Munich Personal RePEc Archive

Items where Subject is "G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates"

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Number of items at this level: 492.

A

Abderrazik, Amal and Boutkardine, Mehdi and El Bahi, Nour El Houda and Kartoubi, Salah Eddine and El Bouhadi, Abdelhamid (2008): Evaluation du Risque d’un Echantillon de Valeurs Mobilières de la Bourse de Casablanca.

Accinelli, Elvio and Covarrubias, Enrique (2014): Smooth economic analysis for general spaces of commodities.

Adesoye, A. Bolaji and Atanda, Akinwande AbdulMaliq (2012): Monetary Policy and Share Pricing Business in Nigeria. Forthcoming in: (2012): pp. 1-19.

Albanese, Claudio (2007): CALLABLE SWAPS, SNOWBALLS AND VIDEOGAMES.

Albulescu, Claudiu Tiberiu (2008): Central banks and asset prices: the role of the interest rate in volatility correction in the Romanian case.

Alexandru, Ciprian Antoniade (2008): Indicators for the analysis of the evolution of the stock exchange. Published in: European union’s history, culture and citizenship (2008): pp. 103-109.

Alexandru, Ciprian Antoniade (2007): Local financing through capital markets. Published in: Economics of sustainable development - Financing the regional sustainable development (2008): pp. 115-119.

Alexandru, Ciprian Antoniade (2008): Trust and Loss Aversion in Romanian Capital Market.

Alfarano, Simone and Lux, Thomas and Wagner, Friedrich (2010): Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation.

Alfaro, Rodrigo (2009): Estimación de la Curva de Rendimiento.

Alfaro, Rodrigo and Becerra, Juan Sebastian and Sagner, Andres (2010): Estimación de la estructura de tasas utilizando el modelo Dinámico Nelson Siegel: resultados para Chile y EEUU.

Alfaro, Rodrigo and Silva, Carmen Gloria (2010): Stock Index Volatility: the case of IPSA.

Alghalith, Moawia (2010): New methods of estimating stochastic volatility and the stock return.

Alghalith, Moawia (2009): Optimal option pricing and trading: a new theory.

Alghalith, Moawia (2009): A new stopping time and American option model: a solution to the free-boundary problem.

Alpanda, Sami (2007): The Boom-Bust Cycle in Japanese Asset Prices.

Alpanda, Sami and Peralta-Alva, Adrian (2007): Oil Crisis, Energy-Saving Technological Change and the Stock Market Crash of 1973-74.

Alves, Paulo (2013): The Fama French Model or the capital asset pricing model: international evidence. Published in: International Journal of Business and Finance Research , Vol. 7, No. 2 (2013): pp. 79-89.

Alves, Paulo and Ferreira, Miguel (2008): Centre Rules the Markets. Published in: IUP Journal of Applied Finance , Vol. 15, (2008): pp. 489-498.

Amaro de Matos, Joao and Dilao, Rui and Ferreira, Bruno (2006): The exact value for European options on a stock paying a discrete dividend.

Amihud, Yakov and Mendelson, Haim and Pedersen, Lasse Heje (2005): Liquidity and Asset Prices. Published in: Foundations and Trends in Finance , Vol. 1, No. 4 (2005): pp. 269-364.

Andraž, Grum (2006): Razvitost slovenskega trga dolžniškega kapitala in ocenitev krivulje donosnosti. Published in: Financial stability report: Expert papers on financial stability No. Bank of Slovenia (May 2006): pp. 1-86.

Anginer, Deniz and Yildizhan, Celim (2009): Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns.

Antonakakis, Nikolaos (2012): Dynamic Correlations of Sovereign Bond Yield Spreads in the Euro zone and the Role of Credit Rating Agencies' Downgrades.

Antonakakis, Nikolaos and Kizys, Renatas and Floros, Christos (2014): Dynamic Spillover Effects in Futures Markets.

Antonakakis, Nikolaos and Vergos, Konstantinos (2012): Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis.

Arash, Aloosh (2011): Variance Risk Premium Differentials and Foreign Exchange Returns. Published in: EFA Doctoral Tutorial 2012 (18. August 2012)

Aretz, Kevin and Bartram, Söhnke M. and Pope, Peter F. (2011): Asymmetric Loss Functions and the Rationality of Expected Stock Returns. Published in: International Journal of Forecasting , Vol. 27, No. 2 (April 2011): pp. 413-437.

Aretz, Kevin and Bartram, Söhnke M. and Pope, Peter F. (2010): Macroeconomic Risks and Characteristic-Based Factor Models. Published in: Journal of Banking and Finance , Vol. 34, No. 6 (June 2010): pp. 1383-1399.

Arif, Imtiaz and Suleman, Tahir (2014): Terrorism and Stock Market Linkages: An Empirical Study from Pakistan.

Arru, Daniela and Iacovoni, Davide and Monteforte, Libero and Pericoli, Filippo Maria (2012): EMU sovereign spreads and macroeconomic news.

Asonuma, Tamon (2012): Serial default and debt renegotiation.

Asonuma, Tamon (2014): Sovereign defaults, external debt and real exchange rate dynamics.

Avino, Davide and Cotter, John (2013): Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability?

Avino, Davide and Cotter, John (2014): Sovereign and bank CDS spreads: two sides of the same coin?

Avino, Davide and Lazar, Emese and Varotto, Simone (2012): Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options.

Ayub, Mehar (2000): Stock market consequences of macro economic fundamentals. Published in: Conference Proceedings, Montreal: McGill University, (Canadian Economic Association) , Vol. 1, No. 2001 (2002): pp. 1-17.

B

Bacha, Obiyathulla I. (2004): Pricing Hybrid Securities: The Case of Malaysian ICULS. Published in: The Journal of International Finance , Vol. 16, No. 3 (2004): pp. 3154-3172.

Bai, Jushan and Ando, Tomohiro (2013): Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors.

Balakrishna, B S (2010): Levy Subordinator Model of Default Dependency.

Balli, Faruk (2008): Spillover Effects on Government Bond Yields in Euro Zone. Does Full Financial Integration Exist in European Government Bond Markets? Forthcoming in: Journal of Economics and Finance

Balli, Faruk and Basher, Syed Abul and Jean Louis, Rosmy (2013): Sectoral equity returns and portfolio diversification opportunities across the GCC region.

Balli, Faruk and Basher, Syed Abul and Ozer-Balli, Hatice (2010): From Home Bias to Euro Bias: Disentangling the Effects of Monetary Union on the European Financial Markets. Forthcoming in: Journal of Economics and Business

Balli, Faruk and Ozer-Balli, Hatice (2009): Sectoral Equity Returns in the Euro Region: Is There any Room for Reducing the Portfolio Risk?

Bao, Qunfang and Chen, Si and Liu, Guimei and Li, Shenghong (2010): Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest.

Bao, Qunfang and Chen, Si and Liu, Guimei and Li, Shenghong (2010): Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest.

Bao, Qunfang and Chen, Si and Liu, Guimei and Li, Shenghong (2010): Unilateral CVA for CDS in contagion model: with volatilities and correlation of spread and interest.

Bao, Qunfang and Li, Shenghong and Liu, Guimei (2010): Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing.

Bardong, Florian and Bartram, Söhnke M. and Yadav, Pradeep K. (2005): Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE.

Barinov, Alexander and Park, Shawn Saeyeul and Yildizhan, Celim (2014): Firm Complexity and Post-Earnings-Announcement Drift.

Barnett, William A. (2006): Divisia Monetary Index.

Barnett, William A. (2006): Supply of Money.

Bartram, Söhnke M. and Brown, Gregory W. and Stulz, René M. (2012): Why are U.S. Stocks More Volatile? Published in: Journal of Finance , Vol. 67, No. 4 (August 2012): pp. 1329-1370.

Bazdresch, Santiago (2011): Product differentiation and systematic risk: theory and empirical evidence.

Bejan, Camelia and Bidian, Florin (2010): Limited enforcement, bubbles and trading in incomplete markets.

Bennani, Norddine and Maetz, Jerome (2009): A Spot Stochastic Recovery Extension of the Gaussian Copula.

Bhattacharyya, Surajit and Saxena, Arunima (2008): Stock Futures Introduction & Its Impact on Indian Spot Market. Published in: Prerana , Vol. 1, No. 1 (March 2009)

Bialkowski, Jedrzej and Gottschalk, Katrin and Wisniewski, Tomasz (2006): Stock market volatiltity around national elections.

Bianchetti, Marco (2008): Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves.

Bianchetti, Marco and Carlicchi, Mattia (2012): Markets Evolution After the Credit Crunch.

Bianchi, Francesco (2008): Rare Events, Financial Crises, and the Cross-Section of Asset Returns.

Bicchetti, David and Maystre, Nicolas (2012): The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data. Forthcoming in:

Borenstein, Eliezer and Elkayam, David (2013): The equity premium in a small open economy, and an application to Israel.

Brito, Paulo (2008): Equilibrium asset prices and bubbles in a continuous time OLG model.

Brito, Paulo and Dilao, Rui (2006): Equilibrium price dynamics in an overlapping-generations exchange economy.

C

Cadogan, Godfrey (2010): Canonical Representation Of Option Prices and Greeks with Implications for Market Timing.

Cadogan, Godfrey (2009): On behavioral Arrow Pratt risk process with applications to risk pricing, stochastic cash flows, and risk control.

Cakir, Murat (2001): Credit Derivatives in Managing Off Balance Sheet Risks by Banks.

Campbell, Gareth (2010): Bubbles and Leverage.

Campbell, Gareth (2010): Bubbling Dividends.

Campbell, Gareth (2010): Cross-Section of a ‘Bubble’: Stock Prices and Dividends during the British Railway Mania.

Campbell, Gareth and Turner, John (2010): ‘The Greatest Bubble in History’: Stock Prices during the British Railway Mania.

Canegrati, Emanuele (2008): A Non-Random Walk down Canary Wharf.

Cannon, Susanne E. and Cole, Rebel A. (2008): Changes in REIT liquidity 1988 - 2007: Evidence from daily data. Published in: Journal of Real Estate Finance and Economics , Vol. 43, (29. May 2011): pp. 258-280.

Cantillo, Andres (2013): Survey of Literature on Portfolio Theory.

Cao, Henry and Han, Bing and Hirshleifer, David and Zhang, Harold (2007): Fear of the Unknown: Familiarity and Economic Decisions.

Carey, Alexander (2005): Higher-order volatility.

Carey, Alexander (2006): Higher-order volatility: dynamics and sensitivities.

Carey, Alexander (2006): Path-conditional forward volatility.

Carlo Alberto, Magni (2008): Splitting Up Value: A Critical Review of Residual Income Theories. Forthcoming in: European Journal of Operational Research , Vol. 3, No. 192 (March 2009)

Carlo Alberto, Magni (2008): Splitting Up Value: A Critical Review of Residual Income Theories. Forthcoming in: European Journal of Operational Research

Cartea, Álvaro and Meyer-Brandis, Thilo (2009): How Duration Between Trades of Underlying Securities Affects Option Prices. Forthcoming in: Review of Finance

Caspi, Itamar (2013): Rtadf: Testing for Bubbles with EViews.

Cayton, Peter Julian A. and Mapa, Dennis S. (2012): Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology.

Cebula, Richard (1987): Crowding Out, Deficits, and Interest Rates: Reply. Published in: Public Choice , Vol. 58, No. 1 (21. July 1988): pp. 95-97.

Cebula, Richard (1977): Crowding Out: An Empirical Note. Published in: The Quarterly Review of Economics & Business , Vol. 18, No. 3 (15. November 1978): pp. 119-123.

Cebula, Richard (1986): Federal Deficits and the Real Rate of Interest in the United States: A Note. Published in: Public Choice , Vol. 53, No. 1 : pp. 97-100.

Cebula, Richard (1996): The Rate of Return on Savings and Loan Assets. Published in: Studies in Economics and Finance , Vol. 17, No. 2 (25. April 1997): pp. 3-24.

Cebula, Richard and Foley, Maggie (2012): Recent Evidence on the Impact of Federal Government Budget Deficits on the Nominal Long Term Mortgage Interest Rate in the U.S. Published in: International Journal of Finance & Accounting Studies , Vol. 1, No. 1 (30. April 2013): pp. 28-33.

Cebula, Richard and Scott, Gerald (1990): Deficits and Real Interest Rates: A Note Extending the Hoelscher Model. Published in: The Indian Journal of Economics , Vol. 71, No. 4 (30. April 1991): pp. 519-522.

Cebula, Richard and Yang, Bill (2008): Yield to Maturity Is Always Realized as Promised: A Reply. Published in: Journal of Economics and Finance Education , Vol. 8, No. 2 (28. February 2009): pp. 38-41.

Cebula, Richard and Yang, Bill (2008): Yield to Maturity Is Always Received as Promised: A Reply. Published in: Journal of Economics and Finance Education , Vol. 8, No. 2 (14. January 2009): pp. 38-41.

Cesari, Riccardo and Marzo, Massimiliano and Zagaglia, Paolo (2012): Effective Trade Execution. Forthcoming in:

Chang, Chia-Lin and Hu, Shing-Yang and Yu, Shih-Ti (2014): Recent Developments in Quantitative Finance: An Overview.

Chang, Yanqin (2006): How a small open economy's asset are priced by heterogeneous international investors.

Charlin, Ventura and Cifuentes, Arturo (2013): A new financial metric for the art market.

Cheng, Ai-ru and Jahan-Parvar, Mohammad R. and Rothman, Philip (2009): An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa.

Chia, Ricky Chee-Jiun and Liew, Venus Khim-Sen and Syed Khalid Wafa, Syed Azizi Wafa (2007): Day-of-the-week effects in selected East Asian stock markets.

Choo, Lawrence C.Y (2014): Trading Participation Rights to the “Red Hat Puzzle”. An Experiment.

Christophe, Faugere (2003): A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination. Forthcoming in:

Cifarelli, Giulio and Paladino, Giovanna (2009): Oil and portfolio risk diversification.

Claudio, Ferrarese (2006): A comparative analysis of correlation skew modeling techniques for CDO index tranches.

Cocozza, Rosa and De Simone, Antonio (2011): One numerical procedure for two risk factors modeling.

Cosemans, M. and Frehen, R.G.P. and Schotman, P.C. and Bauer, R.M.M.J. (2009): Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice.

Costa Junior, Celso Jose (2011): Avaliação de Bancos: Projeção das Demonstrações de Resultado do Exercício (DRE) com Enfoque em Modelos Econométricos. Published in: Revista Eletrônica de Economia da Universidade Estadual de Goiás – UEG , Vol. 7, (December 2011): pp. 87-103.

Cotter, John and Gabriel, Stuart and Roll, Richard (2011): Integration and contagion in US housing markets.

cole, Chip and Edwards, Jeffrey A. (2010): Competition on MARS? A study of broker-dealer competition in the U.S. municipal auction rate securities market.

D

Dale, Charles and Workman, Rosemarie (1981): Measuring patterns of price movements in the Treasury bill futures market. Published in: Journal of Economics and Business , Vol. 33(2), No. Winter (1981): pp. 81-87.

Dale, Charles and Workman, Rosemarie (1980): The arc sine law and the treasury bill futures market. Published in: Financial Analysts Journal , Vol. 36, No. No. 6 (November 1980): pp. 71-74.

De Koning, Kees (2012): The savings paradox or managing financial, economic or financial risks.

Deaconu, Adela and Nistor, Cristina Silvia and Filip, Crina (2009): Legitimacy to develop fair value measurement standards: The Case of the IVSC Discussion Paper – Determination of fair value of intangible assets for IFRS reporting purposes. Forthcoming in: Research Business Review , Vol. 3, No. 9 (2009)

Deev, Oleg and Kajurova, Veronika and Stavarek, Daniel (2013): Testing rational speculative bubbles in Central European stock markets.

Delis, Manthos D and Mylonidis, Nikolaos (2010): The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps.

Delisle, R. Jared and Lee, Bong Soo and Mauck, Nathan (2012): The dynamic relation between short sellers, option traders, and aggregate returns.

Dell'Era Mario, M.D. (2008): Pricing of Double Barrier Options by Spectral Theory.

Dell'Era Mario, M.D. (2008): Pricing of the European Options by Spectral Theory.

Demir, Ishak (2012): ECB Policy Response to the Euro/US Dollar Exchange Rate.

Dewachter, Hans and Iania, Leonardo (2009): An Extended Macro-Finance Model with Financial Factors.

Dewachter, Hans and Iania, Leonardo (2009): An Extended Macro-Finance Model with Financial Factors.

Dewandaru, Ginanjar and Masih, Rumi and Bacha, Obiyathulla and Masih, A. Mansur M. (2014): Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model.

Diaw, Abdou and Bacha, Obiyathulla Ismath and Lahsasna, Ahcene (2012): Incentive-Compatible Sukuk Musharakah for Private Sector Funding. Published in: ISRA International Journal of Islamic Finance , Vol. 4, No. 1 (June 2012): pp. 39-80.

Diaw, Abdou and Bacha, Obiyathulla Ismath and Lahsasna, Ahcene (2011): Public Sector Funding and Debt Management: A Case for GDP-Linked Sukuk. Published in: Internationa conference on Islamic economics and finance No. 8th (2011)

Doran, James and Jiang, Danling and Peterson, David (2008): Gambling Preference and the New Year Effect of Assets with Lottery Features.

Doran, James and Jiang, Danling and Peterson, David (2007): Short-Sale Constraints and the Idiosyncratic Volatility Puzzle: An Event Study Approach.

Douch, Mohamed (2004): Equity Premiums In Small Open Economy.

Douch, Mohamed and Bouaddi, Mohammed (2010): EQUITY Premium Puzzle in a Data-Rich Environment. Forthcoming in:

Dubra, Juan (2005): Interview with Kenneth Arrow.

Duran-Vazquez, Rocio and Lorenzo-Valdes, Arturo and Ruiz-Porras, Antonio (2011): Valuación de acciones mexicanas mediante los modelos de Ohlson y Ohlson-Beta para firmas con ciclos de corto y largo plazos: Un análisis de cointegración.

Duran-Vazquez, Rocio and Lorenzo-Valdes, Arturo and Ruiz-Porras, Antonio (2011): Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data. Forthcoming in: Espinosa-Ramirez, R. (coord.), "Topics on International Economic Relations", Universidad de Guadalajara, México

Duran-Vazquez, Rocio and Lorenzo-Valdes, Arturo and Ruiz-Porras, Antonio (2011): Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data. Forthcoming in: Espinosa-Ramirez, R. (coord.), "Topics on International Economic Relations", Universidad de Guadalajara, México

de Farias Neto, Joao Jose (2008): S-shaped utility, subprime crash and the black swan.

E

Efthymiou, Vassilis A. and Leledakis, George N. (2011): The price impact of the disposition effect on the ex-dividend day of NYSE and AMEX common stocks.

El Bouhadi, A. and Ounir, A. and El Maguiri, M. (2008): Construction d’un portefeuille efficient : Application empirique à partir d’un échantillon de valeurs cotées à la Bourse des Valeurs de Casablanca.

El-khatib, Youssef and Hatemi-J, Abdulnasser (2013): On option pricing in illiquid markets with random jumps.

Ellouz, Siwar and Bellalah, Mondher (2007): Asset pricing and predictability of stock returns in the french market.

Erdemlioglu, Deniz (2009): Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach.

Erten, Irem and Okay, Nesrin (2012): Deciphering Liquidity Risk on the Istanbul Stock Exchange.

el Alaoui, AbdelKader and Masih, Mansur and Bacha, Obiyathulla and Asutay, Mehmet (2014): Leverage, return, volatility and contagion: Evidence from the portfolio framework.

F

FARUQUE, MUHAMMAD U (2011): An empirical investigation of the arbitrage pricing theory in a frontier stock market: evidence from Bangladesh. Published in: Indian Journal of Economics and Business , Vol. 10, No. 04 (1. December 2011): pp. 443-465.

Fan, Qinbin and Jahan-Parvar, Mohammad R. (2009): US Industry-Level Returns and Oil Prices.

Farouk, Faizal and Masih, Mansur (2014): Are There Profit (Returns) in Shariah-Compliant Exchange Traded Funds? The Multiscale Propensity.

Fernandez, Pablo (2009): Prima de Riesgo del Mercado: Histórica, Esperada, Exigida e Implícita. Published in: Universia Business Review No. 21 (March 2009): pp. 56-65.

Ferreira Filipe, Sara and Grammatikos, Theoharry and Michala, Dimitra (2014): Pricing Default Risk: The Good, The Bad, and The Anomaly.

Fiorani, Filo (2004): Option Pricing Under the Variance Gamma Process.

Fleten, Stein-Erik and Näsäkkälä, Erkka (2003): Gas fired power plants: Investment timing, operating flexibility and CO2 capture.

Foschi, Paolo and Pieressa, Luca and Polidoro, Sergio (2008): Parametrix approximations for non constant coefficient parabolic PDEs.

François-Heude, Alain and Yousfi, Ouidad (2013): A Generalization of Gray and Whaley's Option.

François-Heude, Alain and Yousfi, Ouidad (2013): On the liquidity of CAC 40 index options Market.

Fries, Christian P. (2010): Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization.

Fu, Shihe and Shan, Liwei (2009): Corporate equality and equity prices: Doing well while doing good?

Fung, Ka Wai Terence and Demir, Ender and Zhou, Lu (2014): Capital Asset Pricing Model and Stochastic Volatility: A Case study of India.

Füllbrunn, Sascha and Rau, Holger and Weitzel, Utz (2013): Do ambiguity effects survive in experimental asset markets?

G

Gabrielsen, Alexandros and Marzo, Massimiliano and Zagaglia, Paolo (2011): Measuring market liquidity: an introductory survey.

Gan, Jumwu (2009): Burnout from pools to loans: Modeling refinancing prepayments as a self-selection process.

García Muñoz, Luis Manuel (2013): CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions.

García Muñoz, Luis Manuel (2013): Interest rate modeling under multiple discounting curves.

García de la Vega, Victor Manuel and Ruiz-Porras, Antonio (2009): Modelos estocásticos para el precio spot y del futuro de commodities con alta volatilidad y reversión a la media. Forthcoming in: Revista de Administración, Finanzas y Economía

Gavazza, Alessandro (2010): The role of trading frictions in real asset markets.

Ghiselli Ricci, Roberto and Magni, Carlo Alberto (2009): Axiomatization of residual income and generation of financial securities.

Gonzalez-Astudillo, Manuel (2009): An Equilibrium Model of the Term Structure of Interest Rates: Recursive Preferences at Play.

Goyenko, Ruslan and Sarkissian, Sergei (2010): Flight to Liquidity and Global Equity Returns.

Grabowski, Szymon (2008): What does a financial system say about future economic growth?

Gray, W (2005): Two Essays on Self-Tender Offers.

Gray, Wesley (2008): Information Exchange and the Limits of Arbitrage. Forthcoming in:

Gray, Wesley (2008): Information Exchange and the Limits of Arbitrage.

Grum, Andraž (2006): The effect of parallel OTC-DVP bond market introduction on yield curve volatility. Published in: The Proceedings of Rijeka Faculty of Economics – Journal of Economics and Business , Vol. 24, No. 1 (June 2006): pp. 123-140.

Grum, Andraž and Dolenc, Primož (2001): The analysis of factors that determine the level of interest rates paid on treasury bills in Slovenia. Published in: Economic Trends and Economic Policy , Vol. 11, No. 88 (11. October 2001): pp. 52-76.

Guidi, Francesco and Gupta, Rakesh and Maheshwari, Suneel (2010): Weak-form market efficiency and calendar anomalies for Eastern Europe equity markets.

Guler, Halil and Talasli, Anil (2012): Determinants Of Sovereign Bond Spreads A Comparative Analysis During The Global Financial Crisis.

Guzman, Giselle C. (2007): Using sentiment to predict GDP growth and stock returns. Published in: The Making of National Economic Forecasts No. Edward Elgar Publishing LTD (2009): pp. 319-351.

Gyoshev, Stanley and Kaplan, Todd R. and Szewczyk, Samuel and Tsetsekos, George (2013): Why Do Financial Intermediaries Buy Put Options from Companies?

H

HUNG, MAO-WEI and SO, LEH-CHYAN (2009): New insights into India’s single stock futures markets. Published in: Review of Futures Markets , Vol. 17, (2009): pp. 335-355.

Han, Bing and Hirshleifer, David and Wang, Tracy (2005): Investor Overconfidence and the Forward Discount Puzzle.

Han, Heejoon and Park, Joon Y. (2006): Time series properties of ARCH processes with persistent covariates.

Han, Meng and He, Yeqi and Zhang, Hu (2013): A Note on Discounting and Funding Value Adjustments for Derivatives.

Hanif, M. Nadim and Sheikh, Salman (2009): Central banking and monetary management in islamic financial environment. Forthcoming in: Journal of Independent Studies and Research , Vol. 8, No. 2 (July 2010)

Hannah, Lincoln (2013): Funding Cost and a New Capital Model.

Hasan, Syed Akif and Subhani, Muhammad Imtiaz (2011): Which Matters the Most for the Trading Index? (Law and Order or Weather Conditions). Published in: International Research Journal of Finance and Economics No. 72 (2011): pp. 46-51.

Hasan, M.Emrul (2010): Behavioral approach to Arbitrage Pricing Theory.

Hawawini, Gabriel (1979): An assessment of risk in thinner markets: the Belgian case. Published in: Journal of Economics and Business , Vol. 31, No. Spring/Summer (1979): pp. 196-201.

Hawawini, Gabriel and Cohen, Kalman and Maier, Steven and Schwartz, Robert and Whitcomb, David (1980): Implications of microstructure theory for empirical research in stock price behavior. Published in: Journal of Finance , Vol. 35, No. May 1980 (1980): pp. 249-257.

Hawawini, Gabriel and Vora, Ashok (1980): On the theoretic and numeric problems of approximating the bond yield to maturity. Published in: Engineering Economist , Vol. 25, (1980): pp. 301-325.

Hawawini, Gabriel and Vora, Ashok (1981): The capital asset pricing model and the investment horizon: Comment. Published in: The Review of Economics and Statistics , Vol. 64, (November 1981): pp. 633-647.

Hearn, Bruce (2013): Size and liquidity effects in Nigeria: an industrial sector study. Forthcoming in: Journal of Developing Areas

Hellström, Jörgen and Lönnbark, Carl (2011): Identi�cation of jumps in �financial price series.

Hiremath, Gourishankar S (2009): Effects of Option Introduction on Price and Volatility of Underlying Assets - A Review. Published in: GITAM Review of International Business , Vol. 1, No. 2 (2009): pp. 100-121.

Hiremath, Gourishankar S and Bandi, Kamaiah (2010): Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test. Published in: Banking and Finance Letters , Vol. 2, No. 4 (2010): pp. 371-390.

Hiremath, Gourishankar S and Bandi, Kamaiah (2010): Long Memory in Stock Market Volatility:Evidence from India. Published in: Artha Vijnana , Vol. 52, No. 4 (2010): pp. 332-345.

Hiremath, Gourishankar S and Bandi, Kamaiah (2009): On the random walk characteristics of stock returns in India. Published in: Artha Vijnana , Vol. 51, No. 1 (2009): pp. 85-96.

Hiremath, Gourishankar S and Bandi, Kamaiah (2011): Testing Long Memory in Stock Returns of Emerging Markets: Some Further Evidence. Published in: Economics, Management, and Financial Markets , Vol. 6, No. 3 (2011): pp. 136-147.

Hiremath, Gourishankar S and Kumari, Jyoti (2013): Stock Returns Predictability and the Adaptive Market Hypothesis: Evidence from India.

Hiremath, Gourishankar S and Kumari, Jyoti (2014): Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India. Published in: SpringPlus , Vol. 428, No. 3 (2014): pp. 1-14.

Hirshleifer, David (2001): Investor Psychology and Asset Pricing. Published in: Journal of Finance , Vol. 56, No. 4 (August 2001): pp. 1533-1597.

Hirshleifer, David and Hou, Kewei and Teoh, Siew Hong (2007): Accruals and Aggregate Stock Market Returns.

Hirshleifer, David and Jian, Ming and Zhang, Huai (2014): Superstition and financial decision making.

Hirshleifer, David and Jiang, Danling (2007): Commonality in Misvaluation, Equity Financing, and the Cross Section of Stock Returns.

Hirshleifer, David and Jiang, Danling (2007): A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns.

Hirshleifer, David and Lim, Sonya Seongyeon and Teoh, Siew Hong (2006): Driven to distraction: Extraneous events and underreaction to earnings news.

Hou, Kewei and Hirshleifer, David and Teoh, Siew Hong (2007): The Accrual Anomaly: Risk or Mispricing?

Huang, Huichou and MacDonald, Ronald (2012): Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia.

Huang, Huichou and MacDonald, Ronald and Zhao, Yang (2012): Global Currency Misalignments, Crash Sensitivity, and Moment Risk Premia.

Hung, Mao-wei and Lee, Cheng-few and So, Leh-chyan (2005): Hedging with Foreign-listed Single Stock Futures. Published in: Advances in Quantitative Analysis of Finance and Accounting , Vol. 2, (2005): pp. 129-151.

Husain, Fazal (1997): The Random Walk Model in the Pakistani Equity market: An Examination. Published in: The Pakistan Development Review , Vol. 36, No. 3 (1997): pp. 221-240.

Husain, Fazal (1998): A Seasonality in the Pakistani Equity Market: The Ramadhan Effect. Published in: The Pakistan Development Review , Vol. 37, No. 1 (1998): pp. 77-81.

Hyde, Stuart J (2007): The response of industry stock returns to market, exchange rate and interest rate risks. Published in: Managerial Finance , Vol. 33, (2007): pp. 693-709.

Häseler, Sönke (2012): Individual versus Collective Enforcement Rights in Sovereign Bonds. Forthcoming in: Eugenio A Bruno (ed.) “Sovereign Debt and Debt Restructuring”, Globe Business Publishing

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Ielpo, Florian and Guégan, Dominique (2006): Further evidence on the impact of economic news on interest rates.

Ilmolelian, Peter (2005): The determinants of the Harare Stock Exchange (HSE) market capitalisation. Published in: EconPapers No. http://econpapers.repec.org/paper/wpawuwpem/0511016.htm

Ilya, Gikhman (2007): Corporate debt pricing I.

Iqbal, Javed and Brooks, Robert and Galagedera, Don UA (2007): Robust Tests of the Lower Partial Moment Asset Pricing Model in Emerging Markets.

Iqbal, Javed and Brooks, Robert and Galagedera, Don UA (2007): Testing Asset Pricing Models in Emerging Markets: An Examination of Higher Order Co-Moments and Alternative Factor Models. Published in: Proceedings 12 Doctoral Reseach Conference, Faculty of Business and Economics Monash University , Vol. 12, (October 2007): pp. 109-120.

Iqbal, Javed and Haider, Aziz (2005): Arbitrage pricing theory: evidence from an emerging stock market. Published in: Lahore Journal of Economics , Vol. 10, No. 1 (15. June 2005): pp. 123-140.

Ivanov, Sergei (2014): Альтернативный подход к определению условий отсутствия арбитража.

Ivanov, Sergei (2014): Exploiting of interest rates fundamental inefficiency.

Ivanov, Sergei (2013): Implied-in-prices expectations: Their role in arbitrage. Published in: Atti della Accademia Peloritana dei Pericolanti. Classe di Scienze Fisiche, Matematiche e Naturali , Vol. S1, No. 92 (24. February 2014): B1-B1.

ilya, gikhman (2006): Fixed-income instrument pricing.

ilya, gikhman (2005): Options valuation.

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Jahan-Parvar, Mohammad and Waters, George (2009): Equity Price Bubbles in the Middle Eastern and North African Financial Markets.

Jahan-Parvar, Mohammad R. and Liu, Xuan and Rothman, Philip (2009): Equity Returns and Business Cycles in Small Open Economies.

Jakas, Vicente (2011): Theory and empirics of an affine term structure model applied to European data. Published in: Aestimatio. The IEB International Journal of Finance No. 2 (July 2011): pp. 1-18.

Janda, Karel and Vylezik, Tomas (2011): Financial Management of Weather Risk with Energy Derivatives.

Jarraya, Bilel (2013): Asset allocation and portfolio optimization problems with metaheuristics: a literature survey. Published in: Business Excellence and Management , Vol. 3, No. 4 (2013): pp. 38-56.

Jarraya, Bilel and Bouri, Abdelfettah (2013): Multiobjective optimization for the asset allocation of European nonlife insurance companies. Published in: Journal of Multi-Criteria Decision Analysis , Vol. 20, No. 3-4 (2013): pp. 97-108.

Javed, Attiya Y. and Iqbal, Robina (2007): Relationship between Corporate Governance Indicators and Firm Value: A Case Study of Karachi Stock Exchange. Published in:

Javid, Attiya Yasmin (2009): Test of Higher Moment Capital Asset Pricing Model in Case of Pakistani Equity Market. Published in: European Journal of Economics, Finance and Administrative Studies No. 15 (2009)

Jensen, Mark J and Maheu, John M (2013): Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.

Jiang, Danling (2008): Cross-Sectional Dispersion of Firm Valuations and Expected Stock Returns.

Jiranyakul, Komain (2011): On the Risk-Return Tradeoff in the Stock Exchange of Thailand: New Evidence. Published in: Asian Social Science , Vol. 7, No. 7 (July 2011): pp. 115-123.

John, Tatom (2009): U.S. Monetary Policy and Stock Prices: Should the Fed Attempt to Control Stock Prices?

Ju, Nengjiu and Miao, Jianjun (2009): Ambiguity, Learning, and Asset Returns.

Juan Marcelo, Ochoa (2006): An Interpretation of An Affine Term Structure Model for Chile. Forthcoming in: Revista de Estudios de Economia (2006)

Jäckel, Christoph (2013): Model uncertainty and expected return proxies.

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Kaizoji, Taisei and Sornette, Didier (2008): Market Bubbles and Crashes. Published in: Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. (2009)

Kaizoji, Taisei (kaizoji@icu.ac.jp) (2010): A behavioral model of bubbles and crashes.

Kal, Süleyman Hilmi and Arslaner, Ferhat and Arslaner, Nuran (2013): Gold, Stock Price, Interest Rate and Exchange Rate Dynamics: An MS VAR Approach. Published in: International Research Journal of Finance and Economics No. 107 (5. April 2013): pp. 8-16.

Kal, Süleyman Hilmi and Arslaner, Ferhat and Arslaner, Nuran (2013): Transitional Dynamics of Oil Prices. Published in: International Research Journal of Finance and Economics No. 106 (5. May 2013): pp. 24-30.

Kalogeropoulos, Konstantinos and Dellaportas, Petros and Roberts, Gareth O. (2007): Likelihood-based inference for correlated diffusions.

Kalogeropoulos, Konstantinos and Roberts, Gareth O. and Dellaportas, Petros (2007): Inference for stochastic volatility model using time change transformations.

Karkowska, Renata (2013): The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility. Published in: Faculty of Management Working Paper Series , Vol. No 3, No. No 3/ 2013 (October 2013): pp. 1-13.

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Khan, Mashrur Mustaque and Yousuf, Ahmed Sadek (2013): Macroeconomic Forces and Stock Prices:Evidence from the Bangladesh Stock Market.

Khan, Muhammad Irfan Khan and Meher, Muhammad Ayub Khan Mehar and Syed, Syed Muhammad Kashif (2013): Impact of Inflation on Dividend Policy: Synchronization of Capital Gain and Interest Rate. Published in: Pensee Journal , Vol. 75, No. 11 (20. November 2013): pp. 384-393.

Kitov, Ivan (2009): Apples and oranges: relative growth rate of consumer price indices.

Kitov, Ivan and Kitov, Oleg (2012): Sustainable trends and periodicity in consumer price indices indicate that the era of low energy prices is approaching.

Klein, Achim and Urbig, Diemo and Kirn, Stefan (2008): Who drives the Market? Estimating a heterogeneous Agent-based Financial Market Model using a Neural Network Approach.

Kodongo, Odongo and Ojah, Kalu (2014): The conditional pricing of currency and inflation risks in Africa's equity markets.

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Kozmenko, Serhiy and Plastun, Oleksiy (2011): Mutual influence of exchange assets: analysis and estimation. Published in: Banks and Bank Systems , Vol. 6, No. 2 (30. June 2011): pp. 53-58.

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Kurz, Mordecai (2006): Beauty contests under private information and diverse beliefs: how different? Forthcoming in: Journal of Mathematical Economics , Vol. forthc, No. forthcoming

Kurz, Mordecai and Motolese, Maurizio (2006): Risk Premia, diverse belief and beauty contests.

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Lamé, Gildas (2013): Was there a "Greenspan conundrum" in the Euro area ? Published in: INSEE Working Papers (September 2013)

Landon, Stuart (2009): The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds.

Landon, Stuart and Smith, Constance (2008): Taxation and bond market investment strategies: Evidence from the market for Government of Canada bonds.

Lanne, Markku and Luoto, Jani (2007): Robustness of the Risk-Return Relationship in the U.S. Stock Market.

Lanne, Markku and Meitz, Mika and Saikkonen, Pentti (2012): Testing for predictability in a noninvertible ARMA model.

Larson, Nathan (2011): Clustering on the same news sources in an asset market.

Lau, Chi-Lei Oscar (2008): Disentangling Intertemporal Substitution and Risk Aversion under the Expected Utility Theorem.

Lazarevski, Dimche (2011): Foreign investors’ influence towards small stock exchanges boom and bust: Macedonian stock exchange case. Published in: Capital Markets: Market Efficiency eJournal (29. August 2012)

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Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2013): Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets.

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Lee, Y. and So, Leh-chyan (2013): Enemies or Allies: Pricing counterparty credit risk for synthetic CDO tranches.

Lenz, Rainer (2008): The Logic of Merger and Acquisition Pricing. Forthcoming in:

Lerner, Peter (2010): Theoretical analysis of the bid-ask bounce and Related Phenomena. Published in: Aestimatio No. 1 (December 2010): pp. 1-20.

Leung, Charles Ka Yui and CHEUNG, W. Y. Patrick and TANG, C. H. Edward (2011): Financial Crisis and the Comovements of Housing Sub-markets: Do relationships change after a crisis?

Li, Minqiang (2014): Analytic Approximation of Finite-Maturity Timer Option Prices.

Li, Minqiang (2010): Asset Pricing - A Brief Review.

Li, Minqiang (2008): Closed-Form Approximations for Spread Option Prices and Greeks.

Li, Minqiang (2008): A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation.

Li, Minqiang (2014): Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach.

Li, Minqiang and Mercurio, Fabio (2013): Closed-Form Approximation of Timer Option Prices under General Stochastic Volatility Models.

Li, Nan (2004): The Implied Benchmark Rate in the Credit Default Swap Market of Sovereign Bonds.

Lin, William and Sun, David (2007): Liquidity-adjusted benchmark yield curves: a look at trading concentration and information. Published in: Review of Pacific Basin Financial Markets and Policies , Vol. 4, No. 10 (December 2007): pp. 491-518.

Lin, William and Sun, David and Tsai, Shih-Chuan (2010): Does trading remove or bring frictions?

Lin, William and Sun, David and Tsai, Shih-Chuan (2010): Searching out of Trading Noise: A Study of Intraday Transactions Cost.

Lin, William and Tsai, Shih-Chuan and Sun, David (2008): Price informativeness and predictability: how liquidity can help. Published in: Applied Economics , Vol. 17, No. 43 (July 2011): pp. 2199-2217.

Lin, William and Tsai, Shih-Chuan and Sun, David (2010): Search costs and investor trading activity: evidences from limit order book. Forthcoming in: Emerging Markets Finance and Trade

Lin, William and Tsai, Shih-Chuan and Sun, David (2009): What Causes Herding:Information Cascade or Search Cost ?

Liu, Xiaochun (2013): Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach.

Lof, Matthijs (2013): Essays on Expectations and the Econometrics of Asset Pricing.

Lof, Matthijs (2010): Heterogeneity in stock prices: A STAR model with multivariate transition function.

Lof, Matthijs (2011): Noncausality and Asset Pricing.

Los, Cornelis A. and Tungsong, Satjaporn (2008): Investment Model Uncertainty and Fair Pricing.

Luis Manuel, García Muñoz (2012): Collateral choice and the fundamental theorem of asset pricing.

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MAKU, Olukayode E. and ATANDA, Akinwande Abdulmaliq (2010): Determinants of stock market performance in Nigeria: long-run analysis. Published in: Journal of Management and Organizational Behaviour , Vol. 1, No. 3 (2010): pp. 1-16.

Maclachlan, Iain C (2007): An empirical study of corporate bond pricing with unobserved capital structure dynamics.

Magni, Carlo Alberto (2007): CAPM and capital budgeting: present versus future, equilibrium versus disequilibrium, decision versus valuation.

Magni, Carlo Alberto (2006): CAPM-based capital budgeting and nonadditivity.

Magni, Carlo Alberto (2006): CAPM-based capital budgeting and nonadditivity.

Magni, Carlo Alberto (2006): CAPM-based capital budgeting and nonadditivity. Forthcoming in: Journal of Property Finance and Investment , Vol. 5, No. 26 (2008)

Magni, Carlo Alberto (2007): Correct or incorrect application of CAPM? Correct or incorrect decisions with CAPM? Forthcoming in: European Journal of Operational Research

Magni, Carlo Alberto (2000): Decomposition of a Certain Cash Flow Stream: Differential Systemic Value and Net Final Value. Published in: Proceedings of the XXIV Annual AMASES Conference No. September 6-9th (6. September 2000): pp. 163-170.

Magni, Carlo Alberto (2000): Decomposition of a Certain Cash Flow Stream: Differential Systemic Value and Net Final Value. Published in: Proceedings of the XXIV Annual AMASES Conference No. September 6-9th (6. September 2000): pp. 163-170.

Magni, Carlo Alberto (2005): Economic profit, NPV, and CAPM: Biases and violations of Modigliani and Miller's Proposition I. Forthcoming in: The ICFAI Journal of Applied Finance

Magni, Carlo Alberto (2005): Economic profit, NPV, and CAPM: Biases and violations of Modigliani and Miller's Proposition I. Published in: The ICFAI Journal of Applied Finance , Vol. 14, No. 10 (October 2008): pp. 59-72.

Magni, Carlo Alberto (2005): Firm Value and the mis-use of the CAPM for valuation and decision making.

Magni, Carlo Alberto (2005): Firm Value and the mis-use of the CAPM for valuation and decision making.

Magni, Carlo Alberto (2005): Firm Value and the mis-use of the CAPM for valuation and decision making. Forthcoming in: Applied Economics Research Bulletin (Peer-Reviewed Working Paper Series) (2009)

Magni, Carlo Alberto (2007): In search of the "lost capital". A theory for valuation, investment decisions, performance measurement.

Magni, Carlo Alberto (2000): Irr, Roe and Npv: Formal and Conceptual Convergences in a Systemic Approach. Published in: Finanza marketing e produzione , Vol. 4, No. 18 (December 2000): pp. 31-59.

Magni, Carlo Alberto (2007): Measuring performance and valuing firms: In search of the lost capital.

Magni, Carlo Alberto (2007): Measuring performance and valuing firms: In search of the lost capital.

Magni, Carlo Alberto (2005): On decomposing net final values: EVA, SVA, and shadow project. Published in: Theory and Decision , Vol. 59, (2005): pp. 51-95.

Magni, Carlo Alberto (2007): Project valuation and investment decisions: CAPM versus arbitrage. Published in: Applied Financial Economics Letters , Vol. 3, No. 1 (March 2007): pp. 137-140.

Magni, Carlo Alberto (2007): Residual income and value creation: An investigation into the lost-capital paradigm.

Magni, Carlo Alberto (2007): Residual income and value creation: An investigation into the lost-capital paradigm.

Magni, Carlo Alberto (2007): Residual income and value creation: An investigation into the lost-capital paradigm.

Magni, Carlo Alberto (2000): Scomposizione di sovraprofitti: Economic Value Added e Valore Aggiunto Sistemico. Published in: Finanza Marketing e Produzione , Vol. 4, No. 19 (December 2001): pp. 94-119.

Magni, Carlo Alberto (2008): Splitting Up Value: A Critical Review of Residual Income Theories. Forthcoming in: European Journal of Operational Research

Magni, Carlo Alberto (2007): A Sum&Discount method for appraising firms:An illustrative example.

Magni, Carlo Alberto (2000): Systemic Value Added, Residual Income and Decomposition of a Cash Flow Stream.

Magni, Carlo Alberto (2005): THEORETICAL FLAWS IN THE USE OF THE CAPM FOR INVESTMENT DECISIONS.

Magni, Carlo Alberto (2001): Valore Aggiunto Sistemico: un'alternativa all'EVA quale indice di sovraprofitto periodale. Published in: Budget , Vol. 1, No. 25 (January 2001): pp. 63-71.

Magni, Carlo Alberto (2004): An alternative approach to firms’ evaluation: expert systems and fuzzy logic. Published in: International Journal of Information Technology and Decision Making , Vol. 1, No. 5 (March 2006): pp. 195-225.

Magni, Carlo Alberto and Vélez-Pareja, Ignacio (2009): Potential dividends versus actual cash flows in firm valuation. Forthcoming in: ICFAI Journal of Applied Finance

Maku, Olukayode E. and Atanda, Akinwande A. (2009): Does Macroeconomic Indicators exert shock on the Nigerian Capital Market?

Malhotra, Karan (2010): Autoregressive multifactor APT model for U.S. Equity Markets.

Malhotra, Madhuri Malhotra and M., Thenmozhi and Gopalaswamy, Arun Kumar (2012): Liquidity changes around bonus and rights issue announcements: Evidence from manufacturing and service sectors in India. Published in: Wealth-International Journal of Money banking and Finance , Vol. Volume, No. Issue 1 (June 2012): pp. 28-34.

Malik, Saif Ullah (2012): Relationship between Corporate Governance Score and Stock Prices: Evidence from KSE- 30 Index Companies. Published in: International Journal of Business and Social Science , Vol. 4, No. Vol. 3 No. 4 [Special Issue - February 2012] (1. February 2012): pp. 239-249.

Mapa, Dennis S. and Cayton, Peter Julian and Lising, Mary Therese (2009): Estimating Value-at-Risk (VaR) using TiVEx-POT Models.

Mapa, Dennis S. and Suaiso, Oliver Q. (2009): Measuring market risk using extreme value theory.

Marcello, Pericoli and Marco, Taboga (2005): A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors.

Marco, Bianchetti (2011): The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management.

Marco, Bianchetti and Mattia, Carlicchi (2012): Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR.

Maria Caporale, Guglielmo and Gil-Alana, Luis and Plastun, Alex and Makarenko, Inna (2013): Long memory in the ukrainian stock market and financial crises. Forthcoming in: Working Paper No. 13-27. – Brunel University, London

Maryatmo, Rogatianus (2010): Pengaruh Jangka Pendek dan Jangka Panjang Perubahan Suku Bunga dan Kurs Rupiah Terhadap Harga Saham : Studi Empiris di Indonesia (2000:1 – 2010:4).

Massmiliano, Marzo and Daniele, Ritelli and Paolo, Zagaglia (2011): Optimal trading execution with nonlinear market impact: an alternative solution method.

Mattarocci, Gianluca (2006): Market characteristics and chaos dynamics in stock markets: an international comparison.

Md Isa, Abu Hassan and Puah, Chin-Hong and Yong, Ying-Kiu (2008): Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM.

Meng, Ginger and Hu, Gang and Bai, Jushan (2007): Olive: a simple method for estimating betas when factors are measured with error. Published in: The Journal of Financial Research , Vol. XXXIV, No. 1 (2011): pp. 27-60.

Menkhoff, Lukas and Sarno, Lucio and Schmeling, Maik and Schrimpf, Andreas (2009): Carry Trades and Global FX Volatility.

Michailova, Julija (2010): Overconfidence and bubbles in experimental asset markets.

Miyakoshi, Tatsuyoshi and Li, Kui-Wai and Shimada, Junji (2014): Rational Expectation Bubbles: Evidence from Hong Kong’s Sub-Indices. Published in: Applied Economics , Vol. 46, No. 20 (1. July 2014): pp. 2429-2440.

Moawia, Alghalith (2009): Optimal option pricing and trading: a new theory.

Modena, Matteo (2008): The term structure and the expectations hypothesis: a threshold model.

Mohanty, Roshni and P, Srinivasan (2014): The Time-Varying Risk and Return Trade Off in Indian Stock Markets.

Monostori, Zoltan (2012): Magyar szuverén fix kamatozású forintkötvények hozamdekompozíciója. Published in: Hitelintézeti Szemle , Vol. 5, No. 11 (December 2012): pp. 462-475.

Moore, Kyle and Sun, Pengei and de Vries, Casper G. and Zhou, Chen (2013): The drivers of downside equity tail risk.

Moore, Kyle and Sun, Pengfei and de Vries, Casper G. and Zhou, Chen (2013): The cross-section of tail risks in stock returns.

Muhammad, Irfan (2012): Non-standardized form of CAPM and stock returns. Published in: International Journal of Business and Social Science , Vol. 3, No. 2 (January 2012): pp. 193-201.

Muradoglu, Gulnur and Zaman, Asad and Orhan, Mehmet (2003): Measuring the Systematic Risk of IPO’s Using Empirical Bayes Estimates in the Thinly Traded Istanbul Stock Exchange. Published in: International Journal of Business , Vol. 3, No. 8 (2003): pp. 315-334.

magni, Carlo Alberto (2006): Zelig and the Art of Measuring Excess Profit. Published in: Frontiers in Finance and Economics , Vol. 1, No. 3 (June 2006): pp. 103-129.

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Najeeb, Syed Faiq and Bacha, Obiyathulla and Masih, Mansur (2014): Does a held-to-maturity strategy impede effective portfolio diversification for Islamic bond (sukuk) portfolios? A multi-scale continuous wavelet correlation analysis.

Nath, Golaka (2012): Estimating term structure changes using principal component analysis in Indian sovereign bond market.

Nath, Golaka (2013): Liquidity Issues in Indian Sovereign Bond Market.

Nath, Golaka (2013): Repo Market – A Tool to Manage Liquidity in Financial Institutions.

Nath, Golaka (2013): The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis.

Nauta, Bert-Jan (2013): Valuation of Illiquid Assets on Bank Balance Sheets.

Nawar, Hashem (2010): Industry Concentration and the Cross-section of Stock Returns: Evidence from the UK.

Ndako, Umar Bida (2013): The Day of the Week effect on stock market returns and volatility: Evidence from Nigeria and South Africa.

Nicolau, Mihaela (2010): Financial Markets Interactions between Economic Theory and Practice. Published in: The Annals of Dunărea de Jos University Fascicle I. Economics and Applied Informatics , Vol. 16, No. 2 (30. November 2010): pp. 27-36.

Ntim, Collins G (2012): Why African Stock Markets Should Formally Harmonise and Integrate their Operations. Published in: African Review of Economics and Finance , Vol. 4, No. 1 (29. December 2012): pp. 53-72.

Nunes, Mauricio and Da Silva, Sergio (2007): Rational bubbles in emerging stockmarkets.

Nuttall, John (2006): Asset allocation approach to understanding stock market dynamics.

Nyberg, Henri (2010): QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles.

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Ogundipe, Adeyemi and Ogundipe, Oluwatomisin (2013): Oil Price and Exchange Rate Volatility in Nigeria.

Olafsdottir, Katrin and Sigurdsson, Kari (2007): Hversu vel tekst til með verðbólguspár greiningardeilda?

Omer, Muhammad and de Haan, Jakob and Scholtens, Bert (2013): Does Uncovered Interest rate Parity Hold After All?

Onour, Ibrahim (2010): The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries.

Onour, Ibrahim (2013): Pricing the Cost of Deposit Insurance and Assessing Moral Hazard Effect: Evidence from Banking Sector in Sudan.

Onour, Ibrahim (2007): Testing Efficiency Performance of an Underdeveloped Stock Market.

Orlowski, Lucjan T (2008): Stages of the 2007/2008 Global Financial Crisis: Is There a Wandering Asset-Price Bubble? Published in: Economics E-Journal , Vol. 43, (18. December 2008)

Otrok, Christopher and Ravikumar, B and Whiteman, Charles (2001): Stochastic Discount Factor Models and the Equity Premium Puzzle.

Ozun, Alper and Cifter, Atilla (2007): Modeling Long-Term Memory Effect in Stock Prices: A Comparative Analysis with GPH Test and Daubechies Wavelets.

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Pagel, Michaela (2012): Expectations-Based Reference-Dependent Preferences and Asset Pricing.

Pagliarani, Stefano and Pascucci, Andrea (2011): Analytical approximation of the transition density in a local volatility model.

Pakos, Michal (2004): Asset Pricing with Durable Goods and Nonhomothetic Preferences.

Pakos, Michal (2013): Long-Run Risk and Hidden Growth Persistence. Published in: Journal of Economic Dynamics and Control , Vol. 37, No. 9 (1. September 2013): 1911-1928.

Panait, Iulian and Slavescu, Ecaterina Oana (2012): Skewness in stock returns: evidence from the Bucharest stock exchange during 2000 – 2011. Published in: CKS – eBook 2012 (2012): pp. 1592-1600.

Pasaribu, Rowland Bismark Fernando (2010): Anomali Overreaction di bursa efek Indonesia: Penelitian Saham LQ-45. Published in: Jurnal Ekonomi dan Bisnis , Vol. 5, No. 2 (July 2011): pp. 87-115.

Pasaribu, Rowland Bismark Fernando (2009): Kinerja Pasar dan Informasi Akuntansi sebagai Pembentuk Portfolio Saham. Published in: Jurnal Ekonomi dan Bisnis , Vol. 3, No. 3 (November 2009): pp. 203-223.

Pasaribu, Rowland Bismark Fernando (2009): Koreksi Bias Koefisien Beta. Published in: Jurnal Ekonomi dan Bisnis , Vol. 3, No. 3 (July 2009): pp. 81-89.

Pasaribu, Rowland Bismark Fernando (2009): Koreksi Bias Koefisien Beta. Published in: Jurnal Ekonomi dan Bisnis , Vol. 3, No. 3 (July 2009): pp. 81-89.

Pasaribu, Rowland Bismark Fernando (2010): Pemilihan Model Asset Pricing. Published in: Jurnal Akuntansi dan Manajemen , Vol. 21, No. 3 (December 2010): pp. 217-230.

Pasaribu, Rowland Bismark Fernando (2008): Pengaruh Variabel Fundamental terhadap Harga Saham Perusahaan Go-public di Bursa Efek Indonesia periode 2003-2006. Published in: Jurnal Ekonomi dan Bisnis , Vol. 2, No. 2 (July 2008): pp. 101-113.

Pascalau, Razvan and Thomann, Christian and Gregoriou, Greg N. (2010): Unconditional mean, Volatility and the Fourier-Garch representation. Published in: Aestimatio No. 1 (December 2010): pp. 1-20.

Penasse, Julien (2008): Cash Flow-Wise ABCDS pricing.

Pereira Reichhardt, Joaquín and Iqbal, Tabassum (2014): Investment Decisions: Are we fully-Rational?

Perez, Marcos and Ahn, Seung Chan (2007): GMM Estimation of the Number of Latent Factors.

Peroni, Chiara (2009): Testing Linearity in Term Structures.

Peroni, Chiara (2007): A non-parametric investigation of risk premia.

Peroni, Chiara (2008): A non-parametric investigation of risk premia.

Piasecki, Krzysztof (2011): Effectiveness of securities with fuzzy probabilistic return. Published in: Operations Research and Decisions No. 2 (2011): pp. 65-78.

Piasecki, Krzysztof (2011): Rozmyte zbiory probabilistyczne jako narzędzie finansów behawioralnych. Published in: (November 2011): pp. 1-132.

Prono, Todd (2011): When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models.

Puah, Chin-Hong and Liew, Samuel Wei-Siew (2011): White-collar crime and stock return: Empirical study from announcement effect.

Puah, Chin-Hong and Tan, Lay-Phin and Md Isa, Abu Hassan (2009): Nexus between Oil Price and Stock Performance of Power Industry in Malaysia.

Q

Qayyum, Abdul and Anwar, Saba (2011): Impact of Monetary Policy on the Volatility of Stock Market in Pakistan. Published in: International Journal of Business and Social Science , Vol. 2, No. 11 (22. May 2011): pp. 18-24.

R

Rambaccussing, Dooruj (2009): Exploiting price misalignements.

Rambaccussing, Dooruj (2010): A real-time trading rule.

Reis, Luciana and Meurer, Roberto and Da Silva, Sergio (2008): Stock returns and foreign investment in Brazil.

Rizvi, Syed Aun and Masih, Mansur (2013): Do Shariah (Islamic) Indices Provide a Safer Avenue in Crisis? Empirical Evidence from Dow Jones Indices using Multivariate GARCH-DCC.

Rosenthal, Dale W.R. (2012): Approximating correlated defaults.

Rosenthal, Dale W.R. (2012): Performance metrics for algorithmic traders.

Rossi, Francesco (2011): Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates.

Rossi, Francesco (2012): U.K. cross-sectional equity data: The case for robust investability filters. Published in: European Economics Letters , Vol. 1, No. 1 (December 2012): pp. 6-13.

Rossi, Francesco (2011): U.K. cross-sectional equity data: do not trust the dataset! The case for robust investability filters.

Rubio, Gonzalo and Lozano, Martin (2009): Evaluating alternative methods for testing asset pricing models with historical data. Forthcoming in: Journal of Empirical Finance

S

SHAH, Syed Muhammad Noaman Ahmed and KEBEWAR, mazen (2013): US Corporate Bond Yield Spread: A default risk debate.

Sakagami, Yoshitaka (2012): A note on the pricing of the perpetual American capped power put option.

Salazar, Juan and Lambert, Annick (2010): fama and macbeth revisited: A Critique. Published in: Aestimatio. The IEB International Journal of Finance No. 1 (December 2010): pp. 1-24.

Saleem, Kashif and Vaihekoski, Mika (2007): Time-varying global and local sources of risk in Russian stock market.

Santos, Carlos (2011): The euro sovereign debt crisis, determinants of default probabilities and implied ratings in the CDS market: an econometric analysis.

Saturnino, Odilon and Saturnino, Valéria and Lucena, Pierre and Caetano, Marcelino and Florencio dos Santos, Josete (2012): Oferta Pública Inicial (IPO) de ações no Brasil: uma análise dos retornos da IPO de ações com baixo Índice Preço/Lucro (P/L).

Saumitra, Bhaduri (2012): A note on the empirical test of herding: a threshold regression approach.

Schied, Alexander and Schoeneborn, Torsten (2008): Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets.

Schmidt, Frederik (2009): The Undervaluation of Distressed Company's Equity.

Schoeneborn, Torsten and Schied, Alexander (2007): Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision.

Shachat, Jason and Srivinasan, Anand (2011): Informational price cascades and non-aggregation of asymmetric information in experimental asset markets.

Shachat, Jason and Wang, Hang (2014): Are You Experienced?

Shaikh, Salman (2013): Investment Decisions by Analysts: A Case Study of KSE. Forthcoming in: 3rd IRC Proceedings, Szabist Karachi , Vol. 1, No. 1 (1. December 2013)

Siddiqi, Hammad (2013): Analogy Making, Option Prices, and Implied Volatility.

Siddiqi, Hammad (2009): Coarse Thinking and Pricing a Financial Option.

Siddiqi, Hammad (2010): Coarse thinking, implied volatility, and the valuation of call and put options.

Siddiqi, Hammad (2009): Does Coarse Thinking Matter for Option Pricing? Evidence from an Experiment.

Siddiqi, Hammad (2013): Mental Accounting: A Closed-Form Alternative to the Black Scholes Model.

Siddiqi, Hammad (2007): Rational Interacting Agents and Volatility Clustering: A New Approach.

Siddiqi, Hammad (2011): Thinking by analogy, systematic risk, and option prices.

Siddiqi, Hammad (2010): The relevance of coarse thinking for investors' willingness to pay: An experimental study.

Simarmata, Djamester A. (2005): Institutions for Healthy Assets Market and Economy: A Retrospect for Indonesia before 1997. Published in: Economic Jounal. Journal of Faculty of Economics Padjadjaran Universty , Vol. Volume, No. No. 2 (September 2005): pp. 149-180.

Singh, Saurabh and Saharawat, Swati (2011): Hedging dynamics with gold futures. Published in: Pantnagar Journal of Research , Vol. 10, No. 1 (2012): pp. 71-77.

Sinha, Pankaj and Agnihotri, Shalini (2014): Investigating impact of volatility persistence, market asymmetry and information inflow on volatility of stock indices using bivariate GJR-GARCH.

Sinha, Pankaj and Goyal, Lavleen (2012): Algorithm for construction of portfolio of stocks using Treynor’s ratio.

Sinha, Pankaj and Jayaraman, Prabha (2012): Empirical analysis of the forecast error impact of classical and bayesian beta adjustment techniques.

Sinha, Pankaj and Mathur, Kritika (2012): Evolution of security transaction tax in India.

Sinha, Pankaj and Mathur, Kritika (2013): Price, Return and Volatility Linkages of Base Metal Futures traded in India.

Sirucek, Martin (2012): Macroeconomic variables and stock market: US review. Forthcoming in: International journal of computer science and management studies (2012)

So, Leh-chyan (2013): Are Real Options “Real”? Isolating Uncertainty from Risk in Real Options Analysis. Forthcoming in: Annals of Financial Economics

Song, In Ho (2010): House Prices and Consumption.

Stefanescu, Razvan and Dumitriu, Ramona (2010): Impact of the global crisis on the linkages between the interest rates and the stock prices in Romania. Published in: Proceedings of the International Conference on Economics and Administration, Bucharest, June 3 – 4, 2011 (15. May 2010): pp. 595-607.

Stravelakis, Nikos (2014): Financial Crisis and Economic Depression: 'Post Hoc Ego Propter Hoc'? Implications for Financial Asset Valuation and Financial Regulation. Forthcoming in:

Subhani, Muhammad Imtiaz and Hasan, Syed Akif and Mehar, Dr. Ayub and Osman, Ms. Amber (2011): Are the Major South Asian Equity Markets Co-Integrated? Published in: International Journal of Humanities and Social Science , Vol. 1, No. 12 (2011): pp. 117-121.

Sun, David and Chow, Da-Ching (2014): Forgive, or Award, Your Debtor? - A Barrier Option Approach.

Sun, David and Tsai, Shih-Chuan (2013): Diversifying Risks in Bond Portfolios: A Cross-border Approach.

Sun, David and Tsai, Shih-Chuan and Wang, Wei (2011): Behavioral investment strategy matters: a statistical arbitrage approach.

Swastika, Purti and Dewandaru, Ginanjar and Masih, Mansur (2013): The Impact of Debt on Economic Growth: A Case Study of Indonesia.

Syed ali, Raza and Syed tehseen, jawaid and Imtiaz, arif and Fahim, qazi (2011): Validity of capital asset pricing model: evidence from Karachi stock exchange.

Sylvain, Serginio (2014): Does Human Capital Risk Explain The Value Premium Puzzle?

T

Taboga, Marco (2008): Macro-finance VARs and bond risk premia: a caveat.

Taboga, Marco (2007): Structural change and the bond yield conundrum.

Tatom, John (2005): Is Your Bubble About to Burst?

Termos, Ali (2008): Capital Investment as Real Options: A Note on Dixit-Pindyck Model.

Théoret, Raymond and Racicot, François-Éric (2010): "Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio". Published in: Aestimatio. The IEB International Journal of Finance No. 1 (December 2010): pp. 1-20.

Todd, Prono (2009): Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique.

Tola, Albi and Wälti, Sébastien (2012): Deciphering financial contagion in the euro area during the crisis.

Tomić, Bojan (2013): The application of the capital asset pricing model on the Croatian capital market. Published in: Financije i pravo , Vol. 1, No. 1 (2013): pp. 105-123.

Tomić, Bojan and Sesar, Andrijana and Džaja, Tomislav (2014): Komparativna analiza europskog tržišta kapitala i Dow Jones Industrial Average indeksa. Published in: Accounting and Management No. 15th International Scientific and Professional Conference (June 2014): pp. 265-283.

Trabelsi, Mohamed Ali (2008): Peut-on encore parler des mesures de performance ? Published in: Revue Tunisienne d'Economie et de Gestion , Vol. Volume, (2008): pp. 265-295.

Trabelsi, Mohamed Ali (2008): Sur-réaction sur le marché tunisien des actions : une investigation empirique. Published in: La Revue des Sciences de Gestion No. 236 (March 2009): pp. 51-58.

U

Ulibarri, Carlos A. (2004): Introducing contemporaneous open-outcry and e-trading at the Chicago Board of Trade. Published in: Asia Pacific Management Review , Vol. 9, No. 5 (2004)

Ulibarri, Carlos A. (1998): Is after-hours trading informative? Published in: Journal of Futures Markets , Vol. 18, No. 5 (1998): pp. 563-579.

V

Vaihekoski, Mika (1998): Short-term returns and the predictability of Finnish stock returns. Published in: Finnish Economic Papers , Vol. 11, No. 1 (1998): pp. 19-36.

Vanini, Paolo (2012): Fiancial Innovation, Structuring and Risk Transfer.

Varadi, Vijay Kumar (2012): An evidence of speculation in Indian commodity markets.

Varga, Gyorgy (2009): Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil. Published in: Revista Brasileira de Economia , Vol. 63, No. 4 : pp. 361-394.

Venegas-Martínez, Francisco (2014): Caracterización del Precio de un Bono Cupón Cero en un Modelo de Equilibrio General.

Venegas-Martínez, Francisco (2014): Entendiendo los mercados de swaps: Un enfoque de equilibrio general.

Venier, Guido (2007): A new Model for Stock Price Movements. Published in: Journal of Applied Economic Sciences , Vol. 3, No. 3 (November 2008): pp. 327-347.

Verbic, Miroslav (2006): Memory and Asset Pricing Models with Heterogeneous Beliefs.

Vink, Dennis (2007): ABS, MBS and CDO compared: an empirical analysis. Published in: The Journal of Structured Finance , Vol. 14, No. 2 (8. August 2008): pp. 27-45.

Vo, Xuan Vinh (2010): Foreign ownership in Vietnam stock markets - an empirical analysis.

Vo, Xuan Vinh and Batten, Jonathan (2010): An Empirical Investigation of Liquidity and Stock Returns Relationship in Vietnam Stock Markets during Financial Crisis.

Vélez-Pareja, Ignacio (2005): Valoración de flujos de caja en inflación. El caso de la regulación en el Banco Mundial. Published in: Academia. Revista Latinoamericana de Administración, CLADEA No. 36 (2006): pp. 24-49.

Vélez-Pareja, Ignacio and Magni, Carlo Alberto (2008): Potential dividends and actual cash flows. Theoretical and empirical reasons for using ‘actual’ and dismissing ‘potential’, Or: How not to pull potential rabbits out of actual hats.

W

Waśniewski, Krzysztof (2010): Corporate strategies – the institutional approach.

Weber, Patrick (2012): Timing asset market peaks: the role of the liquidity risk cycle of the banking system.

Whelan, Karl (2006): Consumption and Expected Asset Returns without Assumptions About Unobservables.

Wisniewski, Tomasz Piotr and Yekini, Liafisu Sina (2014): Predicting Stock Market Returns Based on the Content of Annual Report Narrative: A New Anomaly.

X

Xiao, Tim (2013): An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk.

Xiao, Tim (2012): An Economic Examination of Collateralization in Different Financial Markets.

Xiao, Tim (2012): An Economic Examination of Collateralization in Different Financial Markets.

Xiao, Tim (2013): The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling.

Xiao, Tim (2013): Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds.

Xiao, Tim (2014): A Simple and Precise Method for Pricing Convertible Bond with Credit Risk. Forthcoming in: Journal of Derivatives and Hedge Funds , Vol. 19, No. 4 (8. February 2014): pp. 244-258.

Y

Yan, Isabel K. and Chong, Terence and Lam, Tau-Hing (2011): Is the Chinese Stock Market Really Efficient. Forthcoming in: China Economic Review

Yasmeen, and Masood, Sarwar and Saghir, Ghauri and Muhammad, Waqas (2012): The Capital Asset Pricing Model: Empirical Evidence from Pakistan. Forthcoming in:

Yoshida, Jiro (2007): Technology Shocks and Asset Price Dynamics: The Role of Housing in General Equilibrium.

Youssef, El-Khatib and Hatemi-J, Abdulnasser (2011): On the calculation of price sensitivities with jump-diffusion structure. Published in: Journal of Statistics Applications & Probability , Vol. 3, No. 1 (2012): pp. 171-182.

Yu, Tongkui and Li, Honggang (2008): Dynamic Regimes of a Multi-agent Stock Market Model.

Yun, Tack and Kim, Jinsook and Ko, Eunmi (2012): The Role of Bounded Rationality in Macro-Finance Affine Term-Structure Models.

Z

Zaytsev, Alexander (2011): Эконометрический анализ динамики российских паевых инвестиционных фондов в кризисный и посткризисный периоды. Published in: collection of best papers of international conference "Lomonosov-2011" (October 2011): 06-40.

Zeballos, David (2011): Market Risk Measurement: Key Rate Duration as an asset allocation instrument.

Zhang, Aihua and Korn, Ralf and Ewald, Christian-Oliver (2007): Optimal management and inflation protection for defined contribution pension plans.

Zhang, Tongbin (2014): Stock Price, Real Riskless Interest Rate and Learning.

Á

Ács, Attila (2012): Liquidity and asset prices: a VECM approach. Published in: Crisis Aftermath: Economic policy changes in the EU and its Member States, Conference Proceedings, Szeged, University of Szeged , Vol. ISBN 9, (2012): pp. 13-26.

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