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Notes, Comments and Preliminary results |
| Apr 18 2013 |
Benoît Sévi and César Baena |
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The explanatory power of signed jumps for the risk-return tradeoff |
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Abstract Contact Information Citation Full Text - Note |
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| Feb 21 2013 |
Francisca Beer , Fabrice Hervé and Mohamed Zouaoui |
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Is Big Brother Watching Us? Google, Investor Sentiment and the Stock Market |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 08 2012 |
Mohamed El Hédi Arouri , Amine Lahiani and Duc Khuong Nguyen |
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Oil-stock volatility transmission, portfolio selection and hedging |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 26 2012 |
Hideaki Sakawa and Masato Ubukata |
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Does Pre-trade Transparency Affect Market Quality in the Tokyo Stock Exchange? |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 15 2012 |
David G McMillan |
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Long-run stock price-house price relation: evidence from an ESTR model |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 24 2012 |
Suresh K. G. , Aviral Kumar Tiwari and Anto Joseph |
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Are the emerging bric stock markets efficient? |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 09 2012 |
Marcelo Brutti Righi and Paulo Sergio Ceretta |
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Analysis of the Tail Dependence Structure in the Global Markets: A Pair Copula Construction Approach |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 29 2012 |
Go Tamakoshi , Yuki Toyoshima and Shigeyuki Hamori |
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A dynamic conditional correlation analysis of European stock markets from the perspective of the Greek sovereign debt crisis |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 20 2012 |
Marcelo Brutti Righi and Paulo Sergio Ceretta |
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Predicting the risk of global portfolios considering the non-linear dependence structures |
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Abstract Contact Information Citation Full Text - Note |
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| Dec 13 2011 |
Go Tamakoshi and Shigeyuki Hamori |
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Transmission of stock prices amongst European countries before and during the Greek sovereign debt crisis |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Nov 28 2011 |
Renatas Kizys and Christian Pierdzioch |
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Contagious speculative bubbles: A note on the Greek sovereign debt crisis |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 27 2011 |
Go Tamakoshi |
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European sovereign debt crisis and linkage of long-term government bond yields |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 03 2011 |
Tran MANH Tuyen |
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Modeling Volatility Using GARCH Models: Evidence from Vietnam |
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Abstract Contact Information Citation Full Text - Note |
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| May 12 2011 |
Riccardo Calcagno and Mariacristina Rossi |
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Portfolio Choice and Precautionary Savings |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 02 2011 |
Fernanda G Barba and Paulo S Ceretta |
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Risk transmission between Latin America stock markets and the US: impacts of the 2007/2008 Crisis |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Feb 17 2011 |
Masanori Ohkuma and Teruo Mori |
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Local finance-growth nexus: Does bank ownership matter? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jan 17 2011 |
Laurent Augier and Wahyoe Soedarmono |
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Threshold Effect and Financial Intermediation in Economic Development |
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Abstract Contact Information Citation Full Text - Note |
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| Dec 08 2010 |
Siow-Hooi Tan and Mohammad Tariqul Islam Khan |
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Long Memory Features in Return and Volatility of the Malaysian Stock Market |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 11 2010 |
Abd Halim Ahmad , Siti Nurazira Mohd Daud and W.N.W. Azman-Saini |
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Efficient market hypothesis in emerging markets: Panel data evidence with multiple breaks and cross sectional dependence |
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Abstract Contact Information Citation Full Text - Note |
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| Sep 23 2010 |
Andreas Knabe and Steffen Rätzel |
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Better an insecure job than no job at all? Unemployment, job insecurity and subjective wellbeing |
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Abstract Contact Information Citation Full Text - Note |
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| Aug 26 2010 |
Robert Finger |
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Stock price responses on the German suspension of genetically modified maize |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jul 22 2010 |
Thi Hong Hanh Pham |
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Effects of the 2008 Financial Crisis on developing Asia's Economic Growth |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| May 06 2010 |
Khurshid Kiani |
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Predictable Signals in Excess Returns: Evidence from Non-Gaussian State Space Models |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 08 2010 |
Shiok Ye Lim and Ricky Chee-Jiun Chia |
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Stock Market Calendar Anomalies: Evidence from ASEAN-5 Stock Markets |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 25 2010 |
Arouri Mohamed El Hedi and Jawadi Fredj |
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Short and long-term links between oil prices and stock markets in Europe |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 21 2010 |
Naved Ahmad and Shahid Ali |
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Corruption and financial sector performance: A cross-country analysis |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jan 19 2010 |
Siow-hooi Tan , Muzafar-shah Habibullah and Roy-wye-leong Khong |
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Non-linear unit root properties of stock prices: Evidence from India, Pakistan and Sri Lanka |
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Abstract Contact Information Citation Full Text - Note |
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| Sep 24 2009 |
William Wai Him Tsang and Terence Tai Leung Chong |
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Profitability of the On-Balance Volume Indicator |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Sep 10 2009 |
Tomoki Kitamura and Kunio Nakashima |
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Changes in Equity Investment of Japan's Households After the Introduction of Defined Contribution Plans
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Abstract Contact Information Citation Full Text - Note |
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| Jun 08 2009 |
Qaiser Munir and Kasim Mansur |
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Is Malaysian Stock Market Efficient? Evidence from Threshold Unit Root Tests |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 14 2009 |
Giam Quang Do , Michael Mcaleer and Songsak Sriboonchitta |
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Effects of international gold market on stock exchange volatility:
evidence from asean emerging stock markets
|
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Nov 02 2008 |
Wei-Hsiung Wu , Hui-Hwang Tsai , Shyan-Yuan Lee and Son-Nan Chen |
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Extend the debt as it is not deeply out-of-the-money |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Nov 02 2008 |
Sifunjo E. Kisaka , Wainaina Gituro , Pokhariyal Ganesh and Ngugi W. Rose |
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An analysis of the efficiency of the foreign exchange market in Kenya |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 28 2008 |
Wan-Hsiu Cheng |
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Overestimation in the Traditional GARCH Model During Jump Periods |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Aug 04 2008 |
Sovannroeun SAMRETH and Dara LONG |
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The Monetary Model of Exchange Rate: Evidence from the Philippines Using ARDL Approach |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 21 2008 |
Alex Lebedinsky |
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Empirical Test of Affine Stochastic Discount Factor Model of Currency Pricing |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 07 2008 |
Venus Khim-Sen Liew , Ricky Chee-Jiun Chia and Syed Azizi Wafa Syed Khalid Wafa |
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Day-of-the-week effects in Selected East Asian stock markets |
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Abstract Contact Information Citation Full Text - Note |
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| Dec 19 2007 |
Patricia Stefani |
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Financial Development and Economic Growth in Brazil: 1986-2006 |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Sep 03 2007 |
Thu Phuong Pham and Anh Tuan Bui |
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The time to shut down |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Aug 15 2007 |
Tao Wang |
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Financial Constraints and the Risk-Return Relation |
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Abstract Contact Information Citation Full Text - Note |
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| Aug 13 2007 |
Paresh Narayan and Arti Prasad |
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Mean Reversion in Stock Prices: New Evidence from Panel Unit Root Tests for Seventeen European Countries |
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Abstract Contact Information Citation Full Text - Note |
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| Aug 02 2007 |
Jose Luis de la Cruz and Elizabeth Ortega |
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Continuous Time Models of Interest Rate: Testing the Mexican Data (1998-2006) |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 20 2007 |
virginie terraza and stephane mussard |
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New trading risk indexes: application of the shapley value in finance |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jun 17 2007 |
Luigi Ventura |
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A note on the relevance of prudence in precautionary saving. |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 12 2007 |
Wen-Hsiu Kuo , Liu-Hsiang Hsu and Ching-Chung Lin |
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The impact of foreign trading information on emerging futures markets: a study of Taiwan's unique data set |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 08 2007 |
Dat Bue Lock |
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The China A shares follow random walk but the B shares do not |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| May 22 2007 |
Quentin Wodon |
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Constructing Fama-French Factors from style indexes: Japanese evidence |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 05 2007 |
Dat Bue Lock |
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The Taiwan stock market does follow a random walk |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Feb 14 2007 |
Markus Haas |
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Do investors dislike kurtosis? |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 16 2006 |
Hideaki Sakawa and Naoki Watanabel |
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A Note on Synchronization Risk and Delayed Arbitrage |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 09 2006 |
Vahe Lskavyan |
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Multiple Shareholder Control as a Signaling Mechanism |
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Abstract Contact Information Citation Full Text - Note |
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| Dec 06 2005 |
Jin Lee |
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Long horizon regressions with moderate deviations from a unit root |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Dec 01 2005 |
Diego Nocetti |
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A Model of Mental Effort and Endogenous Estimation Risk |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 03 2005 |
Fang Xu |
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Does Consumption-Wealth Ratio Signal Stock Returns? - VECM Results for Germany |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 17 2005 |
Stephen LeRoy |
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Positivity and bubbles in overlapping generations models |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 05 2004 |
Stephen LeRoy |
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Bubbles and the Intertemporal Government Budget Constraint |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 25 2004 |
M. Hossein Partovi and Michael Caputo |
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Principal Portfolios: Recasting the Efficient Frontier |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Apr 27 2004 |
David A. Hennessy |
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Orthogonal Subgroups for Portfolio Choice |
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Abstract Contact Information Citation Full Text - Note |
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| Dec 19 2003 |
Joseph G. Eisenhauer |
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Approximation bias in estimating risk aversion |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 19 2003 |
Stephen LeRoy |
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Expected utility: a defense |
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Abstract Contact Information Citation Full Text - Note |
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| Sep 11 2003 |
Ludovic Renou and Guillaume Carlier |
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Existence and monotonicity of optimal debt contracts in costly state verification models |
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Abstract Contact Information Citation Full Text - Note |
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| May 28 2003 |
Keiichi Tanaka |
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Indeterminacy of equilibrium price of money, market price of risk and interest rates |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 28 2003 |
Sergio Da Silva , Annibal Figueiredo , Iram Gleria and Raul Matsushita |
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Fractal structure in the Chinese yuan/US dollar rate |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 21 2003 |
Nizar Allouch |
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A note on two notions of arbitrage |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 19 2001 |
Teruko Takada |
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Nonparametric density estimation: A comparative study |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Oct 23 2001 |
João Amaro de Matos and Paula Antão |
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Super-replicating Bounds on European Option Prices when the Underlying Asset is Illiquid |
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Abstract Contact Information Citation Full Text - Note |
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