Journal of Banking & Finance
2006, Volume 30, Issue 7
- 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
- iii-iv Gerald O. Bierwag (February 4, 1936-February 15, 2005)
by Kaufman, George
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
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
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
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.
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.
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.
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
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
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
- 2633-2654 A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach
by Cunado, J. & Gil-Alana, L.A. & de Gracia, F. Perez
- 2655-2673 Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance
by Ewing, Bradley T. & Malik, Farooq
- 2675-2697 Investor protection, prospect theory, and earnings management: An international comparison of the banking industry
by Shen, Chung-Hua & Chih, Hsiang-Lin
2005, Volume 29, Issue 8-9
- 1903-1904 Introduction to the special issue on bank privatization
by Clarke, George R.G. & Cull, Robert & Megginson, William
- 1905-1930 Bank privatization in developing countries: A summary of lessons and findings
by Clarke, George R.G. & Cull, Robert & Shirley, Mary M.
- 1931-1980 The economics of bank privatization
by Megginson, William L.
- 1981-2013 Bank privatization in developing and developed countries: Cross-sectional evidence on the impact of economic and political factors
by Boehmer, Ekkehart & Nash, Robert C. & Netter, Jeffry M.
- 2015-2041 Privatization and bank performance in developing countries
by Boubakri, Narjess & Cosset, Jean-Claude & Fischer, Klaus & Guedhami, Omrane
- 2043-2065 Returns to acquirers of privatizing financial services firms: An international examination
by Gleason, Kimberly & McNulty, James E. & Pennathur, Anita K.
- 2067-2093 Do privatized banks in middle- and low-income countries perform better than rival banks? An intra-industry analysis of bank privatization
by Otchere, Isaac
- 2095-2118 Corporate valuation and the resolution of bank insolvency in East Asia
by Djankov, Simeon & Jindra, Jan & Klapper, Leora F.
- 2119-2154 Financial liberalisation, crisis, and restructuring: A comparative study of bank performance and bank governance in South East Asia
by Williams, Jonathan & Nguyen, Nghia
- 2155-2178 Privatization matters: Bank efficiency in transition countries
by Bonin, John P. & Hasan, Iftekhar & Wachtel, Paul
- 2179-2221 Corporate governance and bank performance: A joint analysis of the static, selection, and dynamic effects of domestic, foreign, and state ownership
by Berger, Allen N. & Clarke, George R.G. & Cull, Robert & Klapper, Leora & Udell, Gregory F.
- 2223-2257 State bank transformation in Brazil - choices and consequences
by Beck, Thorsten & Crivelli, Juan Miguel & Summerhill, William
- 2259-2289 Bank privatization and productivity: Evidence for Brazil
by Nakane, Marcio I. & Weintraub, Daniela B.
- 2291-2324 China's financial services industry: The intra-industry effects of privatization of the Bank of China Hong Kong
by Chen, Zhian & Li, Donghui & Moshirian, Fariborz
- 2325-2353 Mexico's experiments with bank privatization and liberalization, 1991-2003
by Haber, Stephen
- 2355-2379 Bank privatization and performance: Empirical evidence from Nigeria
by Beck, Thorsten & Cull, Robert & Jerome, Afeikhena
- 2381-2406 Financial sector liberalization, bank privatization, and efficiency: Evidence from Pakistan
by Bonaccorsi di Patti, Emilia & Hardy, Daniel C.
2005, Volume 29, Issue 7
- 1611-1630 Optimal clearing margin, capital and price limits for futures clearinghouses
by Shanker, Latha & Balakrishnan, Narayanaswamy
- 1631-1643 Some evidence of random walk behavior of Euro exchange rates using ranks and signs
by Belaire-Franch, Jorge & Opong, Kwaku K.
- 1645-1669 Information-based trading, price impact of trades, and trade autocorrelation
by Chung, Kee H. & Li, Mingsheng & McInish, Thomas H.
- 1671-1695 Firm characteristics and the impact of emerging market liberalizations
by Patro, Dilip K. & Wald, John K.
- 1697-1727 Dollarization of bank deposits: Causes and consequences
by Nicolo, Gianni De & Honohan, Patrick & Ize, Alain
- 1729-1749 The relationship between short interest and stock returns in the Canadian market
by Ackert, Lucy F. & Athanassakos, George
- 1751-1767 International evidence on ethical mutual fund performance and investment style
by Bauer, Rob & Koedijk, Kees & Otten, Roger
- 1769-1789 The effects of war risk on US financial markets
by Rigobon, Roberto & Sack, Brian
- 1791-1812 Does judicial efficiency lower the cost of credit?
by Laeven, Luc & Majnoni, Giovanni
- 1813-1834 Multiple large shareholders and firm value
by Maury, Benjamin & Pajuste, Anete
- 1835-1856 Ownership and operating performance of Chinese IPOs
by Wang, Changyun
- 1857-1885 Commitment or entrenchment?: Controlling shareholders and board composition
by Yeh, Yin-Hua & Woidtke, Tracie
- 1887-1901 Share price performance following actual share repurchases
by Zhang, Hua
2005, Volume 29, Issue 6
- 1331-1358 Comparing possible proxies of corporate bond liquidity
by Houweling, Patrick & Mentink, Albert & Vorst, Ton
- 1359-1384 Complete markets, informed trading and equity option introductions
by Faff, Robert & Hillier, David
- 1385-1403 What causes mean reversion in corporate bond index spreads? The impact of survival
by Bhanot, Karan
- 1405-1428 Real options, agency conflicts, and optimal capital structure
by Mauer, David C. & Sarkar, Sudipto
- 1429-1457 The information frown in option prices
by Ederington, Louis & Guan, Wei
- 1459-1481 Corporate governance and manager turnover: An unusual social experiment
by Aivazian, Varouj A. & Ge, Ying & Qiu, Jiaping
- 1483-1508 Adverse selection, brokerage coverage, and trading activity on the Tokyo Stock Exchange
by Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Ho, Richard Y.K.
- 1509-1534 Cash-flow shortage as an endogenous bankruptcy reason
by Uhrig-Homburg, Marliese
- 1535-1557 Evaluating implied RNDs by some new confidence interval estimation techniques
by Andersson, Magnus & Lomakka, Magnus
- 1559-1573 Stock market returns: A note on temperature anomaly
by Cao, Melanie & Wei, Jason
- 1575-1584 Relative default rates on corporate loans and bonds
by Emery, Kenneth M. & Cantor, Richard
- 1585-1609 The impact of junior debt issuance on senior unsecured debt's risk premiums
by Linn, Scott C. & Stock, Duane R.
2005, Volume 29, Issue 5
- 1037-1057 Multivariate term structure models with level and heteroskedasticity effects
by Christiansen, Charlotte
- 1059-1082 The lender of last resort
by Goodhart, Charles A.E. & Huang, Haizhou
- 1083-1093 Competition in markets with dominant firms: A note on the evidence from the Italian banking industry
by Coccorese, Paolo
- 1095-1112 The use of stand alone warrants as unique capital raising instruments
by Suchard, Jo-Ann
- 1113-1130 Deregulation, technological change, and the business-lending performance of large and small banks
by Carter, David A. & McNulty, James E.
- 1131-1152 Declining required reserves, funds rate volatility, and open market operations
by Demiralp, Selva & Farley, Dennis
- 1153-1184 Bank regulation and risk-taking incentives: An international comparison of bank risk
by Gonzalez, Francisco
- 1185-1211 Executive stock options and incentive effects due to systematic risk
by Duan, Jin-Chuan & Wei, Jason
- 1213-1236 The relationship between default prediction and lending profits: Integrating ROC analysis and loan pricing
by Stein, Roger M.
- 1237-1264 Price and volume effects of changes in MSCI indices - nature and causes
by Chakrabarti, Rajesh & Huang, Wei & Jayaraman, Narayanan & Lee, Jinsoo
- 1265-1294 General equilibrium pricing of CPI derivatives
by Lioui, Abraham & Poncet, Patrice
- 1295-1310 The entry and the activity level of foreign banks in Italy: An analysis of the determinants
by Magri, Silvia & Mori, Alessandra & Rossi, Paola
- 1311-1327 Intraday price reversals in the US stock index futures market: A 15-year study
by Grant, James L. & Wolf, Avner & Yu, Susana
2005, Volume 29, Issue 4
- 801-802 Introduction
by Adesi, Giovanni Barone
- 803-825 The simple economics of bank fragility
by De Vries, C.G.
- 827-851 Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development
by Matteo, T. Di & Aste, T. & Dacorogna, Michel M.
- 853-864 On the significance of expected shortfall as a coherent risk measure
by Inui, Koji & Kijima, Masaaki
- 865-894 Migration correlation: Definition and efficient estimation
by Gagliardini, P. & Gourieroux, C.
- 895-926 Reward-risk portfolio selection and stochastic dominance
by De Giorgi, Enrico
- 927-958 Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements
by Fermanian, Jean-David & Scaillet, Olivier
- 959-977 Functional gradient descent for financial time series with an application to the measurement of market risk
by Audrino, Francesco & Barone-Adesi, Giovanni
- 979-996 Coherent risk measures under filtered historical simulation
by Giannopoulos, Kostas & Tunaru, Radu
- 997-1015 Value-at-risk versus expected shortfall: A practical perspective
by Yamai, Yasuhiro & Yoshiba, Toshinao
- 1017-1035 The choice of the distribution of asset returns: How extreme value theory can help?
by Longin, Francois
2005, Volume 29, Issue 3
- 533-564 Global diversification and bidder gains: A comparison between cross-border and domestic acquisitions
by Moeller, Sara B. & Schlingemann, Frederik P.
- 565-577 A note on execution costs for stock index futures: Information versus liquidity effects
by Berkman, Henk & Brailsford, Tim & Frino, Alex