Central Bank Research Hub - JEL classification G12: Asset Pricing; Trading volume; Bond Interest Rates

Title Author(s)

Habit formation heterogeneity: Implications for aggregate asset pricing

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2012-07, 12.03.2012)

JEL: C68, D58, D91, E21, E44, G11, G12

A Comprehensive Look at Financial Volatility Prediction by Economic Variables

Bank for International Settlements Working papers [View] (Paper: 374, 06.03.2012)

JEL: C53, G12, G15, G17

An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks

Bank of Canada Working papers [View] (Paper: 2012-05, 18.02.2012)

JEL: E41, F31, G12, G15

Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models

Atlanta Fed Working papers [View] (Paper: 2011-08, 30.03.2011)

JEL: C12, C13, G12

Risk Aversion and Stock Price Volatility

San Francisco Fed Working Papers [View] (Paper: 2010-24, 02.10.2010)

JEL: E44, G12

The Fragility of Discretionary Liquidity Provision--Lessons from the Collapse of the Auction Rate Securities Market

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2010-50, 22.09.2010)

JEL: D44, G01, G12, G24, H74

TBA Trading and Liquidity in the Agency MBS Market

New York Fed Staff reports [View] (Paper: 468, 19.08.2010)

JEL: G12, G19, G21

Ageing and asset prices

Bank for International Settlements Working papers [View] (Paper: 318, 04.08.2010)

JEL: G12, J11

Funding Liquidity Risk and the Cross-Section of Stock Returns

New York Fed Staff reports [View] (Paper: 464, 02.08.2010)

JEL: G1, G12, G21

Further Results on the Limiting Distribution of GMM Sample Moment Conditions

Atlanta Fed Working papers [View] (Paper: 2010-11, 30.07.2010)

JEL: C13, C32, G12

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