논문 주제별 분류: Journal of Finance & Mathematical Finance & Journal of Econometrics

< Assumption & Method >

 

244.  Bansal, Ravi, Lundblad, Christian. Market efficiency, asset returns, and the size of the risk premium in global equity markets 2002

94.  Bruce E. Testing for structural change in conditional models 2000

107.  BRUMMELHUIS, R., C횙RDOBA, A., QUINTANILLA, M. and SECO, L. Principal Component Value at Risk 2002

144.  Charlier, Erwin, Melenberg, Bertrand and van Soest, Arthur. An analysis of housing expenditure using semiparametric models and panel data 2001

57.  Chen, Yi-Ting, Chou, Ray Y. and Kuan, Chung-Ming. Testing time reversibility without moment restrictions 2000

93.  Chib, Siddhartha, Hamilton, Barton H. Bayesian analysis of cross-section and clustered data treatment models 2000

161.  Chintagunta, Pradeep, Kyriazidou, Ekaterini and Perktold, Josef. Panel data analysis of household brand choices 2001

265.  Corradi, Valentina, Swanson, Norman R. A consistent test for nonlinear out of sample predictive accuracy 2002

117.  DeJong, David N., Ingram, Beth F. and Whiteman, Charles H. A Bayesian approach to dynamic macroeconomics 2000

267.  Dufour, Jean-Marie, Khalaf, Lynda. Simulation based finite and large sample tests in multivariate regressions 2002

119.  Gozalo, Pedro, Linton, Oliver. Local nonlinear least squares: Using parametric information in nonparametric regression 2000

259.  Guasoni, Paolo. NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND 2006

263.  Hidalgo, Javier. Consistent order selection with strongly dependent data and its application to efficient estimation 2002

219.  Kargin, Vladislav. LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION 2005

55.  Kim, Jae-Young. Detection of change in persistence of a linear time series 2000

226.  Kitamura, Yuichi, Stutzer, Michael. Connections between entropic and linear projections in asset pricing estimation 2002

172.  Liesenfeld, Roman. A generalized bivariate mixture model for stock price volatility and trading volume 2001

84.  Nielsen, Soren F. On simulated EM algorithms 2000

95.  Perraudin, William R. M., S첩rensen, Bent E. The demand for risky assets: Sample selection and household portfolios 2000

260.  Reif, Ji힂i, Vl훾ek, Karel. Optimal pre-test estimators in regression 2002

199.  Rockinger, Michael, Jondeau, Eric. Entropy densities with an application to autoregressive conditional skewness and kurtosis 2002

207.  Widdicks, Martin, Duck, Peter W., Andricopoulos, Ari D. and Newton, David P. THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS 2005

 

 

< Autoregressive >

 

148.  Babsiri, Mohamed E., Zakoian, Jean-Michel. Contemporaneous asymmetry in GARCH processes 2001

99.  Chong, Terence T. Estimating the differencing parameter via the partial autocorrelation function 2000

59.  Chordia, Tarun, Swaminathan, Bhaskaran. Trading Volume and Cross-Autocorrelations in Stock Returns 2000

78.  Corradi, Valentina. Reconsidering the continuous time limit of the GARCH(1,혻1) process 2000

205.  Davidson, James. Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes 2002

140.  Dufour, Jean-Marie, Torr챔s, Olivier. Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes 2000

54.  Nakatsuma, Teruo. Bayesian analysis of ARMA�€밎ARCH models: A Markov chain sampling approach 2000

143.  Ronchetti, Elvezio, Trojani, Fabio. Robust inference with GMM estimators 2001

250.  Vahid, Farshid, Issler, Jo찾o V. The importance of common cyclical features in VAR analysis: a Monte-Carlo study 2002

 

 

< Better fitting >

 

248.  A챦t?Sahalia, Yacine. Telling from Discrete Data Whether the Underlying Continuous?Time Model Is a Diffusion 2002

151.  A캇�t-Sahalia, Yacine, Wang, Yubo and Yared, Francis. Do option markets correctly price the probabilities of movement of the underlying asset? 2001

236.  Andersen, Torben G., Benzoni, Luca and Lund, Jesper. An Empirical Investigation of Continuous-Time Equity Return Models 2002

51.  Bollen, Nicolas P. B., Gray, Stephen F. and Whaley, Robert E. Regime switching in foreign exchange rates:: Evidence from currency option prices 2000

134.  Bouleau, Nicolas. Error Calculus and Path Sensitivity in Financial Models 2003

247.  Carrasco, Marine. Misspecified Structural Change, Threshold, and Markov-switching models 2002

44.  Dempster, M. A. H., Richards, D. G. Pricing American Options Fitting the Smile 2000

206.  Duffee, Gregory R. Term Premia and Interest Rate Forecasts in Affine Models 2002

82.  Israel, Robert B., Rosenthal, Jeffrey S. and Wei, Jason Z. Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings 2001

258.  Jagannathan, Ravi, Wang, Zhenyu. Empirical Evaluation of Asset?Pricing Models: A Comparison of the SDF and Beta Methods 2002

232.  Maasoumi, Esfandiar, Racine, Jeff. Entropy and predictability of stock market returns 2002

33.  Sorescu, Sorin M. The Effect of Options on Stock Prices: 1973 to 1995 2000

138.  Zeng, Yong. A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering 2003

 

 

< Comment etc. >

 

182.  Ball, Clifford A., Chordia, Tarun. True Spreads and Equilibrium Prices 2001

124.  Barber, Brad, Lehavy, Reuven, McNichols, Maureen and Trueman, Brett. Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns 2001

62.  Bierens, Herman J., Swanson, Norman R. The econometric consequences of the ceteris paribus condition in economic theory 2000

268.  Borell, Christer. MONOTONICITY PROPERTIES OF OPTIMAL INVESTMENT STRATEGIES FOR LOG-BROWNIAN ASSET PRICES 2007

127.  Brenner, Menachem, Eldor, Rafi and Hauser, Shmuel. The Price of Options Illiquidity 2001

239.  Constantinides, George M. Rational Asset Prices 2002

249.  Cont, Rama. MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS 2006

191.  Cornelli, Francesca, Goldreich, David. Bookbuilding and Strategic Allocation 2001

174.  De Donno, Marzia. A note on completeness in large financial markets 2004

181.  Diebold, Francis X., Inoue, Atsushi. Long memory and regime switching 2001

215.  Fama, Eugene F., French, Kenneth R. The Equity Premium 2002

142.  Fern찼ndez, Carmen, Ley, Eduardo and Steel, Mark F. J. Benchmark priors for Bayesian model averaging 2001

122.  Huberman, Gur, Regev, Tomer. Contagious Speculation and a Cure for Cancer: A Nonevent that Made Stock Prices Soar 2001

125.  Jegadeesh, Narasimhan, Titman, Sheridan. Profitability of Momentum Strategies: An Evaluation of Alternative Explanations 2001

225.  Jin, Hanqing, Markowitz, Harry and Yu Zhou, Xun. A NOTE ON SEMIVARIANCE 2006

58.  Kaul, Aditya, Mehrotra, Vikas and Morck, Randall. Demand Curves for Stocks Do Slope Down: New Evidence from an Index Weights Adjustment 2000

76.  Klein, Irene. A Fundamental Theorem of Asset Pricing for Large Financial Markets 2000

180.  Korn, Ralf, Kraft, Holger. ON THE STABILITY OF CONTINUOUS-TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET 2004

86.  Lo, Andrew W., Mamaysky, Harry and Wang, Jiang. Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation 2000

69.  Manski, Charles F. Identification problems and decisions under ambiguity: Empirical analysis of treatment response and normative analysis of treatment choice 2000

159.  Martinez Peria, Maria S., Schmukler, Sergio L. Do Depositors Punish Banks for Bad Behavior? Market Discipline, Deposit Insurance, and Banking Crises 2001

154.  Schachermayer, Walter. The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time 2004

235.  Spanos, Aris, McGuirk, Anya. The problem of near-multicollinearity revisited: erratic vs systematic volatility 2002

98.  Subramanian, Ajay, Jarrow, Robert A. The Liquidity Discount 2001

190.  Sullivan, Ryan, Timmermann, Allan and White, Halbert. Dangers of data mining: The case of calendar effects in stock returns 2001

77.  Timmermann, Allan. Moments of Markov switching models 2000

176.  Venkataraman, Kumar. Automated Versus Floor Trading: An Analysis of Execution Costs on the Paris and New York Exchanges 2001

85.  Zingales, Luigi. In Search of New Foundations 2000

 

 

< Default risk >

 

48.  A캇�t-Sahalia, Yacine, Lo, Andrew W. Nonparametric risk management and implied risk aversion 2000

132.  Barucci, Emilio, Malliavin, Paul, Mancino, Maria E., Ren챵, Roberto and Thalmaier, Anton. The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability 2003

45.  Elliott, R. J., Jeanblanc, M. and Yor, M. On Models of Default Risk 2000

110.  Jarrow, Robert. Put Option Premiums and Coherent Risk Measures 2002

186.  Jarrow, Robert A., Lando, David and Yu, Fan. DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 2005

243.  Linetsky, Vadim. PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY 2006

160.  Scaillet, O. Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall 2004

 

 

< Dynamic optimization >

 

201.  Azcue, Pablo, Muler, Nora. OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAM횋R-LUNDBERG MODEL 2005

157.  B채uerle, Nicole. Approximation of Optimal Reinsurance and Dividend Payout Policies 2004

237.  Cadenillas, Abel, Choulli, Tahir, Taksar, Michael and Zhang, Lei. CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM 2006

266.  Cadenillas, Abel, Sarkar, Sudipto and Zapatero, Fernando. OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR 2007

43.  Cadenillas, Abel, Zapatero, Fernando. Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves 2000

46.  Fleming, W. H., Sheu, S. J. Risk-Sensitive Control and an Optimal Investment Model 2000

262.  Milevsky, Moshe A., Moore, Kristen S. and Young, Virginia R. ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN 2006

231.  횠ksendal, Bernt. A UNIVERSAL OPTIMAL CONSUMPTION RATE FOR AN INSIDER 2006

65.  Runggaldier, Wolfgang J., Zaccaria, Anna. A Stochastic Control Approach to Risk Management Under Restricted Information 2000

112.  Sethi, Suresh P., Taksar, Michael I. Optimal Financing of a Corporation Subject To Random Returns 2002

 

 

< Emerging market >

 

105.  Booth, Laurence, Aivazian, Varouj, Demirguc-Kunt, Asli and Maksimovic, Vojislav. Capital Structures in Developing Countries 2001

34.  Henry, Peter B. Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices 2000

 

 

< Estimation >

 

52.  Abrevaya, Jason. Rank estimation of a generalized fixed-effects regression model 2000

147.  Ahn, Seung C., Hoon Lee, Young and Schmidt, Peter. GMM estimation of linear panel data models with time-varying individual effects 2001

175.  Berkowitz, Jeremy. Generalized spectral estimation of the consumption-based asset pricing model 2001

115.  Bollerslev, Tim, Wright, Jonathan H. Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data 2000

53.  Charlier, Erwin, Melenberg, Bertrand and van Soest, Arthur. Estimation of a censored regression panel data model using conditional moment restrictions efficiently 2000

83.  Chen, Songnian. Efficient estimation of binary choice models under symmetry 2000

118.  Chen, Songnian. Rank estimation of a location parameter in the binary choice model 2000

141.  Deo, Rohit S. On estimation and testing goodness of fit for m-dependent stable sequences 2000

72.  Ellison, Glenn, Ellison, Sara F. A simple framework for nonparametric specification testing 2000

145.  Golan, Amos. A simultaneous estimation and variable selection rule 2001

241.  Honor챕, Bo, Khan, Shakeeb and Powell, James L. Quantile regression under random censoring 2002

229.  Kim, Jae-Young. Limited information likelihood and Bayesian analysis 2002

253.  Li, Tong. Robust and consistent estimation of nonlinear errors-in-variables models 2002

187.  Oliver, Mammen, Enno, Nielsen, Jans P. and Tanggaard, Carsten. Yield curve estimation by kernel smoothing methods 2001

155.  Singleton, Kenneth J. Estimation of affine asset pricing models using the empirical characteristic function 2001

220.  van Akkeren, Marco, Judge, George and Mittelhammer, Ron. Generalized moment based estimation and inference 2002

167.  van Garderen, Kees J. Optimal prediction in loglinear models 2001

208.  Wagenvoort, Rien, Waldmann, Robert. On B-robust instrumental variable estimation of the linear model with panel data 2002

114.  Whang, Yoon-Jae. Consistent bootstrap tests of parametric regression functions 2000

 

 

< Factor >

 

126.  Daniel, Kent, Titman, Sheridan and Wei, K. C. J. Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics? 2001

31.  Davis, James L., Fama, Eugene F. and French, Kenneth R. Characteristics, Covariances, and Average Returns: 1929 to 1997 2000

203.  Dittmar, Robert F. Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns 2002

149.  Gervais, Simon, Kaniel, Ron and Mingelgrin, Dan H. The High-Volume Return Premium 2001

113.  Glasserman, Paul, Heidelberger, Philip and Shahabuddin, Perwez. Portfolio Value-at-Risk with Heavy-Tailed Risk Factors 2002

70.  Harvey, Campbell R., Siddique, Akhtar. Conditional Skewness in Asset Pricing Tests 2000

30.  Hong, Harrison, Lim, Terence and Stein, Jeremy C. Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies 2000

212.  Johnson, Timothy C. Rational Momentum Effects 2002

184.  Lamont, Owen A. Economic tracking portfolios 2001

88.  Lee, Charles M. C., Swaminathan, Bhaskaran. Price Momentum and Trading Volume 2000

129.  Lettau, Martin, Ludvigson, Sydney. Consumption, Aggregate Wealth, and Expected Stock Returns 2001

158.  Sentana, Enrique, Fiorentini, Gabriele. Identification, estimation and testing of conditionally heteroskedastic factor models 2001

 

 

< Hedging >

 

42.  Biagini, Francesca, Guasoni, Paolo and Pratelli, Maurizio. Mean-Variance Hedging for Stochastic Volatility Models 2000

108.  DELBAEN, FREDDY, KABANOV, YURI M. and VALKEILA, ESKO. Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model 2002

27.  Haushalter, G. D. Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers 2000

92.  Heath, David, Platen, Eckhard and Schweizer, Martin. A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets 2001

109.  KABANOV, YURI M., LAST, G횥NTER. Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model 2002

221.  Knopf, John D., Nam, Jouahn and Thornton Jr., John H. The Volatility and Price Sensitivities of Managerial Stock Option Portfolios and Corporate Hedging 2002

60.  Motoczy?ski, M. Multidimensional Variance-Optimal Hedging in Discrete-Time Model?A General Approach 2000

213.  Xia, Jianming. MEAN?VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING 2005

 

 

< Long run >

 

35.  Balvers, Ronald, Wu, Yangru and Gilliland, Erik. Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies 2000

29.  Barberis, Nicholas. Investing for the Long Run when Returns Are Predictable 2000

224.  Boehme, Rodney D., Sorescu, Sorin M. The Long-run Performance Following Dividend Initiations and Resumptions: Underreaction or Product of Chance? 2002

87.  Brav, Alon. Inference in Long-Horizon Event Studies: A Bayesian Approach with Application to Initial Public Offerings 2000

204.  Iyengar, Garud. UNIVERSAL INVESTMENT IN MARKETS WITH TRANSACTION COSTS 2005

102.  Lamont, Owen A. Investment Plans and Stock Returns 2000

106.  Xia, Yihong. Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation 2001

 

 

< Optimal portfolio >

 

136.  Benth, Fred E., Karlsen, Kenneth H. and Reikvam, Kristin. Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type 2003

198.  Bielecki, Tomasz R., Jin, Hanqing, Pliska, Stanley R. and Zhou, Xun Y. CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION 2005

192.  B철hm, Volker, Chiarella, Carl. MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES 2005

233.  Brennan, Michael J., Xia, Yihong. Dynamic Asset Allocation under Inflation 2002

128.  Coval, Joshua D., Shumway, Tyler. Expected Option Returns 2001

137.  Cross, Jason E., Barron, Andrew R. Efficient Universal Portfolios for Past-Dependent Target Classes 2003

216.  Detemple, J챕r^me, Rindisbacher, Marcel. CLOSED-FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS 2005

91.  Emmer, Susanne, Kl체ppelberg, Claudia and Korn, Ralf. Optimal Portfolios with Bounded Capital at Risk 2001

130.  Evstigneev, Igor V., Hens, Thorsten and Schenk-Hopp챕, Klaus R. MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY 2002

200.  Faig, Miquel, Shum, Pauline. Portfolio Choice in the Presence of Personal Illiquid Projects 2002

156.  Ferson, Wayne E., Siegel, Andrew F. The Efficient Use of Conditioning Information in Portfolios 2001

246.  Gy철rfi, L찼szl처, Lugosi, G찼bor and Udina, Frederic. NONPARAMETRIC KERNEL-BASED SEQUENTIAL INVESTMENT STRATEGIES 2006

47.  Korn, Ralf. Value Preserving Strategies and a General Framework for Local Approaches to Optimal Portfolios 2000

75.  Li, Duan, Ng, Wan-Lung. Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation 2000

228.  Li, Duan, Sun, Xiaoling and Wang, Jun. OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN?VARIANCE FORMULATION FOR PORTFOLIO SELECTION 2006

252.  Lindberg, Carl. NEWS-GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR n STOCKS IN A MARKET OF BARNDORFF-NIELSEN AND SHEPHARD TYPE 2006

28.  P찼stor, ?ubo?. Portfolio Selection and Asset Pricing Models 2000

234.  Platen, Eckhard. A BENCHMARK APPROACH TO FINANCE 2006

68.  Sch채l, Manfred. Portfolio Optimization and Martingale Measures 2000

123.  Viceira, Luis M. Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income 2001

240.  Xia, Jianming, Yan, Jia-An. MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET 2006

139.  Zhao, Yonggan, Haussmann, Ulrich and Ziemba, William T. A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome 2003

 

 

< Pricing >

 

177.  B횋langer, Alain, Shreve, Steven E. and Wong, Dennis. A GENERAL FRAMEWORK FOR PRICING CREDIT RISK 2004

41.  Bensoussan, A., Julien, H. On the Pricing of Contingent Claims with Frictions 2000

89.  Boyle, Phelim, Wang, Tan. Pricing of New Securities in an Incomplete Market: the Catch 22 of No-Arbitrage Pricing 2001

37.  Britten-Jones, Mark, Neuberger, Anthony. Option Prices, Implied Price Processes, and Stochastic Volatility 2000

50.  Clement, E., Gourieroux, C. and Monfort, A. Econometric specification of the risk neutral valuation model 2000

222.  Duan, Jin-Chuan, Ritchken, Peter and Sun, Zhiqiang. APPROXIMATING GARCH-JUMP MODELS, JUMP-DIFFUSION PROCESSES, AND OPTION PRICING 2006

39.  Frittelli, Marco. The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets 2000

49.  Garcia, Ren챕, Gen챌ay, Ramazan. Pricing and hedging derivative securities with neural networks and a homogeneity hint 2000

81.  Gukhal, Chandrasekhar R. Analytical Valuation of American Options on Jump-Diffusion Processes 2001

189.  Henderson, Vicky. ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS 2005

131.  Henderson, Vicky. VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION 2002

171.  Ib찼챰ez, Alfredo. Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities 2004

90.  Palmer, Ken. A Note on the Boyle?Vorst Discrete-Time Option Pricing Model with Transactions Costs 2001

61.  Rouge, Richard, El Karoui, Nicole. Pricing Via Utility Maximization and Entropy 2000

71.  Stettner, Lukasz. Option Pricing in Discrete-Time Incomplete Market Models 2000

 

 

< Selection bias >

 

56.  Banerjee, Anurag N., Magnus, Jan R. On the sensitivity of the usual t- and F-tests to covariance misspecification 2000

32.  Berk, Jonathan B. Sorting Out Sorts 2000

96.  Lewbel, Arthur. Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables 2000

245.  Li, Haitao, Xu, Yuewu. Survival Bias and the Equity Premium Puzzle 2002

223.  Nevo, Aviv. Sample selection and information-theoretic alternatives to GMM 2002

202.  Ramalho, Esmeralda A. Regression models for choice-based samples with misclassification in the response variable 2002

66.  van Garderen, Kees J., Lee, Kevin and Pesaran, M. H. Cross-sectional aggregation of non-linear models 2000

193.  West, Kenneth D. Encompassing tests when no model is encompassing 2001

 

 

< Survey >

 

217.  Bera, Anil K., Bilias, Yannis. The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis 2002

79.  Campbell, John Y. Asset Pricing at the Millennium 2000

179.  Hirshleifer, David. Investor Psychology and Asset Pricing 2001

214.  Soofi, E. S., Retzer, J. J. Information indices: unification and applications 2002

80.  Sundaresan, Suresh M. Continuous-Time Methods in Finance: A Review and an Assessment 2000

 

 

< Theoretical model >

 

97.  An챕, Thierry, Geman, H챕lyette. Order Flow, Transaction Clock, and Normality of Asset Returns 2000

150.  Bank, Peter, Baum, Dietmar. Hedging and Portfolio Optimization in Financial Markets with a Large Trader 2004

209.  Bebchuk, Lucian A. Ex Ante Costs of Violating Absolute Priority in Bankruptcy 2002

264.  횉etin, Umut, Rogers, L. C. G. MODELING LIQUIDITY EFFECTS IN DISCRETE TIME 2007

152.  Daniel, Kent D., Hirshleifer, David and Subrahmanyam, Avanidhar. Overconfidence, Arbitrage, and Equilibrium Asset Pricing 2001

74.  De Roon, Frans A., Nijman, Theo E. and Veld, Chris. Hedging Pressure Effects in Futures Markets 2000

100.  Diamond, Douglas W., Rajan, Raghuram G. A Theory of Bank Capital 2000

166.  Heath, David, Ku, Hyejin. Pareto Equilibria with coherent measures of risk 2004

185.  Holmstr철m, Bengt, Tirole, Jean. LAPM: A Liquidity-Based Asset Pricing Model 2001

64.  Hong, Harrison. A Model of Returns and Trading in Futures Markets 2000

135.  Imkeller, Peter. Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches 2003

194.  Kahl, Matthias. Economic Distress, Financial Distress, and Dynamic Liquidation 2002

210.  Kalkbrener, Michael. AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION 2005

218.  Kodres, Laura E., Pritsker, Matthew. A Rational Expectations Model of Financial Contagion 2002

173.  Kyle, Albert S., Xiong, Wei. Contagion as a Wealth Effect 2001

162.  P찼stor, ?lubo?, Stambaugh, Robert F. The Equity Premium and Structural Breaks 2001

67.  Perez-Quiros, Gabriel, Timmermann, Allan. Firm Size and Cyclical Variations in Stock Returns 2000

101.  Scharfstein, David S., Stein, Jeremy C. The Dark Side of Internal Capital Markets: Divisional Rent-Seeking and Inefficient Investment 2000

197.  Vuolteenaho, Tuomo. What Drives Firm-Level Stock Returns? 2002

 

 

< Unity-division >

 

104.  Baks, Klaas P., Metrick, Andrew and Wachter, Jessica. Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation 2001

242.  Campa, Jose M., Kedia, Simi. Explaining the Diversification Discount 2002

103.  Campbell, John Y., Lettau, Martin, Malkiel, Burton G. and Xu, Yexiao. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk 2001

73.  Grinblatt, Mark, Longstaff, Francis A. Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program 2000

111.  Hennessy, David A., Lapan, Harvey E. The Use of Archimedean Copulas to Model Portfolio Allocations 2002

40.  Hofmann, Norbert, Platen, Eckhard. Approximating Large Diversified Portfolios 2000

26.  Rajan, Raghuram, Servaes, Henri and Zingales, Luigi. The Cost of Diversity: The Diversification Discount and Inefficient Investment 2000

 

 

< Utility & information >

 

170.  A챦t-Sahalia, Yacine, Brandt, Michael W. Variable Selection for Portfolio Choice 2001

165.  Barberis, Nicholas, Huang, Ming. Mental Accounting, Loss Aversion, and Individual Stock Returns 2001

38.  B철hm, Volker, Deutscher, Nicole and Wenzelburger, Jan. Endogenous Random Asset Prices in Overlapping Generations Economies 2000

63.  Chamberlain, Gary. Econometrics and decision theory 2000

261.  Conrad, Jennifer, Cornell, Bradford and Landsman, Wayne R. When Is Bad News Really Bad News? 2002

251.  Easley, David, Hvidkjaer, Soeren and O?Hara, Maureen. Is Information Risk a Determinant of Asset Returns? 2002

195.  Hugonnier, Julien, Kramkov, Dmitry and Schachermayer, Walter. ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS 2005

230.  Lewellen, Jonathan, Shanken, Jay. Learning, Asset-Pricing Tests, and Market Efficiency 2002

116.  Li, Tong, Perrigne, Isabelle and Vuong, Quang. Conditionally independent private information in OCS wildcat auctions 2000

188.  Rashes, Michael S. Massively Confused Investors Making Conspicuously Ignorant Choices (MCI?MCIC) 2001

36.  Veronesi, Pietro. How Does Information Quality Affect Stock Returns? 2000

 

 

< Volatility >

 

196.  A캇�t-Sahalia, Yacine, Bickel, Peter J. and Stoker, Thomas M. Goodness-of-fit tests for kernel regression with an application to option implied volatilities 2001

227.  Alizadeh, Sassan, Brandt, Michael W. and Diebold, Francis X. Range-Based Estimation of Stochastic Volatility Models 2002

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