Research classified by Journal of Economic Literature (JEL) codes

2010

• Loriano Mancini & Angelo Ranaldo & Jan Wrampelmeyer, 2010, "Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums," Working Papers, Swiss National Bank, number 2010-03.
• Thomas Nitschka, 2010, "Momentum in stock market returns: Implications for risk premia on foreign currencies," Working Papers, Swiss National Bank, number 2010-11.
• Don BREDIN & Cal MUCKLEY, 2010, "Is There a Stochastic Trend in European Union Emission Trading Scheme Prices?," Sosyoekonomi Journal, Sosyoekonomi Society, issue 2010-EN.
• Christos Savva & Nektarios Aslanidis, 2010, "Stock market integration between new EU member states and the Euro-zone," Empirical Economics, Springer, volume 39, issue 2, pages 337-351, October, DOI: 10.1007/s00181-009-0306-6.
• Abad, Pilar & Chuliá, Helena & Gómez-Puig, Marta, 2010, "EMU and European government bond market integration," Journal of Banking & Finance, Elsevier, volume 34, issue 12, pages 2851-2860, December.
• Beine, Michel & Cosma, Antonio & Vermeulen, Robert, 2010, "The dark side of global integration: Increasing tail dependence," Journal of Banking & Finance, Elsevier, volume 34, issue 1, pages 184-192, January.
• Umutlu, Mehmet & Akdeniz, Levent & Altay-Salih, Aslihan, 2010, "The degree of financial liberalization and aggregated stock-return volatility in emerging markets," Journal of Banking & Finance, Elsevier, volume 34, issue 3, pages 509-521, March.
• Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2010, "Macroeconomic risks and characteristic-based factor models," Journal of Banking & Finance, Elsevier, volume 34, issue 6, pages 1383-1399, June.
• Baur, Dirk G. & McDermott, Thomas K., 2010, "Is gold a safe haven? International evidence," Journal of Banking & Finance, Elsevier, volume 34, issue 8, pages 1886-1898, August.
• Beer, Christian & Ongena, Steven & Peter, Marcel, 2010, "Borrowing in foreign currency: Austrian households as carry traders," Journal of Banking & Finance, Elsevier, volume 34, issue 9, pages 2198-2211, September.
• Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2010, "On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders," Journal of Economic Behavior & Organization, Elsevier, volume 74, issue 3, pages 187-205, June.
• van der Ploeg, Frederick & Poelhekke, Steven, 2010, "The pungent smell of "red herrings": Subsoil assets, rents, volatility and the resource curse," Journal of Environmental Economics and Management, Elsevier, volume 60, issue 1, pages 44-55, July.
• Calomiris, Charles W. & Fisman, Raymond & Wang, Yongxiang, 2010, "Profiting from government stakes in a command economy: Evidence from Chinese asset sales," Journal of Financial Economics, Elsevier, volume 96, issue 3, pages 399-412, June.
• Navarro-García, Juan Carlos & Bastida, Francisco, 2010, "An empirical insight on Spanish listed companies’ perceptions of International Financial Reporting Standards," Journal of International Accounting, Auditing and Taxation, Elsevier, volume 19, issue 2, pages 110-120, DOI: 10.1016/j.intaccaudtax.2010.07.003.
• Ranaldo, Angelo & Rossi, Enzo, 2010, "The reaction of asset markets to Swiss National Bank communication," Journal of International Money and Finance, Elsevier, volume 29, issue 3, pages 486-503, April.
• Fatum, Rasmus & Hutchison, Michael M., 2010, "Evaluating foreign exchange market intervention: Self-selection, counterfactuals and average treatment effects," Journal of International Money and Finance, Elsevier, volume 29, issue 3, pages 570-584, April.
• Engsted, Tom & Hyde, Stuart & Møller, Stig V., 2010, "Habit formation, surplus consumption and return predictability: International evidence," Journal of International Money and Finance, Elsevier, volume 29, issue 7, pages 1237-1255, November.
• Schrimpf, Andreas, 2010, "International stock return predictability under model uncertainty," Journal of International Money and Finance, Elsevier, volume 29, issue 7, pages 1256-1282, November.
• Menkhoff, Lukas & Schmeling, Maik, 2010, "Trader see, trader do: How do (small) FX traders react to large counterparties' trades?," Journal of International Money and Finance, Elsevier, volume 29, issue 7, pages 1283-1302, November.
• Nitschka, Thomas, 2010, "Cashflow news, the value premium and an asset pricing view on European stock market integration," Journal of International Money and Finance, Elsevier, volume 29, issue 7, pages 1406-1423, November.
• Serwa, Dobromil, 2010, "Larger crises cost more: Impact of banking sector instability on output growth," Journal of International Money and Finance, Elsevier, volume 29, issue 8, pages 1463-1481, December.
• Pojarliev, Momtchil & Levich, Richard M., 2010, "Trades of the living dead: Style differences, style persistence and performance of currency fund managers," Journal of International Money and Finance, Elsevier, volume 29, issue 8, pages 1752-1775, December.
• Shin, Sangheon & Soydemir, Gökçe, 2010, "Exchange-traded funds, persistence in tracking errors and information dissemination," Journal of Multinational Financial Management, Elsevier, volume 20, issue 4-5, pages 214-234, December.
• Johansson, Anders C., 2010, "Asian sovereign debt and country risk," Pacific-Basin Finance Journal, Elsevier, volume 18, issue 4, pages 335-350, September.
• Malin, Mirela & Bornholt, Graham, 2010, "Predictability of future index returns based on the 52-week high strategy," The Quarterly Review of Economics and Finance, Elsevier, volume 50, issue 4, pages 501-508, November.
• Cotter, John & Dowd, Kevin, 2010, "Intra-day seasonality in foreign exchange market transactions," International Review of Economics & Finance, Elsevier, volume 19, issue 2, pages 287-294, April.
• Aizenman, Joshua & Pasricha, Gurnain Kaur, 2010, "Selective swap arrangements and the global financial crisis: Analysis and interpretation," International Review of Economics & Finance, Elsevier, volume 19, issue 3, pages 353-365, June.
• Saleem, Kashif & Vaihekoski, Mika, 2010, "Time-varying global and local sources of market and currency risks in Russian stock market," International Review of Economics & Finance, Elsevier, volume 19, issue 4, pages 686-697, October.
• Alagidede, Paul & Panagiotidis, Theodore, 2010, "Can common stocks provide a hedge against inflation? Evidence from African countries," Review of Financial Economics, Elsevier, volume 19, issue 3, pages 91-100, August.
• Bissoondoyal-Bheenick, Emawtee & Brooks, Robert D., 2010, "Does volume help in predicting stock returns? An analysis of the Australian market," Research in International Business and Finance, Elsevier, volume 24, issue 2, pages 146-157, June.
• Dirk G. Baur, 2010, "Financial Contagion and the Real Economy," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2010-16, May.
• De la Torre, Augusto & Ize, Alain, 2010, "Containing systemic risk: paradigm-based perspectives on regulatory reform," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123396, Oct.
• Pedro Martínez de Alegría & Iñaki Beristain Etxabe, 2010, "El Sistema Financiero Vasco: evolución de las entidades de depósito en la Comunidad Autónoma de Euskadi 1980-2009," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 25, issue 03, pages 184-193.
• Marina Martynova & Luc Renneboog, 2010, "Spillover of Corporate Governance Standards in Cross-Border Mergers and Acquisition," Chapters, Edward Elgar Publishing, chapter 3, in: Alessio M. Pacces, "The Law and Economics of Corporate Governance".
• Blasco, Natividad & Corredor, Pilar & Ferreruela, Sandra, 2010, "¿Influyen los tigres asiáticos en el comportamiento gregario español?," El Trimestre Económico, Fondo de Cultura Económica, volume 77, issue 306, pages 423-444, abril-jun, DOI: http://dx.doi.org/10.20430/ete.v77i.
• Castillo Maldonado, Carlos Eduardo, 2010, "Efectividad de la intervención cambiaria en Guatemala," El Trimestre Económico, Fondo de Cultura Económica, volume 77, issue 307, pages 557-583, julio-sep, DOI: http://dx.doi.org/10.20430/ete.v77i.
• García, C. José & Herrero, Begoña & Ibáñez, Ana M., 2010, "El papel de la liquidez en el efecto de la nueva información. El caso de Latibex," El Trimestre Económico, Fondo de Cultura Económica, volume 77, issue 307, pages 651-682, julio-sep, DOI: http://dx.doi.org/10.20430/ete.v77i.
• Konstantinos Drakos, 2010, "The determinants of terrorist shocks' cross‐market transmission," Journal of Risk Finance, Emerald Group Publishing Limited, volume 11, issue 2, pages 147-163, March, DOI: 10.1108/15265941011025170.

2009

• Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2009, "Does the law of one price hold in international financial markets? Evidence from tick data," Journal of Banking & Finance, Elsevier, volume 33, issue 10, pages 1741-1754, October.
• Kocenda, Evzen & Poghosyan, Tigran, 2009, "Macroeconomic sources of foreign exchange risk in new EU members," Journal of Banking & Finance, Elsevier, volume 33, issue 11, pages 2164-2173, November.
• Ranaldo, Angelo, 2009, "Segmentation and time-of-day patterns in foreign exchange markets," Journal of Banking & Finance, Elsevier, volume 33, issue 12, pages 2199-2206, December.
• Beine, Michel & Bernal, Oscar & Gnabo, Jean-Yves & Lecourt, Christelle, 2009, "Intervention policy of the BoJ: A unified approach," Journal of Banking & Finance, Elsevier, volume 33, issue 5, pages 904-913, May.
• Darvas, Zsolt, 2009, "Leveraged carry trade portfolios," Journal of Banking & Finance, Elsevier, volume 33, issue 5, pages 944-957, May.
• Christiansen, Charlotte & Ranaldo, Angelo, 2009, "Extreme coexceedances in new EU member states' stock markets," Journal of Banking & Finance, Elsevier, volume 33, issue 6, pages 1048-1057, June.
• Fratzscher, Marcel & Mehl, Arnaud, 2009, "Do China and oil exporters influence major currency configurations?," Journal of Comparative Economics, Elsevier, volume 37, issue 3, pages 335-358, September.
• Krylova, Elizaveta & Nikkinen, Jussi & Vähämaa, Sami, 2009, "Cross-dynamics of volatility term structures implied by foreign exchange options," Journal of Economics and Business, Elsevier, volume 61, issue 5, pages 355-375, September.
• Ang, Andrew & Hodrick, Robert J. & Xing, Yuhang & Zhang, Xiaoyan, 2009, "High idiosyncratic volatility and low returns: International and further U.S. evidence," Journal of Financial Economics, Elsevier, volume 91, issue 1, pages 1-23, January.
• Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2009, "Risk, uncertainty, and asset prices," Journal of Financial Economics, Elsevier, volume 91, issue 1, pages 59-82, January.
• Albuquerque, Rui & H. Bauer, Gregory & Schneider, Martin, 2009, "Global private information in international equity markets," Journal of Financial Economics, Elsevier, volume 94, issue 1, pages 18-46, October.
• Fratzscher, Marcel & Imbs, Jean, 2009, "Risk sharing, finance, and institutions in international portfolios," Journal of Financial Economics, Elsevier, volume 94, issue 3, pages 428-447, December.
• Choi, Jin W., 2009, "An Examination into Rationality and Operational Efficiency of Exchange Mergers," The Journal of Economic Asymmetries, Elsevier, volume 6, issue 1, pages 89-103, DOI: 10.1016/j.jeca.2009.01.007.
• Flavin, Thomas J. & Sygelaki, Eirini, 2009, "Financial vs. Non-financial Stocks: Time-varying Correlations and Risks," The Journal of Economic Asymmetries, Elsevier, volume 6, issue 3, pages 71-92, DOI: 10.1016/S1703-4949(16)30052-4.
• Lai, YiHao & Chen, Cathy W.S. & Gerlach, Richard, 2009, "Optimal dynamic hedging via copula-threshold-GARCH models," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 79, issue 8, pages 2609-2624, DOI: 10.1016/j.matcom.2008.12.010.
• Chen, Cathy W.S. & Gerlach, Richard & Cheng, Nick Y.P. & Yang, Y.L., 2009, "The impact of structural breaks on the integration of the ASEAN-5 stock markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 79, issue 8, pages 2654-2664, DOI: 10.1016/j.matcom.2008.12.012.
• Hakim, Abdul & McAleer, Michael, 2009, "Forecasting conditional correlations in stock, bond and foreign exchange markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 79, issue 9, pages 2830-2846, DOI: 10.1016/j.matcom.2008.07.013.
• Giofré, Maela, 2009, "The role of information asymmetries and inflation hedging in international equity portfolios," Journal of Multinational Financial Management, Elsevier, volume 19, issue 4, pages 237-255, October.
• Brammer, Stephen & Brooks, Chris & Pavelin, Stephen, 2009, "The stock performance of America's 100 Best Corporate Citizens," The Quarterly Review of Economics and Finance, Elsevier, volume 49, issue 3, pages 1065-1080, August.
• Nektarios Aslanides & Mardi Dungey & Christos S. Savva, 2009, "Modelling change in financial market integration," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2009-07, Jan.
• Benjamin Chabot & Christopher J. Kurz, 2009, "That's Where the Money Was: Foreign Bias and English Investment Abroad, 1866-1907," Working Papers, Economic Growth Center, Yale University, number 972, Jun.
• Nieto-Parra, Sebastián, 2009, "Who saw sovereign debt crises coming?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123066, Oct.
• Bena, Jan, 2009, "The effect of credit rationing on the shape of the competition-innovation relationship," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24419, Mar.
• De Paoli, Bianca, 2009, "Monetary policy under alternative asset market structures: the case of a small open economy," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 28595.
• Foley-Fisher, Nathan & Guimaraes, Bernardo, 2009, "US real interest rates and default risk in emerging economies," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 28683.
• Brinkman, Marcel & Fankhauser, Samuel & Irons, Ben & Weyers, Stephan, 2009, "The carbon market in 2020: volumes, prices and gains from trade," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 37614, Nov.
• De Paoli, Bianca, 2009, "Monetary policy under alterative asset market structures: the case of a small open economy," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 51586.
• Lars Boerner & Oliver Volckart, 2009, "Currency unions, optimal currency areas and the integration of financial markets: Central Europe, 14-16thcenturies," Working Papers, Economic History Society, number 9012, Apr.
• Guonan Ma & Eli Remolona, 2009, "Learning by Doing in Market Reform: Lessons from a Regional Bond Fund," Chapters, Edward Elgar Publishing, chapter 4, in: Koichi Hamada & Beate Reszat & Ulrich Volz, "Towards Monetary and Financial Integration in East Asia".
• William H. Branson & Conor N. Healy, 2009, "Monetary and Exchange Rate Policy Coordination in ASEAN+1," Chapters, Edward Elgar Publishing, chapter 9, in: Koichi Hamada & Beate Reszat & Ulrich Volz, "Towards Monetary and Financial Integration in East Asia".
• Sunil Kumar & Rachita Gulati, 2009, "Did efficiency of Indian public sector banks converge with banking reforms?," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), volume 56, issue 1, pages 47-84, March, DOI: 10.1007/s12232-008-0057-2.
• José Dias Curto & João Tomaz & José Castro Pinto, 2009, "A new approach to bad news effects on volatility: the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 8, issue 1, pages 23-36, April, DOI: 10.1007/s10258-009-0037-9.
• Michele Fratianni, 2009, "The Evolutionary Chain of International Financial Centers," Springer Books, Springer, chapter 12, in: Alberto Zazzaro & Michele Fratianni & Pietro Alessandrini, "The Changing Geography of Banking and Finance", DOI: 10.1007/978-0-387-98078-2_12.
• Giulio Piller & Elvis Zaccariotto, 2009, "Cyber-Laundering: The Union Between New Electronic Payment Systems and Criminal Organizations," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), volume 16, issue 1, pages 62-76, May, DOI: 10.1007/s11300-009-0048-3.
• Edgar Karapetyan & Anna Atoyan & Marta Sandoyan & Demeh Daradkah, 2009, "Financial Intermediation Modernization in Countries with Transition Economy," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), volume 16, issue 2, pages 287-298, June, DOI: 10.1007/s11300-009-0067-0.
• Antonio Afonso & Pedro Gomes & Philipp Rother, 2009, "Ordered response models for sovereign debt ratings," Applied Economics Letters, Taylor & Francis Journals, volume 16, issue 8, pages 769-773, DOI: 10.1080/13504850701221931.
• Ekaterini Panopoulou & Theologos Pantelidis, 2009, "Integration at a cost: evidence from volatility impulse response functions," Applied Financial Economics, Taylor & Francis Journals, volume 19, issue 11, pages 917-933, DOI: 10.1080/09603100802112300.
• Victor Pontines & Reza Siregar, 2009, "Tranquil and crisis windows, heteroscedasticity, and contagion measurement: MS-VAR application of the DCC procedure," Applied Financial Economics, Taylor & Francis Journals, volume 19, issue 9, pages 745-752, DOI: 10.1080/09603100802167239.
• Jorge Farinha & Oscar Lopez-de-Foronda, 2009, "The relation between dividends and insider ownership in different legal systems: international evidence," The European Journal of Finance, Taylor & Francis Journals, volume 15, issue 2, pages 169-189, DOI: 10.1080/13518470802588718.
• Joachim Grammig & Andreas Schrimpf & Michael Schuppli, 2009, "Long-horizon consumption risk and the cross-section of returns: new tests and international evidence," The European Journal of Finance, Taylor & Francis Journals, volume 15, issue 5-6, pages 511-532, DOI: 10.1080/13518470902872285.
• Anders Johansson, 2009, "An analysis of dynamic risk in the Greater China equity markets," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, volume 7, issue 3, pages 299-320, DOI: 10.1080/14765280903073165.
• Helena Chulia & Francisco Climent & Pilar Soriano & Hipolit Torro, 2009, "Volatility transmission patterns and terrorist attacks," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 5, pages 607-619, DOI: 10.1080/14697680802637882.
• Adnan Kasman, 2009, "Estimating Value-at-Risk for the Turkish Stock Index Futures in the Presence of Long Memory Volatility," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 9, issue 1, pages 1-14.
• Nikolaos Sariannidis & Ioannis Koskosas & Nikos Kartalis & George Konteos, 2009, "Macroeconomic effects on D.J.S.I.-World Returns," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 2, issue 2, pages 95-110, December.
• Umutlu, M. & Akdeniz, L. & Salih, A.A., 2009, "The Degree of Financial Liberalization and Aggregated Stock-return Volatility in Emerging Markets," Discussion Paper, Tilburg University, Center for Economic Research, number 2009-67.
• Degryse, H.A. & Elahi, M.A. & Penas, M.F., 2009, "Cross-Border Exposures and Financial Contagion," Discussion Paper, Tilburg University, Center for Economic Research, number 2009-20.
• Umutlu, M. & Akdeniz, L. & Salih, A.A., 2009, "The Degree of Financial Liberalization and Aggregated Stock-return Volatility in Emerging Markets," Other publications TiSEM, Tilburg University, School of Economics and Management, number 33c2d6de-346d-4575-bb25-b.
• Degryse, H.A. & Elahi, M.A. & Penas, M.F., 2009, "Cross-Border Exposures and Financial Contagion," Other publications TiSEM, Tilburg University, School of Economics and Management, number 9c71b91d-76f5-4b50-b722-b.
• Isao Ishida & Toshiaki Watanabe, 2009, "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-608, Jan.
• Abdul Hakim & Michael McAleer, 2009, "VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-676, Oct.
• David E. Allen & Michael McAleer & Marcel Scharth, 2009, "Realized Volatility Risk," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-693, Dec.
• Finn Østrup & Lars Oxelheim & Clas Wihlborg, 2009, "Origins and Resolution of Financial Crises: Lessons from the Current and Northern European Crises," Asian Economic Papers, MIT Press, volume 8, issue 3, pages 178-220, Fall.
• Abul Shamsuddin & Jae H Kim, 2009, "Short-Horizon Return Predictability in International Equity Markets," Working Papers, School of Economics, La Trobe University, number 2009.01.
• Juan-Ángel Jiménez-Martín & Alfonso Novales Cinca, 2009, "State-Uncertainty preferences and the Risk Premium in the Exchange rate market," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-17.
• Martijn Konings & Leo Panitch, 2009, "Global finance in crisis," Papeles de Europa, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Estudios Internacionales (ICEI), volume 19, pages 29-57.
• Uluc Aysun, 2009, "An alternative method for measuring financial frictions," Working papers, University of Connecticut, Department of Economics, number 2009-34, Oct.
• Yu-chin Chen & Kwok Ping Tsang, 2009, "What Does the Yield Curve Tell Us About Exchange Rate Predictability?," Working Papers, University of Washington, Department of Economics, number UWEC-2009-04, Feb.
• Yu-chin Chen & Kwok Ping Tsang, 2009, "A Macro-Finance Approach to Exchange Rate Determination," Working Papers, University of Washington, Department of Economics, number UWEC-2009-24-R, Dec, revised May 2010.
• Jorge Selaive & Beatriz Velásquez & José Miguel Villena, 2009, "NOTA TECNICA Medidas extendidas de restricciones a los flujos de capitales," Estudios de Economia, University of Chile, Department of Economics, volume 36, issue 1 Year 20, pages 97-110, June.
• Guido Sandleris & Horacio Sapriza & Filippo Taddei, 2009, "Indexed Sovereign Debt: An Applied Framework," Business School Working Papers, Universidad Torcuato Di Tella, number 2009-01, Jan.
• María Luisa Saavedra García & Teresa de Jesús Vargas Vega & Heriberto Moreno Uribe, 2009, "Social impact of bankruptcy: The case of Dina S.A. a Mexican automobile firm," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, volume 34, issue 28, pages 75-101, July-Dece.
• Valadkhani, Abbas & O'Brien, Martin & Karunanayake, Indika, 2009, "Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp09-11.
• Nicola Gennaioli & Alberto Martin & Stefano Rossi, 2009, "Sovereign default, domestic banks and financial institutions," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1170, Aug, revised Feb 2012.
• Francisco Peñaranda & Augusto Rupérez-Micola, 2009, "On the drivers of commodity co-movement: Evidence from biofuels," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1174, Oct, revised Oct 2011.
• Paul Soderlind & Angelo Ranaldo & Charlotte Christiansen, 2009, "The Time-Varying Systematic Risk of Carry Trade Strategies," University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen, number 2009-06, Apr.
• Thomas Jordan & Angelo Ranaldo & Paul Soderlind, 2009, "The Implementation of SNB Monetary Policy," University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen, number 2009-08, Apr.
• Jarita DUASA & Salina H. KASSIM, 2009, "Herd Behavior In Malaysian Capital Market: An Empirical Analysis," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 4, issue 1(7)_ Spr.
• Simona Benedettini, 2009, "On Convergence across Transition Economies’ Financial Markets: the Role of Creditor Rights," Department of Economics University of Siena, Department of Economics, University of Siena, number 580, Nov.
• Pop, Napoleon, 2009, "Financial Crisis. Challenges For Romania," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 13, issue 1, pages 89-99, March.
• Harrison, Barry & Moore, Winston, 2009, "Stock Market Como Vement In The European Union And Transition Countries," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 13, issue 3, pages 124-151.
• Hadj Amor Thouraya & El Araj Rita, 2009, "Dynamique a long terme du taux de change réel, Libéralisation Commerciale et Intégration Financiere: Cas des Pays du Sud et de l’Est Méditerranéen," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 56, issue 1, pages 73-93.
• Essahbi Essaadi & Jamel Jouini & Wajih Khallouli, 2009, "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 56, issue 2, pages 241-260.
• Robert Ślepaczuk & Grzegorz Zakrzewski, 2009, "Emerging versus developed volatility indices. The comparison of VIW20 and VIX indices," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2009-11.
• Robert Ślepaczuk & Grzegorz Zakrzewski, 2009, "High-Frequency and Model-Free Volatility Estimators," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2009-13.
• Hostland, Doug, 2009, "Low-Income Countries' Access to Private Debt Markets," Policy Research Working Paper Series, The World Bank, number 4829, Feb.
• Ralf Fendel & Eliza M. Lis & Jan-Christoph Rülke, 2009, "Do Euro Area Forecasters (Still) Have Faith in Macroeconomic Building Blocks? – Expectation Formation when Economics is in Crisis," WHU Working Paper Series - Economics Group, WHU - Otto Beisheim School of Management, number 09-03, Oct.
• Francis X. Diebold & Kamil Yilmaz, 2009, "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, volume 119, issue 534, pages 158-171, January, DOI: 10.1111/j.1468-0297.2008.02208.x.
• Antonio Diez De Los Rios, 2009, "Can Affine Term Structure Models Help Us Predict Exchange Rates?," Journal of Money, Credit and Banking, Blackwell Publishing, volume 41, issue 4, pages 755-766, June, DOI: 10.1111/j.1538-4616.2009.00230.x.
• John M Longo (ed.), 2009, "Hedge Fund Alpha:A Framework for Generating and Understanding Investment Performance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7012, ISBN: ARRAY(0x605ea448), September.
• John M. Longo, 2009, "Introduction," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• John M. Longo, 2009, "Hedge Fund Research Vs. Traditional Research," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• Jorge Barreiro & John M. Longo, 2009, "Achieving Hedge Fund Alpha In Brazil," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• Irina Samoylova & John M. Longo, 2009, "Achieving Hedge Fund Alpha In Russia," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• Ali Jaffery & John M. Longo, 2009, "Achieving Hedge Fund Alpha In India," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• John M. Longo & Wei-Kang Shih & Ben Sopranzetti, 2009, "Achieving Hedge Fund Alpha In China," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• Sanjeev Khullar, 2009, "Using Derivatives To Create Alpha," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• Saad Rathore, 2009, "Best Execution Of Hedge Fund Strategies," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• John M. Longo, 2009, "Growth Of The Hedge Fund Management Company: Evolving From A Single Strategy Fund To A Multistrategy Fund Or Multiple Funds," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• Jeffrey Glattfelder & John Longo & Stephen Spence, 2009, "Fund Of Hedge Funds," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• John M. Longo, 2009, "The Psychology Of Hedge Fund Managers," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• Saad Rathore, 2009, "Risk Management For Hedge Funds," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• Erman Civelek, 2009, "Hedge Fund Due Diligence," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 13, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• John M. Longo & Yaxuan Qi, 2009, "From Birth To Death: The Lifecycle Of A Hedge Fund Investment Strategy," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 14, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• Mitchell D. Eichen & John M. Longo, 2009, "The Future Of Hedge Funds: Seven Emerging Trends," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 15, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• Maela Giofre, 2009, "Convergence of EMU Equity Portfolios," FIW Working Paper series, FIW, number 028, Feb.
• Gurnain Kaur Pasricha, 2009, "Bank Competition and International Financial Integration: Evidence using a new index," FIW Working Paper series, FIW, number 037, Nov.
• Bogdan DIMA & Mircea Mihai ROB, 2009, "Remarks on Romanian Capital Market Volatility in the Framework of an Power ARCH (PARCH) Model," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, volume 2, issue 2(6), pages 77-82.
• Domagoj Sajter & Tomislav Ćorić, 2009, "(I)rationality of Investors on Croatian Stock Market – Explaining the Impact of American Indices on Croatian Stock Market," EFZG Working Papers Series, Faculty of Economics and Business, University of Zagreb, number 0901, Jan.
• Domagoj Sajter Tomislav Æoriæ, 2009, "(I)rationality of Investors on Croatian Stock Market: Explaining the Impact of American Indices on Croatian Stock Market," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, volume 12, issue 2, pages 57-72, November.
• Natividad Blasco & Pilar Corredor & Sandra Ferreruela, 2009, "Detecting intentional herding: what lies beneath intraday data in the spanish stock market," Documentos de Trabajo, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza, number dt2009-01, Jan.
• Westerhoff, Frank, 2009, "A simple agent-based financial market model: Direct interactions and comparisons of trading profits," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 61.
• Dieci, Roberto & Westerhoff, Frank, 2009, "A simple model of a speculative housing market," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 62.
• Schulz, Alexander & Stapf, Jelena, 2009, "Price discovery on traded inflation expectations: does the financial crisis matter?," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2009,25.
• Uhlenbrock, Birgit, 2009, "Financial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2009,08.
• Erdogan, Burcu, 2009, "How does European Integration affect the European Stock Markets?," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 80.
• Kühl, Michael, 2009, "Excess comovements between the Euro/US dollar and British pound/US dollar exchange rates," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 89.
• Grammig, Joachim G. & Schrimpf, Andreas & Schuppli, Michael, 2009, "Long-horizon consumption risk and the cross-section of returns: New tests and international evidence," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-02.
• Laux, Christian & Leuz, Christian, 2009, "The crisis of fair value accounting: Making sense of the recent debate," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/09.
• Laux, Christian & Leuz, Christian, 2009, "Did fair-value accounting contribute to the financial crisis?," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/22.
• Heidorn, Thomas & Kaiser, Dieter G. & Roder, Christoph, 2009, "Empirische Analyse der Drawdowns von Dach-Hedgefonds," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 109.
• Bannier, Christina E. & Behr, Patrick & Güttler, André, 2009, "Rating opaque borrowers: why are unsolicited ratings lower?," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 133.
• Jost, Thomas, 2009, "Sovereign Wealth Funds: Size, economic effects and policy reactions," Weidener Diskussionspapiere, University of Applied Sciences Amberg-Weiden (OTH), number 13.
• Demary, Markus, 2009, "Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model," Economics Discussion Papers, Kiel Institute for the World Economy, number 2009-47.
• Daniëls, Tijmen R. & Jager, Henk & Klaassen, Franc, 2009, "Defending against speculative attacks," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-011.
• Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas, 2009, "Higher-order beliefs among professional stock market forecasters: some first empirical tests," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 09-042.
• Rotfuß, Waldemar & Conrad, Christian & Rittler, Daniel, 2009, "The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 09-045.
• Schindler, Felix & Rottke, Nico & Füss, Roland, 2009, "Testing the predictability and efficiency of securitized real estate markets," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 09-054.
• Thomas Nitschka, 2009, "Momentum in stock market returns, risk premia on foreign currencies and international financial integration," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 405, Mar.
• Chabot, Benjamin & Kurz, Christopher J., 2009, "That's Where the Money Was: Foreign Bias and English Investment Abroad, 1866-1907," Working Papers, Yale University, Department of Economics, number 64, Jun.
• Laux, Christian & Leuz, Christian, 2009, "The crisis of fair-value accounting: Making sense of the recent debate," Accounting, Organizations and Society, Elsevier, volume 34, issue 6-7, pages 826-834, August.
• Catão, Luis A.V. & Fostel, Ana & Kapur, Sandeep, 2009, "Persistent gaps and default traps," Journal of Development Economics, Elsevier, volume 89, issue 2, pages 271-284, July.
• Özatay, Fatih & Özmen, Erdal & Sahinbeyoglu, Gülbin, 2009, "Emerging market sovereign spreads, global financial conditions and U.S. macroeconomic news," Economic Modelling, Elsevier, volume 26, issue 2, pages 526-531, March.
• Tavares, José, 2009, "Economic integration and the comovement of stock returns," Economics Letters, Elsevier, volume 103, issue 2, pages 65-67, May.
• de los Rios, Antonio Diez, 2009, "Exchange rate regimes, globalisation, and the cost of capital in emerging markets," Emerging Markets Review, Elsevier, volume 10, issue 4, pages 311-330, December.
• Cuadro-Sáez, Lucía & Fratzscher, Marcel & Thimann, Christian, 2009, "The transmission of emerging market shocks to global equity markets," Journal of Empirical Finance, Elsevier, volume 16, issue 1, pages 2-17, January.
• Schmeling, Maik, 2009, "Investor sentiment and stock returns: Some international evidence," Journal of Empirical Finance, Elsevier, volume 16, issue 3, pages 394-408, June.
• Rua, António & Nunes, Luís C., 2009, "International comovement of stock market returns: A wavelet analysis," Journal of Empirical Finance, Elsevier, volume 16, issue 4, pages 632-639, September.
• Frijns, Bart & Schotman, Peter, 2009, "Price discovery in tick time," Journal of Empirical Finance, Elsevier, volume 16, issue 5, pages 759-776, December.
• Dionne, Georges & Duchesne, Pierre & Pacurar, Maria, 2009, "Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange," Journal of Empirical Finance, Elsevier, volume 16, issue 5, pages 777-792, December.
• Hanousek, Jan & Kocenda, Evzen & Kutan, Ali M., 2009, "The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data," Journal of Financial Stability, Elsevier, volume 5, issue 2, pages 199-219, June.
• Fatum, Rasmus & Pedersen, Jesper, 2009, "Real-time effects of central bank intervention in the euro market," Journal of International Economics, Elsevier, volume 78, issue 1, pages 11-20, June.
• Melvin, Michael & Menkhoff, Lukas & Schmeling, Maik, 2009, "Exchange rate management in emerging markets: Intervention via an electronic limit order book," Journal of International Economics, Elsevier, volume 79, issue 1, pages 54-63, September.
• Sheremet, Oleg & Lucas, André, 2009, "Global loss diversification in the insurance sector," Insurance: Mathematics and Economics, Elsevier, volume 44, issue 3, pages 415-425, June.
• Maurer, Raimond & Mitchell, Olivia S. & Rogalla, Ralph, 2009, "Managing contribution and capital market risk in a funded public defined benefit plan: Impact of CVaR cost constraints," Insurance: Mathematics and Economics, Elsevier, volume 45, issue 1, pages 25-34, August.
• Beine, Michel & Laurent, Sébastien & Palm, Franz C., 2009, "Central bank FOREX interventions assessed using realized moments," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 19, issue 1, pages 112-127, February.
• Flavin, Thomas J. & Panopoulou, Ekaterini, 2009, "On the robustness of international portfolio diversification benefits to regime-switching volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 19, issue 1, pages 140-156, February.
• Ciarlone, Alessio & Piselli, Paolo & Trebeschi, Giorgio, 2009, "Emerging markets' spreads and global financial conditions," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 19, issue 2, pages 222-239, April.
• Kim, Suk-Joong & Nguyen, Do Quoc Tho, 2009, "The spillover effects of target interest rate news from the U.S. Fed and the European Central Bank on the Asia-Pacific stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 19, issue 3, pages 415-431, July.
• Gnabo, Jean-Yves & Teiletche, Jérôme, 2009, "Foreign-exchange intervention strategies and market expectations: insights from Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 19, issue 3, pages 432-446, July.
• Hillebrand, Eric & Schnabl, Gunther & Ulu, Yasemin, 2009, "Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 19, issue 3, pages 490-505, July.
• Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius, 2009, "A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-01, Jan.
• Charlotte Christiansen & Angelo Ranaldo & Paul Söderllind, 2009, "The Time-Varying Systematic Risk of Carry Trade Strategies," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-15, Apr.
• Jesper Rangvid & Maik Schmeling & Andreas Schrimpf, 2009, "Global Asset Pricing: Is There a Role for Long-run Consumption Risk?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-57, Nov.
• Craig Burnside & Martin Eichenbaum & Sergio Rebelo, 2009, "Understanding the Forward Premium Puzzle: A Microstructure Approach," American Economic Journal: Macroeconomics, American Economic Association, volume 1, issue 2, pages 127-154, July.
• Charles Engel & Akito Matsumoto, 2009, "The International Diversification Puzzle When Goods Prices Are Sticky: It's Really about Exchange-Rate Hedging, Not Equity Portfolios," American Economic Journal: Macroeconomics, American Economic Association, volume 1, issue 2, pages 155-188, July.
• Giovanni Palmerio, 2009, "Some Thoughts on Financial Innovation and Financial Crises," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, volume 11, issue 26, pages 522-532, June.