LEGOUGUI, Fateh and CHIKHI, Mohamed (2017): استخدام نماذج ARCH لنمذجة تقلبات أسعار الأسهم في سوق المال السعودي - دراسة حالة شركة اتحاد اتصالات السعودية –. Published in: Algerian Business Performance Review - ABPR - No. 12 (December 2017): pp. 173-185.
Petranov, Stefan (2008): Оценка на бета коефициентите на публични дружества в България. Published in: Bulletin of the Financial Supervision Commission No. 6 (2008): pp. 3-11.
Li, Minqiang (2010): Asset Pricing - A Brief Review.
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.
Širůček, Martin (2017): VYUŽITÍ INDIKÁTORŮ P/E A P/BV PŘI SESTAVENÍ AKCIOVÉHO PORTFOLIA. Published in: Acta Academica Karviniensia , Vol. 2, No. XVII (31 May 2017): pp. 73-85.
Širůček, Martin and Šoba, Oldřich and Němeček, Jaroslav (2014): Validita modelu CAPM na akciovém trhu USA. Published in: Trends economics and management , Vol. 8, No. 18 (2014): pp. 87-100.
ABDULLAHI, SHAFIU IBRAHIM (2017): Stock Market Linkage, Financial Contagion and Assets Price Movements: Evidence from Nigerian Stock Exchange.
ASUAMAH YEBOAH, SAMUEL (2017): Are interest rates unit root in Ghana? An Empirical Assessment.
Abramova, Inna and Core, John and Sutherland, Andrew (2019): Institutional Investor Attention and Firm Disclosure.
Abugamea, Gaber (2021): Determinants of Islamic Banking Profitability: Empirical Evidence from Palestine.
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.
Ahmad, Tanveer and Shahzad, Syed Jawad Hussain and Rehman, Mobeen ur (2014): Risk or Sentiment: Value and Size Premium under Terrorism.
Akyildirim, Erdinc and Goncu, Ahmet and Hekimoglu, Alper and Nguyen, Duc Khuong and Sensoy, Ahmet (2021): Statistical arbitrage: Factor investing approach.
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 Camacho-Cuena, Eva and Colasante, Annarita and Ruiz-Buforn, Alba (2022): The effect of time-varying fundamentals in Learning-to-Forecast Experiments.
Alfarano, Simone and Lux, Thomas and Wagner, Friedrich (2010): Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation.
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.
Aliyu, Shehu Usman Rano and Aminu, Abubakar Wambai (2018): Economic regimes and stock market performance in Nigeria: Evidence from regime switching model.
Allen, David (2022): Asset Pricing Tests, Endogeneity issues and Fama-French factors.
Allen, David and Mizuno, Hiro (2021): Monetary Policies, US influence and other Factors Affecting Stock Prices in Japan.
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.
Angerer, Martin and Neugebauer, Tibor and Shachat, Jason (2019): Arbitrage bots in experimental asset markets.
Anginer, Deniz and Mansi, Sattar and Warburton, A. Joseph and Yildizhan, Celim (2011): Firm Reputation and Cost of Debt Capital.
Anginer, Deniz and Yildizhan, Celim (2009): Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns.
Anginer, Deniz and Yildizhan, Celim and Han, Xue Snow (2017): Do Individual Investors Ignore Transaction Costs?
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.
Arnone, Massimo and Leogrande, Angelo and Costantiello, Alberto and Laureti, Lucio (2024): Banking Stability in the ESG Framework Across Italian Regions.
Arouri, Mohamed El Hedi and M’saddek, Oussama and Nguyen, Duc Khuong and Pukthuanthong, Kuntara (2017): Cojumps and Asset Allocation in International Equity Markets.
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.
Assis de Salles, Andre (2021): Assessing the First Shocks of Covid-19 Pandemic on the Idiosyncratic Risk in the Brazilian and the Emerging Markets.
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.
Aysan, Ahmet Faruk and Polat, Ali Yavuz and Tekin, Hasan and Tunalı, Ahmet Semih (2022): The Ascent of Geopolitics: Scientometric Analysis and Ramifications of Geopolitical Risk.
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.
Aziz, Tariq and Ansari, Valeed Ahmad (2014): Size and value premiums in the Indian stock market. Published in: Pacific Business Review International , Vol. 7, No. 4 : pp. 74-80.
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.
Bago, Jean-Louis and Akakpo, Koffi and Rherrad, Imad and Ouédraogo, Ernest (2020): Volatility Spillover and International Contagion of Housing Bubbles.
Bago, Jean-Louis and Souratié, Wamadini M. and Ouédraogo, Moussa and Ouédraogo, Ernest and Dembélé, Alou (2019): Financial Bubbles : New Evidence from South Africa’s Stock Market.
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 Ghassan, Hassan B. and Alhajhoj, Hassan R. (2014): An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries. Published in: International Review of Economics and Finance , Vol. 39, (8 May 2015): pp. 311-325.
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.
Barbosa, António (2019): Optimal Learning, Overvaluation and Overinvestment.
Barbosa, António (2019): The Role of Information in the Discrepancy Between Average Prices and Expectations.
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 (2016): FIRM COMPLEXITY AND POST-EARNINGS-ANNOUNCEMENT DRIFT. Forthcoming in: Review of Accounting Studies (15 September 2022)
Barinov, Alexander and Park, Shawn Saeyeul and Yildizhan, Celim (2016): Firm Complexity and Post-Earnings-Announcement Drift.
Barinov, Alexander and Park, Shawn Saeyeul and Yildizhan, Celim (2016): Firm Complexity and Post-Earnings-Announcement Drift.
Barnett, William and Liu, Jinan (2017): User Cost of Credit Card Services under Risk with Intertemporal Nonseparability.
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.
Basistha, Arabinda and Kurov, Alexander and Wolfe, Marketa Halova (2019): Volatility Forecasting: The Role of Internet Search Activity and Implied Volatility. Published in: Journal of Risk Model Validation , Vol. 14, (2019): pp. 43-53.
Bazdresch, Santiago (2011): Product differentiation and systematic risk: theory and empirical evidence.
Beaumont, Paul and Smallwood, Aaron (2019): Conditional Sum of Squares Estimation of Multiple Frequency Long Memory Models.
Bebel, Arkadiusz (2014): Low Versus High Leverage (LVH).
Beckers, Benjamin and Bernoth, Kerstin (2023): Monetary Policy and Mispricing in Stock Markets. Published in: Journal of Money, Credit and Banking (July 2023): pp. 1-18.
Bednarek, Ziemowit and Moszoro, Marian (2014): The Arrow-Lind Theorem Revisited: Ownership Concentration and Valuation. Published in: Applied Financial Economics [merged into Applied Economics] , Vol. 24, No. 5 : pp. 357-375.
Bejan, Camelia and Bidian, Florin (2010): Limited enforcement, bubbles and trading in incomplete markets.
Bell, Peter N (2015): Effects of Long Cycles in Cash Flows on Present Value.
Bennani, Norddine and Maetz, Jerome (2009): A Spot Stochastic Recovery Extension of the Gaussian Copula.
Berardi, Michele (2020): Learning from prices: information aggregation and accumulation in an asset market.
Berardi, Michele (2021): Uncertainty, sentiments and time-varying risk premia.
Bershadskii, Alexander (2018): Stock market activity and hormonal cycles.
Bhaduri, Saumitra and Gupta, Saurabh (2015): Understanding Investor behavior and it's implications on Capital Markets - The Indian Context.
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:
Blanco, Iván and Wehrheim, David (2016): The Bright Side of Financial Derivatives: Options Trading and Firm Innovation.
Blau, Benjamin (2018): Does Religiosity Affect Liquidity in Financial Markets? Forthcoming in:
Borenstein, Eliezer and Elkayam, David (2013): The equity premium in a small open economy, and an application to Israel.
Bosi, Stefano and Ha-Huy, Thai and Le Van, Cuong and Pham, Cao-Tung and Pham, Ngoc-Sang (2018): Financial bubbles and capital accumulation in altruistic economies.
Bossaerts, Peter and Shachat, Jason and Xie, Kuangli (2018): Arbitrage Opportunities: Anatomy and Remediation.
Bougias, Alexandros and Episcopos, Athanasios and Leledakis, George N. (2022): Valuation of European firms during the Russia-Ukraine war. Forthcoming in: Economics Letters
Bougias, Alexandros and Episcopos, Athanasios and Leledakis, George N. (2022): The role of asset payouts in the estimation of default barriers. Published in: International Review of Financial Analysis , Vol. 81, No. May 2022
Bradrania, Reza and Pirayesh Neghab, Davood (2021): State-dependent asset allocation using neural networks. Published in: European Journal of Finance , Vol. 28, No. 11 (12 August 2021): pp. 1130-1156.
Breckenfelder, Johannes (2013): Competition among High-Frequency Traders, and Market Quality.
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.
Butt, Prof. Khursheed A and Pandow, Bilal Ahmad (2013): An analysis into the Stock Selectivity skill of Indian Fund Managers. Published in: Business Review , Vol. 1, No. 16 (2013)
Byrne, Joseph and Fu, Rong (2016): Stock Return Prediction with Fully Flexible Models and Coefficients.
Byrne, Joseph P and Ibrahim, Boulis Maher and Sakemoto, Ryuta (2017): Carry Trades and Commodity Risk Factors.
Byrne, Joseph P and Ibrahim, Boulis Maher and Sakemoto, Ryuta (2016): Common Information in Carry Trade Risk Factors.
Byrne, Joseph P and Ibrahim, Boulis Maher and Sakemoto, Ryuta (2017): The Time-Varying Risk Price of Currency Carry Trades.
CLERE, Roland and MARANDE, Stephane (2018): Default risk and equity value: forgotten factor or cultural revolution?
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.
Cafferata, Alessia and Tramontana, Fabio (2022): Disposition Effect and its outcome on endogenous price fluctuations.
Cakir, Murat (2001): Credit Derivatives in Managing Off Balance Sheet Risks by Banks.
Camilleri, Silvio John (2006): An Analysis of Stock Index Distributions of Selected Emerging Markets. Published in: Bank of Valletta Review , Vol. Spring, No. 33 (2006): pp. 33-49.
Camilleri, Silvio John (2005): Can a Stock Index Be Less Efficient Than Underlying Shares? An Analysis Using Malta Stock Exchange Data. Published in: The FEMA Research Bulletin , Vol. 1, No. 1 (1 January 2005): pp. 29-41.
Camilleri, Silvio John (2015): Do call auctions curtail price volatility? Evidence from the National Stock Exchange of India. Published in: Managerial Finance , Vol. 1, No. 41 (2015): pp. 67-79.
Camilleri, Silvio John (2015): The Impact of Stock Market Structure on Volatility: Evidence from a Call Auction Suspension. Published in: International Journal of Financial Research , Vol. 2, No. 6 (2015): pp. 44-53.
Camilleri, Silvio John and Galea, Francelle (2019): The Determinants of Securities Trading Activity: Evidence from four European Equity Markets. Published in: The Journal of Capital Markets Studies , Vol. 1, No. 3 (2019): pp. 47-67.
Camilleri, Silvio John and Green, Christopher (2009): The impact of the suspension of opening and closing call auctions: Evidence from the National Stock Exchange of India. Published in: International Journal of Banking, Accounting and Finance , Vol. 3, No. 1 (2009): pp. 257-284.
Camilleri, Silvio John and Green, Christopher J. (2014): Stock market predictability: Non-synchronous trading or inefficient markets? Evidence from the National Stock Exchange of India. Published in: Studies in Economics and Finance , Vol. 4, No. 31 (2014): pp. 354-370.
Camilleri, Silvio John and Green, Christopher J. (2009): The impact of the suspension of opening and closing call auctions: Evidence from the National Stock Exchange of India. Published in: International Journal of Banking, Accounting and Finance , Vol. 3, No. 1 (2019): pp. 257-284.
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.
Cangoz, Mehmet Coskun and Boitreaud, Sebastien and Dychala, Christopher Benjamin (2018): How Do Countries Use an Asset and Liability Management Approach? A Survey on Sovereign Balance Sheet Management. Published in: Policy Research Working Paer , Vol. 1, No. WPS8624
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.
Cantillo, Miguel (2017): A Reconsideration of the Equity Premium Puzzle.
Cao, Charles and Simin, Timothy and Xiao, Han (2019): Predicting the equity premium with the implied volatility spread. Forthcoming in: Journal of Financial Markets
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
Carrasco Gutierrez, Carlos Enrique and Issler, João Victor (2015): Evaluating the effectiveness of Common-Factor Portfolios.
Carrasco Gutierrez, Carlos Enrique and Peixoto Messias, Iasmin Emillyn (2022): Macroeconomic factors and value and growth strategies: evidence from Brazil.
Carrasco-Gutierrez, Carlos Enrique and Piazza, Wagner (2011): Evaluating Asset Pricing Models in a Simulated Multifactor Approach. Published in: Brazilian Review of Finance , Vol. 10, (2012): pp. 425-460.
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.
Caspi, Itamar and Graham, Meital (2017): Testing for Bubbles in Stock Markets with Irregular Dividend Distribution.
Cayton, Peter Julian (2015): A Nonparametric Option Pricing Model Using Higher Moments.
Cayton, Peter Julian and Ho, Kin-Yip (2015): A Nonparametric Option Pricing Model Using Higher Moments.
Cayton, Peter Julian A. and Mapa, Dennis S. (2012): Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology.
Ceballos, Luis and Naudon, Alberto and Romero, Damian (2014): Nominal Term Structure and Term Premia. Evidence from Chile.
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 McGrath, Richard and Toma, Michael (2005): Impact of the Primary Budget Deficit on the Nominal Long Term Interest Rate Yield on Tax Free Municipal Bonds. Published in: Review of Business Research , Vol. 6, No. 1 (10 September 2006): pp. 84-92.
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.
Cerezo Sánchez, David (2018): The Valuation of Secrecy and the Privacy Multiplier.
Cesari, Riccardo and Marzo, Massimiliano and Zagaglia, Paolo (2012): Effective Trade Execution. Forthcoming in:
Chadwick, Meltem (2010): Modelling Time-varying Bond Risk Premia for Utilities Industry.
Chadwick, Meltem (2010): Performance of Bayesian Latent Factor Models in Measuring Pricing Errors.
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.
Charles, Amelie and Darne, Olivier and Kim, Jae (2016): Stock Return Predictability: Evaluation based on Prediction Intervals.
Charlin, Ventura and Cifuentes, Arturo (2013): A new financial metric for the art market.
Cheema, Muhammad A. and Nartea, Gilbert V and Man, Yimei (2017): Cross-Sectional and Time-Series Momentum Returns and Market States.
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.
Chin, Leong Choong and Sek, Siok Kun and Tan, Yee Theng (2018): A Sectorial Performance Analysis of Kuala Lumpur Stock Exchange (KLSE, Bursa Malaysia).
Chong, Terence Tai Leung and Lin, Shiyu (2015): Predictive Models for Disaggregate Stock Market Volatility.
Chong, Terence Tai Leung and Tsui, Chun and Chan, Wing Hong (2017): Factor Pricing in Commodity Futures and the Role of Liquidity. Forthcoming in: Quantitative Finance
Chong, Terence Tai Leung and Wu, Yueer (2018): The Unusual Trading Volume and Earnings Surprises in China’s Market.
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:
Ciccarone, Giuseppe and Giuli, Francesco and Marchetti, Enrico and Tancioni, Massimiliano (2020): Leaning against the bubble. Can theoretical models match the empirical evidence?
Cifarelli, Giulio and Paladino, Giovanna (2009): Oil and portfolio risk diversification.
Clark, Ephraim and Qiao, Zhuo and Wong, Wing-Keung (2016): Theories of Risk: Testing Investor Behaviour on the Taiwan Stock and Stock Index Futures Markets. Published in: Economic Inquiry , Vol. 54, No. 2. (17 April 2015): pp. 907-924.
Clark, Ephraim and Qiao, Zhuo and Wong, Wing-Keung (2017): Theories of Risk: Testing Investor Behaviour on the Taiwan Stock and Stock Index Futures Markets. Published in: Economic Inquiry , Vol. 54(2), No. Theories of Risk: Testing Investor Behaviour on the Taiwan Stock and Stock Index Futures Markets (28 October 2015): pp. 907-924.
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.
Colasante, Annarita and Alfarano, Simone and Camacho Cuena, Eva and Gallegati, Mauro (2017): Long-run expectations in a Learning-to-Forecast-Experiment: a simulation approach.
Colasante, Annarita and Alfarano, Simone and Camacho-Cuena, Eva (2019): Heuristic Switching Model and Exploration-Explotation Algorithm to describe long-run expectations in LtFEs: a comparison.
Colasante, Annarita and Alfarano, Simone and Camacho-Cuena, Eva (2018): The term structure of cross-sectional dispersion of expectations in a Learning-to-Forecast Experiment.
Colasante, Annarita and Alfarano, Simone and Camacho-Cuena, Eva and Gallegati, Mauro (2016): Long-run expectations in a Learning-to-Forecast Experiment.
Colasante, Annarita and Palestrini, Antonio and Russo, Alberto and Gallegati, Mauro (2015): Heterogeneous Adaptive Expectations and Coordination in a Learning-to-Forecast Experiment.
Correia, Ricardo and Barbosa, António (2019): Can Post-Earnings Announcement Drift and Momentum Explain Reversal?
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.
Cotter, John and Gabriel, Stuart and Roll, Richard (2011): Integration and contagion in US housing markets.
Covarrubias, Enrique and Hernández-del-Valle, Gerardo (2016): Inflation expectations derived from a portfolio model.
Cuthbert, James R. and Magni, Carlo Alberto (2016): Measuring the inadequacy of IRR in PFI schemes using profitability index and AIRR. Published in: International Journal of Production Economics No. 179 (2016): pp. 130-140.
DAS, PIYALI and Ghate, Chetan (2020): Public Debt in India: A Security Level Analysis.
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.
Damjanović, Milan and Lenarčič, Črt (2023): Constructing a house price misalignment indicator: revisited and revamped.
De Koning, Kees (2020): A different economic growth strategy for the U.S.
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.
Degiannakis, Stavros and Filis, George and Tsemperlidis, Stefanos (2018): Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component. Published in: Applied Economics Letters , Vol. 26, No. 15 (2019): pp. 1269-1273.
Degiannakis, Stavros and Xekalaki, Evdokia (2008): SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework. Published in: Applied Financial Economics Letters , Vol. 6, No. 4 (2008): pp. 419-423.
Delis, Manthos and Savva, Christos and Theodossiou, Panayiotis (2020): A Coronavirus Asset Pricing Model: The Role of Skewness.
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.
Deng, Binbin (2015): Regime Learning and Asset Prices in A Long-run Model: Theory. Published in: Proceedings, 2015 Cambridge Business & Economics Conference (2015)
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.
Dhaoui, Abderrazak and Audi, Mohamed and Ouled Ahmed Ben Ali, Raja (2015): Revising empirical linkages between direction of Canadian stock price index movement and Oil supply and demand shocks: Artificial neural network and support vector machines approaches.
Dhaoui, Abderrazak and Saidi, Youssef (2015): Oil supply and demand shocks and stock price: Empirical evidence for some OECD countries.
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): 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
Durmaz, Nazif and Kim, Hyeongwoo and Lee, Hyejin and Sun, Yanfei (2023): Trend Breaks and the Persistence of Closed-End Mutual Fund Discounts.
Dzanic, Enis and Omerbegovic, Sead (2014): Impact Of Volatility And Performance Of Major Stock Markets On Sarajevo Stock Exchange In 2008 – 2012 Period. Published in: 2nd International Conference on Economic and Social Studies (22 April 2014): pp. 401-405.
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.
Ekong, Christopher N. and Onye, Kenneth U. (2017): Application of Garch Models to Estimate and Predict Financial Volatility of Daily Stock Returns in Nigeria. Published in: International Journal of Managerial Studies and Research (IJMSR) , Vol. 5, No. 8 (August 2017): pp. 18-34.
El-Khatib, Youssef and Hatemi-J, Abdulnasser (2022): On a Regime Switching Illiquid High Volatile Prediction Model for Cryptocurrencies.
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.
Escobari, Diego and Garcia, Sergio and Mellado, Cristhian (2017): Identifying Bubbles in Latin American Equity Markets: Phillips-Perron-based Tests and Linkages. Forthcoming in: Emerging Markets Review
Escobari, Diego and Jafarinejad, Mohammad (2015): Date Stamping Bubbles in Real Estate Investment Trusts. Forthcoming in: The Quarterly Review of Economics and Finance
Ezzat, Hassan and Kirkulak, Berna (2014): Information Arrival and Volatility: Evidence from the Saudi Arabia Stock Exchange (Tadawul).
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.
FORTES, Roberta and Le Guenedal, Theo (2020): Tracking ECB's communication: Perspectives and Implications for Financial Markets.
Fajardo, José (2016): Power Style Contracts Under Asymmetric Lévy Processes.
Fan, Minyou and Li, Youwei and Liu, Jiadong (2017): Risk adjusted momentum strategies: a comparison between constant and dynamic volatility scaling approaches.
Fan, Qinbin and Jahan-Parvar, Mohammad R. (2009): US Industry-Level Returns and Oil Prices.
Fang, Yi and Niu, Hui and Lin, Yuen (2023): Ex-ante Valuation based on Prospect Theory.
Fantazzini, Dean (2023): Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models. Forthcoming in: Information
Fantazzini, Dean (2022): Crypto Coins and Credit Risk: Modelling and Forecasting their Probability of Death. Forthcoming in: Journal of Risk and Financial Management
Fantazzini, Dean and Zimin, Stephan (2019): A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies. Forthcoming in: Journal of Industrial and Business Economics
Farmer, Leland and Toda, Alexis Akira (2016): Discretizing Nonlinear, Non-Gaussian Markov Processes with Exact Conditional Moments. Forthcoming in: Quantitative Economics
Farouk, Faizal and Masih, Mansur (2014): Are There Profit (Returns) in Shariah-Compliant Exchange Traded Funds? The Multiscale Propensity.
Faruk, Balli and Syed Abul, Basher and Hassan, Ghassan and Hassan, Hajhoj (2015): An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries.
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.
Flores Sánchez, Edgar Mauricio and Rodríguez Batres, Axel and Varela Espidio, Joaquín Bernardo (2021): Risk assessment for micro companies belonging to selected economic branches of the professional, scientific and technical services sector in Mexico through the Beta coefficient.
Foschi, Paolo and Pieressa, Luca and Polidoro, Sergio (2008): Parametrix approximations for non constant coefficient parabolic PDEs.
Fotis, Panagiotis and Pekka, Victoria and Polemis, Michael (2015): Intervalling-effect bias and evidences for competition policy.
François-Heude, Alain and Yousfi, Ouidad (2013): A Generalization of Gray and Whaley's Option. Published in: Journal of Asset Management
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?
Gabrielsen, Alexandros and Marzo, Massimiliano and Zagaglia, Paolo (2011): Measuring market liquidity: an introductory survey.
Galy, Michel (1989): Banks exposure to market risks.
Gan, Jumwu (2009): Burnout from pools to loans: Modeling refinancing prepayments as a self-selection process.
Ganchev, Alexander (2023): The Behaviour of Chinese Government Bond Yield Curve before and during the COVID-19 Pandemic. Published in: 13th International Scientific Conference „Business and Management 2023“, (May 2023): pp. 324-334.
Ganchev, Alexander (2009): Modeling the yield curve of spot interest rates under the conditions in Bulgaria. Published in: Narodnostopanski Arhiv , Vol. 1, No. International edition (2009): pp. 119-137.
Gao, Ya and Han, Xing and Li, Youwei and Xiong, Xiong (2019): Overnight Momentum, Informational Shocks, and Late-Informed Trading in China.
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 Muñoz, Luis Manuel and Palomar Burdeus, Juan Esteban and de Lope Contreras, Fernando (2016): A retained earnings consistent KVA approach and the impact of taxes.
García Muñoz, Luis Manuel and de Lope Contreras, Fernando and Palomar Burdeus, Juan Esteban (2015): Pricing Derivatives in the New Framework: OIS Discounting, CVA, DVA & FVA.
Gauthier, Laurent (2019): Securitization Structures and Security Design.
Gavazza, Alessandro (2010): The role of trading frictions in real asset markets.
Genest, Benoit and Rego, David and Freon, Helene (2013): Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -.
Geromichalos, Athanasios and Wang, Yijing (2024): Money and Competing Means of Payment.
Geromichalos, Athanasios and Herrenbrueck, Lucas (2016): The Strategic Determination of the Supply of Liquid Assets.
Geromichalos, Athanasios and Jung, Kuk Mo (2016): Monetary Policy and Efficiency in Over-the-Counter Financial Trade.
Ghiselli Ricci, Roberto and Magni, Carlo Alberto (2009): Axiomatization of residual income and generation of financial securities.
Giovanis, Eleftherios (2009): Calendar Effects and Seasonality on Returns and Volatility.
Giudice, Gabriele and de Manuel Aramendía, Mirzha and Kontolemis, Zenon and Monteiro, Daniel P. (2019): A European safe asset to complement national government bonds.
Godwin, Alexander (2022): Estimating illiquid asset class alpha and beta using secondary transaction prices.
Godwin, Alexander (2022): Hedge fund alpha and beta corrected for stale pricing.
Golinski, Adam and Madeira, Joao and Rambaccussing, Dooruj (2014): Fractional Integration of the Price-Dividend Ratio in a Present-Value Model.
Gomez-Ruano, Gerardo (2014): Should Central Banks Take On Credit-Risk?
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.
Grilli, Luca and Santoro, Domenico (2020): Boltzmann Entropy in Cryptocurrencies: A Statistical Ensemble Based Approach.
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.
Guesmi, Khaled and Kablan, Sandrine (2015): Financial integration and Japanese stock market.
Guesmi, Khaled and Kablan, Sandrine and Belgacem, Aymen (2015): The regional pricing of risk: An empirical investigation of the MENA equity determinants.
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?
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.
Halim, Edward and Riyanto, Yohanes Eko and Roy, Nilanjan (2016): Consumption Smoothing and Price Predictability with Heterogeneous Traders in Experimental Asset Markets.
Halim, Edward and Riyanto, Yohanes E. and Roy, Nilanjan and Wang, Yan (2022): The Bright Side of Dark Markets: Experiments.
Halim, Edward and Riyanto, Yohanes Eko and Roy, Nilanjan (2017): Costly Information Acquisition, Social Networks and Asset Prices: Experimental Evidence.
Hamim, Md. Tanvir (2020): R&D Investments and Idiosyncratic Volatility.
Hammad, Siddiqi (2015): Anchoring Adjusted Capital Asset Pricing Model.
Hammad, Siddiqi (2015): Capital Asset Pricing Model Adjusted for Anchoring.
Hammad, Siddiqi and Austin, Murphy (2020): Optimal Resource Allocation in the Brain and the Capital Asset Pricing Model.
Hammer, Thomas and Siegfried, Patrick (2021): Financial Management. Green Bonds – Success or Failure? Published in: Expert Journal of Finance , Vol. 9, (31 December 2021): pp. 1-8.
Han, Bing and Hirshleifer, David and Wang, Tracy (2005): Investor Overconfidence and the Forward Discount Puzzle.
Han, Gaofeng and Miao, Hui and Wang, Yabin (2020): Liquidity of China’s Government Bond Market: Measures and Driving Forces.
Han, Han (2015): Over-the-Counter Markets, Intermediation, and Monetary Policy.
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, M.Emrul (2010): Behavioral approach to Arbitrage Pricing Theory.
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.
Hasbullah, Faruq and Masih, Mansur (2016): Fast profits in a fasting month? A markov regime switching approach in search of ramadan effect on stock markets.
Hattori, Takahiro and Miyake, Hiroki (2015): Empirical Analysis of Yield Determinants in Japan’s Municipal Bond Market: Does Credit Risk Premium Exist?
Hattori, Takahiro and Miyake, Hiroki (2016): The Japan Municipal Bond Yield Curve: 2002 to the Present.
Hattori, Takahiro and Miyake, Hiroki (2016): Yield Curve for Japanese Agency Bonds: From 2002 to the Present.
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.
He, Qing and Qian, Zongxin and Fei, Zhe and Chong, Terence Tai Leung (2016): Do Speculative Bubbles Migrate in the Chinese Stock Market? Forthcoming in: Empirical Economics
He, Yong (2018): Can the visible and invisible hands coexist in land pricing?
Hearn, Bruce (2013): Size and liquidity effects in Nigeria: an industrial sector study. Forthcoming in: Journal of Developing Areas
Heinke, Steve and Warmuth, Niels (2016): A Rational Inattention Perspective on Equilibrium Asset Pricing under Heterogeneous Information with Structural Breaks and Market Efficiency.
Hellström, Jörgen and Lönnbark, Carl (2011): Identi�cation of jumps in �financial price series.
Hernández, Juan R. (2014): Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis.
Herrenbrueck, Lucas (2014): Quantitative Easing and the Liquidity Channel of Monetary Policy.
Herrenbrueck, Lucas and Geromichalos, Athanasios (2015): A Tractable Model of Indirect Asset Liquidity.
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 and Sheng, Jinfei (2016): Macro News and Micro News: Complements or Substitutes? Forthcoming in: Journal of Financial Economics
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 Daniel, Kent (2015): Overconfident investors, predictable returns, and excessive trading. Published in: Journal of Economic Perspectives , Vol. 29, No. 4 (2015): pp. 61-88.
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.
Hirshleifer, David and hsu, po-hsuan and li, dongmei (2014): Don’t Hide Your Light Under a Bushel: Innovative Originality and Stock Returns.
Hlongwane, Nyiko Worship (2022): The relationship between oil prices and exchange rates in South Africa.
Hou, Kewei and Hirshleifer, David and Teoh, Siew Hong (2007): The Accrual Anomaly: Risk or Mispricing?
Hou, Yang and Meng, Jiayin (2018): The momentum effect in the Chinese market and its relationship with the simultaneous and the lagged investor sentiment.
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.
Huo, Da (2024): Efficient Estimation of Stochastic Parameters: A GLS Approach.
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
Ibanez, Francisco (2015): Calibrating the Dynamic Nelson-Siegel Model: A Practitioner Approach. Forthcoming in: Working Papers Central Bank of Chile (2016)
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.
Isoré, Marlène and Szczerbowicz, Urszula (2015): Disaster risk and preference shifts in a New Keynesian model.
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.
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 Kaszas, Micha (2017): Indirect Firm Valuation and Earnings Stability.
Janda, Karel and Vylezik, Tomas (2011): Financial Management of Weather Risk with Energy Derivatives.
Jaramba, Toddy and Fadiran, Gideon (2009): Analysis of Volatility transmission across South African Financial Markets.
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.
Jin, Muzhao and Kearney, Fearghal and Li, Youwei and Yang, Yung Chiang (2019): Intraday Time-series Momentum: Evidence from China.
Jiranyakul, Komain (2016): Are Thai Equity Index Returns Sensitive to Interest and Exchange Rate Risks?
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.
Johansson, Bo (2012): A note on approximating bond returns allowing for both yield change and time passage.
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)
Julian, Inchauspe and Helen, Cabalu (2013): What Drives the Shanghai Stock Market? An Examination of its Linkage to Macroeconomic Fundamentals.
Jung, Kuk Mo (2015): Liquidity Risk and Time-Varying Correlation Between Equity and Currency Returns.
Jäckel, Christoph (2013): Model uncertainty and expected return proxies.
Kabby, Williams (2022): The valuation of barrier options prices : A methods review. Published in: Revue Maghrébine Management des Organisations , Vol. 7, No. 1 (20 December 2022): pp. 1-14.
Kaizoji, Taisei (2010): Stock volatility in the periods of booms and stagnations. Published in: Science and Culture , Vol. 76, No. 9-10 : pp. 459-465.
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.
Kamal, Javed Bin (2012): Optimal portfolio selection in ex ante stock price bubble and furthermore bubble burst scenario from Dhaka stock exchange with relevance to sharpe’s single index model. Published in: Journal of Financial Assets and Investing No. Issue 3/2012 (30 September 2012): pp. 29-42.
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.
Kausik, B.N. (2023): Equity Premium in Efficient Markets.
Kelikume, Ikechukwu and Evans, Olaniyi and Iyoha, Faith (2020): Efficient Market Hypothesis in the Presence of Market Imperfections: Evidence from Selected Stock Markets in Africa. Published in: International Journal of Management, Economics and Social Sciences (IJMESS) , Vol. 9, No. 1 (2020): pp. 37-57.
Khalfaoui Rabeh, K and Boutahar Mohamed, B (2011): A time-scale analysis of systematic risk: wavelet-based approach.
Khan, Dr. Muhammad Irfan and Syed, Muhammad Salman (2015): Comparison between Forecasted Stock Prices and Original Stock Prices in the Karachi Stock Exchange. Published in: Journal of Finance, Accounting and Management , Vol. 6, No. 2 (July 2015): pp. 51-62.
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.
Kim, Jae (2016): Stock Returns and Investors’ Mood: Good Day Sunshine or Spurious Correlation?
Kim, Minseong (2016): Futures market approach to understanding equity premium puzzle.
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.
Kombarov, Sayan (2021): Action in Economics: Mathematical Derivation of Laws of Economics from the Principle of Least Action in Physics. Published in: Proceedings of International Conference of Eurasian Economies (24 August 2021): pp. 123-129.
Konchitchki, Yaniv (2011): Inflation and Nominal Financial Reporting: Implications for Performance and Stock Prices. Published in: The Accounting Review , Vol. 86, No. 3 (May 2011): pp. 1045-1085.
Kontek, Krzysztof (2010): Linking Decision and Time Utilities.
Korkmaz, Turhan and Cevik, Emrah Ismail and Birkan, Elif and Özataç, Nesrin (2010): Testing CAPM using Markov switching model: the case of coal firms. Published in: Economic Research-Ekonomska Istraživanja , Vol. 23, No. 2 (2010): pp. 44-59.
Korkmaz, Turhan and Cevik, Emrah Ismail and Gurkan, Serhan (2010): Testing the international capital asset pricing model with Markov switching model in emerging markets. Published in: Investment Management and Financial Innovations , Vol. 7, No. 1 (2010): pp. 37-49.
Kouadio, Jean Joel and Mwamba, Muteba and Bonga-Bonga, Lumengo (2019): Empirical evidence of systemic tail risk premium in the Johannesburg Stock Exchange.
Kovačić, Zlatko (2007): Forecasting volatility: Evidence from the Macedonian stock exchange.
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.
Kozmenko, Serhiy and Plastun, Oleksiy (2012): Mutual influence of the exchange assets: practical aspects. Published in: Banks and Bank Systems , Vol. 6, No. 4 (8 February 2012): pp. 5-10.
Kroujiline, Dimitri and Gusev, Maxim and Ushanov, Dmitry and Sharov, Sergey V. and Govorkov, Boris (2015): Forecasting stock market returns over multiple time horizons.
Kucuk, Ugur N. (2010): Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market. Published in: The Journal of Fixed Income , Vol. 19, No. Spring 2010 (4 April 2010): pp. 44-66.
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.
Kwan, Yum K. and Leung, Charles Ka Yui and Dong, Jinyue (2014): Comparing Consumption-based Asset Pricing Models: The Case of an Asian City.
Lakdawala, Aeimit and Wu, Shu (2017): Federal Reserve Credibility and the Term Structure of Interest Rates.
Lam, Kin and Lean, Hooi Hooi and Wong, Wing-Keung (2016): Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets. Forthcoming in: International Journal of Finance
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.
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.
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)
Le Van, Cuong and Pham, Ngoc-Sang and Bosi, Stefano (2019): Real indeterminacy and dynamics of asset price bubbles in general equilibrium.
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.
Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2014): Strategies on initial public offering of company equity at stock exchanges in imperfect highly volatile global capital markets with induced nonlinearities.
Lee, David (2023): An Analytic Solution for Valuing Guaranteed Equity Securities.
Lee, David (2023): Default Forecasting and Credit Valuation Adjustment.
Lee, David (2024): Hedge Fund Investment Returns and Performance.
Lee, David (2023): Modeling Collateralization and Its Economic Significance.
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
Lee, King Fuei (2024): Evaluating Stock Selection in the SaaS Industry: The Effectiveness of the Rule of 40. Forthcoming in: Applied Finance Letters , Vol. 13, (July 2024): pp. 168-185.
Lee, Chin and Lee, Weng Hong (2008): Can financial ratios predict the Malaysian stock return? Published in: Integration & Dissemination , Vol. 2, (2008): pp. 7-8.
Lee, David (2022): Generic Price Model for Commodity Derivatives.
Lee, David (2022): Pricing Cancellation Product.
Lee, David (2018): Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment.
Lee, King Fuei (2011): Demographics and the Long-Horizon Returns of Dividend-Yield Strategies in the US. Forthcoming in: Quarterly Review of Economics and Finance
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.
Lee, Sukjoon (2020): Liquidity Premium, Credit Costs, and Optimal Monetary Policy.
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.
Lettau, Martin (2021): High Dimensional Factor Models with an Application to Mutual Fund Characteristics.
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?
Leung, Charles Ka Yui and Tse, Chung-Yi (2017): Flipping in the Housing Market.
Levy, Daniel and Mayer, Tamir and Raviv, Alon (2020): Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers.
Li, Mengling and Zheng, Huanhuan and Chong, Terence Tai Leung and Zhang, Yang (2016): The Stock-Bond Comovements and Cross-Market Trading. Published in: Journal of Economic Dynamics and Control , Vol. 73, (1 December 2016): pp. 417-438.
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.
Lim, Kian-Ping and Thian, Tze-Chung and Hooy, Chee-Wooi (2015): Corporate Shareholdings and the Liquidity of Malaysian Stocks: Investor Heterogeneity, Trading Account Types and the Underlying Channels.
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 ?
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.
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.
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.
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 (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.
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 Marchioni, Andrea (2020): Average rates of return, working capital, and NPV-consistency in project appraisal: A sensitivity analysis approach. Forthcoming in: International Journal of Production Economics (forthcoming)
Magni, Carlo Alberto and Veronese, Piero and Graziani, Rebecca (2017): Chisini means and rational decision making: Equivalence of investment criteria. Forthcoming in: Mathematics and Financial Economics
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?
Malefaki, Valia (2015): On Flexible Linear Factor Stochastic Volatility Models.
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.
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.
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.
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.
Mehta, Deepshikha (2015): Evidences of efficient investment portfolio in Indian capital markets-An analysis based on BSE and NSE indices.
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.
Michailova, Julija and Schmidt, Ulrich (2011): Overconfidence and bubbles in experimental asset markets. Forthcoming in: Journal of Behavioral Finance
Mikkelsen, Jakob and Poeschl, Johannes (2019): Banking Panic Risk and Macroeconomic Uncertainty.
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.
Miyakoshi, Tatsuyoshi and Shimada, Junji and Li, Kui-Wai (2016): The Impacts of the 2008 and 2011 Crises on the Japan REIT Market. Published in: Journal of the Japanese and International Economies , Vol. 41, (2016): pp. 30-40.
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.
Molintas, Dominique Trual (2021): Black Scholes Model.
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.
Mpoha, Salifya and Bonga-Bonga, Lumengo (2020): Assessing the extent of exchange rate risk pricing in equity markets: emerging versus developed economies.
Mubin, Muhammad and Lal, Irfan and Hussain, Adnan (2013): Determinant of Return on Assets and Return on Equity and Its Industry Wise Effects: Evidence from KSE (Karachi Stock Exchange). Published in: 1st International Conference on Emerging Issues in Management and Economics No. 1 (15 November 2013)
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.
Muteba Mwamba, John Weirstrass and Mhlophe, Bongani (2019): Modelling Asset Correlations of Revolving Loan Defaults in South Africa.
Mynbaev, Kairat (2020): Using full limit order book for price jump prediction. Published in: Kazakh Mathematical Journal , Vol. 20, No. 2 (June 2020): pp. 44-53.
NEIFAR, MALIKA and HarzAllah, AMIRA (2020): Can Canadian Stock market provide complete hedge against Inflation ?
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.
Nakashima, Kiyotaka and Saito, Makoto (2009): Credit Spreads on Corporate Bonds and the Macroeconomy in Japan. Published in: Journal of the Japanese and International Economies , Vol. 23, (2009): pp. 309-331.
Naqi Shah, Sadia and Qayyum, Abdul (2016): Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan.
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 (2016): A Model for the Valuation of Assets with Liquidity Risk. Published in: Journal of Risk (5 December 2017)
Nauta, Bert-Jan (2016): Multi-Curve Discounting.
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.
Nguyen, Duc Khuong and Topaloglou, Nikolas and Walther, Thomas (2020): Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach.
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.
Obregon, Carlos (2022): The Resolution of Economic Conflicts: Beyond the Economic System. Published in:
Ogundipe, Adeyemi and Ogundipe, Oluwatomisin (2013): Oil Price and Exchange Rate Volatility in Nigeria.
Okur, Mustafa and Cevik, Emrah Ismail (2013): Testing intraday volatility spillovers in Turkish capital markets: evidence from ISE. Published in: Economic Research-Ekonomska Istraživanja , Vol. 26, No. 3 (2013): pp. 99-116.
Olkhov, Victor (2022): Market-Based Asset Price Probability.
Olkhov, Victor (2022): Market-Based Price Autocorrelation.
Olkhov, Victor (2023): The Market-Based Probability of Stock Returns.
Olkhov, Victor (2023): Market-Based “Actual” Returns of Investors.
Olkhov, Victor (2022): Price and Payoff Autocorrelations in a Multi-Period Consumption-Based Asset Pricing Model.
Olkhov, Victor (2023): Theoretical Economics as Successive Approximations of Statistical Moments.
Olkhov, Victor (2021): To VaR, or Not to VaR, That is the Question.
Olkhov, Victor (2024): Volatility Depends on Market Trades and Macro Theory.
Olkhov, Victor (2020): Classical Option Pricing and Some Steps Further.
Olkhov, Victor (2020): Classical Option Pricing and Some Steps Further.
Olkhov, Victor (2022): Economic Policy - the Forth Dimension of the Economic Theory.
Olkhov, Victor (2019): Econophysics of Asset Price, Return and Multiple Expectations.
Olkhov, Victor (2018): Expectations, Price Fluctuations and Lorenz Attractor.
Olkhov, Victor (2022): Introduction of the Market-Based Price Autocorrelation.
Olkhov, Victor (2022): The Market-Based Asset Price Probability.
Olkhov, Victor (2019): New Essentials of Economic Theory.
Olkhov, Victor (2019): New Essentials of Economic Theory I. Assumptions, Economic Space and Variables.
Olkhov, Victor (2019): New Essentials of Economic Theory I. Assumptions, Economic Space and Variables.
Olkhov, Victor (2019): New Essentials of Economic Theory III. Economic Applications.
Olkhov, Victor (2016): On Hidden Problems of Option Pricing.
Olkhov, Victor (2021): Three Remarks On Asset Pricing.
Olkhov, Victor (2022): Three Remarks On Asset Pricing.
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)
Otero, Karina V. (2016): Intensity of default in sovereign bonds: Estimation of an unobservable process.
Otrok, Christopher and Ravikumar, B and Whiteman, Charles (2001): Stochastic Discount Factor Models and the Equity Premium Puzzle.
Owyong, David and Wong, Wing-Keung and Horowitz, Ira (2015): Cointegration and Causality among the Onshore and Offshore Markets for China's Currency. Published in: Journal of Asian Economics , Vol. 41, (2015): pp. 20-38.
Ozun, Alper and Cifter, Atilla (2007): Modeling Long-Term Memory Effect in Stock Prices: A Comparative Analysis with GPH Test and Daubechies Wavelets.
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): pp. 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.
Pandey, Ashish (2016): High Bids and Low Recovery: A Possible Case for Non-Performing Loan Auctions in India.
Papadamou, Stephanos and Fassas, Athanasios and Kenourgios, Dimitris and Dimitriou, Dimitrios (2020): Direct and Indirect Effects of COVID-19 Pandemic on Implied Stock Market Volatility: Evidence from Panel Data Analysis.
Parker, Edgar (2017): The Entropic Linkage between Equity and Bond Market Dynamics. Published in: Entropy , Vol. 19, No. 6 (21 June 2017): p. 292.
Parker, Edgar (2016): Flash Crashes: The Role of Information Processing Based Subordination and the Cauchy Distribution in Market Instability. Published in: Journal of Insurance and Financial Management , Vol. 2, No. 2 (15 September 2016): pp. 90-103.
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.
Pastén, Boris and Tapia, Pablo and Sepúlveda, Jorge (2022): Returns in US copper companies the face of the volatility and stringency of COVID-19.
Penasse, Julien (2008): Cash Flow-Wise ABCDS pricing.
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 (2008): A non-parametric investigation of risk premia.
Peroni, Chiara (2007): A non-parametric investigation of risk premia.
Pham, Ngoc-Sang (2017): Assets with possibly negative dividends.
Piasecki, Krzysztof (2011): Effectiveness of securities with fuzzy probabilistic return. Published in: Operations Research and Decisions No. 2 (2011): pp. 65-78.
Picarelli, Mattia and Erce, Aitor (2018): The Benefits of Reducing Hold-Out Risk: Evidence from the Euro CAC Experiment, 2013-2018.
Piergallini, Alessandro (2019): Demographic Change and Real House Prices: A General Equilibrium Perspective.
Pincheira, Pablo and Hardy, Nicolas (2018): Forecasting Base Metal Prices with Commodity Currencies.
Pincheira, Pablo and Hardy, Nicolas (2021): The Mean Squared Prediction Error Paradox.
Pincheira, Pablo and Hardy, Nicolas (2020): The Mean Squared Prediction Error Paradox: A summary.
Pincheira, Pablo and Hardy, Nicolas and Bentancor, Andrea and Henriquez, Cristóbal and Tapia, Ignacio (2021): Forecasting Base Metal Prices with an International Stock Index.
Pincheira, Pablo and Hardy, Nicolás (2019): Forecasting Aluminum Prices with Commodity Currencies.
Pincheira, Pablo and Jarsun, Nabil (2020): Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate.
Pincheira, Pablo and Neumann, Federico (2018): Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile.
Podshivalov, Georgii Gordon (2022): Predicting a recession with ensemble forecasting: the Fisher Knight recession indicator.
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.
Pönkä, Harri (2015): Real oil prices and the international sign predictability of stock returns.
Pönkä, Harri (2017): Sentiment and sign predictability of stock returns.
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.
Radkov, Petar (2010): The Mean Reversion Stochastic Processes Applications in Risk Management.
Radwanski, Juliusz (2021): The Equilibrium Value of Bitcoin.
Radwanski, Juliusz (2020): The Purchasing Power of Money in an Exchange Economy.
Rafiq, Shuddhasattwa (2020): Projecting post-crisis house and equity prices since the 1870s:not all crises are alike.
Rambaccussing, Dooruj (2009): Exploiting price misalignements.
Rambaccussing, Dooruj (2010): A real-time trading rule.
Ramos Murillo, Erick (2022): Case studies’ evidence of greenium in green bond sovereign issuances during the pandemic selloff of March 2020.
Rangoanana, Motena Sefora and Bonga-Bonga, Lumengo (2020): Carry trade and capital market returns in South Africa.
Raputsoane, Leroi (2018): Temporal homogeneity between financial stress and the economic cycle.
Raza, Muhammad Wajid and Mohsin, Hassan Mohammad (2014): Portfolio Tilting Hunt for Positive Alpha Through Style Tilts. Published in: VFAST Transactions on Education and Social Sciences , Vol. 06, No. 02 (March 2015): pp. 25-41.
Reis, Luciana and Meurer, Roberto and Da Silva, Sergio (2008): Stock returns and foreign investment in Brazil.
Remorov, Alexander (2015): Dynamic Trading When You May Be Wrong.
Ripamonti, Alexandre (2013): Rational Valuation Formula (RVF) and Time Variability in Asset Rates of Return. Published in: R.Cont.Fin , Vol. 61, No. 24 (May 2013): pp. 55-63.
Ripamonti, Alexandre and Silva, Diego and Moreira Neto, Eurico (2018): Asset Pricing and Asymmetric Information. Published in: Asian Journal of Economics, Business and Accounting , Vol. 7, No. 2 (14 June 2018): pp. 1-9.
Rizvi, Aoun and Ali, Syed Babar (2011): Risk Taking Behavior of Investors of Pakistan.
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.
Rodríguez Batres, Axel and Flores Sánchez, Edgar Mauricio and Flores Delgado, Javier Antonio (2019): Risk assessment for micro companies belonging to selected branches of the non-financial private services sector in Mexico through the Beta coefficient.
Rosas-Martinez, Victor H. (2016): Expectations Over Durable Assets: How to Avoid the Formation of Value Bubbles.
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, Suresh Kumar and V, Joseph James (2016): Precision in Predicting the Stock Prices –An Empirical Approach to Accuracy in Forecasting. Published in: The International Journal Of Business & Management , Vol. 4, No. 6 (25 June 2016): pp. 166-185.
S, Suresh Kumar and V, Joseph James and S R, Shehnaz (2017): The Dual Index Model That Astutely Augurs Stock Prices Using Sectoral Indices – An Empirical Evaluation of Securities That Are Not Constituents of India's Premier Stock Exchange Index Namely BSE-Sensex. Published in: CAPITAL MARKETS: ASSET PRICING & VALUATION eJOURNAL (2 August 2017)
S, Suresh Kumar and V, Joseph James and S R, Shehnaz (2017): The dual index model - Empirical proof of an astute model that augurs stock prices across assorted sectors. Published in: GLOBAL BUSINESS & ECONOMICS ANTHOLOGY , Vol. 1, No. 2017 (March 2017): pp. 13-26.
S R, Shehnaz and S, Suresh Kumar (2016): Gold prices and Nifty – Unravelling of an intricately interwoven nexus. Published in: International Journal of Advanced Research ISSN: 2320-5407 , Vol. 4, No. 8 (August 2016): pp. 246-261.
SHAH, Syed Muhammad Noaman Ahmed and KEBEWAR, mazen (2013): US Corporate Bond Yield Spread: A default risk debate.
SHAHANI, RAKESH and PALIWAL, RIYA (2020): An empirical analysis of the Co-movement of Crude, Gold, Rupee-Dollar Exchange rate and Nifty 50 Stock Index during Sub-prime and Coronavirus crisis periods.
Saculsan, Phoebe and Kanamura, Takashi (2019): Examining risk and return profiles of renewable energy investment in developing countries: The Case of the Philippines.
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.
Salmanov, Oleg and Babina, Natalia and Bashirova, Svetlana and Samoshkina, Marina (2015): Multiples for Valuation Estimates of Companies in the Technology Sector of Emerging Markets. Published in: Asian Social Science , Vol. Vol.11, No. Vol. 11, No. 8; 2015 (20 March 2015): pp. 253-263.
Sanna, Dario (2020): A Fast and Parsimonious Way to Estimate the Implied Rate of Return on Equity.
Sanna, Dario (2020): A Fast and Parsimonious Way to Estimate the Implied Rate of Return of Equity.
Santos, Carlos (2011): The euro sovereign debt crisis, determinants of default probabilities and implied ratings in the CDS market: an econometric analysis.
Sapre, Nikhil (2021): Revisiting the Expected Utility Theory and the Consumption CAPM.
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.
Semenova, Valentina and Winkler, Julian (2021): Social contagion and asset prices: Reddit’s self-organised bull runs.
Senarathne, Chamil W and Jayasinghe, Prabhath (2017): Information Flow Interpretation of Heteroskedasticity for Capital Asset Pricing: An Expectation-based View of Risk. Published in: Economic Issues , Vol. 1, No. 22 (March 2017): pp. 1-24.
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?
Shah, Anand (2022): Valuation of Loyalty Tokens.
Shahzad, Syed Jawad Hussain and Zakaria, Muhammad and Raza, Naveed and Ali, Sajid (2014): Multiscale systematic risk: Empirical Evidence from Pakistan.
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)
Shaikh, Slam Ahmed (2016): Analysis & Test of Market Efficiency: A Case Study of KSE.
Shaw, Charles (2020): Regimes, Non-Linearities, and Price Discontinuities in Indian Energy Stocks.
Siakoulis, Vasilios (2015): Modeling bank default intensity in the USA using autoregressive duration models.
Siddiqi, Hammad (2022): Asset Pricing in the Resource-Constrained Brain.
Siddiqi, Umema (2021): Estimating Long-Run Cointegration between Gold Prices and its Determinants.
Siddiqi, Hammad (2013): Analogy Making, Option Prices, and Implied Volatility.
Siddiqi, Hammad (2015): Anchoring Heuristic and the Equity Premium Puzzle.
Siddiqi, Hammad (2015): Anchoring and Adjustment Heuristic in Option Pricing.
Siddiqi, Hammad (2015): Anchoring and Adjustment Heuristic: A Unified Explanation for Equity Puzzles.
Siddiqi, Hammad (2019): CAPM: A Tale of Two Versions.
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 (2015): Explaining the Smile in Currency Options: Is it Anchoring?
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 (2015): Relative Risk Perception and the Puzzle of Covered Call writing.
Siddiqi, Hammad (2020): Resource allocation in the brain and the Capital Asset Pricing Model.
Siddiqi, Hammad (2020): Resource allocation in the brain and the equity premium puzzle.
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.
Silvio John, Camilleri and Nicolanne, Scicluna and Ye, Bai (2019): Do Stock Markets Lead or Lag Macroeconomic Variables? Evidence from Select European Countries. Published in: The North American Journal of Economics and Finance No. 48 (2019): pp. 170-186.
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.
Simerský, Mojmír (2018): Czech Government Bond yields under FX pressure.
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 (2015): Impact of Commodities Transaction Tax on Indian Commodity Futures.
Sinha, Pankaj and Mathur, Kritika (2013): Price, Return and Volatility Linkages of Base Metal Futures traded in India.
Sinha, Pankaj and Sawaliya, Priya and Sinha, Prateek (2020): Surviving Coronavirus scare: A journey of stock market amid a slowdown in Indian Economy.
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.
Sovbetov, Yhlas (2018): Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero. Published in: Journal of Economics and Financial Analysis , Vol. 2, No. 2 (17 February 2018): pp. 1-27.
Sproule, Robert and Gosselin, Gabriel (2023): Is the research agenda for calendar anomalies “much do about nothing”?
Steenkamp, Daan and Erasmus, Ruan (2022): Term premium estimation for South Africa.
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.
Sun, Zhuowei and Dunne, Peter G. and Li, Youwei (2015): Price Discovery in the Dual-Platform US Treasury Market.
Susanta, Datta (2024): An Empirical Assessment of India’s Position in Global Sustainable Bond Market.
Suzuki, Shiba (2018): Inequality and asset fire sales.
Swamy, Vighneswara (2017): Wealth Effects and Macroeconomic Dynamics – Evidence from Indian Economy.
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?
Taboga, Marco (2008): Macro-finance VARs and bond risk premia: a caveat.
Taboga, Marco (2007): Structural change and the bond yield conundrum.
Takaoka, Sumiko (2018): Convenience yield on government bonds and unconventional monetary policy in Japanese corporate bond spreads.
Takumah, Wisdom (2023): Fiscal Policy and Asset Prices in a Dynamic Factor Model with Cointegrated Factors.
Tan, Zekuang (2016): Application of Discounted Cash Flow Model Valuation – Wal-Mart. Published in:
Tan, Zekuang (2017): RBC LiONS™ S&P 500 Buffered Protection Securities (USD) Series 4 Analysis Option Pricing Analysis, Issuing Company Risk-hedging Analysis, and Recommended Investment Strategy. Published in:
Tang, Bo (2014): Exchange Rate Exposure of Chinese Firms at the Industry and Firm level. Published in: Review of Development Economics , Vol. 19, No. 3 (15 July 2015): pp. 592-607.
Tapia, Pablo and Pastén, Boris and Sepulveda Velasquez, Jorge (2022): Earthquakes in Chile-Peru and the price of copper.
Tatom, John (2005): Is Your Bubble About to Burst?
Tchamyou, Vanessa and Asongu, Simplice (2017): Conditional Market Timing in the Mutual Fund Industry. Published in: Research in International Business and Finance , Vol. 42, No. December (December 2017): pp. 1355-1366.
Tchamyou, Vanessa and Asongu, Simplice and Nwachukwu, Jacinta (2018): Effects of asymmetric information on market timing in the mutual fund industry. Forthcoming in: International Journal of Managerial Finance , Vol. 15, No. 5 (2018)
Termos, Ali (2008): Capital Investment as Real Options: A Note on Dixit-Pindyck Model.
Theplib, Krit and Sethapramote, Yuthana and Jiranyakul, Komain (2020): Shock and Volatility Spillovers between Crude Oil Price and Stock Returns: Evidence for Thailand.
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.
Tiamiyu, Kehinde A. (2022): Financial deepening and stock market development in Nigeria: evidence from recent data (1981-2019).
Tim, Xiao (2019): Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization.
Tinic, Murat and Sensoy, Ahmet and Demir, Muge and Nguyen, Duc Khuong (2020): Broker Network Connectivity and the Cross-Section of Expected Stock Returns.
Toda, Alexis Akira (2015): A Note on the Size Distribution of Consumption: More Double Pareto than Lognormal. Forthcoming in: Macroeconomic Dynamics
Toda, Alexis Akira and Walsh, Kieran James (2014): The Equity Premium and the One Percent.
Toda, Alexis Akira and Walsh, Kieran James (2016): Fat Tails and Spurious Estimation of Consumption-Based Asset Pricing Models. Forthcoming in: Journal of Applied Econometrics
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.
Trabelsi, Mohamed Ali (2010): Overreaction and Portfolio Selection Strategies in the Tunisian stock market. Published in: Journal of Risk Finance , Vol. 11, No. 3 (2010): pp. 310-322.
Tumasyan, Hovik (2018): A Second Look at Post Crisis Pricing of Derivatives - Part I: A Note on Money Accounts and Collateral.
Tunio, Mohsin Waheed (2023): What Explains the Volatility in Pakistan’s Sovereign Bond Yields?
Tursoy, Turgut and Berk, Niyazi (2020): Stock Return and Risk Premium: Evidence from Turkey.
Tursoy, Turgut and Faisal, Faisal and Berk, Niyazi and Shahbaz, Muhammad (2018): How do Stock Prices and Metal Prices Contribute to Economic Activity in Turkey? The Importance of Linear and Non-linear ARDL.
Tweneboah Senzu, Emmanuel (2020): Modern currency exchange rate behaviour and proposed trend-like forecasting model. Forthcoming in: Journal of Advanced Studies in Finance : pp. 1-487.
Uddin, Md Akther and Sultan, Yousuf and Hosen, Mosharrof and Ullah, Nazim (2015): A critical analysis of Islamic bond: A case study on Sunway Treasury Sukuk.
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.
Uslu, Semih (2015): Pricing and Liquidity in Decentralized Asset Markets.
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.
Valerio Filoso, Valerio and Panico, Carlo and Papagni, Erasmo and Francesco, Purificato and Vázquez Suarez, Marta (2016): Causes and timing of the European debt crisis: An econometric evaluation.
Van de Vyver, Mark (2023): Token economics scoping review: Annotated bibliography.
Vanini, Paolo (2012): Fiancial Innovation, Structuring and Risk Transfer.
Varadi, Vijay Kumar (2012): An evidence of speculation in Indian commodity markets.
Venetis, Ioannis and Ladas, Avgoustinos (2022): Co-movement and global factors in sovereign bond yields.
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.
Voloshyn, Ihor (2014): A detailed analysis of fulfilling and delinquency of payments on loan.
Voloshyn, Ihor and Voloshyn, Mykyta (2013): Integrated risk management in a commercial market-maker bank using the 'cash flow at risk' approach. Published in: RiskArticles.com No. 1 (23 January 2015): pp. 1-18.
Voloshyn, Ihor and Voloshyn, Mykyta (2013): Risk-adjusted pricing of bank’s assets based on cash flow matching matrix. Published in: ACRN Journal of Finance and Risk Perspectives , Vol. 2, No. 2 : pp. 49-59.
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.
Wahyudi, Imam and Robbi, Abdu (2009): Exploring Determinant Factors of Bond Trading with Inventory Management Theory (Case Study of Indonesian Capital Market, January – March 2009). Published in: Indonesian Capital Market Review , Vol. 2, No. II (July 2010): pp. 87-108.
Wang, Zijian (2019): Trading Motives in Asset Markets.
Wang, Gaowang (2014): Model Uncertainty, the Spirit of Capitalism and Asset Pricing.
Wang, Yijing (2022): A Liquidity-based Resolution to the Dividend Puzzle.
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.
White, Alan (2018): Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization.
William, Barnett and Qing, Han and Jianbo, Zhang (2018): Monetary Services Aggregation under Uncertainty: A Behavioral Economics Extension Using Choquet Expectation.
Winkler, Julian (2023): Managing fundamentals versus preferences: Re-balancing portfolios and stock returns.
Wisniewski, Tomasz Piotr and Yekini, Liafisu Sina (2014): Predicting Stock Market Returns Based on the Content of Annual Report Narrative: A New Anomaly.
Withanage, Yeshan and Jayasinghe, Prabhath (2017): Volatility Spillovers between South Asian Stock Markets: Evidence from Sri Lanka, India and Pakistan. Published in: Sri Lanka Journal of Economic Research , Vol. 5, No. 1 (November 2017): pp. 79-94.
Xiao, Tim (2013): An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk.
Xiao, Tim (2019): Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment.
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.
Xiao, Tim (2017): A New Model for Pricing Collateralized Financial Derivatives. Published in: The Journal of Derivatives , Vol. 24, No. 4 (1 July 2017): pp. 8-20.
Xiao, Tim (2019): Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization.
Xiao, Tim (2019): Pricing Interest Rate Swap Subject to Bilateral Counterparty Risk.
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.
Xiao, Tim (2019): The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment.
Xing, Victor (2017): Non-bank Financial Institutions at the Ground Zero of Next Crisis.
Xing, Victor (2016): Ultra-accommodative Monetary Policy and Unintentional Drags on Consumer Spending.
Xing, Victor (2018): Yield Curve Flattening a Symptom of Ineffective Policy Tightening.
Yan, Isabel K. and Chong, Terence and Lam, Tau-Hing (2011): Is the Chinese Stock Market Really Efficient. Forthcoming in: China Economic Review
Yang, Bill Huajian (2022): Modeling Path-Dependent State Transition by a Recurrent Neural Network. Forthcoming in: Big Data and Information Analytics
Yang, Bill Huajian (2019): Resolutions to flip-over credit risk and beyond. Published in: Big Data and Information Analytics , Vol. 3, No. 2 (18 March 2019): pp. 54-67.
Yang, Zixiu and Fantazzini, Dean (2022): Using crypto assets pricing methods to build technical oscillators for short-term bitcoin trading. Forthcoming in: Information
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.
Yoshida, Yushi and Susai, Masayuki (2016): Stepping out of the limit order book: Empirical evidence from the EBS FX market.
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.
Yusuf, Ismaila Akanni and Salaudeen, Mohammed Bashir and Agbonrofo, Hope (2021): Social and Economic Drivers of Stock Market Performance in Nigeria. Published in: Journal of Economic Impact , Vol. 3, No. 3 (15 November 2021): pp. 137-143.
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, Dayong and Dickinson, David and Barassi, Marco (2006): Structural breaks, cointegration and B share discount in Chinese stock market.
Zhang, Jing and Zhang, Wei and Li, Youwei and Feng, Xu (2021): The Role of Hedge Funds in the Asset Pricing: Evidence from China.
Zhang, Tongbin (2014): Stock price, risk-free rate and learning.
Zheng, Min and Liu, Ruipeng and Li, Youwei (2018): Long memory in financial markets: A heterogeneous agent model perspective.
Zhou, Siwen (2018): Exploring the Driving Forces of the Bitcoin Exchange Rate Dynamics: An EGARCH Approach.
Zong, Xiaoyu (2020): Capital Share, Consumption Volatility and Long-run Redistribution Risks.
Zvezdin, Nikolay (2019): Tranched Value Securities.
cianni, victor (2020): Pricing (almost) any used goods: a first step towards a theoretical framework.
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.
de Farias Neto, Joao Jose (2008): S-shaped utility, subprime crash and the black swan.
de Oliveira Souza, Thiago (2024): Model risk pricing and hedging.
el Alaoui, AbdelKader and Masih, Mansur and Bacha, Obiyathulla and Asutay, Mehmet (2014): Leverage, return, volatility and contagion: Evidence from the portfolio framework.
ilya, gikhman (2006): Fixed-income instrument pricing.
ilya, gikhman (2005): Options valuation.
ilya, gikhman (2006): Some critical comments on credit risk modeling.
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.
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.
Širůček, Martin and Galečka, Ondřej (2016): Alternative Evaluation of S&P 500 index in Relation to Quantitative Easing. Published in: Forum Scientiae Oeconomia , Vol. 5, No. 1 (1 January 2017): pp. 5-18.
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.
CHIKHI, Mohamed (2009): Identification non paramétrique d’un processus non linéaire hétéroscédastique. Published in: Revue d’Economie et de Statistiques Appliquées No. 12 (2009): pp. 9-27.
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 -.
OUATTARA, Aboudou (2017): Impact de la publication des notes financières sur les cours et les volume de transaction des sociétés cotées à la BRVM : Une analyse à partir des études d'évenement.
RIANE, Nizare (2014): Etude de la dynamique non-linéaire des rentabilités de la bourse de Casablanca.
Rose, Martin and Zitouni, Loubna (2006): Modélisation d'actifs à volatilité stochastique et pricing d'options européennes.
Trabelsi, Mohamed Ali (2010): Choix de portefeuille: comparaison des différentes stratégies. Published in: Editions Universitaires Européennes No. ISBN: 978-613-1-55044-7 (1 December 2010): pp. 1-324.
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): 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.
Trabelsi, Mohamed Ali (2009): Sur-réaction sur le marché tunisien des actions : une investigation empirique. Published in: La Revue des Sciences de Gestion , Vol. 236, (2009): pp. 51-58.
Trabelsi, Mohamed Ali (2010): Sélection de portefeuille via la stratégie de sur-réaction. Published in: Revue Sciences de Gestion No. 73 (2010): pp. 57-71.
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.
Olafsdottir, Katrin and Sigurdsson, Kari (2007): Hversu vel tekst til með verðbólguspár greiningardeilda?
Fitri Amalia, Rizki (2019): ANALISIS PERBANDINGAN FINANCIAL DISTRESSPADA PERUSAHAAN KONSTRUKSI DI BURSA EFEK INDONESIA TAHUN 2014 –2018. Published in: ECONOS Jurnal Ekonomi dan Sosial , Vol. 10, No. 1 (31 March 2019): pp. 22-31.
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.
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 (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.
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.
Piasecki, Krzysztof (2011): Rozmyte zbiory probabilistyczne jako narzędzie finansów behawioralnych. Published in: (November 2011): pp. 1-132.
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.
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).
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.
Stefanescu, Razvan and Dumitriu, Ramona (2015): Conţinutul analizei seriilor de timp financiare.
Ivanov, Sergei (2014): Альтернативный подход к определению условий отсутствия арбитража.
Vdovychenko, Artem (2012): Динамика ликвидности на рынке первичных публичных размещений. Published in: Экономический журнал Высшей школы экономики , Vol. 4, No. 16 (2012): pp. 514-533.
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.
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.
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.
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.
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.
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.
Cevik, Emrah Ismail (2012): İstanbul Menkul Kıymetler Borsası’nda etkin piyasa hipotezinin uzun hafıza modelleri ile analizi: sektörel bazda bir inceleme. Published in: Journal of Yasar University , Vol. 7, No. 26 (2012): pp. 4437-4454.
Coskun, Yener and Seven, Unal (2016): Etkin Piyasalar Hipotezi ve BİST’in Zayıf Form Etkinlik Analizi (Book Chapter). Published in: Book Name: Finansal Piyasalar ve Kurumlar: Teori ve Türkiye Uygulamasına Güncel Bakış No. ISBN: 978-975-02-3765-2 (15 June 2016): pp. 289-319.
İmer-Ertunga, Evrim (2010): KÜRESEL MALİ DALGALANMALAR: GELİŞEN ÜLKELERİN EURO-TAHVİL GETİRİLERİ AÇISINDAN BİR DEĞERLENDİRME. Published in: Ankara Üniversitesi SBF Dergisi , Vol. 4, No. 65 : pp. 68-85.
Contact us: mpra@ub.uni-muenchen.de
This repository has been built using EPrints software.
MPRA is a RePEc service hosted by 
.
![[up]](/style/images/multi_up.png)
Up a level