Journal of Banking & Finance
December 2006, Volume 30, Issue 12
- 3331-3348 Decomposing the effects of financial liberalization: Crises vs. growth
by Ranciere, Romain & Tornell, Aaron & Westermann, Frank
- 3349-3366 Pricing growth-indexed bonds
by Chamon, Marcos & Mauro, Paolo
- 3367-3392 M&As performance in the European financial industry
by Campa, Jose Manuel & Hernando, Ignacio
- 3393-3406 Real exchange rates in small open OECD and transition economies: Comparing apples with oranges?
by Egert, Balazs & Lommatzsch, Kirsten & Lahreche-Revil, Amina
- 3407-3414 Monetary and financial stability: Here to stay?
by Borio, Claudio
- 3415-3422 A framework for assessing financial stability?
by Goodhart, C.A.E.
- 3423-3427 Financial stability: A worthy goal, but how feasible?
by Poloz, Stephen S.
- 3429-3432 Economic growth and the stability and efficiency of the financial sector
by Blejer, Mario I.
- 3433-3452 Market discipline and deposit insurance reform in Japan
by Imai, Masami
- 3453-3468 Earnings management at rights issues thresholds--Evidence from China
by Yu, Qiao & Du, Bin & Sun, Qian
- 3469-3485 Extreme spectral risk measures: An application to futures clearinghouse margin requirements
by Cotter, John & Dowd, Kevin
- 3487-3501 Market structure and competitive conditions in the Arab GCC banking system
by Al-Muharrami, Saeed & Matthews, Kent & Khabari, Yusuf
- 3503-3517 The impact of mean reversion of bank profitability on post-merger performance in the banking industry
by Knapp, Morris & Gart, Alan & Chaudhry, Mukesh
- 3519-3524 A note on the Wang and Wang measure of the quality of the compass rose
by Mitchell, Heather & McKenzie, Michael D.
November 2006, Volume 30, Issue 11
- 2931-2943 Small and medium-size enterprises: Access to finance as a growth constraint
by Beck, Thorsten & Demirguc-Kunt, Asli
- 2945-2966 A more complete conceptual framework for SME finance
by Berger, Allen N. & Udell, Gregory F.
- 2967-2993 Business environment and the incorporation decision
by Demirguc-Kunt, Asli & Love, Inessa & Maksimovic, Vojislav
- 2995-3015 The influence of financial and legal institutions on firm size
by Beck, Thorsten & Demirguc-Kunt, Asli & Maksimovic, Vojislav
- 3017-3042 Historical financing of small- and medium-size enterprises
by Cull, Robert & Davis, Lance E. & Lamoreaux, Naomi R. & Rosenthal, Jean-Laurent
- 3043-3066 African SMES, networks, and manufacturing performance
by Biggs, Tyler & Shah, Manju Kedia
- 3067-3086 Business collateral and personal commitments in SME lending
by Voordeckers, Wim & Steijvers, Tensie
- 3087-3110 UK bank services for small business: How competitive is the market?
by Heffernan, Shelagh
- 3111-3130 The role of factoring for financing small and medium enterprises
by Klapper, Leora
- 3131-3146 On the estimation and comparison of short-rate models using the generalised method of moments
by Faff, Robert & Gray, Philip
- 3147-3169 Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how?
by Sarno, Lucio & Valente, Giorgio
- 3171-3189 Portfolio selection with a drawdown constraint
by Alexander, Gordon J. & Baptista, Alexandre M.
- 3191-3214 Interventions in the Yen-dollar spot market: A story of price, volatility and volume
by Kim, Suk-Joong & Sheen, Jeffrey
- 3215-3233 The wealth effect of forced bank mergers and cronyism
by Chong, Beng-Soon & Liu, Ming-Hua & Tan, Kok-Hui
- 3235-3256 Estimation of rating class transition probabilities with incomplete data
by Mahlmann, Thomas
October 2006, Volume 30, Issue 10
- 2599-2604 Introduction: Special section on operational risk
by Cummins, J. David & Embrechts, Paul
- 2605-2634 The market value impact of operational loss events for US banks and insurers
by Cummins, J. David & Lewis, Christopher M. & Wei, Ran
- 2635-2658 Quantitative models for operational risk: Extremes, dependence and aggregation
by Chavez-Demoulin, V. & Embrechts, P. & Neslehova, J.
- 2659-2680 Macroeconomic announcements and asymmetric volatility in bond returns
by de Goeij, Peter & Marquering, Wessel
- 2681-2700 International transmission of inflation among G-7 countries: A data-determined VAR analysis
by Yang, Jian & Guo, Hui & Wang, Zijun
- 2701-2713 On time-scaling of risk and the square-root-of-time rule
by Danielsson, Jon & Zigrand, Jean-Pierre
- 2715-2736 Why firm access to the bond market differs over the business cycle: A theory and some evidence
by Santos, Joao A.C.
- 2737-2745 A note on the non-convexity problem in some shopping-time and human-capital models
by Cysne, Rubens Penha
- 2747-2765 International stock-bond correlations in a simple affine asset pricing model
by d'Addona, Stefano & Kind, Axel H.
- 2767-2786 Diversification benefits and persistence of US-based global bond funds
by Polwitoon, Sirapat & Tawatnuntachai, Oranee
- 2787-2808 Investor monitoring and differences in mutual fund performance
by James, Christopher & Karceski, Jason
- 2809-2833 The strategic use of corporate venture financing for securing demand
by Riyanto, Yohanes E. & Schwienbacher, Armin
- 2835-2856 Credit channel, trade credit channel, and inventory investment: Evidence from a panel of UK firms
by Guariglia, Alessandra & Mateut, Simona
- 2857-2874 Scale economies, X-efficiency, and convergence of productivity among bank holding companies
by Fung, Michael K.
- 2875-2892 Effects of large shareholding on information asymmetry and stock liquidity
by Attig, Najah & Fong, Wai-Ming & Gadhoum, Yoser & Lang, Larry H.P.
- 2893-2910 Bank loan supply and monetary policy transmission in Germany: An assessment based on matching impulse responses
by Hulsewig, Oliver & Mayer, Eric & Wollmershauser, Timo
- 2911-2929 Should banks own equity stakes in their borrowers? A contractual solution to hold-up problems
by Mahrt-Smith, Jan
September 2006, Volume 30, Issue 9
- 2433-2469 The history and performance of concept stocks
by Hsieh, Jim & Walkling, Ralph A.
- 2471-2488 Institutional ownership changes and returns around analysts' earnings forecast release events: Evidence from Taiwan
by Chen, An-Sing & Hong, Bi-Shia
- 2489-2515 An empirical evaluation of the overconfidence hypothesis
by Chuang, Wen-I & Lee, Bong-Soo
- 2517-2535 Large market shocks and abnormal closed-end-fund price behaviour
by Fuertes, Ana-Maria & Thomas, Dylan C.
- 2537-2559 Competition on the Nasdaq and the growth of electronic communication networks
by Fink, Jason & Fink, Kristin E. & Weston, James P.
- 2561-2578 Retail deposit fees and multimarket banking
by Hannan, Timothy H.
- 2579-2597 What explains household stock holdings?
by Shum, Pauline & Faig, Miquel
August 2006, Volume 30, Issue 8
- 2131-2161 The dark side of diversification: The case of US financial holding companies
by Stiroh, Kevin J. & Rumble, Adrienne
- 2163-2197 A credit risk model for large dimensional portfolios with application to economic capital
by Nystrom, Kaj & Skoglund, Jimmy
- 2199-2214 Volatility effects of institutional trading in foreign stocks
by Chiyachantana, Chiraphol N. & Jain, Pankaj K. & Jiang, Christine & Wood, Robert A.
- 2215-2233 Factor based index tracking
by Corielli, Francesco & Marcellino, Massimiliano
- 2235-2255 Capital regulation, heterogeneous monitoring costs, and aggregate loan quality
by Kopecky, Kenneth J. & VanHoose, David
- 2257-2279 On the short-term predictability of exchange rates: A BVAR time-varying parameters approach
by Sarantis, Nicholas
- 2281-2301 Confidence intervals for probabilities of default
by Hanson, Samuel & Schuermann, Til
- 2303-2323 Candlestick technical trading strategies: Can they create value for investors?
by Marshall, Ben R. & Young, Martin R. & Rose, Lawrence C.
- 2325-2346 Valuation ratios and price deviations from fundamentals
by Coakley, Jerry & Fuertes, Ana-Maria
- 2347-2369 Portfolio implications of systemic crises
by Kole, Erik & Koedijk, Kees & Verbeek, Marno
- 2371-2386 A note on efficiency and productivity growth in the Korean Banking Industry, 1992-2002
by Park, Kang H. & Weber, William L.
- 2387-2408 A new measure of cross-sectional risk and its empirical implications for portfolio risk management
by Galluccio, Stefano & Roncoroni, Andrea
- 2409-2432 The forward bias in the ECU: Peso risks vs. fads and fashions
by Sercu, Piet & Vinaimont, Tom
July 2006, Volume 30, Issue 7
- 1-1 Gerald O. Bierwag (February 4, 1936-February 15, 2005)
by Kaufman, George
- 1835-1837 Banking and finance in an integrating Europe
by Bos, Jaap W.B. & Knot, Klaas H.W. & Kool, Clemens J.M.
- 1839-1870 Expected versus unexpected monetary policy impulses and interest rate pass-through in euro-zone retail banking markets
by Kleimeier, Stefanie & Sander, Harald
- 1871-1898 Dynamic depositor discipline in US banks
by Maechler, Andrea M. & McDill, Kathleen M.
- 1899-1926 Internal ratings systems, implied credit risk and the consistency of banks' risk classification policies
by Jacobson, Tor & Linde, Jesper & Roszbach, Kasper
- 1927-1952 Foreign banks and credit stability in Central and Eastern Europe. A panel data analysis
by de Haas, Ralph & van Lelyveld, Iman
- 1953-1974 Bank efficiency: The role of bank strategy and local market conditions
by Bos, J.W.B. & Kool, C.J.M.
- 1975-1996 Efficiency of the Polish banking industry: Foreign versus domestic banks
by Havrylchyk, Olena
- 1997-2024 System identification in noisy data environments: An application to six Asian stock markets
by Los, Cornelis A.
- 2025-2040 The contribution of market makers to liquidity and efficiency of options trading in electronic markets
by Eldor, Rafi & Hauser, Shmuel & Pilo, Batia & Shurki, Itzik
- 2041-2062 Sovereign credit ratings: Guilty beyond reasonable doubt?
by Mora, Nada
- 2063-2085 Realized volatility and transactions
by Chan, Choon Chat & Fong, Wai Mun
- 2087-2107 Time-varying risk premia and the cross section of stock returns
by Guo, Hui
- 2109-2130 Dynamics of realized volatilities and correlations: An empirical study
by Ferland, Rene & Lalancette, Simon
June 2006, Volume 30, Issue 6
- 1605-1612 Frontiers in payment and settlement systems: Introduction
by Saunders, Anthony & Scholnick, Barry
- 1613-1630 What is in it for us? Network effects and bank payment innovation
by Milne, Alistair
- 1631-1652 Benefits from a changing payment technology in European banking
by Humphrey, David & Willesson, Magnus & Bergendahl, Goran & Lindblom, Ted
- 1653-1685 Switching costs and adverse selection in the market for credit cards: New evidence
by Calem, Paul S. & Gordy, Michael B. & Mester, Loretta J.
- 1687-1711 Alternative measures of the Federal Reserve Banks' cost of equity capital
by Barnes, Michelle L. & Lopez, Jose A.
- 1713-1725 The effect of heterogeneous risk on the early adoption of Internet banking technologies
by Bauer, Keldon & Hein, Scott E.
- 1727-1751 How to fend off shoulder surfing
by Roth, Volker & Richter, Kai
- 1753-1782 Explaining cross-border large-value payment flows: Evidence from TARGET and EURO1 data
by Rosati, Simonetta & Secola, Stefania
- 1783-1806 Economies of scale and technological development in securities depository and settlement systems
by Schmiedel, Heiko & Malkamaki, Markku & Tarkka, Juha
- 1807-1834 Liquidity risk in securities settlement
by Devriese, Johan & Mitchell, Janet
May 2006, Volume 30, Issue 5
- 1333-1334 Policy issues relevant to transition and emerging market economies: Papers from the 10th Dubrovnik Economic Conference
by Wachtel, Paul
- 1335-1357 The IMF in a world of private capital markets
by Eichengreen, Barry & Kletzer, Kenneth & Mody, Ashoka
- 1359-1374 Equilibrium exchange rates in Central and Eastern Europe: A meta-regression analysis
by Egert, Balazs & Halpern, Laszlo
- 1375-1391 Exchange rate pass-through in EMU acceding countries: Empirical analysis and policy implications
by Coricelli, Fabrizio & Jazbec, Bostjan & Masten, Igor
- 1393-1407 Are labour markets in the new member states sufficiently flexible for EMU?
by Boeri, Tito & Garibaldi, Pietro
- 1409-1442 Capital structure policies in Europe: Survey evidence
by Brounen, Dirk & de Jong, Abe & Koedijk, Kees
- 1443-1466 The impact of macroeconomic and regulatory factors on bank efficiency: A non-parametric analysis of Hong Kong's banking system
by Drake, Leigh & Hall, Maximilian J.B. & Simper, Richard
- 1467-1484 Monetary transmission via the administered interest rates channel
by Chong, Beng Soon & Liu, Ming-Hua & Shrestha, Keshab
- 1485-1505 Investor protection and the liquidity of cross-listed securities: Evidence from the ADR market
by Chung, Huimin
- 1507-1534 Evolution of international stock and bond market integration: Influence of the European Monetary Union
by Kim, Suk-Joong & Moshirian, Fariborz & Wu, Eliza
- 1535-1558 Time and dynamic volume-volatility relation
by Eleanor Xu, Xiaoqing & Chen, Peter & Wu, Chunchi
- 1559-1580 International corporate investment and the relationships between financial constraint measures
by Cleary, Sean
- 1581-1603 Bank concentration, competition, and crises: First results
by Beck, Thorsten & Demirguc-Kunt, Asli & Levine, Ross
April 2006, Volume 30, Issue 4
- 1055-1056 Editorial
by Moshirian, Fariborz
- 1057-1064 Aspects of international financial services
by Moshirian, Fariborz
- 1065-1102 Capital structure and firm performance: A new approach to testing agency theory and an application to the banking industry
by Berger, Allen N. & Bonaccorsi di Patti, Emilia
- 1103-1126 Bank portfolio exposure to emerging markets and its effects on bank market value
by Fissel, Gary S. & Goldberg, Lawrence & Hanweck, Gerald A.
- 1127-1147 The X-efficiency of commercial banks in Hong Kong
by Kwan, Simon H.
- 1149-1169 Real effective exchange rate volatility and growth: A framework to measure advantages of flexibility vs. costs of volatility
by Bagella, Michele & Becchetti, Leonardo & Hasan, Iftekhar
- 1171-1199 Nonlinear term structure dependence: Copula functions, empirics, and risk implications
by Junker, Markus & Szimayer, Alex & Wagner, Niklas
- 1201-1217 A further look at household portfolio choice and health status
by Berkowitz, Michael K. & Qiu, Jiaping
- 1219-1243 Bank loan losses-given-default: A case study
by Dermine, J. & de Carvalho, C. Neto
- 1245-1267 Hedging the value of waiting
by Boyle, Glenn W. & Guthrie, Graeme A.
- 1269-1290 A comprehensive analysis of the short-term interest-rate dynamics
by Bali, Turan G. & Wu, Liuren
- 1291-1308 Capital structure and political patronage: The case of Malaysia
by Fraser, Donald R. & Zhang, Hao & Derashid, Chek
- 1309-1332 Spanish Treasury bond market liquidity and volatility pre- and post-European Monetary Union
by Diaz, Antonio & Merrick, John Jr. & Navarro, Eliseo
March 2006, Volume 30, Issue 3
- 797-810 Inferring the default rate in a population by comparing two incomplete default databases
by Dwyer, Douglas W. & Stein, Roger M.
- 811-821 Hedging volatility risk
by Brenner, Menachem & Ou, Ernest Y. & Zhang, Jin E.
- 823-849 Downside risk and asset pricing
by Post, Thierry & van Vliet, Pim
- 851-873 Economic benefit of powerful credit scoring
by Blochlinger, Andreas & Leippold, Markus
- 875-894 Estimating product market competition: Methodology and application
by Kedia, Simi
- 895-914 Investment and financing activity following calls of convertible bonds
by Alderson, Michael J. & Betker, Brian L. & Stock, Duane R.
- 915-945 Does stock option-based executive compensation induce risk-taking? An analysis of the banking industry
by Chen, Carl R. & Steiner, Thomas L. & Whyte, Ann Marie
- 947-963 Corporate governance, shareholder rights and firm diversification: An empirical analysis
by Jiraporn, Pornsit & Kim, Young Sang & Davidson, Wallace N. & Singh, Manohar
- 965-987 Deposit insurance and international bank liabilities
by Huizinga, Harry & Nicodeme, Gaetan
- 989-1006 Valuation impact of Sarbanes-Oxley: Evidence from disclosure and governance within the financial services industry
by Akhigbe, Aigbe & Martin, Anna D.
- 1007-1021 Reactions of Japanese markets to changes in credit ratings by global and local agencies
by Li, Joanne & Shin, Yoon S. & Moore, William T.
- 1023-1039 An analysis of intraday patterns in price clustering on the Tokyo Stock Exchange
by Ohta, Wataru
- 1041-1054 A note on the "risk-adjusted" price-concentration relationship in banking
by Brewer III, Elijah & Jackson III, William E.
February 2006, Volume 30, Issue 2
- 315-315 Risk management and optimization in finance
by Krokhmal, Pavlo & Rockafellar, R. Tyrrell & Uryasev, Stan
- 317-339 Dynamic portfolio selection with process control
by MacLean, Leonard & Zhao, Yonggan & Ziemba, William
- 341-364 An approximation method for analysis and valuation of credit correlation derivatives
by Egami, Masahiko & Esteghamat, Kian
- 365-390 Multi-period stochastic optimization models for dynamic asset allocation
by Hibiki, Norio
- 391-407 Interaction of credit and liquidity risks: Modelling and valuation
by Zheng, Harry
- 409-431 Pricing methods and hedging strategies for volatility derivatives
by Windcliff, H. & Forsyth, P.A. & Vetzal, K.R.
- 433-451 Portfolio optimization with stochastic dominance constraints
by Dentcheva, Darinka & Ruszczynski, Andrzej
- 453-462 The magnitude of a market crash can be predicted
by Novak, S.Y. & Beirlant, J.
- 463-487 Optimal credit limit management under different information regimes
by Leippold, Markus & Vanini, Paolo & Ebnoether, Silvan
- 489-502 A linearly implicit predictor-corrector scheme for pricing American options using a penalty method approach
by Khaliq, A.Q.M. & Voss, D.A. & Kazmi, S.H.K.
- 503-518 Efficient fund of hedge funds construction under downside risk measures
by Morton, David P. & Popova, Elmira & Popova, Ivilina
- 519-540 A moment computation algorithm for the error in discrete dynamic hedging
by Primbs, James A. & Yamada, Yuji
- 541-560 Utility-based performance measures for regression models
by Friedman, Craig & Sandow, Sven
- 561-582 The hidden dangers of historical simulation
by Pritsker, Matthew
- 583-605 Minimizing CVaR and VaR for a portfolio of derivatives
by Alexander, S. & Coleman, T.F. & Li, Y.
- 607-626 Implied migration rates from credit barrier models
by Albanese, Claudio & Chen, Oliver X.
- 627-644 Applying CVaR for decentralized risk management of financial companies
by Mulvey, John M. & Erkan, Hafize G.
- 645-667 Asset and liability management for insurance products with minimum guarantees: The UK case
by Consiglio, Andrea & Saunders, David & Zenios, Stavros A.
- 669-678 Portfolio selection using hierarchical Bayesian analysis and MCMC methods
by Greyserman, Alex & Jones, Douglas H. & Strawderman, William E.
- 679-693 Economy-wide bond default rates: A maximum expected utility approach
by Sandow, Sven & Friedman, Craig & Gold, Mark & Chang, Peter
- 695-715 A value-of-information approach to measuring risk in multi-period economic activity
by Pflug, Georg Ch.
- 717-742 Integrating market and credit risk: A simulation and optimisation perspective
by Jobst, Norbert J. & Mitra, Gautam & Zenios, Stavros A.
- 743-778 Master funds in portfolio analysis with general deviation measures
by Rockafellar, R. Tyrrell & Uryasev, Stan & Zabarankin, Michael
- 779-796 Analysis of criteria VaR and CVaR
by Kibzun, Andrey I. & Kuznetsov, Evgeniy A.
January 2006, Volume 30, Issue 1
- 1-21 Collateral-based lending in emerging markets: Evidence from Thailand
by Menkhoff, Lukas & Neuberger, Doris & Suwanaporn, Chodechai
- 23-35 Discrete versus continuous state switching models for portfolio credit risk
by Lucas, Andre & Klaassen, Pieter
- 37-58 Payout policy, taxes, and the relation between returns and the bid-ask spread
by Gottesman, Aron A. & Jacoby, Gady
- 59-83 The impact of bank entry in the Japanese corporate bond underwriting market
by Takaoka, Sumiko & McKenzie, C.R.
- 85-110 Investment banker reputation and two-stage combination carve-outs and spin-offs
by Thompson, Thomas H. & Apilado, Vince
- 111-132 Gains from structured product markets: The case of reverse-exchangeable securities (RES)
by Benet, Bruce A. & Giannetti, Antoine & Pissaris, Seema
- 133-156 Immunization using a stochastic-process independent multi-factor model: The Portuguese experience
by Ventura Bravo, Jorge Miguel & Pereira da Silva, Carlos Manuel
- 157-177 Issue costs in the Eurobond market: The effects of market integration
by Melnik, Arie & Nissim, Doron
- 179-198 Are labor-saving technologies lowering employment in the banking industry?
by Fung, Michael K.
- 199-227 Access to external finance: Theory and evidence on the impact of monetary policy and firm-specific characteristics
by Bougheas, Spiros & Mizen, Paul & Yalcin, Cihan
- 229-246 Taxes and dividend clientele: Evidence from trading and ownership structure
by Lee, Yi-Tsung & Liu, Yu-Jane & Roll, Richard & Subrahmanyam, Avanidhar
- 247-258 Fitting prices with a complete model
by Figa-Talamanca, Gianna & Guerra, Maria Letizia
- 259-285 Bank capital and loan asymmetry in the transmission of monetary policy
by Kishan, Ruby P. & Opiela, Timothy P.
- 287-314 Unconditional return disturbances: A non-parametric simulation approach
by Tompkins, Robert G. & D'Ecclesia, Rita L.
December 2005, Volume 29, Issue 12
- 2919-2946 Portfolio preferences of foreign institutional investors
by Aggarwal, Reena & Klapper, Leora & Wysocki, Peter D.
- 2947-2969 Modeling time series information into option prices: An empirical evaluation of statistical projection and GARCH option pricing model
by Chen, An-Sing & Leung, Mark T.
- 2971-2993 Are structured products 'fairly' priced? An analysis of the German market for equity-linked instruments
by Stoimenov, Pavel A. & Wilkens, Sascha
- 2995-3014 An examination of alternative CAPM-based models in UK stock returns
by Fletcher, Jonathan & Kihanda, Joseph
- 3015-3040 Industry aspects of takeovers and divestitures: Evidence from the UK
by Powell, Ronan & Yawson, Alfred
- 3041-3059 The dynamics of dealer markets and trading costs
by Chung, Kee H. & Kim, Youngsoo
- 3061-3073 Capital market equilibrium with externalities, production and heterogeneous agents
by Beltratti, Andrea
- 3075-3098 Sources of liquidity for NYSE-listed non-US stocks
by Bacidore, Jeffrey M. & Battalio, Robert & Galpin, Neal & Jennings, Robert
- 3099-3119 How should Central Banks determine and control their bank note inventory?
by Massoud, Nadia
- 3121-3140 Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities
by Pederzoli, Chiara & Torricelli, Costanza
- 3141-3158 On the importance of systematic risk factors in explaining the cross-section of corporate bond yield spreads
by King, Tao-Hsien Dolly & Khang, Kenneth
- 3159-3179 Empirical credit cycles and capital buffer formation
by Koopman, Siem Jan & Lucas, Andre & Klaassen, Pieter
- 3181-3185 Comment on "Optimal portfolio selection in a value-at-risk framework"
by Huang, Hung-Hsi
November 2005, Volume 29, Issue 11
- 2699-2699 Thirty years of continuous-time finance
by Barone-Adesi, Giovanni
- 2701-2722 From measure changes to time changes in asset pricing
by Geman, Hélyette
- 2723-2749 Unspanned stochastic volatility and fixed income derivatives pricing
by Casassus, Jaime & Collin-Dufresne, Pierre & Goldstein, Bob
- 2751-2802 Credit risk modeling with affine processes
by Duffie, Darrell
- 2803-2820 Large traders, hidden arbitrage, and complete markets
by Jarrow, Robert & Protter, Philip
- 2821-2848 Intertemporal asset allocation: A comparison of methods
by Detemple, Jérôme & Garcia, René & Rindisbacher, Marcel
- 2849-2881 Asset pricing with heterogeneous beliefs
by Basak, Suleyman
- 2883-2907 Risk management implications of time-inconsistency: Model updating and recalibration of no-arbitrage models
by Buraschi, Andrea & Corielli, Francesco
- 2909-2918 The saga of the American put
by Barone-Adesi, Giovanni
October 2005, Volume 29, Issue 10
- 2407-2408 An appreciation of Lawrence G. Goldberg
by Saunders, A.
- 2409-2433 Employee stock options as warrants
by Eberhart, Allan C.
- 2435-2454 Fair insurance guaranty premia in the presence of risk-based capital regulations, stochastic interest rate and catastrophe risk
by Duan, Jin-Chuan & Yu, Min-Teh
- 2455-2473 Measuring the value of strategic alliances in the wake of a financial implosion: Evidence from Japan's financial services sector
by Chiou, Ingyu & White, Lawrence J.
- 2475-2502 Dynamic stock market integration driven by the European Monetary Union: An empirical analysis
by Kim, Suk Joong & Moshirian, Fariborz & Wu, Eliza
- 2503-2522 The implied jump risk of LIBOR rates
by Guan, Lim Kian & Ting, Christopher & Warachka, Mitch
- 2523-2539 Rational bubbles or persistent deviations from market fundamentals?
by Koustas, Zisimos & Serletis, Apostolos
- 2541-2556 Tests of the expectations hypothesis: Resolving the anomalies when the short-term rate is the federal funds rate
by Thornton, Daniel L.
- 2557-2575 Banks, financial markets, and social welfare
by Marini, Francois
- 2577-2603 Measuring systemic risk: A risk management approach
by Lehar, Alfred
- 2605-2632 Is learning a dimension of risk?
by Massa, Massimo & Simonov, Andrei