Finance Journal Publications 2013

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AuthorsTitleJournalVolumePublication Date
Kan R, Robotti C, Shanken JPricing Model Performance and the Two-Pass Cross-Sectional Regression MethodologyJOURNAL OF FINANCEVolume 68, pp.2617-2649December 2013
Ahoniemi K, Lanne MOvernight stock returns and realized volatilityINTERNATIONAL JOURNAL OF FORECASTINGVolume 29, pp.592-604October 2013
Biffis E, Blake DInformed Intermediation of Longevity ExposuresJOURNAL OF RISK AND INSURANCEVolume 80, pp.559-584September 2013
Bhamra HS, Uppal RAsset Prices with Heterogeneity in Preferences and BeliefsReview of Financial Studies August 2013
Avramov D, Barras L, Kosowski RHedge Fund Return Predictability under the Magnifying GlassJOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSISVolume 48, pp.1057-1083August 2013
Kacperczyk M, Schnabl PHow Safe Are Money Market Funds?QUARTERLY JOURNAL OF ECONOMICSVolume 128, pp.1073-1122August 2013
Allen F, Carletti EWhat Is Systemic Risk?JOURNAL OF MONEY CREDIT AND BANKINGVolume 45, pp.121-127August 2013
Badaoui S, Cathcart L, El-Jahel LDo sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approachJOURNAL OF BANKING & FINANCEVolume 37, pp.2392-2407July 2013
Ibragimov M, Ibragimov R, Kattuman PEmerging markets and heavy tailsJOURNAL OF BANKING & FINANCEVolume 37, pp.2546-2559July 2013
Abadir KM, Caggiano G, Talmain GNelson-Plosser revisited: The ACF approachJOURNAL OF ECONOMETRICSVolume 175, pp.22-34July 2013
Kacperczyk M, Damien P, Walker SGA new class of Bayesian semi-parametric models with applications to option pricingQUANTITATIVE FINANCEVolume 13, pp.967-980June 2013
Avarucci M, Beutner E, Zaffaroni PON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELSECONOMETRIC THEORYVolume 29, pp.545-566June 2013
McCarthy D, Miles DOptimal Portfolio Allocation for Corporate Pension FundsEUROPEAN FINANCIAL MANAGEMENTVolume 19, pp.599-629June 2013
Buraschi A, Carnelli AThe Economic Value of Predictability for Portfolio ManagementThe Journal of Financial Management, Markets and Institutions June 2013
Gale D, Yorulmazer TLiquidity hoardingTHEORETICAL ECONOMICSVolume 8, pp.291-324May 2013
Islam T, Meade NThe impact of attribute preferences on adoption timing: The case of photo-voltaic (PV) solar cells for household electricity generationENERGY POLICYVolume 55, pp.521-530April 2013
Miles D, Yang J, Marcheggiano GOptimal Bank CapitalThe Economic JournalVolume 123, pp.1-37March 2013
Gospodinov N, Kan R, Robotti CChi-squared tests for evaluation and comparison of asset pricing modelsJOURNAL OF ECONOMETRICSVolume 173, pp.108-125March 2013
Corradi V, Distaso W, Mele AMacroeconomic determinants of stock volatility and volatility premiumsJOURNAL OF MONETARY ECONOMICSVolume 60, pp.203-220March 2013
Cathcart L, El-Jahel L, Evans LThe Correlation Structure of the CDS Market: An Empirical InvestigationThe Journal of Fixed IncomeVolume 22, pp.53-74March 2013
Gomes F, Michaelides A, Polkovnichenko VFiscal Policy and Asset Prices with Incomplete MarketsREVIEW OF FINANCIAL STUDIESVolume 26, pp.531-566February 2013
Baltas AN, Kosowski RMomentum Strategies in Futures Markets and Trend-following FundsWorking Paper January 2013
Abadir KMLies, damned lies, and statistics? Examples from finance and economics.Central European Journal of Economic Modelling and EconometricsVolume 5, pp.231-248January 2013