-
1
-
-
0001641216
-
'A noisy rational expectations equilibrium for multi-asset securities markets'
-
Admati, A. (1985). 'A noisy rational expectations equilibrium for multi-asset securities markets', Econometrica, vol. 53(3), pp. 629-57.
-
(1985)
Econometrica
, vol.53
, Issue.3
, pp. 629-657
-
-
Admati, A.1
-
2
-
-
77951954911
-
'A test of the GARCH(1,1) specification for daily stock returns'
-
Ashley, R. and Patterson, D. (2010). 'A test of the GARCH(1, 1) specification for daily stock returns', Macroeconomic Dynamics, vol. 14(S1), pp. 137-44.
-
(2010)
Macroeconomic Dynamics
, vol.14
, Issue.S1
, pp. 137-144
-
-
Ashley, R.1
Patterson, D.2
-
3
-
-
77955140950
-
'Infrequent portfolio decisions: a solution to the forward discount puzzle'
-
Bacchetta, P. and van Wincoop, E. (2010). 'Infrequent portfolio decisions: a solution to the forward discount puzzle', American Economic Review, vol. 100(3), pp. 870-904.
-
(2010)
American Economic Review
, vol.100
, Issue.3
, pp. 870-904
-
-
Bacchetta, P.1
van Wincoop, E.2
-
4
-
-
38049051830
-
'All that glitters: the effect of attention and news on the buying behavior of individual and institutional investors'
-
Barber, B. and Odean, T. (2008). 'All that glitters: the effect of attention and news on the buying behavior of individual and institutional investors', Review of Financial Studies, vol. 21(2), pp. 785-818.
-
(2008)
Review of Financial Studies
, vol.21
, Issue.2
, pp. 785-818
-
-
Barber, B.1
Odean, T.2
-
5
-
-
42449156579
-
'Generalized autoregressive heteroskedasticity'
-
Bollerslev, T. (1986). 'Generalized autoregressive heteroskedasticity', Journal of Econometrics, vol. 31(3), pp. 307-27.
-
(1986)
Journal of Econometrics
, vol.31
, Issue.3
, pp. 307-327
-
-
Bollerslev, T.1
-
6
-
-
33644920961
-
'How do crises spread? Evidence from accessible and inaccessible stock indices'
-
Boyer, B., Kumagai, T. and Yuan, K. (2006). 'How do crises spread? Evidence from accessible and inaccessible stock indices', Journal of Finance, vol. 61(2), pp. 957-1003.
-
(2006)
Journal of Finance
, vol.61
, Issue.2
, pp. 957-1003
-
-
Boyer, B.1
Kumagai, T.2
Yuan, K.3
-
8
-
-
0034035847
-
'Rational contagion and the globalisation of securities markets'
-
Calvo, G. and Mendoza, E. (2000). 'Rational contagion and the globalisation of securities markets', Journal of International Economics, vol. 51(1), pp. 79-113.
-
(2000)
Journal of International Economics
, vol.51
, Issue.1
, pp. 79-113
-
-
Calvo, G.1
Mendoza, E.2
-
9
-
-
51749119590
-
'Two trees'
-
Cochrane, J., Longstaff, F. and Santa-Clara, P. (2008). 'Two trees', Review of Financial Studies, vol. 21(1), pp. 347-85.
-
(2008)
Review of Financial Studies
, vol.21
, Issue.1
, pp. 347-385
-
-
Cochrane, J.1
Longstaff, F.2
Santa-Clara, P.3
-
10
-
-
84876983994
-
-
'A dynamic equilibrium model of imperfectly integrated financial markets', mimeo, London School of Economics
-
Coeurdacier, N. and Guibaud, S. (2009). 'A dynamic equilibrium model of imperfectly integrated financial markets', mimeo, London School of Economics.
-
(2009)
-
-
Coeurdacier, N.1
Guibaud, S.2
-
11
-
-
55949091140
-
'Limited attention and the allocation of effort in securities trading'
-
Corwin, S. and Coughenour, J. (2008). 'Limited attention and the allocation of effort in securities trading', Journal of Finance, vol. 63(6), pp. 3031-67.
-
(2008)
Journal of Finance
, vol.63
, Issue.6
, pp. 3031-3067
-
-
Corwin, S.1
Coughenour, J.2
-
12
-
-
38049102859
-
'Demographics and industry returns'
-
Della Vigna, S. and Pollett, J. (2007). 'Demographics and industry returns', American Economic Review, vol. 97(5), pp. 1667-1702.
-
(2007)
American Economic Review
, vol.97
, Issue.5
, pp. 1667-1702
-
-
Della Vigna, S.1
Pollett, J.2
-
13
-
-
62449165111
-
'Investor inattention and Friday earnings announcements'
-
Della Vigna, S. and Pollett, J. (2008). 'Investor inattention and Friday earnings announcements', Journal of Finance, vol. 64(2), pp. 709-49.
-
(2008)
Journal of Finance
, vol.64
, Issue.2
, pp. 709-749
-
-
Della Vigna, S.1
Pollett, J.2
-
14
-
-
0030524350
-
'Contagious currency crises: first tests'
-
Eichengreen, B., Rose, A. and Wyplosz, C. (1996). 'Contagious currency crises: first tests', Scandinavian Journal of Economics, vol. 98(4), pp. 463-84.
-
(1996)
Scandinavian Journal of Economics
, vol.98
, Issue.4
, pp. 463-484
-
-
Eichengreen, B.1
Rose, A.2
Wyplosz, C.3
-
15
-
-
0000051984
-
'Autoregressive conditional heteroskedasticity with estimates of the variance of the UK inflation'
-
Engle, R. (1982). 'Autoregressive conditional heteroskedasticity with estimates of the variance of the UK inflation', Econometrica, vol. 50(4), pp. 987-1007.
-
(1982)
Econometrica
, vol.50
, Issue.4
, pp. 987-1007
-
-
Engle, R.1
-
16
-
-
0003350474
-
'No contagion, only interdependence: measuring stock market co-movements'
-
Forbes, K. and Rigobon, R. (2002). 'No contagion, only interdependence: measuring stock market co-movements', Journal of Finance, vol. 57(5), pp. 2223-61.
-
(2002)
Journal of Finance
, vol.57
, Issue.5
, pp. 2223-2261
-
-
Forbes, K.1
Rigobon, R.2
-
17
-
-
78649411438
-
'A new class of tests of contagion with applications'
-
Fry, R., Martin, V. and Tang, C. (2010). 'A new class of tests of contagion with applications', Journal of Business and Economic Statistics, vol. 28(3), pp. 423-37.
-
(2010)
Journal of Business and Economic Statistics
, vol.28
, Issue.3
, pp. 423-437
-
-
Fry, R.1
Martin, V.2
Tang, C.3
-
18
-
-
0033173977
-
'Contagion and trade: why are currency crises regional?'
-
Glick, R. and Rose, A. (1999). 'Contagion and trade: why are currency crises regional?'Journal of International Money and Finance, vol. 18(4), pp. 603-17.
-
(1999)
Journal of International Money and Finance
, vol.18
, Issue.4
, pp. 603-617
-
-
Glick, R.1
Rose, A.2
-
19
-
-
18044401775
-
'What drives contagion: trade, neighbourhood, or financial links?'
-
Hernández, L. and Valdés, R. (2001). 'What drives contagion: trade, neighbourhood, or financial links?'International Review of Financial Analysis, vol. 10(3), pp. 203-18.
-
(2001)
International Review of Financial Analysis
, vol.10
, Issue.3
, pp. 203-218
-
-
Hernández, L.1
Valdés, R.2
-
20
-
-
33846508476
-
'Do industries lead the stock market?'
-
Hong, H., Torous, W. and Valkanov, R. (2007). 'Do industries lead the stock market?'Journal of Financial Economics, vol. 83(2), pp. 367-96.
-
(2007)
Journal of Financial Economics
, vol.83
, Issue.2
, pp. 367-396
-
-
Hong, H.1
Torous, W.2
Valkanov, R.3
-
21
-
-
24044454681
-
'Market frictions, price delay, and the cross-section of expected returns'
-
Hou, K. and Moskowitz, T. (2005). 'Market frictions, price delay, and the cross-section of expected returns', Review of Financial Studies, vol. 18(3), pp. 981-1020.
-
(2005)
Review of Financial Studies
, vol.18
, Issue.3
, pp. 981-1020
-
-
Hou, K.1
Moskowitz, T.2
-
22
-
-
34547904335
-
'Rational inattention and portfolio selection'
-
Huang, L. and Liu, H. (2007). 'Rational inattention and portfolio selection', Journal of Finance, vol. 62(4), pp. 1999-2040.
-
(2007)
Journal of Finance
, vol.62
, Issue.4
, pp. 1999-2040
-
-
Huang, L.1
Liu, H.2
-
23
-
-
0040291376
-
'Contagious speculation and a cure for cancer: a non-event that made stock prices soar'
-
Huberman, G. and Regev, T. (2001). 'Contagious speculation and a cure for cancer: a non-event that made stock prices soar', Journal of Finance, vol. 56(1), pp. 387-96.
-
(2001)
Journal of Finance
, vol.56
, Issue.1
, pp. 387-396
-
-
Huberman, G.1
Regev, T.2
-
25
-
-
0034083899
-
'On crises, contagion, and confusion'
-
Kaminsky, G. and Reinhart, C. (2000). 'On crises, contagion, and confusion', Journal of International Economics, vol. 51(1), pp. 145-68.
-
(2000)
Journal of International Economics
, vol.51
, Issue.1
, pp. 145-168
-
-
Kaminsky, G.1
Reinhart, C.2
-
26
-
-
3042814765
-
'The unholy trinity of financial contagion'
-
Kaminsky, G., Reinhart, C. and Vegh, C. (2003). 'The unholy trinity of financial contagion', Journal of Economic Perspectives, vol. 17(4), pp. 51-74.
-
(2003)
Journal of Economic Perspectives
, vol.17
, Issue.4
, pp. 51-74
-
-
Kaminsky, G.1
Reinhart, C.2
Vegh, C.3
-
27
-
-
0033176847
-
'What triggers market jitters? A chronicle of the Asian crisis'
-
Kaminsky, G. and Schmukler, S. (1999). 'What triggers market jitters? A chronicle of the Asian crisis', Journal of International Money and Finance, vol. 18(4), pp. 537-60.
-
(1999)
Journal of International Money and Finance
, vol.18
, Issue.4
, pp. 537-560
-
-
Kaminsky, G.1
Schmukler, S.2
-
28
-
-
0013067956
-
'A rational expectations model of financial contagion'
-
Kodres, L. and Pritsker, M. (2002). 'A rational expectations model of financial contagion', Journal of Finance, vol. 57(2), pp. 769-99.
-
(2002)
Journal of Finance
, vol.57
, Issue.2
, pp. 769-799
-
-
Kodres, L.1
Pritsker, M.2
-
29
-
-
0011366180
-
'Contagion as a wealth effect'
-
Kyle, A. and Xiong, W. (2001). 'Contagion as a wealth effect', Journal of Finance, vol. 56(4), pp. 1401-40.
-
(2001)
Journal of Finance
, vol.56
, Issue.4
, pp. 1401-1440
-
-
Kyle, A.1
Xiong, W.2
-
30
-
-
70149084997
-
'Optimal sticky prices under rational inattention'
-
Mackowiak, B. and Wiederholt, M. (2009). 'Optimal sticky prices under rational inattention', American Economic Review, vol. 99(3), pp. 769-803.
-
(2009)
American Economic Review
, vol.99
, Issue.3
, pp. 769-803
-
-
Mackowiak, B.1
Wiederholt, M.2
-
31
-
-
84876952128
-
-
The Lucas Orchard', NBER Working Paper No. 17563
-
Martin, I. (2009). 'The Lucas Orchard', NBER Working Paper No. 17563.
-
(2009)
-
-
Martin, I.1
-
32
-
-
84977707554
-
'A simple model of capital market equilibrium with incomplete information'
-
Merton, R. (1987). 'A simple model of capital market equilibrium with incomplete information', Journal of Finance, vol. 42(3), pp. 483-510.
-
(1987)
Journal of Finance
, vol.42
, Issue.3
, pp. 483-510
-
-
Merton, R.1
-
33
-
-
77955918175
-
'Portfolio choice, attention allocation, and price comovement'
-
Mondria, J. (2010). 'Portfolio choice, attention allocation, and price comovement', Journal of Economic Theory, vol. 145(5), pp. 1837-864.
-
(2010)
Journal of Economic Theory
, vol.145
, Issue.5
, pp. 1837-1864
-
-
Mondria, J.1
-
34
-
-
84876977956
-
-
'Attentional limitations in dual-task performance', in (H. Pashler, ed.), Attention -, Hove: Psychology Press
-
Pashler, H. and Johnston, J. (1998). 'Attentional limitations in dual-task performance', in (H. Pashler, ed.), Attention, pp. 89-155, Hove: Psychology Press.
-
(1998)
, pp. 89-155
-
-
Pashler, H.1
Johnston, J.2
-
35
-
-
33847646358
-
'Imperfect competition, information heterogeneity, and financial contagion'
-
Pasquariello, P. (2007). 'Imperfect competition, information heterogeneity, and financial contagion', Review of Financial Studies, vol. 20(2), pp. 391-426.
-
(2007)
Review of Financial Studies
, vol.20
, Issue.2
, pp. 391-426
-
-
Pasquariello, P.1
-
36
-
-
34547812586
-
'Asset prices and exchange rates'
-
Pavlova, A. and Rigobon, R. (2007). 'Asset prices and exchange rates', Review of Financial Studies, vol. 20(4), pp. 1139-80.
-
(2007)
Review of Financial Studies
, vol.20
, Issue.4
, pp. 1139-1180
-
-
Pavlova, A.1
Rigobon, R.2
-
37
-
-
0003474216
-
-
3rd edn., Orlando, FL: Holt, Harcourt Brace & Company
-
Pedhazur, E. (1997). Multiple Regression in Behavioral Research - Explanation and Prediction, 3rd edn., Orlando, FL: Holt, Harcourt Brace & Company, pp. 769-70.
-
(1997)
Multiple Regression in Behavioral Research - Explanation and Prediction
, pp. 769-770
-
-
Pedhazur, E.1
-
38
-
-
21144436811
-
'Learning with information capacity constraints'
-
Peng, L. (2005). 'Learning with information capacity constraints', Journal of Financial and Quantitative Analysis, vol. 40(2), pp. 307-29.
-
(2005)
Journal of Financial and Quantitative Analysis
, vol.40
, Issue.2
, pp. 307-329
-
-
Peng, L.1
-
39
-
-
33646497234
-
'Investor attention, overconfidence and category learning'
-
Peng, L. and Xiong, W. (2006). 'Investor attention, overconfidence and category learning', Journal of Financial Economics, vol. 80(3), pp. 563-602.
-
(2006)
Journal of Financial Economics
, vol.80
, Issue.3
, pp. 563-602
-
-
Peng, L.1
Xiong, W.2
-
40
-
-
84876974975
-
-
'News, contagion, and anticipation', mimeo, MIT
-
Rigobon, R. and Wei, S. (2009). 'News, contagion, and anticipation', mimeo, MIT.
-
(2009)
-
-
Rigobon, R.1
Wei, S.2
-
41
-
-
77950184287
-
'Information acquisition and under-diversification'
-
Van Nieuwerburgh, S. and Veldkamp, L. (2010). 'Information acquisition and under-diversification', Review of Economic Studies, vol. 77(2), pp. 779-805.
-
(2010)
Review of Economic Studies
, vol.77
, Issue.2
, pp. 779-805
-
-
Van Nieuwerburgh, S.1
Veldkamp, L.2
-
43
-
-
33745828390
-
'Media frenzies in markets for financial information'
-
Veldkamp, L. (2006). 'Media frenzies in markets for financial information', American Economic Review, vol. 96(3), pp. 577-601.
-
(2006)
American Economic Review
, vol.96
, Issue.3
, pp. 577-601
-
-
Veldkamp, L.1
-
44
-
-
12344298750
-
'Asymmetric price movements and borrowing constraints: a REE model of crisis, contagion, and confusion'
-
Yuan, K. (2005). 'Asymmetric price movements and borrowing constraints: a REE model of crisis, contagion, and confusion', Journal of Finance, vol. 60(1), pp. 379-411.
-
(2005)
Journal of Finance
, vol.60
, Issue.1
, pp. 379-411
-
-
Yuan, K.1
|