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Jiranyakul, Komain (2016): Are Thai Equity Index Returns Sensitive to Interest and Exchange Rate Risks?
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John, Tatom (2009): U.S. Monetary Policy and Stock Prices: Should the Fed Attempt to Control Stock Prices?
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Juan Marcelo, Ochoa (2006): An Interpretation of An Affine Term Structure Model for Chile. Forthcoming in: Revista de Estudios de Economia (2006)
Julian, Inchauspe and Helen, Cabalu (2013): What Drives the Shanghai Stock Market? An Examination of its Linkage to Macroeconomic Fundamentals.
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Kaizoji, Taisei (kaizoji@icu.ac.jp) (2010): A behavioral model of bubbles and crashes.
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Langedijk, Sven and Monokroussos, George and Papanagiotou, Evangelia (2015): Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues.
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.
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Lee, King Fuei (2023): Chasing Winners in the Gray Wave: Aging Population and its Effects on Long-Horizon Momentum Profits. Forthcoming in: Journal of Behavioral Finance
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Lee, David (2018): Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment.
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Lee, Seungduck (2016): Money, Asset Prices and the Liquidity Premium.
Lee, Seungduck (2016): Money, Asset Prices and the Liquidity Premium.
Lee, Seungduck (2016): Money, Asset Prices and the Liquidity Premium.
Lee, Seungduck (2016): Money, Asset Prices and the Liquidity Premium.
Lee, Seungduck (2016): Money, Asset Prices and the Liquidity Premium.
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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.
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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?
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Li, Minqiang (2014): Analytic Approximation of Finite-Maturity Timer Option Prices.
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.
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Lin, William and Sun, David and Tsai, Shih-Chuan (2010): Searching out of Trading Noise: A Study of Intraday Transactions Cost.
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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
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Lindblad, Annika (2017): Sentiment indicators and macroeconomic data as drivers for low-frequency stock market volatility.
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.
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Luis Manuel, García Muñoz (2012): Collateral choice and the fundamental theorem of asset pricing.
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.
MODENA, MATTEO and LINCIANO, NADIA and GENTILE, MONICA and FANCELLO, FRANCESCO (2014): The liquidity of dual-listed corporate bonds: empirical evidence from Italian markets.
Maclachlan, Iain C (2007): An empirical study of corporate bond pricing with unobserved capital structure dynamics.
Magnani, Jacopo and Wang, Yabin (2020): Bond Lending and the Law of One Price in China's Treasury Markets.
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.
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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
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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 (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 (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.
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Magni, Carlo Alberto and Vélez-Pareja, Ignacio (2009): Potential dividends versus actual cash flows in firm valuation. Forthcoming in: ICFAI Journal of Applied Finance
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Malefaki, Valia (2015): On Flexible Linear Factor Stochastic Volatility Models.
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Mandal, Nivedita and Das, Rituparna (2022): Price Discovery Efficiency and Resilience of Financial Futures - A Case Study of Indian Banking Sector.
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.
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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).
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Matic, Jovanka Lili and Packham, Natalie and Härdle, Wolfgang Karl (2021): Hedging Cryptocurrency Options.
Matic, Jovanka Lili and Packham, Natalie and Härdle, Wolfgang Karl (2021): Hedging Cryptocurrency Options.
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.
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Nauta, Bert-Jan (2013): Valuation of Illiquid Assets on Bank Balance Sheets.
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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 (2019): Incremental Risk Charge Methodology.
Xiao, Tim (2013): Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds.
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Xing, Victor (2017): Non-bank Financial Institutions at the Ground Zero of Next Crisis.
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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.
BENDOB, Ali and Benahmed-Daho, Rachida (2017): Pourrions-nous utiliser l'Euribor comme taux de rendement sans risque dans la région Arabe ? Published in: Chercheur Economique No. 7 (11 June 2017): pp. 7-19.
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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.
MESTRE, Roman and TERRAZA, Michel (2017): Estimation du Beta Tempo-fréquentiel de la Droite de Marché-Une approche par les ondelettes continues-.
MESTRE, Roman and Terraza, Michel (2017): Analyse Temps-fréquence du MEDAF –Application au CAC 40 –.
MESTRE, Roman and Terraza, Michel (2018): Regression Forward avec fenêtres Tempo-Frequentielles roulantes par ondelettes discretes et continues -Une application à la Droite de Marché -.
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Trabelsi, Mohamed Ali (2008): Peut-on encore parler des mesures de performance ? Published in: Revue Tunisienne d’Economie et de Gestion , Vol. 25, No. 25 (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.
Trabelsi, Mohamed Ali (2009): 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.
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Sonntag, Dominik (2018): Die Theorie der fairen geometrischen Rendite.
Monostori, Zoltan (2012): Magyar szuverén fix kamatozású forintkötvények hozamdekompozíciója. Published in: Hitelintézeti Szemle , Vol. 5, No. 11 (December 2012): pp. 462-475.
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Buła, Rafał (2012): Aspekty metodyczne szacowania wymiaru fraktalnego finansowych szeregów czasowych. Published in: Młodzi Naukowcy dla Polskiej Nauki , Vol. 2, No. 9 (2012): pp. 192-200.
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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.
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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.
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.
Cesteros, Santiago Rodrigo (2018): Sobre volatilidad macroeconómica y dolarización de la riqueza: el caso argentino.
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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
Sandoval Paucar, Giovanny (2018): CONTAGIO FINANCIERO: UNA BREVE REVISIÓN DE LITERATURA.
Sandoval Paucar, Giovanny (2019): Modelación de la correlación condicional para el mercado bursátil colombiano: una aplicación de DCC – MGARCH.
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