# EconWPA

# Finance

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**Series handle:**repec:wpa:wuwpfi

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### 2003

**0307001 The Speed***by*Dmitry Baryshevsky**0306005 Quelle « Intermédiation Informationnelle » pour les PME ? ou comment une démarche théorique a fertilisé une évolution stratégique***by*Paranque Bernard**0306004 Duplicating Contingent Claims by the Lagrange Method***by*Gregory C. Chow**0306003 Shanghai Stock Prices as Determined by the Present Value Model***by*Gregory C. Chow**0306002 Performance Evaluation of Public Pension Funds: The Reformed Pension System in Poland***by*Dariusz Stanko**0306001 Analysis of UAE Bank Stocks***by*Ananth Rao**0305011 Stock Market Valuation : the Role of the Macroeconomic Risk Premium***by*Christophe Boucher**0305010 “Winners take all competition”, creative destruction and stock market bubble***by*Christophe Boucher**0305009 News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media***by*Thomas Schuster**0305008 On the Stability of Different Financial Systems***by*Falko Fecht**0305007 Conditional Volatility Of Most Active Shares Of Casablanca Stock Exchange***by*Abdelhamid El Bouhadi**0305006 A Statistical Analysis of Intraday Liquidity, Returns and Volatility of an Individual Stock from the Istanbul Stock Exchange***by*Cumhur Ekinci**0305005 Efficient Path-Dependent Valuation Using Lattices: Fixed and Floating Strike Asian Options***by*Allen Abrahamson**0305004 A Note on Constructing 50-50 Step Probability Binomial Lattices to Replicate Wiener Diffusion***by*Allen Abrahamson**0305003 A Simple Model for Credit Migration and Spread Curves***by*Li Chen & Damir Filipovic**0305002 Liquidation Triggers and the Valuation of Equity and Debt***by*Dan Galai & Alon Raviv & Zvi Wiener**0305001 State Tameness: A New Approach for Credit Constrains***by*Jaime A. Londoño**0304011 Efficiency Analysis of UAE Banks***by*Ananth Rao**0304010 Basel II's New Standardized Approach: Possible Effects of Implementation***by*Katherine Wyatt**0304009 La Estructura del sector Financiero Vnezolano y su nivel de deterinación sobre el Nivel de Tasas Activas del Sistema Bancario Nacional 1990-2000***by*Author Enrique R. González Porras**0304008 Latin American Financial Development In Perspective***by*Alicia García Herrero & Javier Santillan Fraile & Sonsoles Gallego Herrero & Lucía Cuadro Sáez & Carlos Egea Martínez**0304007 The Asian and European Banking Systems: The case of Spain in the quest for development and stability***by*Alicia García Herrero & Sonsoles Gallego Herrero & Jesús Saurina Salas**0304006 Why Do Countries Develop More Financially Than Others? The Role Of The Central Bank And Banking Supervision***by*Lucía Cuadro Sáez & Sonsoles Gallego Herrero & Alicia García Herrero**0304005 El Aprendizaje, el Conocimiento y la Información como Regulación Financiera***by*Author Enrique R. González Porras**0304004 Ownership Structure and Corporate Firm Performance***by*Jayesh Kumar**0304003 Consistency Problems For Jump-Diffusion Models***by*Li Chen & Erhan Bayraktar & H. Vincent Poor**0304002 Competencia, Rivalidad y Entrada del Capital Extranjero en la Banca Venezolana***by*Author Enrique R. González Porras**0304001 Regulación del Sector Seguros: Un Enfoque de Competencia para la Ley de Empresas de Seguros y Reaseguros en Venezuela***by*Author Enrique R. González Porras**0303009 Pricing Credit Default Swaps Under Default Correlations and Counterparty Risk***by*Li Chen & Damir Filipovic**0303008 Markovian Quadratic Term Structure Models For Risk-free And Defaultable Rates***by*Li Chen & H. Vincent Poor**0303007 Projecting the Forward Rate Flow on a Finite Dimensional Manifold***by*Erhan Bayraktar & Li Chen & H. Vincent Poor**0303006 Modeling Credit Risk by Affine Processes***by*Li Chen & Damir Filipovic**0303004 Mergers with Differentiated Products: The Case of Ready-to-Eat Cereal***by*Aviv Nevo**0303003 The Financing of Research and Development***by*Bronwyn H. Hall**0303002 Fifty-Fifty. Stock Recommendations and Stock Prices. Effects and Benefits of Investment Advice in the Business Media***by*Thomas Schuster**0303001 Toward a Theory of Asset Subscription***by*Danyang Xie**0302001 Determinants Of The Firm’S Capital Structure - The Case Of The Very Small Enterprises***by*Evaldo Guimarães Barbosa & Cristiana De Castro Moraes**0301007 Utility Maximization in Imperfected Markets***by*Long Nguyen-Thanh**0301006 Risk in Financial Conglomerates: Management and Supervision***by*Iman van Lelyveld & Arnold Schilder**0301005 Investment Optimization under Constraints***by*Long Nguyen-Thanh**0301004 New types of non-trade related participation in commodity futures markets***by*Lamon Rutten**0301003 The effectiveness and usefulness for commodity-dependent countries of new tools in commodity markets: risk management and collateralized finance***by*Lamon Rutten**0301002 Potential applications of structured commodity financing techniques for banks in developing countries***by*Lamon Rutten**0301001 Farmers and farmers’ associations in developing countries and their use of modern financial instruments***by*Lamon Rutten

### 2002

**0212006 Option pricing with Levy Process***by*Eric Benhamou**0212005 A Martingale Result for Convexity Adjustment in the Black Pricing Model***by*Eric Benhamou**0212004 Smart Monte Carlo: Various tricks using Malliavin calculus***by*Eric Benhamou**0212003 A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks***by*Eric Benhamou**0212002 The Impact of Bank Capital Requirements in Indonesia***by*Donsyah Yudistira**0212001 MODIS: A Market-Oriented Deposit Insurance Scheme***by*Reza Vaez-Zadeh & Danyang Xie & Edda Zoli**0211008 A General Characterization of Quadratic Term Structure Models***by*Li Chen & H. Vincent Poor**0211007 How to work in the uncertain market conditions***by*Dmitry Baryshevsky**0211004 Consumption and Investment Optimization under Constraints***by*Long Nguyen-Thanh**0211003 Portfolio Selection with Probabilistic Utility, Bayesian Statistics, and Markov Chain Monte Carlo***by*Pietro Rossi & Massimo Tavoni & Flavio Cocco & Robert Marschinski**0211002 Information, Alternative Markets, and Security Price Processes: A Survey of Literature***by*Rafiqul Bhuyan**0211001 Can technological change explain the stock market collapse of 1974?***by*Adrian Peralta-Alva**0210006 Why do European Venture Capital Companies syndicate?***by*Sophie Manigart & Miguel Meuleman**0210005 Herding and Contrarian Behavior in Financial Markets - An Internet Experiment***by*Mathias Drehmann & Joerg Oechssler & Andreas Roider**0210004 The realized equity premium has been higher than expected: further evidence***by*Marco Taboga**0210003 Performance Incentives, Performance Pressure and Executive Turnover***by*Narayanan Subramanian & Atreya Chakraborty & Shahbaz Sheikh**0210002 Stochastic Dominance Portfolio Analysis of Forestry Assets***by*V.-P. Heikkinen & & Timo Kuosmanen**0210001 An Analysis of Hedge Fund Performance***by*Daniel Capocci**0209008 The Small Business Credit Gap: Some New Evidence***by*Rajiv Mallick & Atreya Chakraborty**0209007 The Importance of Being Known: Relationship Banking and Credit Limits***by*Cresenta Fernando & Atreya Chakraborty & Rajiv Mallick**0209006 The Geometry of Payoff Spaces***by*Marcel Hendrickx**0209005 De schuld van het Nederlandse huishouden?***by*Hans Groeneveld & Ralph de Haas**0209004 Het integraal kwantificeren van valutarisico’s***by*Ralph de Haas**0209003 Banken, instituties en zachte budgetbeperkingen tijdens de transitie***by*Ralph de Haas**0209002 Financial collateral and capital adequacy requirements***by*Ralph de Haas & Thomas Keijser**0209001 The Impact of News, Oil Prices, and International Spillovers on Russian Financial Markets***by*Bernd Hayo & Ali Kutan**0207019 What Type of Process Underlies Options? A Simple Robust Test***by*Peter Carr & Liuren Wu**0207018 Markov Chain Approximations For Term Structure Models***by*David Backus & Liuren Wu & Stanley Zin**0207017 Time-Varying Arrival Rates of Informed and Uninformed Trades***by*David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu**0207016 A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs***by*Gautam Goswami & Milind Shrikhande & Liuren Wu**0207015 Asset Pricing Under The Quadratic Class***by*Markus Leippold & Liuren Wu**0207014 Design and Estimation of Quadratic Term Structure Models***by*Markus Leippold & Liuren Wu**0207013 Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?***by*Massoud Heidari & Liuren WU**0207012 The Finite Moment Log Stable Process and Option Pricing***by*Peter Carr & Liuren Wu**0207011 Time-Changed Levy Processes and Option Pricing***by*Peter Carr & Liuren Wu**0207010 Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives***by*Massoud Heidari & Liuren Wu**0207009 Contagion in Financial Markets***by*David Backus & Silverio Foresi & Liuren Wu**0207008 Accouting for Biases in Black-Scholes***by*David Backus & Silverio Foresi & Liuren Wu**0207007 Monte Carlo Pricing of American Options Using Nonparametric Regression***by*Pizzi Claudio & Pellizzari Paolo**0207006 Optimization of Risk Exposure***by*Alexei Gretchikha**0207005 The Impact of the Introduction of the Euro on Foreign Exchange Rate Risk Exposures***by*Sohnke M. Bartram & G. Andrew Karolyi**0207004 Analytical Aproach to Value Options with State Variables of a Levy System***by*Nguyen Thanh Long**0207003 Financial Performance Government Trading Enterprises 1996-97 to 2000-01***by*Productivity Commission**0207002 Review of the Superannuation Industry (Supervision) Act 1993 and Certain Other Superannuation Legislation***by*Productivity Commission**0207001 Linear and Nonlinear Foreign Exchange Rate Exposures of German Nonfinancial Corporations***by*Sohnke M. Bartram**0206005 Seize the Moments: Approximating American Option Prices in the GARCH Framework***by*Jin-Chuan Duan & Genevieve Gauthier & Caroline Sasseville & Jean-Guy Simonato**0206002 On valuing corporate debt with the volatility of corporate assets evolving according to an Ornstein-Uhlenbeck process***by*Bakhodir Ergashev**0206001 Is Liquidity Reflected in Bond Yields? Evidence from the Euro Corporate Bond Market***by*Patrick Houweling & Albert Mentink & Ton Vorst**0205004 All Moments of Discrete and Continuous Arithmetic Averages on Brownian Paths: A Closed Form***by*Allen Abrahamson**0205003 Trading system evaluation based on past performance: Random Signals Test***by*Alex Strashny**0205002 Monetary Conditions and Stock Returns: A South African Case Study***by*Clive Coetzee**0204002 The Future of the Stock Market Channel In Egypt***by*Maged Shawky Sourial**0203006 A note on a generalized Black-Scholes formula***by*Bakhodir A Ergashev**0203002 Wealth Effects of Banks' Rights to Market and Originate Annuities***by*Arnold R. Cowan & Jann C. Howell & Mark L. Power**0203001 Symmetries in Jump-Diffusion Models with Applications in Option Pricing and Credit Risk***by*Jiri Hoogland & Dimitri Neumann & Michel Vellekoop**0202002 How Active Are Managers in SA***by*Tony Bell & Maarten Ackerman**0201004 An Integrated Model of Market and Limit Orders***by*Sugato Chakravarty & Craig Holden**0201003 Stealth-Trading: Which Traders' Trades Move Stock Prices?***by*Sugato Chakravarty**0201001 Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk***by*Ali Bora Yigitbasioglu

### 2001

**0112003 An Empirical Comparison of Default Swap Pricing Models***by*Patrick Houweling & Ton Vorst**0112002 The Interest Rate Exposure of Nonfinancial Corporations***by*Sohnke M. Bartram**0111005 Innovation And Venture Capital Exits***by*Armin SCHWIENBACHER**0111004 The Market Price of Aggregate Risk and the Wealth Distribution***by*Hanno Lustig**0111003 Testing the Gaussian Copula Hypothesis for Financial Assets Dependences***by*Y. Malevergne & D. Sornette**0111001 Inflation and Capital Structure***by*Jose Noguera**0110003 Analytically inducting option cash flows for Markovian interest rate models: A new application paradigm***by*Junwu Gan**0110001 Microfinance in Vietnam - A Survey of Schemes and Issues***by*Adam McCarty**0109001 Bifurcation Routes in Financial Markets***by*Author Miloslav**0108003 Resources Used to Produce Individual Development Accounts in the First Two Years of the Experimental Program of the American Dream Demonstration at the Community Action Project of Tulsa County***by*Mark Schreiner**0108002 Corporate Risk Management as a Lever for Shareholder Value Creation***by*Sohnke M. Bartram**0108001 Leveraged Buyouts in Poland***by*Marcin Piatkowski**0107003 Impact of Commonwealth indirect taxes on exporters***by*Productivity Commission**0107001 International Portfolio Investment: Theory, Evidence, and Institutional Framework***by*Sohnke M. Bartram & Gunter Dufey**0106003 The Relative Value Theory***by*Silviu I. Alb**0106002 International Cross-Listing: The Effects of Market Fragmentation and Information Flows***by*Richard Podpiera**0105003 Tradable Schemes***by*Jiri Hoogland & Dimitri Neumann**0105002 Asians and cash dividends: Exploiting symmetries in pricing theory***by*Jiri Hoogland & Dimitri Neumann**0105001 Stochastic Dominance Efficiency Tests under Diversification***by*Timo Kuosmanen**0012009 A Temporary Equilibrium Model of Asset Pricing***by*George Vachadze**0012008 A Short-Horizon Model of Asset Pricing: Equilibrium Analysis***by*George Vachadze**0012007 Mispricing and Lasting Arbitrage between Parallel Markets in the Czech Republic***by*Jan Hanousek & Libor Nemecek**0012006 Do Stock Markets Promote Economic Growth?***by*Jan Hanousek & Nauro F. Campos & Randall K. Filer**0012005 Efficiency of Financial Markets in Transition: The Case of Macroeconomic Releases***by*Richard Podpiera**0012003 How Important Is Informed Trading for the Bid-Ask Spread? Evidence from an Emerging Market***by*Jan Hanousek & Richard Podpiera

### 2000

**9912001 Corporate Diversification and Agency***by*Benjamin E. Hermalin & Michael L. Katz**0004012 Do Market Listing And Size Entail Behavioural Differences?***by*Bernard BELLETANTE & Bernard PARANQUE**0004011 Corporate Finance in Europe from 1986 to 1996***by*Michel DELBREIL & Ana ESTEBAN & Hans FRIDERICHS & Bernard PARANQUE & Franz PARTSCH & Franco VARETTO**0004010 Volatility in Indian Stock Markets***by*Piyush Kumar Chowhan & Vasant Shukla**0004009 Looking Forward to Pricing Options from Binomial Trees***by*Dario Villani & Andrei E. Ruckenstein**0004007 A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions***by*Giulia Iori**0004006 Scaling and multiscaling in financial markets***by*Giulia Iori**0004004 Trade credit in Italy: Evidence from individual firm data***by*Giuseppe Marotta**0004002 Another Look at Option Listing Effects***by*Stewart Mayhew & Vassil Mihov

### 1999

**9908002 Market Risk Measurement and the Cattle Feeding Margin: An Application of Value-at-Risk***by*Mark R. Manfredo. & Raymond M. Leuthold**9907004 Log-periodic power law bubbles in Latin-American and Asian markets and correlated anti-bubbles in Western stock markets: An empirical study***by*Anders Johansen & Didier Sornette**9907003 Scale invariance and contingent claim pricing II: Path-dependent contingent claims***by*Jiri Hoogland & Dimitri Neumann**9907002 Scale invariance and contingent claim pricing***by*Jiri Hoogland & Dimitri Neumann**9905005 A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions***by*Giulia Iori**9905003 Futures Exchange Innovations: Reinforcement versus Cannibalism***by*Joost M.E. Pennings & Raymond M. Leuthold**9905002 Commodity Futures Contract Viability: A Multidisciplinary Approach***by*Joost M.E. Pennings & Raymond M. Leuthold**9905001 The Financial Industry's Challenge of Developing Commodity Derivatives***by*Joost M.E. Pennings & M.T.G. Meulenberg**9904006 What a Difference a Day Makes: On the Common Market Microstructure of Trading Days***by*Frank Gerhard & Dieter Hess & Winfried Pohlmeier**9904005 A Survey on Nonparametric Time Series Analysis***by*Siegfried Heiler**9904004 When are Options Overpriced? The Black-Scholes Model and Alternative Characterisations of the Pricing Kernel***by*Guenter Franke & Richard C. Stapleton & Marti G. Subrahmanyam**9904003 Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators***by*Joachim Inkmann**9904002 Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions***by*Nikolaus Hautsch**9904001 International Percussions of Direct Taxes***by*Wolfgang Eggert**9903006 Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes***by*Anders Johansen & Didier Sornette & Olivier Ledoit**9903005 Toeholds and Takeovers***by*Jeremy Bulow & Ming Huang & Paul Klemperer**9903004 The Potential Approach to Bond and Currency Pricing***by*Markus Leippold & Liuren Wu**9903002 Implicit Collusion in Dealer Markets with Different Costs of Market Making***by*Andreas Krause**9903001 Heterogeneous Time Preferences and Interest Rates - The Preferred Habitat Theory Revisited***by*Frank Riedel**9902009 Innovation and Market Value***by*Bronwyn H. Hall**9902005 Does Cash Flow Cause Investment and R&D: An Exploration Using Panel Data for French, Japanese, and United States Scientific Firms***by*Bronwyn H. Hall & Jacques Mairesse & Lee Branstetter & Bruno Crepon**9902004 "Nonlinear" covariance matrix and portfolio theory for non-Gaussian multivariate distributions***by*D. Sornette & P. Simonetti & J.V. Andersen**9902003 Utility based pricing of contingent claims***by*A. Gamba & P. Pellizzari**9902002 How to account for virtual arbitrage in the standard derivative pricing***by*Kirill Ilinski**9902001 Virtual Arbitrage Pricing Theory***by*Kirill Ilinski

### 1998

**9810004 Boom In, Bust Out: Young Households and the Housing Price Cycle***by*Francois Ortalo-Magne & Sven Rady**9810003 Housing Market Fluctuations in a Life-Cycle Economy with Credit Constraints***by*Francois Ortalo-Magne & Sven Rady**9810002 Using Value-at-Risk to Control Risk Taking: How Wrong Can you Be?***by*Xiongwei Ju & Neil D. Pearson**9810001 A New Bayesian Model of Market Microstructure=20 Behaviour Applied to the Market in Irish Government=20 Securities; Identification Happens!***by*Peter G. Dunne**9809001 Looking Behind the U. K.Term Structure: Were there Peso Problems in Inflation?***by*Martin Evans**9808005 Is the Short Rate Drift Actually Nonlinear?***by*David A. Chapman & Neil D. Pearson**9808004 Using Proxies for the Short Rate: When are Three Months Like an Instant?***by*David A. Chapman & John B. Long Jr. & Neil D. Pearson**9808002 Imperfect Information Leads to Complete Markets if Dividends are Diffusions***by*Frank Riedel**9808001 Financial Returns and Efficiency as seen by an Artificial Technical Analyst***by*Spyros Skouras**9805007 Electrodynamical model of quasi-efficient financial market***by*Kirill Ilinski & Alexander Stepanenko**9805006 A Dynamic Model of the Incorporation of New Information into Prices***by*Charles Geiss & Kyung-Seong Jeon**9805003 The Forecasting Value of New Crop Futures: A Decision-Making Framework***by*Dwight R. Sanders & Philip Garcia & Raymond M. Leuthold**9805002 Agricultural Applications of Value-at-Risk Analysis: A Perspective***by*Mark R. Manfredo & Raymond M. Leuthold**9805001 Long Agricultural Futures Prices: ARCH, Long Memory, or Chaos Processes?***by*Anning Wei & Raymond M. Leuthold**9804005 The Transfer of Control in British and German IPOs***by*Marc Goergen**9804004 Optimal Hedging Strategies for the U.S. Cattle Feeder***by*Mikhail A. Noussinov & Raymond M. Leuthold**9804002 Beyond implied volatility: extracting information from option prices***by*Rama CONT**9803007 How Do Firms Choose Their Lenders? An Empirical Investigation***by*Miguel Cantillo & Julian Wright**9803006 Does Rationing of Shares Increase Revenues in Initial Public Offerings?***by*Pio Baake & Joerg Oechssler**9803005 The Rise and Fall of Bank Control in the United States: 1890-1939***by*Miguel Cantillo Simon**9803004 Generalized Binomial Trees***by*Jens Carsten Jackwerth**9803002 Recovering Risk Aversion from Option Prices and Realized Returns***by*Jens Carsten Jackwerth**9803001 Volume, Volatility, Price and Profit When All Traders Are Above Average***by*Terrance Odean**9802003 A discrete martingale model of pension fund guarantees in***by*Klaus P. Fischer**9802002 The Markov Chain Approximation Approach for Numerical Solution of Stochastic Control Problems: Experiences from Merton's Problem***by*Claus Munk**9801002 Do Brokers Misallocate Customer Trades? Evidence From Futures Markets***by*Hun Y. Park & Asani Sarkar & Lifan Wu**9801001 Efficient Monte Carlo Pricing of Basket Options***by*P. Pellizzari

### 1997

**9712009 Phenomenology of the interest curve***by*Jean-Philippe BOUCHAUD & Rama CONT & Nicole EL KAROUI & Marc POTTERS & Nicolas SAGNA**9712008 Herd behavior and aggregate fluctuations in financial markets***by*Rama CONT & Jean-Philippe BOUCHAUD**9712007 Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: BGARCH and Random Coefficient Approaches***by*Anil K. Bera & Philip Garcia & Jae-Sun Roh**9712006 No-Arbitrage Bounds on Contingent Claims Prices with Convex Constraints on the Dollar Investments of the Hedge Portfolio***by*Claus Munk**9712005 Did Producer Hedging Opportunities in the Live Hog Contract Decline?***by*Fabio C. Zanini & Philip Garcia**9712003 Optimal Consumption/Investment Policies with Undiversifiable Income Risk and Borrowing Constraints***by*Claus Munk**9712002 Closed-End Fund Discounts in a Rational Agent Economy***by*Matthew Spiegel**9711005 The Random-Time Binomial Model***by*Dietmar P.J. Leisen**9711004 Market Efficiency and Marketing to Enhance Income of Crop Producers***by*Carl R. Zulauf & Scott H. Irwin**9711002 Intellectual Property Intensity (IPI) and the Value-Growth Effect***by*Elli Malki**9711001 The Distributional Behavior of Futures Price Spread Changes: Parametric and Nonparametric Tests for Gold, T-Bonds, Corn and Live Cattle***by*Min-Kyoung Kim & Raymond M. Leuthold & .