-
1
-
-
0001543921
-
The present value of profits and cyclical movements in investment
-
Abel, A. B., and O. J. Blanchard. 1986. The Present Value of Profits and Cyclical Movements in Investment. Econometrica 54:249-73.
-
(1986)
Econometrica
, vol.54
, pp. 249-273
-
-
Abel, A.B.1
O.J. Blanchard2
-
4
-
-
67049160684
-
-
Federal Reserve Bank of New York Staff Reports No 348 August
-
Adrian, T., and M. K. Brunnermeier. 2009. CoVaR. Federal Reserve Bank of New York Staff Reports, No. 348, August.
-
(2009)
Covar
-
-
Adrian, T.1
M.K. Brunnermeier2
-
5
-
-
77955645818
-
Stock return predictability: Is it there
-
Ang, A., and G. Bekaert. 2007. Stock Return Predictability: Is It There? Review of Financial Studies 20:651-707.
-
(2007)
Review of Financial Studies
, vol.20
, pp. 651-707
-
-
Ang, A.1
G. Bekaert2
-
8
-
-
0141873472
-
An extreme value approach to estimating volatility and value at risk
-
DOI 10.1086/344669
-
Bali, T. G. 2003. An Extreme Value Approach to Estimating Volatility and Value at Risk. Journal of Business 76:83-108. - - - .2007.AGeneralized ExtremeValueApproach to Financial Risk Measurement. Journal of Money, Credit, and Banking 39:1611-47 - 2008. The Intertemporal Relation between Expected Returns and Risk. Journal of Financial Economics 87:101-31. (Pubitemid 36299531)
-
(2003)
Journal Of Business -Chicago
, vol.76
, Issue.1
, pp. 83-108
-
-
Bali, T.G.1
-
9
-
-
43249131506
-
Risk measurement performance of alternative distribution functions
-
Bali, T. G., and P. Theodossiou. 2008. Risk Measurement Performance of Alternative Distribution Functions. Journal of Risk and Insurance 75:411-37.
-
(2008)
Journal of Risk and Insurance
, vol.75
, pp. 411-437
-
-
Bali, T.G.1
P. Theodossiou2
-
10
-
-
77952675199
-
The intertemporal capital asset pricing model with dynamic conditional correlations
-
Bali, T. G., and R. F. Engle. 2010. The Intertemporal Capital Asset Pricing Model with Dynamic Conditional Correlations. Journal of Monetary Economics 57:377-90.
-
(2010)
Journal of Monetary Economics
, vol.57
, pp. 377-390
-
-
Bali, T.G.1
R.F. Engle2
-
11
-
-
58049192810
-
Risk, uncertainty, andasset prices
-
Bekaert,G., E. Engstrom, andY. Xing. 2009. Risk, Uncertainty, andAsset Prices. Journal of Financial Economics 91:59-82.
-
(2009)
Journal of Financial Economics
, vol.91
, pp. 59-82
-
-
Bekaert, G.1
Engstrom, E.2
Xing, Y.3
-
13
-
-
0001114148
-
Nonmonetary effects of the financial crisis in the propagation of the great depression
-
Bernanke, B. S. 1983. Nonmonetary Effects of the Financial Crisis in the Propagation of the Great Depression. American Economic Review 73:257-76.
-
(1983)
American Economic Review
, vol.73
, pp. 257-276
-
-
Bernanke, B.S.1
-
16
-
-
77953868824
-
The real effects of financial constraints: Evidence from a financial crisis
-
Campello M., J. R. Grahamb, and C. R. Harvey. 2010. The Real Effects of Financial Constraints: Evidence from a Financial Crisis. Journal of Financial Economics 97:470-87.
-
(2010)
Journal of Financial Economics
, vol.97
, pp. 470-487
-
-
Campello, M.1
J.R. Grahamb2
C.R. Harvey3
-
19
-
-
0040424685
-
-
In C.A. E.Goodhard and G. Illing, eds., Financial Crisis, Contagion, and the Lender of Last Resort: A Book of Readings. London: Oxford University Press
-
DeBandt, O., and P. Hartmann. 2002. Systemic Risk:ASurvey. In C.A. E.Goodhard and G. Illing, eds., Financial Crisis, Contagion, and the Lender of Last Resort: A Book of Readings. London: Oxford University Press.
-
(2002)
Systemic Risk:ASurvey
-
-
DeBandt, O.1
P. Hartmann2
-
21
-
-
77953806926
-
Costly external finance, corporate investment and the subprime mortgage credit crisis
-
Duchin, R., O. Ozbas, and B. A. Sensoy. 2010. Costly External Finance, Corporate Investment and the Subprime Mortgage Credit Crisis. Journal of Financial Economics 97:418-35.
-
(2010)
Journal of Financial Economics
, vol.97
, pp. 418-435
-
-
Duchin, R.1
O. Ozbas2
B.A. Sensoy3
-
23
-
-
0035998182
-
Dynamic conditional correlation:asimple class of multivariate generalized autoregressive conditional heteroscedasticity models
-
Engle, R. F. 2002. Dynamic Conditional Correlation:ASimple Class of Multivariate Generalized Autoregressive Conditional Heteroscedasticity Models. Journal of Business and Economic Statistics 20:339-50.
-
(2002)
Journal of Business and Economic Statistics
, vol.20
, pp. 339-350
-
-
Engle, R.F.1
-
25
-
-
84977737676
-
Dynamic conditional correlation: The cross-section of expected stock returns
-
Fama, E. F., and K. R. French. 1992. Dynamic Conditional Correlation: The Cross-Section of Expected Stock Returns. Journal of Finance 46:427-66.
-
(1992)
Journal of Finance
, vol.46
, pp. 427-466
-
-
Fama, E.F.1
K.R. French2
-
26
-
-
0031626506
-
Risk management, capital budgeting, and capital structure policy for financial institutions: An integrated approach
-
PII S0304405X97000378
-
Froot, K. A., and J. C. Stein. 1998. Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach. Journal of Financial Economics 47:55-82. (Pubitemid 128177546)
-
(1998)
Journal of Financial Economics
, vol.47
, Issue.1
, pp. 55-82
-
-
Froot, K.A.1
Stein, J.C.2
-
28
-
-
84866851217
-
New directions in financial sector and sovereign risk management
-
Gray, D., and A. A. Jobst. 2009. New Directions in Financial Sector and Sovereign Risk Management. Journal of Investment Management 8:22-38.
-
(2009)
Journal of Investment Management
, vol.8
, pp. 22-38
-
-
Gray, D.1
A.A. Jobst2
-
30
-
-
0001263124
-
A simple generalapproach to inference about thetail of adistribution
-
Hill, B. M. 1975.ASimple GeneralApproach to Inference about theTail of aDistribution. Annals of Mathematical Statistics 3:1163-74.
-
(1975)
Annals of Mathematical Statistics
, vol.3
, pp. 1163-1174
-
-
Hill, B.M.1
-
31
-
-
0000789996
-
Dividend yields and expected stock returns: Alternative procedures for inference and measurement
-
Hodrick, R. 1992. Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement. Review of Financial Studies 5:357-86.
-
(1992)
Review of Financial Studies
, vol.5
, pp. 357-386
-
-
Hodrick, R.1
-
33
-
-
84866673114
-
Macroeconomic effects of financial shocks.working paper
-
Series No. 15338
-
Jermann, U., and V. Quadrini. 2009. Macroeconomic Effects of Financial Shocks.Working Paper, NBER Series No. 15338.
-
(2009)
NBER
-
-
Jermann, U.1
V. Quadrini2
-
34
-
-
67650669718
-
Hedge funds financial intermediation, and systemic risk
-
Federal Reserve Bank of New York
-
Kambhu, J., T. Schuermann, and K. J. Stiroh. 2007. Hedge Funds, Financial Intermediation, and Systemic Risk. Economic Policy Review, Federal Reserve Bank of New York 13:1-18.
-
(2007)
Economic Policy Review
, vol.13
, pp. 1-18
-
-
Kambhu, J.1
Schuermann, T.2
Stiroh, K.J.3
-
35
-
-
0000289297
-
What do a million observations on banks say about the transmission of monetary policy
-
Kashyap, A. K., and J. C. Stein. 2000. What Do a Million Observations on Banks Say About the Transmission of Monetary Policy? American Economic Review 90:407-28.
-
(2000)
American Economic Review
, vol.90
, pp. 407-428
-
-
Kashyap, A.K.1
J.C. Stein2
-
36
-
-
0002135003
-
Monetary policy and credit conditions: Evidence from the composition of external finance
-
Kashyap, A. K., J. C. Stein, and D. W. Wilcox. 2000. Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance. American Economic Review 83:78-98.
-
(2000)
American Economic Review
, vol.83
, pp. 78-98
-
-
Kashyap, A.K.1
J.C. Stein2
D.W. Wilcox3
-
40
-
-
78649482018
-
The response of corporate financing and investment to changes in the supply of credit
-
Lemmon, M., and M. R. Roberts. 2010. The Response of Corporate Financing and Investment to Changes in the Supply of Credit. Journal of Financial and Quantitative Analysis 45:555-87.
-
(2010)
Journal of Financial and Quantitative Analysis
, vol.45
, pp. 555-587
-
-
Lemmon, M.1
M.R. Roberts2
-
41
-
-
0003114587
-
The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets
-
Lintner, J. 1965. The Valuation of Risky Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics 47:13-37.
-
(1965)
Review of Economics and Statistics
, vol.47
, pp. 13-37
-
-
Lintner, J.1
-
42
-
-
77953812917
-
The subprime credit crisis and contagion in financial markets
-
Longstaff, F. A. 2010. The Subprime Credit Crisis and Contagion in Financial Markets. Journal of Financial Economics 97:436-50.
-
(2010)
Journal of Financial Economics
, vol.97
, pp. 436-450
-
-
Longstaff, F.A.1
-
43
-
-
0001738730
-
An intertemporal capital asset pricing model
-
Merton, R. C. 1973. An intertemporal Capital Asset Pricing Model. Econometrica 41:867-87.
-
(1973)
Econometrica
, vol.41
, pp. 867-887
-
-
Merton, R.C.1
-
44
-
-
0000706085
-
A simple, positive-definite, heteroscedasticity and autocorrelation consistent covariance matrix
-
Newey, W. K., and K. D. West. 1987. A Simple, Positive-Definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica 55:703-8.
-
(1987)
Econometrica
, vol.55
, pp. 703-708
-
-
Newey, W.K.1
K.D. West2
-
45
-
-
0002846420
-
Collateral damage: Effects of the japanese bank crisis on real activity in the united states
-
Peek, J., and E. Rosengren. 2000. Collateral Damage: Effects of the Japanese Bank Crisis on Real Activity in the United States. American Economic Review 90:30-45.
-
(2000)
American Economic Review
, vol.90
, pp. 30-45
-
-
Peek, J.1
Rosengren, E.2
-
46
-
-
0001075431
-
Statistical inference using extreme order statistics
-
Pickands, J. I. 1975. Statistical Inference Using Extreme Order Statistics. Annals of Statistics 3:119-31.
-
(1975)
Annals of Statistics
, vol.3
, pp. 119-131
-
-
Pickands, J.I.1
-
47
-
-
84980092818
-
Capital asset prices:Atheory of market equilibrium under conditions of risk
-
Sharpe,W. F. 1964. Capital Asset Prices:ATheory of Market Equilibrium under Conditions of Risk. Journal of Finance 19:425-42.
-
(1964)
Journal of Finance
, vol.19
, pp. 425-442
-
-
Sharpe, W.F.1
-
49
-
-
0010960285
-
The delisting bias in crsp data
-
Shumway, T. 2010. The Delisting Bias in CRSP Data. Journal of Finance 52:327-40.
-
(2010)
Journal of Finance
, vol.52
, pp. 327-340
-
-
Shumway, T.1
|