Research classified by Journal of Economic Literature (JEL) codes

2006

• Elias Papaioannou & Richard Portes & Gregorios Siourounis, 2006, "Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospects for the Dollar," NBER Working Papers, National Bureau of Economic Research, Inc, number 12333, Jun.
• Bong-Chan Kho & René M. Stulz & Francis E. Warnock, 2006, "Financial Globalization, Governance, and the Evolution of the Home Bias," NBER Working Papers, National Bureau of Economic Research, Inc, number 12389, Jul.
• Takatoshi Ito & Yuko Hashimoto, 2006, "Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System," NBER Working Papers, National Bureau of Economic Research, Inc, number 12413, Aug.
• Jaume Ventura & Fernando A. Broner, 2006, "Globalization and Risk Sharing," NBER Working Papers, National Bureau of Economic Research, Inc, number 12482, Aug.
• Craig Burnside & Martin Eichenbaum & Isaac Kleshchelski & Sergio Rebelo, 2006, "The Returns to Currency Speculation," NBER Working Papers, National Bureau of Economic Research, Inc, number 12489, Aug.
• John Ammer & Sara B. Holland & David C. Smith & Francis E. Warnock, 2006, "Look at Me Now: What Attracts U.S. Shareholders?," NBER Working Papers, National Bureau of Economic Research, Inc, number 12500, Aug.
• John D. Burger & Francis E. Warnock, 2006, "Foreign Participation in Local Currency Bond Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 12548, Oct.
• John D. Burger & Francis E. Warnock, 2006, "Local Currency Bond Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 12552, Oct.
• Hali J. Edison & Francis E. Warnock, 2006, "Cross-border Listings, Capital Controls, and Equity Flows To Emerging Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 12589, Oct.
• Takatoshi Ito & Yuko Hashimoto, 2006, "Price Impacts of Deals and Predictability of the Exchange Rate Movements," NBER Working Papers, National Bureau of Economic Research, Inc, number 12682, Nov.
• Karen K. Lewis, 2006, "Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US," NBER Working Papers, National Bureau of Economic Research, Inc, number 12697, Nov.
• Peter Blair Henry, 2006, "Capital Account Liberalization: Theory, Evidence, and Speculation," NBER Working Papers, National Bureau of Economic Research, Inc, number 12698, Nov.
• Alexander D. Rothenberg & Francis E. Warnock, 2006, "Sudden Flight and True Sudden Stops," NBER Working Papers, National Bureau of Economic Research, Inc, number 12726, Dec.
• Fernando Broner & Alberto Martin & Jaume Ventura, 2006, "Sovereign Risk and Secondary Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 12783, Dec.
• Edward J. Kane, 2006, "Confronting divergent interests in cross-country regulatory arrangements," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, volume 69, pages 1-12., June.
• Rudiger Ahrend & Pietro Catte & Robert Price, 2006, "Factors Behind Low Long-Term Interest Rates," OECD Economics Department Working Papers, OECD Publishing, number 490, Jun, DOI: 10.1787/761527811285.
• Alain de Serres & Shuji Kobayakawa & Torsten Sløk & Laura Vartia, 2006, "Regulation of Financial Systems and Economic Growth," OECD Economics Department Working Papers, OECD Publishing, number 506, Aug, DOI: 10.1787/870803826715.
• Markus Baltzer, 2006, "European Financial Market Integration in the Gründerboom and Gründerkrach: Evidence from European Cross-Listings," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 111, Jan.
• George W. Evans & Avik Chakraborty, 2006, "Can Perpetual Learning Explain the Forward Premium Puzzle?," University of Oregon Economics Department Working Papers, University of Oregon Economics Department, number 2006-8, Jun, revised 20 Aug 2006.
• Kazuhiko Nishina & Nabil Maghrebi & Mark J. Holmes, 2006, "Are Volatility Expectations Characterized By Regime Shifts? Evidence From Implied Volatility Indices," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 06-20, Jul.
• Markku Lanne, 2006, "A Mixture Multiplicative Error Model for Realized Volatility," Journal of Financial Econometrics, Oxford University Press, volume 4, issue 4, pages 594-616.
• Ross Levine & Sergio L. Schmukler, 2006, "Internationalization and Stock Market Liquidity," Review of Finance, European Finance Association, volume 10, issue 1, pages 153-187.
• Robin Brooks & Marco Del Negro, 2006, "Firm-Level Evidence on International Stock Market Comovement," Review of Finance, European Finance Association, volume 10, issue 1, pages 69-98.
• Harald Hau & Hélène Rey, 2006, "Exchange Rates, Equity Prices, and Capital Flows," The Review of Financial Studies, Society for Financial Studies, volume 19, issue 1, pages 273-317.
• Jon Wongswan, 2006, "Transmission of Information across International Equity Markets," The Review of Financial Studies, Society for Financial Studies, volume 19, issue 4, pages 1157-1189.
• John D. Burger & Francis E. Warnock, 2006, "Local Currency Bond Markets," IMF Staff Papers, Palgrave Macmillan, volume 53, issue si, pages 1-7.
• L. Grossi & G. Morelli, 2006, "Robust volatility forecasts and model selection in financial time series," Economics Department Working Papers, Department of Economics, Parma University (Italy), number 2006-SE02.
• Clara Cardone Riportella & Leonardo Cazorla Papis, 2006, "How Theory Meets Practice: An Analysis of the Capital Structure of Spanish SMEs," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 11, issue 2, pages 73-94, Summer.
• Wolfgang Bessler & Stefan Thies, 2006, "Initial Public Offerings, Subsequent Seasoned Equity Offerings, and Long-Run Performance: Evidence from IPOs in Germany," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 11, issue 3, pages 1-37, Fall.
• Xiaoqing Eleanor Xu, 2006, "Venture-backed IPOs and the Exiting of Venture Capital in China," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 11, issue 3, pages 39-56, Fall.
• Aydin Yüksel & Asli Yüksel, 2006, "The Link between IPO Underpricing and Trading Volume: Evidence from the Istanbul Stock Exchange," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 11, issue 3, pages 57-78, Fall.
• Jorge Farinha & Nuno Filipe Basílio, 2006, "Stock Splits: Real Effects or Just a Question of Maths? An Empirical Analysis of the Portuguese Case," CEF.UP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 0608, Oct.
• Arshad, Muhammad Nadeem, 2006, "Comparison of Products & Services Offered by Local and Foreign Banks in Pakistan," MPRA Paper, University Library of Munich, Germany, number 116411, Aug, revised 03 Jan 2023.
• Panetta, Ida Claudia, 2006, "Financial markets trend: ageing and pension system reform," MPRA Paper, University Library of Munich, Germany, number 18391, Oct.
• Raul, Matsushita & Iram, Gleria & Annibal, Figueiredo & Sergio, Da Silva, 2006, "The Chinese Chaos Game," MPRA Paper, University Library of Munich, Germany, number 1847.
• Vulpes, Giuseppe & Brasili, Andrea, 2006, "Banking integration and co-movements in EU banks’ fragility," MPRA Paper, University Library of Munich, Germany, number 1964, Jun.
• Pasricha, Gurnain Kaur, 2006, "Survey of Literature on Covered and Uncovered Interest Parities," MPRA Paper, University Library of Munich, Germany, number 22737, Dec.
• Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz, 2006, "Political orientation of government and stock market returns," MPRA Paper, University Library of Munich, Germany, number 307, Jul, revised Nov 2006.
• Cotter, John, 2006, "Real & Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing," MPRA Paper, University Library of Munich, Germany, number 3494.
• Cotter, John & Longin, Francois, 2006, "Implied correlation from VaR," MPRA Paper, University Library of Munich, Germany, number 3506.
• Cotter, John, 2006, "Modelling catastrophic risk in international equity markets: An extreme value approach," MPRA Paper, University Library of Munich, Germany, number 3507.
• Kasibhatla, Krishna & Stewart, David & Sen, Swapan & Malindretos, John, 2006, "Are equity market daily price indices and returns in the major european markets european markets cointegrated? Tests and evidence," MPRA Paper, University Library of Munich, Germany, number 36502.
• Aysan, Ahmet Faruk, 2006, "Distributional Effects of Boom-Bust Cycles in Developing Countries with Financial Frictions," MPRA Paper, University Library of Munich, Germany, number 5484.
• Chang, Yanqin, 2006, "How a small open economy's asset are priced by heterogeneous international investors," MPRA Paper, University Library of Munich, Germany, number 551, Aug.
• Frimpong, Joseph Magnus & Oteng-Abayie, Eric Fosu, 2006, "Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models," MPRA Paper, University Library of Munich, Germany, number 593, Oct, revised 07 Oct 2006.
• Camilleri, Silvio John, 2006, "An Analysis of Stock Index Distributions of Selected Emerging Markets," MPRA Paper, University Library of Munich, Germany, number 62490.
• Camilleri, Silvio John, 2006, "Strategic Priorities for Stock Exchanges in New EU Member States," MPRA Paper, University Library of Munich, Germany, number 62494.
• Ben Slimane, Faten, 2006, "Le partenariat euro méditerranéen et son impact sur le développement des marchés boursiers méditerranéens," MPRA Paper, University Library of Munich, Germany, number 698, May.
• Zhang, Dayong & Dickinson, David & Barassi, Marco, 2006, "Structural breaks, cointegration and B share discount in Chinese stock market," MPRA Paper, University Library of Munich, Germany, number 70353.
• Boshoff, Willem H., 2006, "The transmission of foreign financial crises to South Africa: a firm-level study," MPRA Paper, University Library of Munich, Germany, number 9029.
• Sahminan, Sahminan, 2006, "Adjustments of the Non-Financial Sector to the Rise in Exchange Rate Volatility and Their Policy Implications in Indonesia," MPRA Paper, University Library of Munich, Germany, number 95471, Dec.
• Nguyen The Hung, 2006, "Determination of risk factors of stock returns in Central Europe
  [Determinace rizikových faktorů při tvorbě akciových výnosů v střední Evropě]," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2006, issue 1, pages 179-192, DOI: 10.18267/j.aop.530.
• Mejra Festić, 2006, "Procyclicality of Financial and Real Sector in Transition Economies," Prague Economic Papers, Prague University of Economics and Business, volume 2006, issue 4, pages 315-349, DOI: 10.18267/j.pep.291.
• Takuo Tsurushima, 2006, "Développement des Bourses de valeurs et croissance économique," Revue d'Économie Financière, Programme National Persée, volume 82, issue 1, pages 49-60, DOI: 10.3406/ecofi.2006.4034.
• Emmanuel Boutron & Jean-François Gajewski & Carole Gresse & Florence Labégorre, 2006, "Les procédures d’introduction en Bourse en Europe : évolution des pratiques et perspectives," Revue d'Économie Financière, Programme National Persée, volume 82, issue 1, pages 99-115, DOI: 10.3406/ecofi.2006.4038.
• Alain Joly, 2006, "Avenir des Bourses : les attentes des émetteurs," Revue d'Économie Financière, Programme National Persée, volume 82, issue 1, pages 139-146, DOI: 10.3406/ecofi.2006.4042.
• James Newsome, 2006, "La criée ou le tout électronique : le marché décide," Revue d'Économie Financière, Programme National Persée, volume 82, issue 1, pages 147-151, DOI: 10.3406/ecofi.2006.4043.
• Jean-François Conil-Lacoste & Richard Sandor, 2006, "Marchés du CO₂ en Europe et aux États-Unis : Regards croisés," Revue d'Économie Financière, Programme National Persée, volume 83, issue 2, pages 151-158, DOI: 10.3406/ecofi.2006.4005.
• Takuo Tsurushima, 2006, "Stock exchange development and economic growth," Revue d'Économie Financière, Programme National Persée, volume 82, issue 1, pages 45-54, DOI: 10.3406/ecofi.2006.4435.
• Emmanuel Boutron & Jean-François Gajewski & Carole Gresse & Florence Labégorre, 2006, "IPO procedures in Europe : the development of practices and perspectives," Revue d'Économie Financière, Programme National Persée, volume 82, issue 1, pages 89-105, DOI: 10.3406/ecofi.2006.4439.
• Alain Joly, 2006, "The future of stock exchanges: how issuers look at it?," Revue d'Économie Financière, Programme National Persée, volume 82, issue 1, pages 125-131, DOI: 10.3406/ecofi.2006.4443.
• James Newsome, 2006, "Open outcry or electronic : it’s the market’s choice," Revue d'Économie Financière, Programme National Persée, volume 82, issue 1, pages 133-137, DOI: 10.3406/ecofi.2006.4444.
• Jean-François Conil-Lacoste & Richard Sandor, 2006, "CO2 markets in Europe and the US : Comparative overview," Revue d'Économie Financière, Programme National Persée, volume 83, issue 2, pages 145-151, DOI: 10.3406/ecofi.2006.4428.
• Woosik Moon & Yeongseop Rhee, 2006, "Spot and foward market intervention during the 1997 Korean currency crisis," BNL Quarterly Review, Banca Nazionale del Lavoro, volume 59, issue 238, pages 243-268.
• Woosik Moon & Yeongseop Rhee, 2006, "Spot and foward market intervention during the 1997 Korean currency crisis," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, volume 59, issue 238, pages 243-268.
• Marcelo Fernandes & Marco Aurélio dos Santos Rocha, 2006, "Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange," Working Papers, Queen Mary University of London, School of Economics and Finance, number 579, Nov.
• Silvia S.W. Lui, 2006, "An Empirical Study of Asian Stock Volatility Using Stochastic Volatility Factor Model: Factor Analysis and Forecasting," Working Papers, Queen Mary University of London, School of Economics and Finance, number 581, Dec.
• Sergey Belousov, 2006, "Volatility modeling with jumps: applications to Russian and American stock markets (in Russian)," Quantile, Quantile, issue 1, pages 101-110, September.
• Carol Alexander & Andreza Barbosa, 2006, "Minimum Variance Hedging and Stock Index Market Efficiency," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2006-04, Jul, revised Sep 2006.
• Stephen Brammer & Chris Brooks & Stephen Pavelin, 2006, "The Stock Performance of America's 100 Best Corporate Citizens," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2006-06, Jul.
• Pietro Reichlin, 2006, "Explaning the Correlation Between Output and Volatility in a Model of International Risk-Sharing and Limited Commitment," 2006 Meeting Papers, Society for Economic Dynamics, number 251.
• Todd Keister, 2006, "Expectations and Contagion in Self-fulfilling Currency Attacks," 2006 Meeting Papers, Society for Economic Dynamics, number 485.
• Fernando Broner & Alberto Martin & Jaume Ventura, 2006, "Sovereign Risk and Secondary Markets," 2006 Meeting Papers, Society for Economic Dynamics, number 565.
• Craig Burnside & Martin Eichenbaum & Isaac Kleshchelski & Sergio Rebelo, 2006, "The Returns to Currency Speculation," 2006 Meeting Papers, Society for Economic Dynamics, number 864.
• Adrien Verdelhan, 2006, "A Habit-Based Explanation of the Exchange Rate Risk Premium," 2006 Meeting Papers, Society for Economic Dynamics, number 872.
• Márcio Gomes Pinto Garcia & Juliana Salomão, 2006, "Alongamento dos títulos de renda fixa no Brasil," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 515, Mar.
• Márcio Gomes Pinto Garcia & Bernando S. de M. Carvalho, 2006, "Ineffective controls on capital inflows under sophisticated financial markets: Brazil in the nineties," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 516, Mar.
• Jungwon Suh, 2006, "Integration among Major Capital Markets in the World: An Investigation Focusing on Firm Value," East Asian Economic Review, Korea Institute for International Economic Policy, volume 10, issue 1, pages 99-128, DOI: 10.11644/KIEP.JEAI.2006.10.1.153.
• Abdulnasser Hatemi-J & Eduardo Roca & Jia Qiu Qiu, 2006, "Does it Pay for Australian Investors to Diversify into their Country's Major Trading Partners?," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 59, issue 3, pages 295-316.
• Tassos G. Anastasatos & Ian R. Davidson, 2006, "An Empirical Characterisation of Speculative Pressure: A Comprehensive Panel Study Using LDV Models in High Frequency," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 21, pages 619-656.
• Pankaj Jain, 2006, "Improving liquidity through efficient stock market structure and operational design," Journal of Financial Transformation, Capco Institute, volume 18, pages 151-159.
• Hong Li & Ewa Majerowska, 2006, "Stock market integration: a multivariate GARCH analysis on Poland and Hungary," Economics Discussion Papers, School of Economics, Kingston University London, number 2006-2, Jan.
• Raj Aggarwal & Brian M. Lucey & Cal Muckley, 2006, "Dynamics of equity market integration in Europe : impact of political-economy events," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1154, Jun.
• John Cotter & Kevin Dowd, 2006, "Estimating financial risk measures for futures positions : a non-parametric approach," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1172, Dec.
• John Cotter & Kevin Dowd, 2006, "Spectral risk measures with an application to futures clearinghouse variation margin requirements," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1189, Oct.
• L. Baele & K. Inghelbrecht, 2006, "Structural versus Temporary Drivers of Country and Industry Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 06/413, Sep.
• Cemal Berk OÄŸuzsoy & Sibel Güven, 2006, "Turn of the Month and Turn of the Month Surrounding Days Effects in Istanbul Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 5, issue 1, pages 1-13, April, DOI: 10.1177/097265270500500101.
• Aktham Maghyereh, 2006, "Regional Integration of Stock Markets in MENA Countries," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 5, issue 1, pages 59-94, April, DOI: 10.1177/097265270500500103.
• Michael E. Drew & Alastair Marsden & Madhu Veeraraghavan, 2006, "Small Firm Effect, Liquidity and Security Returns," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 5, issue 2, pages 135-149, August, DOI: 10.1177/097265270600500202.
• Emine Boz, 2006, "Can Miracles Lead to Crises? An Informational Frictions Explanation of Emerging Markets Crises," Computing in Economics and Finance 2006, Society for Computational Economics, number 19, Jul.
• Adrien Verdelhan, 2006, "A Habit-Based Explanation of the Exchange Rate Risk Premium," Computing in Economics and Finance 2006, Society for Computational Economics, number 217, Jul.
• Valentyn Panchenko, 2006, "Evaluating the Predictive Abilities of Semiparametric Multivariate Models," Computing in Economics and Finance 2006, Society for Computational Economics, number 382, Jul.
• Hercules Vladimirou & Nikolas Topaloglou & Stavros A. Zenios, 2006, "A Stochastic Programming Framework for International PortfolioManagement," Computing in Economics and Finance 2006, Society for Computational Economics, number 404, Jul.
• Lukas Ladislav, 2006, "Dynamic equilibrium conditions used for building a family of FX rate simulation models," Computing in Economics and Finance 2006, Society for Computational Economics, number 419, Jul.
• Michael G. Papaioannou, 2006, "Exchange Rate Risk Measurement and Management: Issues and Approaches for Firms," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, volume 4, issue 2, pages 129-146.
• Claudio Loderer & Marc-André Mittermayer, 2006, "America and the Swiss Stock Exchange: An Intraday Analysis," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 142, issue I, pages 79-114, March.
• Patrick Eugster & Peter Zweifel, 2006, "Correlated Risks: A Conflict of Interest Between Insurers and Consumers and Its Resolution," SOI - Working Papers, Socioeconomic Institute - University of Zurich, number 0604, Apr.
• Helmut Herwartz, 2006, "Econometric analysis of high frequency data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 90, issue 1, pages 89-104, March, DOI: 10.1007/s10182-006-0223-3.
• Pierre Giot & Joachim Grammig, 2006, "How large is liquidity risk in an automated auction market?," Empirical Economics, Springer, volume 30, issue 4, pages 867-887, January, DOI: 10.1007/s00181-005-0003-z.
• Andres Vesilind, 2006, "Profitability of simple trading strategies exploiting the forward premium bias in foreign exchange markets and the time premium in yield curves," Bank of Estonia Working Papers, Bank of Estonia, number 2006-04, Oct, revised 12 Oct 2006.
• Daouk, Hazem & Lee, Charles M.C. & Ng, David, 2006, "Capital market governance: How do security laws affect market performance?," Journal of Corporate Finance, Elsevier, volume 12, issue 3, pages 560-593, June.
• Chen, Shiu-Sheng, 2006, "Revisiting the interest rate-exchange rate nexus: a Markov-switching approach," Journal of Development Economics, Elsevier, volume 79, issue 1, pages 208-224, February.
• von Furstenberg, George M., 2006, "Mexico versus Canada: Stability benefits from making common currency with USD?," The North American Journal of Economics and Finance, Elsevier, volume 17, issue 1, pages 65-78, March.
• Dvorak, Tomas & Podpiera, Richard, 2006, "European Union enlargement and equity markets in accession countries," Emerging Markets Review, Elsevier, volume 7, issue 2, pages 129-146, June.
• Ehling, Paul & Ramos, Sofia B., 2006, "Geographic versus industry diversification: Constraints matter," Journal of Empirical Finance, Elsevier, volume 13, issue 4-5, pages 396-416, October.
• Campa, Jose Manuel & Fernandes, Nuno, 2006, "Sources of gains from international portfolio diversification," Journal of Empirical Finance, Elsevier, volume 13, issue 4-5, pages 417-443, October.
• Schulmeister, Stephan, 2006, "The interaction between technical currency trading and exchange rate fluctuations," Finance Research Letters, Elsevier, volume 3, issue 3, pages 212-233, September.
• Boyer, M. Martin & van Norden, Simon, 2006, "Exchange rates and order flow in the long run," Finance Research Letters, Elsevier, volume 3, issue 4, pages 235-243, December.
• Mende, Alexander & Menkhoff, Lukas, 2006, "Profits and speculation in intra-day foreign exchange trading," Journal of Financial Markets, Elsevier, volume 9, issue 3, pages 223-245, August.
• Bissoondoyal-Bheenick, Emawtee & Brooks, Robert & Yip, Angela Y.N., 2006, "Determinants of sovereign ratings: A comparison of case-based reasoning and ordered probit approaches," Global Finance Journal, Elsevier, volume 17, issue 1, pages 136-154, September.
• Basher, Syed A. & Sadorsky, Perry, 2006, "Oil price risk and emerging stock markets," Global Finance Journal, Elsevier, volume 17, issue 2, pages 224-251, December.
• De Broeck, Mark & Slok, Torsten, 2006, "Interpreting real exchange rate movements in transition countries," Journal of International Economics, Elsevier, volume 68, issue 2, pages 368-383, March.
• Gravelle, Toni & Kichian, Maral & Morley, James, 2006, "Detecting shift-contagion in currency and bond markets," Journal of International Economics, Elsevier, volume 68, issue 2, pages 409-423, March.
• Broner, Fernando A. & Gaston Gelos, R. & Reinhart, Carmen M., 2006, "When in peril, retrench: Testing the portfolio channel of contagion," Journal of International Economics, Elsevier, volume 69, issue 1, pages 203-230, June.
• Uribe, Martin & Yue, Vivian Z., 2006, "Country spreads and emerging countries: Who drives whom?," Journal of International Economics, Elsevier, volume 69, issue 1, pages 6-36, June.
• Ghironi, Fabio, 2006, "Macroeconomic interdependence under incomplete markets," Journal of International Economics, Elsevier, volume 70, issue 2, pages 428-450, December.
• Denvir, Emily & Hutson, Elaine, 2006, "The performance and diversification benefits of funds of hedge funds," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 16, issue 1, pages 4-22, February.
• Marais, E. & Bates, S., 2006, "An empirical study to identify shift contagion during the Asian crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 16, issue 5, pages 468-479, December.

2005

• Doidge, Craig & Karolyi, G. Andrew & Lins, Karl V. & Miller, Darius & Stulz, Rene M., 2005, "Private Benefits of Control, Ownership, and the Cross-Listing Decision," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 05-1, Feb.
• Viviana Fernández, 2005, "The International CAPM and a wavelet-based decomposition of Value at Risk," Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile, number 203.
• Andres Vesilind & Toivo Kuus, 2005, "Application of investment models in foreign exchange reserve management in Eesti Pank," Bank of Estonia Working Papers, Bank of Estonia, number 2005-6, Oct, revised 10 Oct 2005.
• Charemza, Wojciech W. & Lifshits, Mikhail & Makarova, Svetlana, 2005, "Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results," Journal of Economic Dynamics and Control, Elsevier, volume 29, issue 1-2, pages 63-96, January.
• van der Hart, Jaap & de Zwart, Gerben & van Dijk, Dick, 2005, "The success of stock selection strategies in emerging markets: Is it risk or behavioral bias?," Emerging Markets Review, Elsevier, volume 6, issue 3, pages 238-262, September.
• Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie, 2005, "Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements," Journal of Empirical Finance, Elsevier, volume 12, issue 3, pages 445-475, June.
• Worthington, Andrew & Kay-Spratley, Adam & Higgs, Helen, 2005, "Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis," Energy Economics, Elsevier, volume 27, issue 2, pages 337-350, March.
• Karuppiah, Jeyanthi & Los, Cornelis A., 2005, "Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997," International Review of Financial Analysis, Elsevier, volume 14, issue 2, pages 211-246.
• Kraussl, Roman, 2005, "Do credit rating agencies add to the dynamics of emerging market crises?," Journal of Financial Stability, Elsevier, volume 1, issue 3, pages 355-385, April.
• Weinschelbaum, Federico & Wynne, Jose, 2005, "Renegotiation, collective action clauses and sovereign debt markets," Journal of International Economics, Elsevier, volume 67, issue 1, pages 47-72, September.
• Marta Gómez-Puig, 2005, "Monetary Integration And The Cost Of Borrowing," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 05-05, Jan.
• Marta Gómez-Puig, 2005, "The Impact Of Monetary Union On Eu-15 Sovereign Debt Yield Spreads," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 05-11, Dec.
• Daouk, Hazem & Lee, Charles M.C. & Ng, David T.C., 2005, "Capital Market Governance: How Do Security Laws Affect Market Performance?," Working Papers, Cornell University, Department of Applied Economics and Management, number 127078, DOI: 10.22004/ag.econ.127078.
• Taing, Siv & Worthington, Andrew, 2005, "Return Relationships Among European Equity Sectors: A Comparative Analysis Across Selected Sectors in Small and Large Economies," Journal of Applied Economics, Universidad del CEMA, volume 8, issue 2, pages 1-18, November, DOI: 10.22004/ag.econ.37160.
• McGraw, Patricia A., 2005, "Privatization and the Corporate Cost of Capital in New Zealand: An Application of Fama and French (1999)," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 1, issue 01, pages 1-25, June, DOI: 10.22004/ag.econ.143482.
• Alessandro Maia Pinheiro & Mário Miguel Amin, 2005, "Fluxos De Capitais E Componentes Macroecômicos: Análise De Inter-Relações Através Da Aplicação De Um Modelo De Vetores Auto-Regressivos (Var)," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 036.
• Osvaldo Cândido da Silva Filho & Bruno Ferreira Frascaroli & Sinézio Fernandes Maia, 2005, "Transmissão De Preços No Mercado Internacional Da Soja: Uma Abordagem Pelos Modelos Armax E Var," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 145.
• Pompeo Della Posta, 2005, "Fundamentals, International Role of Euro and 'Framing' of Expectations: What are the Determinants of the Dollar/Euro Exchange Rate?," Working Papers de Economia (Economics Working Papers), Departamento de Economia, Gestão e Engenharia Industrial, Universidade de Aveiro, number 24, Aug.
• Marta Gomez Puig, 2005, "Monetary Integration and the Cost of Borrowing," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 134.
• Pavel Dupsiva & Michal Prückner, 2005, "Evolution Of Prague Stock Exchange," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
• Alicia Garcia-Herrero & Lucia Cuadro-Saez, 2005, "Finance for Growth: Does a Balanced Financial Structure Matter?," Working Papers, BBVA Bank, Economic Research Department, number 0503, Jun.
• Michael R. King & Rasmus Fatum, 2005, "The Effectiveness of Official Foreign Exchange Intervention in a Small Open Economy: The Case of the Canadian Dollar," Staff Working Papers, Bank of Canada, number 05-21, DOI: 10.34989/swp-2005-21.
• Marc-André Gosselin & Nicolas Parent, 2005, "An Empirical Analysis of Foreign Exchange Reserves in Emerging Asia," Staff Working Papers, Bank of Canada, number 05-38, DOI: 10.34989/swp-2005-38.
• Fernando Restoy & Rosa Rodríguez, 2005, "Can fundamentals explain cross-country correlations of asset returns?," Working Papers, Banco de España, number 0540, Nov.
• Marcello Pericoli, 2005, "Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 545, Feb.
• Andrea Resti & Andrea Sironi, 2005, "The Basel Committee Approach To Risk-Weights And External Ratings: What Do We Learn From Bond Spreads?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 548, Feb.
• Luis Fernando Melo Velandia & Juan Mauricio ramírez & Mario Andrés Ramos, 2005, "Construcción de un "Ïndice de Percepción de Riesgo" de los Mercados Financieros Globales," Borradores de Economia, Banco de la Republica de Colombia, number 344, Jul, DOI: 10.32468/be.344.
• Fleuriet, V., 2005, "Faiblesses des marchés financiers chinois : des réformes indispensables pour la diversification du financement de l’économie," Bulletin de la Banque de France, Banque de France, issue 140, pages 53-63.
• De Sèze, N., 2005, "Target 2 : du concept à la réalité," Bulletin de la Banque de France, Banque de France, issue 144, pages 45-52.
• R. Gaston Gelos & Carmen M. Reinhart & Fernando Broner, 2015, "When in Peril, Retrench: Testing the Portfolio Channel of Contagion," Working Papers, Barcelona School of Economics, number 207, Sep.
• Benjamin H Cohen, 2005, "Currency choice in international bond issuance," BIS Quarterly Review, Bank for International Settlements, June.
• Guonan Ma & Eli M Remolona, 2005, "Opening markets through a regional bond fund: lessons from ABF2," BIS Quarterly Review, Bank for International Settlements, June.
• Robert McCauley, 2005, "Distinguishing global dollar reserves from official holdings in the United States," BIS Quarterly Review, Bank for International Settlements, September.
• Camilo E Tovar, 2005, "International government debt denominated in local currency: recent developments in Latin America," BIS Quarterly Review, Bank for International Settlements, December.
• Bernd Hayo & Ali M. Kutan, 2005, "The impact of news, oil prices, and global market developments on Russian financial markets," The Economics of Transition, The European Bank for Reconstruction and Development, volume 13, issue 2, pages 373-393, April, DOI: 10.1111/j.1468-0351.2005.00214.x.
• Q. Farooq Akram, & Dagfinn Rime & Lucio Sarno, 2005, "Arbitrage in the foreign exchange market: Turning on the microscope," Working Paper, Norges Bank, number 2005/12, Nov.
• Geir H. Bjønnes & Steinar Holden & Dagfinn Rime & Haakon O.Aa. Solheim, 2005, "“Large” vs. “small” players: A closer look at the dynamics of speculative attacks," Working Paper, Norges Bank, number 2005/13, Nov.
• Adrien Verdelhan, 2005, "A Habit-Based Explanation of the Exchange Rate Risk Premium," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2005-032, Aug.
• Kugler, Peter & Weder, Beatrice, 2005, "Why are Returns on Swiss Franc Asset so Low?," Working papers, Faculty of Business and Economics - University of Basel, number 2005/08.
• Irina Bunda, 2005, "Un modèle de crises jumelles inspiré de la crise asiatique," Revue économique, Presses de Sciences-Po, volume 56, issue 4, pages 903-937.
• Rodolfo Apreda, 2005, "Arbitrage in foreign exchange markets within the context of a transactional algebra," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 290, Jun.
• Siv Taing & Andrew Worthington, 2005, "Return relationships among European equity sectors: A comparative analysis across selected sectors in small and large economies," Journal of Applied Economics, Universidad del CEMA, volume 8, pages 371-388, November.
• Zuzana Fungacova, 2005, "Building a Castle on Sand: Effects of Mass Privatization on Capital Market Creation in Transition Economies," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp256, Apr.
• Fernando A. Broner & Roberto Rigobon, 2005, "Why are Capital Flows so Much More Volatile in Emerging Than in Developed Countries?," Working Papers Central Bank of Chile, Central Bank of Chile, number 328, Sep.
• Alejandro Micco & Ugo Panizza, 2005, "Bank Concentration and Credit Volatility," Working Papers Central Bank of Chile, Central Bank of Chile, number 342, Dec.
• Tood Keister, 2005, "Expectations and Contagion in Self-Fulfilling Currency Attacks," Working Papers, Centro de Investigacion Economica, ITAM, number 0501, Apr.
• Olena Havrylchyk & Emilia Jurzyk, 2005, "Profitability of Foreign and Domestic Banks in Central and Eastern Europe : Does the Mode of Entry Matter?," Working Papers, CEPII research center, number 2005-21, Dec.
• Sophie Brana & Delphine Lahet, 2005, "La propagation des crises financieres dans les pays emergents : la contagion est-elle discriminante ?," Economie Internationale, CEPII research center, issue 103, pages 73-96.
• Luis Fernando Melo Velandia & Juan Mauricio Ram�rez C. & Mario Andr�s Ramos V., 2005, "Construcci�N De Un �Ndice De Percepci�N De Riesgo De Los Mercados Financieros Globales," Borradores de Economia, Banco de la Republica, number 2194, Jun.
• David Quintana Montero & Pedro Isasi Vinuela., 2005, "Revisión de precios y reputación de asesores financieros: dos propuestas de índices para explicar el rendimiento a corto plazo de las salida," Estudios Gerenciales, Universidad Icesi.
• Luis Berggrun, 2005, "Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A. - BANCOLOMBIA," Borradores de Economía y Finanzas, Universidad Icesi, number 3370, Dec.
• Julio César Alonso & Carlos Patino, 2005, "¿Crecer para exportar o exportar para crecer?," Borradores de Economía y Finanzas, Universidad Icesi, number 3793, Mar.
• Carlos Caballero, 2005, "Las crisis financieras del último cuarto del siglo XX," Coyuntura Económica, Fedesarrollo.
• Natalia Salazar Ferro, 2005, "Evolución y determinantes del margen de intermediación en Colombia," Coyuntura Económica, Fedesarrollo.
• Miller, Marcus, 2005, "World Finance and the US 'New Economy': Risk Sharing and Risk Exposure," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4855, Jan.
• Bolton, Patrick & Jeanne, Olivier, 2005, "Structuring and Restructuring Sovereign Debt: The Role of Seniority," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4901, Feb.
• Estrin, Saul & Tian, Lihui, 2005, "Retained State Shareholding in Chinese PLCs: Does Government Ownership Reduce Corporate Value?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4919, Feb.
• Wolff, Christian & Verschoor, Willem F C & Jongen, Ron, 2005, "Time Variation in Term Premia: International Evidence," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4959, Mar.
• Pagano, Marco & Zechner, Josef & Randl, Otto & Halling, Michael, 2005, "Where is the Market? Evidence from Cross-Listings," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4987, Apr.
• Rigobon, Roberto & Pavlova, Anna, 2005, "Wealth Transfers, Contagion and Portfolio Constraints," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5117, Jul.
• Schneider, Martin & Albuquerque, Rui & Bauer, Gregory, 2005, "International Equity Flows and Returns: A Quantitative Equilibrium Approach," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5159, Aug.
• Kugler, Peter & Weder di Mauro, Beatrice, 2005, "Why Are Returns on Swiss Franc Assets So Low? Rare Events May Solve the Puzzle," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5181, Aug.
• Yafeh, Yishay & Khanna, Tarun, 2005, "Business Groups in Emerging Markets: Paragons or Parasites?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, 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, C.E.P.R. Discussion Papers, 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.