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Series handle: RePEc:eee:finlet
ISSN: 15446123
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Content
September 2008, Volume 5, Issue 3
June 2008, Volume 5, Issue 2
- 69-78 Mutual fund theorems when minimizing the probability of lifetime ruin
by Bayraktar, Erhan & Young, Virginia R.
- 79-87 Option prices as probabilities
by Madan, D. & Roynette, B. & Yor, Marc
- 88-95 Positivity constraints on the conditional variances in the family of conditional correlation GARCH models
by Nakatani, Tomoaki & Teräsvirta, Timo
- 96-103 Modeling duration clusters with dynamic copulas
by Ng, Wing Lon
- 104-117 Interpreting long-horizon estimates in predictive regressions
by Hjalmarsson, Erik
- 118-127 Robustness of the risk-return relationship in the U.S. stock market
by Lanne, Markku & Luoto, Jani
March 2008, Volume 5, Issue 1
- 1-1 Editorial for "Challenge"
by Gençay, Ramo & Bhattacharyya, Sugato & Whited, Toni & Yaron, Amir
- 2-10 Patterns in cross market liquidity
by Spiegel, Matthew
- 11-20 Modeling loan commitments
by Chava, Sudheer & Jarrow, Robert
- 21-31 On the predictive power of the surplus consumption ratio
by Ghattassi, Imen
- 32-46 Implementing likelihood-based inference for fat-tailed distributions
by Rekkas, M. & Wong, A.
- 47-58 The Stambaugh bias in panel predictive regressions
by Hjalmarsson, Erik
- 59-67 On measuring concentration in banking systems
by Alegria, Carlos & Schaeck, Klaus
December 2007, Volume 4, Issue 4
September 2007, Volume 4, Issue 3
- 137-145 Optimality of the RiskMetrics VaR model
by Gonzalez-Rivera, Gloria & Lee, Tae-Hwy & Yoldas, Emre
- 146-154 The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders
by Cotter, John & Dowd, Kevin
- 155-164 Learning, price formation and the early season bias in the NBA
by Baryla Jr., Edward A. & Borghesi, Richard A. & Dare, William H. & Dennis, Steven A.
- 165-171 A note on the relationship between Fama-French risk factors and innovations of ICAPM state variables
by In, Francis & Kim, Sangbae
- 172-178 The creation of wealth
by Hellwig, Klaus
- 179-185 What is the correct meaning of implied volatility?
by Kim, In Joon & Park, Gun Youb & Hyun, Jung-Soon
- 186-195 Putting the dividend-price ratio under the microscope
by Nagayasu, Jun
- 196-199 Comments on and corrigendum to "Hedging errors with Leland's option model in the presence of transaction costs" [Finance Research Letters 4 (2007) 49-58]
by Zhao, Yonggan & Ziemba, William T.
- 200-202 Comments on "Hedging errors with Leland's option model in the presence of transactions costs"
by Leland, Hayne E.
June 2007, Volume 4, Issue 2
- 68-81 The navigation of an iceberg: The optimal use of hidden orders
by Esser, Angelika & Monch, Burkart
- 82-91 Rare events and annuity market participation
by Lopes, Paula & Michaelides, Alexander
- 92-94 Fully modified estimation with nearly integrated regressors
by Hjalmarsson, Erik
- 95-103 The impact of keeping up with the Joneses behavior on asset prices and portfolio choice
by Gomez, Juan-Pedro
- 104-115 Temporal aggregation and risk-return relation
by Jin, Xing & Wang, Leping & Yu, Jun
- 116-126 An analytic approximation formula for pricing zero-coupon bonds
by Choi, Youngsoo & Wirjanto, Tony S.
- 127-136 A note on myopic loss aversion and the equity premium puzzle
by Zeisberger, Stefan & Langer, Thomas & Trede, Mark
March 2007, Volume 4, Issue 1
- 2-9 Pitfalls in static superhedging of barrier options
by Kraft, Holger
- 10-18 Exploring the components of credit risk in credit default swaps
by Fabozzi, Frank J. & Cheng, Xiaolin & Chen, Ren-Raw
- 19-27 Asymmetric wealth gains in joint ventures: Theory and evidence
by Shyam Kumar, M.V.
- 28-32 On the use of the Box-Cox transformation on conditional variance models
by Tsiotas, G.
- 33-48 Closed-form valuation of American call options on stocks paying multiple dividends
by Cassimon, D. & Engelen, P.J. & Thomassen, L. & Van Wouwe, M.
- 49-58 Hedging errors with Leland's option model in the presence of transaction costs
by Zhao, Yonggan & Ziemba, William T.
- 59-66 Underlying assets for which options complete the market
by Galvani, Valentina
December 2006, Volume 3, Issue 4
- 235-243 Exchange rates and order flow in the long run
by Boyer, M. Martin & van Norden, Simon
- 244-252 The value, size, and momentum spread during distressed economic periods
by Arshanapalli, Bala & Fabozzi, Frank J. & Nelson, William
- 253-266 On the relation between the market-to-book ratio, growth opportunity, and leverage ratio
by Chen, Long & Zhao, Xinlei
- 267-272 A note on generalized distortion risk measures
by Hurlimann, Werner
- 273-276 The relationship between expected utility and higher moments for distributions captured by the Gram-Charlier class
by Christodoulakis, George & Peel, David
- 277-289 Quadratic term structure models in discrete time
by Realdon, Marco
September 2006, Volume 3, Issue 3
- 165-172 Modeling default risk: A new structural approach
by Yildirim, Yildiray
- 173-180 Tilting safety first and the Sharpe portfolio
by Haley, M. Ryan & McGee, M. Kevin
- 181-193 Disentangling risk aversion and intertemporal substitution through a reference level
by Garcia, Rene & Renault, Eric & Semenov, Andrei
- 194-206 Expanding the frontier one asset at a time
by Ukhov, Andrey D.
- 207-211 A note on a barrier exchange option: The world's simplest option formula?
by Lindset, Snorre & Persson, Svein-Arne
- 212-233 The interaction between technical currency trading and exchange rate fluctuations
by Schulmeister, Stephan
June 2006, Volume 3, Issue 2
- 79-95 From default probabilities to credit spreads: Credit risk models do explain market prices
by Denzler, Stefan M. & Dacorogna, Michel M. & Muller, Ulrich A. & McNeil, Alexander J.
- 96-101 Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment
by Bossaerts, Peter & Zame, William R.
- 102-105 Reply to "Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment"
by Judd, Kenneth L. & Kubler, Felix & Schmedders, Karl
- 106-113 Markowitz meets Kahneman: Portfolio selection under divided attention
by Nocetti, Diego
- 114-132 Modeling dynamic conditional correlations in WTI oil forward and futures returns
by Lanza, Alessandro & Manera, Matteo & McAleer, Michael
- 133-146 The robustness of asset pricing models: Coskewness and cokurtosis
by Ando, Masakazu & Hodoshima, Jiro
- 147-153 Explaining inertia in closed-end fund prices
by Bleaney, Michael & Smith, R. Todd
- 154-162 Explosive bubbles in the cointegrated VAR model
by Engsted, Tom
March 2006, Volume 3, Issue 1
- 2-13 Revisiting cumulative preferred stock valuation
by Realdon, Marco
- 14-22 The Fed model: A note
by Estrada, Javier
- 23-39 On the sequencing of projects, reputation building, and relationship finance
by Egli, Dominik & Ongena, Steven & Smith, David C.
- 40-48 Do insiders crowd out analysts?
by Gilbert, Aaron & Tourani-Rad, Alireza & Wisniewski, Tomasz Piotr
- 49-56 Moments of the estimated Sharpe ratio when the observations are not IID
by Bao, Yong & Ullah, Aman
- 57-64 On the robustness of cointegration tests when assessing market efficiency
by Kellard, Neil
- 65-72 Options to expand: Some remarks
by Agliardi, Rossella
- 73-78 A note on the relationship between industry returns and inflation through a multiscaling approach
by Kim, Sangbae & In, Francis
December 2005, Volume 2, Issue 4
- 185-194 The long-run equity risk premium
by Graham, John R. & Harvey, Campbell R.
- 195-200 Hedging the smirk
by Bates, David S.
- 201-209 Bayesian range-based estimation of stochastic volatility models
by Brandt, Michael W. & Jones, Christopher S.
- 210-226 Solving models with external habit
by Wachter, Jessica A.
- 227-233 Financial forecasts in the presence of asymmetric loss aversion, skewness and excess kurtosis
by Christodoulakis, George A.
- 234-247 Hypothesis testing for diffusion processes with continuous observations: Direct computation of large deviation results for error probabilities
by Govindaraj, Suresh
- 248-259 Cointegration analysis of the Fed model
by Koivu, Matti & Pennanen, Teemu & Ziemba, William T.
- 260-269 The price-dividend relationship in inflationary and deflationary regimes
by Madsen, Jakob B. & Milas, Costas
September 2005, Volume 2, Issue 3
- 107-124 Industry momentum and common factors
by Du, Ding & Denning, Karen
- 125-130 A note on sufficient conditions for no arbitrage
by Carr, Peter & Madan, Dilip B.
- 131-151 Proxy-quality thresholds: Theory and applications
by Erickson, Timothy & Whited, Toni M.
- 152-164 Portfolio selection with two-stage preferences
by Taboga, Marco
- 165-172 A theory of loan syndication
by Schure, Paul & Scoones, David & Gu, Qinghua
- 173-184 Risk aversion and price limits in futures markets
by Chou, Pin-Huang & Lin, Mei-Chen & Yu, Min-Teh
June 2005, Volume 2, Issue 2
- 51-57 Insider trading with private information and moral hazard
by Yung, Chris
- 59-66 A market microstructure model with random overlapping information asymmetries
by Owens, John P.
- 67-74 The generalized asymmetric dynamic covariance model
by de Goeij, Peter & Marquering, Wessel
- 75-88 Another look at the relationship between cross-market correlation and volatility
by Bartram, Sohnke M. & Wang, Yaw-Huei
- 89-96 Changes in stockholding behavior: Evidence from household survey data
by Chapman, Kenneth & Dow, James Jr. & Hariharan, Govind
- 97-106 Power exchange options
by Blenman, Lloyd P. & Clark, Steven P.
March 2005, Volume 2, Issue 1
- 1-14 tay's as good as cay
by Brennan, Michael J. & Xia, Yihong
- 15-22 tay's as good as cay: Reply
by Lettau, Martin & Ludvigson, Sydney C.
- 23-29 A generalized coherent risk measure: The firm's perspective
by Jarrow, Robert A. & Purnanandam, Amiyatosh K.
- 30-40 Single stock futures: Listing selection and trading volume
by Ang, James S. & Cheng, Yingmei
- 41-50 Dynamic, nonparametric hedging of European style contingent claims using canonical valuation
by Alcock, Jamie & Gray, Philip
December 2004, Volume 1, Issue 4
- 203-214 The generality of spurious predictability
by Cho, Jin-Wan & Shin, Jhinyoung & Singh, Rajdeep
- 215-225 Reported and secret interventions in the foreign exchange markets
by Beine, Michel & Lecourt, Christelle
- 226-235 Optimal investment with fixed financing costs
by Cummins, Jason G. & Nyman, Ingmar
- 236-240 Allen and Gale on risk-taking and competition in banking
by Grochulski, Borys & Kareken, John
- 241-249 Bias of a Value-at-Risk estimator
by Bao, Yong & Ullah, Aman
- 250-260 A multivariate nonparametric test for return and volatility timing
by Marquering, Wessel & Verbeek, Marno
September 2004, Volume 1, Issue 3
- 143-153 On the consequences of state dependent preferences for the pricing of financial assets
by Danthine, Jean-Pierre & Donaldson, John B. & Giannikos, Christos & Guirguis, Hany
- 154-170 Decomposing the persistence of international equity flows
by Froot, Kenneth A. & Donohue, Jessica Tjornhom
- 171-177 Myopic loss aversion and the equity premium puzzle reconsidered
by Durand, Robert B. & Lloyd, Paul & Wee Tee, Hong
- 178-189 Institutional trading and stock returns
by Cai, Fang & Zheng, Lu
- 190-195 Attainability of European path-independent claims in incomplete markets
by Branger, Nicole & Esser, Angelika & Schlag, Christian
- 196-201 Iterative method for exponentially weighted rolling regression
by Kanatani, Taro
June 2004, Volume 1, Issue 2
- 85-89 Maximizing the expected net future value as an alternative strategy to gamma discounting
by Gollier, Christian
- 90-99 How do stock prices respond to fundamental shocks?
by Binswanger, Mathias
- 100-105 Risky coupon bonds as a portfolio of zero-coupon bonds
by Jarrow, Robert A.
- 106-112 Positive hurdle rates without asymmetric information
by Chen, Qi & Jiang, Wei
- 113-118 Preference for early resolution and commitment
by Miyazaki, Kenji & Saito, Makoto
- 119-126 Betting on long shots in NCAA basketball games and implications for skew loving behavior
by Colquitt, L. Lee & Godwin, Norman H. & Swidler, Steve
- 127-134 Scale-consistent Value-at-Risk
by Lehnert, Thorsten & Wolff, Christian C. P.
- 135-142 A closed form solution for pricing defaultable bonds
by Moraux, Franck
March 2004, Volume 1, Issue 1
- 1-1 Editorial
by Gencay, Ramo & Bhattacharyya, Sugato & Whited, Toni
- 2-10 Shareholder activism is non-monotonic in market liquidity
by Mello, Antonio S. & Repullo, Rafael
- 11-23 Asymmetric information, bank lending and implicit contracts: the winner's curse
by von Thadden, Ernst-Ludwig
- 24-34 Limited stock market participation and the equity premium
by Polkovnichenko, Valery
- 35-46 A practical framework for estimating transaction costs and developing optimal trading strategies to achieve best execution
by Kissell, Robert & Glantz, Morton & Malamut, Roberto
- 47-55 The effect of market conditions on capital structure adjustment
by Frank, Murray Z. & Goyal, Vidhan K.
- 56-73 On more robust estimation of skewness and kurtosis
by Kim, Tae-Hwan & White, Halbert
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