy: Ireland January 1990-December 2000," International Review of Financial Analysis, Elsevier, volume 13, issue 5, pages 669-685.
• Froot, Kenneth A. & Donohue, Jessica Tjornhom, 2004, "Decomposing the persistence of international equity flows," Finance Research Letters, Elsevier, volume 1, issue 3, pages 154-170, September.
• Daryl Collins & Mark Abrahamson, 2004, "Sector Level Contagion in African Financial Markets," The African Finance Journal, Africagrowth Institute, volume 6, issue 1, pages 1-20.
• Walter A. de Wet & Tewodros G. Gebreselasie, 2004, "The Exchange Rate Exposure of Major Commercial Banks in South Africa," The African Finance Journal, Africagrowth Institute, volume 6, issue 2, pages 21-35.
• Du, Wen, 2004, "International Market Integration Under Wto: Evidence In The Price Behaviors Of Chinese And Us Wheat Futures," 2004 Annual meeting, August 1-4, Denver, CO, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 20115, DOI: 10.22004/ag.econ.20115.
• Manuela CROCI, 2004, "Country pair-correlations as a measure of financial integration: the case of the Euro equity markets," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 201, Jan.
• Michele Polline Veríssimo & Márcio Holland de Brito, 2004, "Liberalização Da Conta De Capital E Fluxos De Portfólio Para O Brasil No Período Recente," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 069.
• R. Quentin Grafton & Frank Jotzo & Merrilyn Wasson, 2004, "Financing Sustainable Development : Country Undertakings and Rights for Environmental Sustainability (CURES)," Economics and Environment Network Working Papers, Australian National University, Economics and Environment Network, number 0403, Apr.
• Aristeidis G. Samitas, 2004, "Interrelationships of Secondary Equity Markets at Domestic and International Level," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 87-98.
• Nigohos Kanaryan, 2004, "Modelling the Risk at the Central European Stock Exchange at times of Crisis," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 70-83.
• Michael R. King & Dan Segal, 2004, "International Cross-Listing and the Bonding Hypothesis," Staff Working Papers, Bank of Canada, number 04-17, DOI: 10.34989/swp-2004-17.
• Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004, "International Equity Flows and Returns: A Quantitative Equilibrium Approach," Staff Working Papers, Bank of Canada, number 04-42, DOI: 10.34989/swp-2004-42.
• Gregory Bauer & Clara Vega, 2004, "The Monetary Origins of Asymmetric Information in International Equity Markets," Staff Working Papers, Bank of Canada, number 04-47, DOI: 10.34989/swp-2004-47.
• Díaz de León Carrillo Alejandro & Casanova Martha, 2004, "Market Expectations Implicit in Derivative Prices: Applications to Exchange and Oil Markets," Working Papers, Banco de México, number 2004-01, Jul.
• Guorong Jiang & Robert McCauley, 2004, "Asian local currency bond markets," BIS Quarterly Review, Bank for International Settlements, June.
• Guonan Ma & Corrinne Ho & Robert N McCauley, 2004, "The markets for non-deliverable forwards in Asian currencies," BIS Quarterly Review, Bank for International Settlements, June.
• Robert McCauley & Guorong Jiang, 2004, "Diversifying with Asian local currency bonds," BIS Quarterly Review, Bank for International Settlements, September.
• Patrick McGuire, 2004, "A shift in London's eurodollar market," BIS Quarterly Review, Bank for International Settlements, September.
• Claudio Borio & Frank Packer, 2004, "Assessing new perspectives on country risk," BIS Quarterly Review, Bank for International Settlements, December.
• Ingo Fender & John Kiff, 2004, "CDO rating methodology: Some thoughts on model risk and its implications," BIS Working Papers, Bank for International Settlements, number 163, Nov.
• Kees G. Koedijk & Mathijs A. Van Dijk, 2004, "The Cost of Capital of Cross‐listed Firms," European Financial Management, European Financial Management Association, volume 10, issue 3, pages 465-486, September, DOI: 10.1111/j.1354-7798.2004.00259.x.
• Claudia M. Buch & Joerg Doepke & Christian Pierdzioch, 2004, "Business Cycle Volatility in Germany," German Economic Review, Verein für Socialpolitik, volume 5, issue 4, pages 451-479, November, DOI: 10.1111/j.1465-6485.2004.00117.x.
• Foort Hamelink & Martin Hoesli, 2004, "What Factors Determine International Real Estate Security Returns?," Real Estate Economics, American Real Estate and Urban Economics Association, volume 32, issue 3, pages 437-462, September, DOI: 10.1111/j.1080-8620.2004.00098.x.
• Geir Høidal Bjønnes & Dagfinn Rime & Haakon O. Aa. Solheim, 2004, "Liquidity provision in the overnight foreign exchange market," Working Paper, Norges Bank, number 2004/13, Nov.
• Jens Tapking & Jing Yang, 2004, "Horizontal and vertical integration in securities trading and settlement," Bank of England Staff Working Paper series, Bank of England, number 245, Nov.