Research classified by Journal of Economic Literature (JEL) codes

2010

• Trabelsi, Mohamed Ali, 2010, "Choix de portefeuille: comparaison des différentes stratégies
  [Portfolio selection: comparison of different strategies]," MPRA Paper, University Library of Munich, Germany, number 82946, Dec, revised 01 Dec 2010.
• Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis, 2010, "Regime-Dependent Smile-Adjusted Delta Hedging," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2010-10, Sep.
• Bourghelle, David & Hyme, Pauline, 2010, "Du mythe de l’efficience des marchés au krach," Revue de la Régulation - Capitalisme, institutions, pouvoirs, Association Recherche et Régulation, volume 8.
• Carlo Lucheroni, 2010, "Stochastic models of resonating markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 5, issue 1, pages 77-88, June, DOI: 10.1007/s11403-009-0058-6.
• Massimiliano Marzo & Paolo Zagaglia, 2010, "Volatility forecasting for crude oil futures," Applied Economics Letters, Taylor & Francis Journals, volume 17, issue 16, pages 1587-1599, DOI: 10.1080/13504850903084996.
• M. Vermorken & A. Szafarz & H. Pirotte, 2010, "Sector classification through non-Gaussian similarity," Applied Financial Economics, Taylor & Francis Journals, volume 20, issue 11, pages 861-878, DOI: 10.1080/09603101003636238.
• Halil Ibrahim Aydin & Ahmet Degerli & Pinar Ozlu, 2010, "Recovering Risk-Neutral Densities from Exchange Rate Options: Evidence in Turkey (Kur Opsiyonlarindan Riske Duyarsiz Yogunluk Fonksiyonu Cikarimi: Turkiye Ornegi)," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1003.
• Maximilian Vermorken & Ariane Szafarz & Hugues Pirotte, 2010, "Sector Classification through non-Gaussian Similarity," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/95542.
• Ewa M. Syczewska, 2010, "Financial crisis influence on the BUX index of Hungarian stock exchange. Long memory measures: 1991-2008," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 46, Sep.
• Agarwal, Vikas & Jiang, Wei & Tang, Yuehua & Yang, Baozhong, 2010, "Uncovering hedge fund skill from the portfolio holdings they hide," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 10-09.
• Agarwal, Vikas & Fung, William H. & Loon, Yee Cheng & Naik, Narayan Y., 2010, "Risk and return in convertible arbitrage: Evidence from the convertible bond market," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 10-19.
• Grelck, Michael B. & Prigge, Stefan & Tegtmeier, Lars & Topalov, Mihail, 2010, "Die Konstruktion einer marktbasierten Benchmark für Beteiligungstitel in Schiffsinvestitionen," Working Paper Series, Hamburg School of Business Administration (HSBA), number 05/2010.
• Irle, Albrecht & Kauschke, Jonas & Lux, Thomas & Milaković, Mishael, 2010, "Switching rates and the asymptotic behavior of herding models," Kiel Working Papers, Kiel Institute for the World Economy, number 1595.
• Härdle, Wolfgang Karl & López Cabrera, Brenda & Okhrin, Ostap & Wang, Weining, 2010, "Localising temperature risk," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-001.

2009

• Alessandro Palandri, 2009, "The Effects of Interest Rate Movements on Assets’ Conditional Second Moments," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-32, Jul.
• Douglas M. Gale & Shachar Kariv, 2009, "Trading in Networks: A Normal Form Game Experiment," American Economic Journal: Microeconomics, American Economic Association, volume 1, issue 2, pages 114-132, August.
• George Horia Ionescu & DragoÅŸ Mihai Ungureanu & Ruxandra Dana Vilag & Florian Bogdan Stoian, 2009, "Financial Contagion And Investors Behavior," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 11, pages 1-57.
• Igor Stubelj & Mateja Jerman & Primož Dolenc, 2009, "The Analysis Of Residual Income – The Empirical Evidence From Slovenia," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
• Cristina Curutiu, 2009, "Analysis Of The Portfolio Management Methods," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
• Cornelia Pop, 2009, "The Hotel Companies And Their Relationship With The Capital Markets," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
• Ana María Calle Fernández & Víctor Manuel Tamayo Bustamante, 2009, "Decisiones De Inversión A Través De Opciones Reales," Estudios Gerenciales, Universidad Icesi.
• Fausto Hernández-Trillo & Ricardo Smith-Ram�rez, 2009, "Credit Ratings in the Presence of Bailout: The Case of Mexican Subnational Government Debt," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, volume 0, issue Fall 2009, pages 45-79.
• Razvan STEFANESCU & Ramona DUMITRIU, 2009, "Impact of the Global Crisis on the Financial Linkages between the Stock Market and the Foreign Exchange Market from Romania," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 255-270.
• Tomoaki Nakatani & Timo Terasvirta, 2009, "Testing for volatility interactions in the Constant Conditional Correlation GARCH model," Econometrics Journal, Royal Economic Society, volume 12, issue 1, pages 147-163, March.
• Alfarano, Simone & Milakovic, Mishael, 2009, "Network structure and N-dependence in agent-based herding models," Journal of Economic Dynamics and Control, Elsevier, volume 33, issue 1, pages 78-92, January.
• Nicola Cetorelli & Stavros Peristiani, 2009, "Prestigious stock exchanges: a network analysis of international financial centers," Staff Reports, Federal Reserve Bank of New York, number 384, Aug.
• Lönnbark, Carl, 2009, "On risk prediction," Umeå Economic Studies, Umeå University, Department of Economics, number 770, May.
• Mário Olivares & Sofia Santos, 2009, "Market Solutions in Poverty: The Role of Microcredit in Development Countries with Financial Restrictions," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2009/12, Mar.
• Gary B. Gorton & Andrew Metrick, 2009, "Securitized Banking and the Run on Repo," NBER Working Papers, National Bureau of Economic Research, Inc, number 15223, Aug.
• Tulvinschi Mihaela & Chirita Irina, 2009, "Effects Of Residual Value Revision On The Lessor’S Results In The Finance Lease Contracts," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 3, issue 1, pages 1186-1191, May.
• Danuletiu Adina Elena & Danuletiu Dan Constantin & Barna Flavia, 2009, "Agricultural Insurance In Romania," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 3, issue 1, pages 169-175, May.
• Andrew J. Patton, 2009, "Are "Market Neutral" Hedge Funds Really Market Neutral?," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 7, pages 2295-2330, July.
• Xiafei Li & Chris Brooks & Joëlle Miffre, 2009, "Low-cost momentum strategies," Journal of Asset Management, Palgrave Macmillan, volume 9, issue 6, pages 366-379, February, DOI: 10.1057/jam.2008.28.
• Gan, Jumwu, 2009, "Burnout from pools to loans: Modeling refinancing prepayments as a self-selection process," MPRA Paper, University Library of Munich, Germany, number 15596, May.
• Yamori, Nobuyoshi, 2009, "Characteristics of Japan’s Commodities Index and its Correlation with Stock Index," MPRA Paper, University Library of Munich, Germany, number 17160, Sep.
• Maku, Olukayode E. & Atanda, Akinwande A., 2009, "Does Macroeconomic Indicators exert shock on the Nigerian Capital Market?," MPRA Paper, University Library of Munich, Germany, number 17917, Sep.
• Daskalakis, George & Symeonidis, Lazaros & Markellos, Raphael, 2009, "Does the weather affect stock market volatility?," MPRA Paper, University Library of Munich, Germany, number 34128, Sep.
• Dumitriu, Ramona & Nistor, Costel & Stefanescu, Razvan, 2009, "Changes in the monthly effects from the Romanian foreign exchange market," MPRA Paper, University Library of Munich, Germany, number 41743, Nov, revised 08 May 2010.
• Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2009, "Analysis of the dynamic relation between the currency rates and the interest rates from Romania and euro area before and during the financial crisis," MPRA Paper, University Library of Munich, Germany, number 41744, Sep, revised 04 Mar 2010.
• Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2009, "Investigation about the presence of the day – of - the - week effect in the Bucharest Stock Exchange," MPRA Paper, University Library of Munich, Germany, number 41749, Nov, revised 19 Nov 2009.
• Jiranyakul, Komain, 2009, "Economic Forces and the Thai Stock Market, 1993-2007," MPRA Paper, University Library of Munich, Germany, number 45582, Dec.
• Jiranyakul, Komain, 2009, "Economic Forces and the Thai Stock Market, 1993-2007," MPRA Paper, University Library of Munich, Germany, number 57368, Dec.
• Hussain, Zahir & Ali, Syed Babar, 2009, "Implementation of Operational Risk Regime: A Case of Commercial Banks in Pakistan," MPRA Paper, University Library of Munich, Germany, number 64469.
• Trabelsi, Mohamed Ali, 2009, "Sur-réaction sur le marché tunisien des actions : une investigation empirique
  [Overreaction on the Tunisian stock market: an empirical test]," MPRA Paper, University Library of Munich, Germany, number 80441, revised 2009.
• Jan Kodera & Tran Van Quang, 2009, "Vizuální nelineární rekurentní analýza
  [Visual Recurrence Analysis and its Application]," Politická ekonomie, Prague University of Economics and Business, volume 2009, issue 3, pages 305-322, DOI: 10.18267/j.polek.686.
• Radosław Cholewiński, 2009, "Real-Time Market Abuse Detection with a Stochastic Parameter Model," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 1, issue 3, pages 261-284, November.
• Xiafei Li & Chris Brooks & Joelle Miffre, 2009, "Transaction Costs, Trading Volume and Momentum Strategies," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2009-04, May.
• Irina-Eugenia Iamandi & Laura-Gabriela Constantin, 2009, "Addressing Socially Responsible Investments through Alternative Risk Transfer Solutions at International Level," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 12, issue 33, pages 61-94, (3).
• Eric VERNIER & Aymeric BOUCHIE DE BELLE, 2009, "Impact des résultats passés sur l’aversion au risque de l’investisseur (The impact of past results on the investor's risk)," Working Papers, Laboratoire de Recherche sur l'Industrie et l'Innovation. ULCO / Research Unit on Industry and Innovation, number 209, Feb.
• Valentina Galvani & Vladimir Troitsky, 2009, "Options and Efficiency in Spaces of Bounded Claims," Working Papers, University of Alberta, Department of Economics, number 2009-04, Jan.
• Shamila Jayasuriya & William Shambora & Rosemary Rossiter, 2009, "Asymmetric Volatility in Emerging and Mature Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 8, issue 1, pages 25-43, April, DOI: 10.1177/097265270900800102.
• Susan A. Newman, 2009, "Financialization and Changes in the Social Relations along Commodity Chains: The Case of Coffee," Review of Radical Political Economics, Union for Radical Political Economics, volume 41, issue 4, pages 539-559, December.
• James Cooley, 2009, "Stock Market Returns and Partisan Political Business Cycles," Departmental Working Papers, Southern Methodist University, Department of Economics, number 0902, Apr.
• Ray Sturm & Drew Winters, 2009, "Does time have value? An empirical examination of the put option embedded in refundable U.S. air fares," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 33, issue 4, pages 376-392, October, DOI: 10.1007/s12197-008-9025-7.
• Gary Gorton & Andrew Metrick, 2009, "Securitized Banking and the Run on Repo," Yale School of Management Working Papers, Yale School of Management, number amz2358, Jul, revised 01 Sep 2009.
• Härdle, Wolfgang Karl & López Cabrera, Brenda, 2009, "Implied market price of weather risk," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-001.
• Benth, Fred & Härdle, Wolfgang Karl & López Cabrera, Brenda, 2009, "Pricing of Asian temperature risk," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-046.
• 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.

2008

• Wolfgang Karl Härdle & Brenda López Cabrera, 2008, "Calibration of Parametric CAT bonds. A case study of Mexican earthquakes," Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, Duncker & Humblot, Berlin, volume 128, issue 4, pages 615-630.
• Tihomir Janjicek, 2008, "Specific Speculative Type Of Investment," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, volume 17, issue 1, pages 47-56, june.
• Solomon Daniela-Cristina & Dragomirescu Simona-Elena, 2008, "Aspects Concerning Financial Profitableness Analysis And Its Purpose In Substantiation Of Firm’S Strategic Financing Decisions," Studies and Scientific Researches. Economics Edition, "Vasile Alecsandri" University of Bacau, Faculty of Economic Sciences, issue 13.
• Cristina Curutiu, 2008, "Methods Of Portfolio Management - A Review Of Literature -," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
• Jules Pierre & Rupert Rhodd, 2008, "Sovereign Risk and Dollarization: The Case of Ecuador," International Trade and Finance Association Conference Papers, International Trade and Finance Association, number 1123, Aug.
• Idier, J. & Jardet, C. & Le Fol, G. & Monfort, A. & Pegoraro, J., 2008, "Taking into account extreme events in European option pricing," Financial Stability Review, Banque de France, issue 12, pages 39-51, October.
• Damien Lynch & Nikolaos Panigirtzoglou, 2008, "Summary statistics of option-implied probability density functions and their properties," Bank of England working papers, Bank of England, number 345, Mar.
• Pravakar Sahoo & Rajiv Kumar, 2008, "Impact Of Proposed Commodity Transaction Tax On Futures Trading In India," Finance Working Papers, East Asian Bureau of Economic Research, number 22239, Jan.
• Puigvert Gutiérrez, Josep Maria & Fortiana Gregori, Josep, 2008, "Clustering techniques applied to outlier detection of financial market series using a moving window filtering algorithm," Working Paper Series, European Central Bank, number 948, Oct.
• Nakatani, Tomoaki & Teräsvirta, Timo, 2008, "Positivity constraints on the conditional variances in the family of conditional correlation GARCH models," Finance Research Letters, Elsevier, volume 5, issue 2, pages 88-95, June.
• Huij, Joop & Derwall, Jeroen, 2008, ""Hot Hands" in bond funds," Journal of Banking & Finance, Elsevier, volume 32, issue 4, pages 559-572, April.
• James J. McAndrews & Asani Sarkar & Zhenyu Wang, 2008, "The effect of the Term Auction Facility on the London inter-bank offered rate," Staff Reports, Federal Reserve Bank of New York, number 335.
• Julien Idier & Caroline Jardet & Gaëlle Le Fol & Alain Monfort & Fulvio Pegoraro, 2008, "Taking into account extreme events in European option pricing," Post-Print, HAL, number halshs-00638450, Oct.
• Chin-Lin Chuang & Dar-Hsin Chen & Chung-Hsien Su, 2008, "Reexamining The Expiration Day Effects Of Stock Index Derivatives: Evidence From Taiwan," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 2, issue 2, pages 85-105.
• Macide ÇİÇEK, 2008, "Türkiye’de devlet iç borçlanma senetlerinin günlük getirilerinde mevsimsellik ve koşullu risk," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 23, issue 264, pages 93-118.
• Kimie Harada & Takatoshi Ito, 2008, "Did Mergers Help Japanese Mega-Banks Avoid Failure? Analysis of the Distance to Default of Banks," NBER Working Papers, National Bureau of Economic Research, Inc, number 14518, Dec.
• Bacha, Obiyathulla I. & Mohamed, Eskandar R. & Ramlee, Roslily, 2008, "The Efficiency of Trading Halts; Evidence from Bursa Malaysia," MPRA Paper, University Library of Munich, Germany, number 13077, Mar.
• Trabelsi, Mohamed Ali, 2008, "Peut-on encore parler des mesures de performance ?
  [One is able again to speak of performance measures?]," MPRA Paper, University Library of Munich, Germany, number 25443.
• Trabelsi, Mohamed Ali, 2008, "Sur-réaction sur le marché tunisien des actions : une investigation empirique
  [Overreaction on the Tunisian stock market: an empirical test]," MPRA Paper, University Library of Munich, Germany, number 26751, Mar.
• Cebula, Richard & Yang, Bill, 2008, "Yield to Maturity Is Always Realized as Promised: A Reply," MPRA Paper, University Library of Munich, Germany, number 54442, Jan.
• Trabelsi, Mohamed Ali, 2008, "Sur-réaction sur le marché tunisien des actions : une investigation empirique
  [Overreaction on the Tunisian stock market: an empirical test]," MPRA Paper, University Library of Munich, Germany, number 76925, Mar.
• Trabelsi, Mohamed Ali, 2008, "Peut-on encore parler des mesures de performance ?
  [Can we still talk of performance measures?]," MPRA Paper, University Library of Munich, Germany, number 77288, revised 2008.
• Imène Rahmouni-Rousseau & Nadège Jassaud, 2008, "Innovation, produits structurés et stabilité financière," Revue d'Économie Financière, Programme National Persée, volume 92, issue 2, pages 129-146, DOI: 10.3406/ecofi.2008.5085.
• Bénédicte Daudé, 2008, "Une approche éthique des fonds de LBO : un financement à effet de levier patrimonial ?," Revue d'Économie Financière, Programme National Persée, volume 93, issue 3, pages 167-178, DOI: 10.3406/ecofi.2008.5275.
• Jean-Paul Betbèze, 2008, "Quelle finance après les subprimes ?," Revue d'Économie Financière, Programme National Persée, volume 93, issue 3, pages 245-252, DOI: 10.3406/ecofi.2008.5282.
• John Cotter & Kevin Dowd & Wyn Morgan, 2008, "Extreme measures of agricultural financial risk," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1690, Oct.
• Maximilian Vermorken & Ariane Szafarz & Hugues Pirotte, 2008, "Sector classification through non-Gaussian similarity," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 08-032.RS, Oct.
• John C. Frain, 2008, "Value at Risk (VaR) and the alpha-stable distribution," Trinity Economics Papers, Trinity College Dublin, Department of Economics, number tep0308, May, revised May 2008.
• Marco Corazza & Silvio Giove, 2008, "Fuzzy interval net present value," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 170, Nov.
• Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel (ed.), 2008, "Risk Management and Value:Valuation and Asset Pricing," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6574, ISBN: ARRAY(0x60d05448), September.
• Mondher Bellalah, 2008, "Managing Derivatives In The Presence Of A Smile Effect And Incomplete Information," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• Wissem Ajili, 2008, "A Value-At-Risk Approach To Assess Exchange Risk Associated To A Public Debt Portfolio: The Case Of A Small Developing Economy," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• K. V. N. M Ramesh, 2008, "A METHOD TO FIND HISTORICAL VaR FOR PORTFOLIO THAT FOLLOWS S&P CNX NIFTY INDEX BY ESTIMATING THE INDEX VALUE," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• Victor Dragotǎ & Laura Obreja Braşoveanu & Andreea Semenescu, 2008, "Some Considerations On The Relationship Between Corruption And Economic Growth," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• Turgut Özkan, 2008, "Financial Risk Management By Derivatives Caused From Weather Conditions: Its Applicability For Türki̇ye," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• Marie-Florence Lamy, 2008, "The Basel Ii Framework Implementation And Securitization," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• Olfa Borsali & Amel Zenaidi, 2008, "Stochastic Time Change, Volatility, And Normality Of Returns: A High-Frequency Data Analysis With A Sample Of Lse Stocks," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• Amine Bouden, 2008, "The Behavior Of The Implied Volatility Surface: Evidence From Crude Oil Futures Options," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• Didelle Dilou Dinamona, 2008, "Procyclical Behavior Of Loan Loss Provisions And Banking Strategies: An Application To The European Banks," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• Ion Lapteacru, 2008, "Market Power And Banking Competition On The Credit Market," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• Anissa Naouar, 2008, "Early Warning Detection Of Banking Distress — Is Failure Possible For European Banks?," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• Mihaela Dragotǎ & Cosmin Iuliu Serbǎnescu & Daniel Traian Pele, 2008, "Portfolio Diversification And Market Share Analysis For Romanian Insurance Companies," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• Ana Paula Carvalho do Monte & Manuel José da Rocha Armada, 2008, "On The Closed-End Funds Discounts/Premiums In The Context Of The Investor Sentiment Theory," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 13, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• Jean-Etienne Palard, 2008, "Why Has Idiosyncratic Volatility Increased In Europe?," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 14, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• Didier Vanoverberghe, 2008, "Debt Valuation, Enterprise Assessment And Applications," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 15, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• Fatma Hammami & Ezzeddine Abaoub, 2008, "Does The Tunisian Stock Market Overreact?," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 16, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• Mondher Cherif & Skander Sraieb, 2008, "Investor–Venture Capitalist Relationship: Asymmetric Information, Uncertainty, And Monitoring," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 17, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• Fredj Jawadi, 2008, "Threshold Mean Reversion In Stock Prices," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 18, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• Salah Ghabri, 2008, "Households' Expectations Of Unemployment: New Evidence From French Microdata," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 19, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• Nizar Hachicha & Abdelfettah Bouri, 2008, "Nonlinearity And Genetic Algorithms In The Decision-Making Process," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 21, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• Jameleddine Ziadi, 2008, "Ict And Performance Of The Companies: The Case Of The Tunisian Companies," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 22, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• Jean-Michel Sahut, 2008, "Option Market Microstructure," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 23, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• Tawhid Chtioui, 2008, "Does The Standardization Of Business Processes Improve Management?: The Case Of Enterprise Resource Planning Systems," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 24, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".
• Ramzi Mallat & Duc Khuong Nguyen, 2008, "Does Macroeconomic Transparency Help Governments Be Solvent?: Evidence From Recent Data," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 25, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel, "Risk Management And Value Valuation and Asset Pricing".

2007

• Haerdle, Wolfgang & Cabrera, Brenda Lopez, 2007, "Calibrating CAT bonds for Mexican earthquakes," 101st Seminar, July 5-6, 2007, Berlin Germany, European Association of Agricultural Economists, number 9265, DOI: 10.22004/ag.econ.9265.
• Ysusi Carla, 2007, "Multipower Variation Under Market Microstructure Effects," Working Papers, Banco de México, number 2007-13, Oct.
• M. Marzo & P. Zagaglia, 2007, "Identity and the Dynamics of Preferences," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number 595, May.
• M. Marzo & P. Zagaglia, 2007, "Domestic political constraints to foreign aid effectiveness," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number 599, Jul.
• Shachar Kariv & Douglas Gale, 2007, "Trading in Networks: A Normal Form Game Experiment," Levine's Bibliography, UCLA Department of Economics, number 843644000000000114, Jul.
• Isabelle Huault & Hélène Rainelli-Le Montagner, 2007, "Innovations financières:construire et légitimer un nouveau marché financier de gré à gré–le cas des dérivés de crédit," Revue Finance Contrôle Stratégie, revues.org, volume 10, issue 1, pages 211-243, March.
• KIANI, Khurshid M., 2007, "Business Cycle Asymmetries In Stock Returns: Robust Evidence," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 4, issue 2, pages 99-120.
• LiCalzi, Marco & Pellizzari, Paolo, 2007, "Simple market protocols for efficient risk sharing," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 11, pages 3568-3590, November.
• Alexis Derviz, 2007, "Modeling Electronic FX Brokerage as a Fast Order-Driven Marketunder Heterogeneous Private Values and Information," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2007/16, May, revised May 2007.
• S. Boubaker & F. Labégorre, 2007, "L'autorité de régulation des marchés financiers en France : entre Etat et Marché," Post-Print, HAL, number hal-00202259.
• Nakatani, Tomoaki & Teräsvirta, Timo, 2007, "Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 649, Jan, revised 04 May 2008.
• Nakatani, Tomoaki & Teräsvirta, Timo, 2007, "Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 675, Oct, revised 14 Feb 2008.
• Marzo, Massimiliano & Zagaglia, Paolo, 2007, "Volatility forecasting for crude oil futures," Research Papers in Economics, Stockholm University, Department of Economics, number 2007:9, Jun.
• Marzo, Massimiliano & Zagaglia, Paolo, 2007, "Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets," Research Papers in Economics, Stockholm University, Department of Economics, number 2007:11, Jun.
• Spargoli, Fabrizio & Zagaglia, Paolo, 2007, "The Comovements between Futures Markets for Crude Oil: Evidence from a Structural GARCH Model," Research Papers in Economics, Stockholm University, Department of Economics, number 2007:15, Aug.
• Spargoli, Fabrizio & Zagaglia, Paolo, 2007, "Along the Forward Curve for Natural Gas: Unobservable Shocks and Dynamic Correlations," Research Papers in Economics, Stockholm University, Department of Economics, number 2007:16, Aug.
• I-Chun Tsai & Tai Ma & Ming-Chi Chen, 2007, "Limit Order or Market Order? The Trade-Off between Price Improvement and Delayed Execution," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, volume 3, issue 2, pages 201-223, July.
• Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2007, "Are Short-sellers Different?," MPRA Paper, University Library of Munich, Germany, number 13585, Aug, revised 16 Nov 2008.
• Hagstromer, Bjorn & Wlazlowski, Szymon, 2007, "Causality in Crude Oil Prices," MPRA Paper, University Library of Munich, Germany, number 1577, Jan.
• Mishra, SK, 2007, "The nearest correlation matrix problem: Solution by differential evolution method of global optimization," MPRA Paper, University Library of Munich, Germany, number 2760, Apr, revised 17 Apr 2007.
• Fathi, Abid & Nader, Naifar, 2007, "Price Calibration of basket default swap: Evidence from Japanese market," MPRA Paper, University Library of Munich, Germany, number 6013, Sep.
• Fathi, Abid & Nader, Naifar, 2007, "Copula based simulation procedures for pricing basket Credit Derivatives," MPRA Paper, University Library of Munich, Germany, number 6014, Mar.
• Jaromír Baxa, 2007, "Stock Market Optimism and Cointegration among Stocks: The Case of the Prague Stock Exchange
  [Optimismus na akciovém trhu a kointegrace mezi akciemi: Případ BCP Praha]," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2007, issue 4, pages 5-16, DOI: 10.18267/j.aop.69.
• Jitka Veselá, 2007, "Some Less Known Charting Methods of Technical Analysis and Possibilities Its Using for Identification Trend Changes
  [Některé méně známé grafické metody technické analýzy a možnosti jejich využití k identifikaci změny trendu]," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2007, issue 3, pages 32-40, DOI: 10.18267/j.cfuc.231.
• Christophe Schinckus, 2007, "Sur la pluridisciplinarité contemporaine en finance," Revue d'Économie Financière, Programme National Persée, volume 87, issue 1, pages 247-260, DOI: 10.3406/ecofi.2007.4247.
• Sabri Boubaker & Florence Labégorre, 2007, "L’autorité de régulation des marchés financiers en France : entre État et marché," Revue d'Économie Financière, Programme National Persée, volume 89, issue 3, pages 163-181, DOI: 10.3406/ecofi.2007.4296.
• Chakravarty, Sugato & Chiyachantana, Chiraphol N. & Jiang, Christine, 2004, "The Choice of Trading Venue and Relative Price Impact of Institutional Trading: ADRs versus the Underlying Securities in their Local Markets," Purdue University Economics Working Papers, Purdue University, Department of Economics, number 1172, Nov.
• Carol Alexander & Elizabeth Sheedy, 2007, "Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2007-02, Apr.
• Xiafei Li & Chris Brooks & Jöelle Miffre, 2007, "Low-Cost Momentum Strategies," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2007-12, Aug.
• Madhusudan Karmakar, 2007, "Asymmetric Volatility and Risk-return Relationship in the Indian Stock Market," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, volume 8, issue 1, pages 99-116, January, DOI: 10.1177/139156140600800106.
• Marco LiCalzi & Paolo Pellizzari, 2007, "Which Market Protocols Facilitate Fair Trading?," Lecture Notes in Economics and Mathematical Systems, Springer, chapter 6, in: Andrea Consiglio, "Artificial Markets Modeling", DOI: 10.1007/978-3-540-73135-1_6.
• Marcel Fafchamps & Flore Gubert, 2007, "Contingent Loan Repayment in the Philippines," Economic Development and Cultural Change, University of Chicago Press, volume 55, issue 4, pages 633-667, July, DOI: 10.1086/516765.
• Marco LiCalzi & Paolo Pellizzari, 2007, "Which market protocols facilitate fair trading?," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 151, May.
• Alexander Lipton & Andrew Rennie (ed.), 2007, "Credit Correlation:Life After Copulas," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6559, ISBN: ARRAY(0x5e676328), September.
• Härdle, Wolfgang Karl & Cabrera, Brenda López, 2007, "Calibrating CAT bonds for Mexican earthquakes," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-037.

2006

• Jasminka Sohinger & Darko Horvatin, 2006, "Financial Liberalization In Croatia," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, volume 15, issue 2, pages 173-198, december.
• Cristina Curutiu, 2006, "The Romanian Bond Market," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
• Ysusi Carla, 2006, "Detecting Jumps in High-Frequency Financial Series Using Multipower Variation," Working Papers, Banco de México, number 2006-10, Sep.
• Ysusi Carla, 2006, "Estimating Integrated Volatility Using Absolute High-Frequency Returns," Working Papers, Banco de México, number 2006-13, Dec.
• Marcos Roberto Gois de Oliveira & Charles Ulises de Montreuil Carmona & José Lamartine Távora Junior, 2006, "Dynamic Value at Risk: A Comparative Study Between Heteroscedastic Models and Monte Carlo Simulation," Brazilian Review of Finance, Brazilian Society of Finance, volume 4, issue 2, pages 181-202.
• Luis Francisco Ramírez Díaz, 2006, "La competitividad... ¿a qué se refiere?," Ensayos de Economía, Universidad Nacional de Colombia Sede Medellín, number 8284, Nov.
• Genicot, Garance & Ray, Debraj, 2006, "Bargaining power and enforcement in credit markets," Journal of Development Economics, Elsevier, volume 79, issue 2, pages 398-412, April.
• Candelon, Bertrand & Straetmans, Stefan, 2006, "Testing for multiple regimes in the tail behavior of emerging currency returns," Journal of International Money and Finance, Elsevier, volume 25, issue 7, pages 1187-1205, November.
• Richard J. Cebula, 2006, "A Preliminary Analysis of the Presidential Approval Rating," Chapters, Edward Elgar Publishing, chapter 16, in: Attiat F. Ott & Richard J. Cebula, "The Elgar Companion to Public Economics".
• Mahmut YARDIMCIOĞLU, 2006, "Sermaye piyasalarında değerleme unsuru olarak hisse senedi endeksleri," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 21, issue 249, pages 111-120.
• Juan A. Lafuente & Manuel Illueca Muñoz, 2006, "New Evidence On Expiration-Day Effects Using Realized Volatility: An Intraday Analysis For The Spanish Stock Exchange," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2006-05, Feb.
• Atsuyuki Ohyama & Motoh Tsujimura, 2006, "Political Measures for Strategic Environmental Policy with External Effects," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, volume 35, issue 2, pages 109-135, October, DOI: 10.1007/s10640-006-9010-6.
• Jan De Wit, 2006, "Exploring the CDS-Bond Basis," Working Paper Research, National Bank of Belgium, number 104, Nov.
• Spanos, Loukas & Mylonakis, John, 2006, "Internet corporate reporting in Greece," MPRA Paper, University Library of Munich, Germany, number 42997.
• Bégué-Turon, Jean-Loïc & Perraudeau, Yves & Rautureau, Nicolas, 2006, "The potential use of derivatives to manage the price risk of seafood markets: the case of sole and cuttlefish in France," MPRA Paper, University Library of Munich, Germany, number 841, Oct.
• Jitka Veselá, 2006, "Historical Excursion into World and Czech Exchange Business
  [Historický exkurz světovým a českým burzovnictvím]," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2006, issue 2, pages 153-164, DOI: 10.18267/j.cfuc.166.
• Marco LiCalzi & Paolo Pellizzari, 2006, "The Allocative Effectiveness of Market Protocols Under Intelligent Trading," Lecture Notes in Economics and Mathematical Systems, Springer, chapter 2, in: Charlotte Bruun, "Advances in Artificial Economics", DOI: 10.1007/3-540-37249-0_2.
• Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2006, "Is Ethical Money Financially Smart?," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-9.
• Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2006, "Is Ethical Money Financially Smart?," Discussion Paper, Tilburg University, Tilburg Law and Economic Center, number 2006-005.
• Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2006, "Is Ethical Money Financially Smart?," Other publications TiSEM, Tilburg University, School of Economics and Management, number 27ad9839-8974-408a-8094-8.
• Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2006, "Is Ethical Money Financially Smart?," Other publications TiSEM, Tilburg University, School of Economics and Management, number e08f916d-d7d5-4a3d-8d05-7.
• Marco LiCalzi & Paolo Pellizzari, 2006, "The allocative effectiveness of market protocols under intelligent trading," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 134, May.
• Marco LiCalzi & Paolo Pellizzari, 2006, "Simple Market Protocols for Efficient Risk Sharing," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 136, Jul.
• Marco Corazza & A.G. Malliaris & Elisa Scalco, 2006, "Nonlinear Bivariate Comovements of Asset Prices: Theory and Tests," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 137, Sep.
• M. Illueca & J. A. LaFuente, 2006, "New evidence on expiration‐day effects using realized volatility: An intraday analysis for the Spanish stock exchange," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 26, issue 9, pages 923-938, September.
• Ivan E Brick & Tavy Ronen & Cheng-Few Lee (ed.), 2006, "Advances in Quantitative Analysis of Finance and Accounting:Essays in Microstructure in Honor of David K Whitcomb," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6001, ISBN: ARRAY(0x5f60e648), September.