create a website

A Study of Inaction in Investment Games via the Early Exercise Premium Representation. (2006). Ruffino, Doriana ; Treussard, Jonathan.
In: Boston University - Department of Economics - Working Papers Series.
RePEc:bos:wpaper:wp2006-040.

Full description at Econpapers || Download paper

Cited: 3

Citations received by this document

Cites: 32

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. How economic depreciation shapes the relationship of uncertainty with investments’ size & timing. (2023). Silveira, Rafael Rossi.
    In: International Journal of Production Economics.
    RePEc:eee:proeco:v:260:y:2023:i:c:s0925527323000683.

    Full description at Econpapers || Download paper

  2. Lumps and Clusters in Duopolistic Investment Games: An Early Exercise Premium Approach. (2007). Ruffino, Doriana ; Treussard, Jonathan.
    In: 2007 Meeting Papers.
    RePEc:red:sed007:77.

    Full description at Econpapers || Download paper

  3. Lumps and Clusters in Duopolistic Investment Games: An Early Exercise Premium Approach. (2006). Ruffino, Doriana ; Treussard, Jonathan.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2006-044.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Alvarez, Fernando, Andrew Atkeson, and Patrick J. Kehoe, Money, Interest Rates and Exchange Rates with Endogenously Segmented Markets, Journal of Political Economy, 2002, 110(1), 73-112.

  2. Andrews, Donald W.K., Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation, Econometrica, 1991, 59 (1), 817-858.

  3. Backus, David and Gregor Smith, Consumption and Real Exchange Rates in Dynamic Economies with Non-Traded Goods, Journal of International Economics, 1993, 35, 297-316.

  4. Bansal, Ravi and Magnus Dahlquist, The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies, Journal of International Economics, 2000, 51, 115-444.

  5. Breeden, Douglas T., An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities, Journal of Financial Economics, 1979, 7, 265-296.

  6. Campbell, J. Y., Asset Prices, Consumption and the Business Cycle, in John Taylor and Mark Woodford, eds., Handbook of Macroeconomics, Amsterdam: North Holland, 1999.

  7. Chari, V.V., Patrick Kehoe, and Ellen McGrattan, Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates?, The Review of Economic Studies, 2002, 69, 533-564.

  8. Cochrane, John H., Asset Pricing, Princeton, N.J.: Princeton University Press, 2001.
    Paper not yet in RePEc: Add citation now
  9. Daniel, Kent and Sheridan Titman, Testing Factor-Model Explanations of Market Anomalies, 2005.
    Paper not yet in RePEc: Add citation now
  10. Dunn, K. and K. Singleton, Modeling the Term Structure of Interest Rates Under Nonseparable Utility and Durability of Goods, Journal of Financial Economics, 1986, 17, 769-799.
    Paper not yet in RePEc: Add citation now
  11. Eichenbaum, Martin and Lars Peter Hansen, Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data, Journal of Business and Economic Statistics, 1990, 8 (1), 53-69.

  12. Epstein, L. G. and S. Zin, Substitution, Risk Aversion and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework, Econometrica, 1989, 57, 937-969.

  13. Forward and Spot Exchange Rates, Journal of Monetary Economics, 1984, 1~, 31 9-338.
    Paper not yet in RePEc: Add citation now
  14. Hansen, Lars Peter, Large Sample Properties of Generalized Method of Moments Estimators, Econometrica, 1982, 50, 1 029-54.

  15. Harvey, Campbell R., Bruno Solnik, and Guofu Zhou, What Determines Expected International Asset Returns?, Ammals of Ecomomics amd Fimamce, 2002, 3, 249-298.

  16. Hodrick, Robert, The Empirical Evidemce om the Efficiemcy of Forward amd Fntnres Foreigm Exchamge Markets, Chur, Switzerland: Harwood Academic Publishers, 1987.
    Paper not yet in RePEc: Add citation now
  17. Hollifleld, Burton and Amir Yaron, The Foreign Exchange Risk Premium: Real and Nominal Factors, 2001. Working Paper Wharton School, University of Pennsylvania.

  18. Jagannathan, Ravi and Zhenyu Wang, The Conditional CAPM and the CrossSection of Expected Returns, The Jonrmal of Fimamce, March 1996, 51 (1), 3-53.

  19. Lewellen, Jonathan, Stefan Nagel, and Jay Shanken, A Skeptical Appraisal of Asset-Pricing Tests, NBER Workimg Paper, 2006, 1~36O.

  20. Lewis, Karen K., Puzzles in International Financial Markets, in G. Grossman and K. Rogoff, eds., Hamdbook of Imtermatiomal Ecomomics, Amsterdam: Elsevier Science B.V., 1995, pp. 1913-1971.

  21. Lucas, Robert E., Asset Prices in an Exchange Economy, Ecomometrica, 1978, ~6 (6), 1429-54.

  22. Meese, Richard A. and Kenneth Rogoff, Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?, Jonrmal of Imtermatiomal Ecomomics, 1983, [4, 3-24.

  23. Mehra, R. and E. C. Prescott, The Equity Premium: A Puzzle, Jonrmal of Mometary Ecomomics, 1985, 15., 145-161.

  24. Quinn, Dennis, The Correlates of Changes in International Finance Regulation, Amen cam Political Sciemce Review, 1997, 91(3).
    Paper not yet in RePEc: Add citation now
  25. Reinhart, Carmen, Kenneth Rogoff, and Miguel A. Savastano, Debt Intolerance, Brookimgs Papers om Ecomomic Activity, 2003, 1, 1-74.

  26. Sarkissian, Sergei, Incomplete Consumption Risk Sharing and Currency Risk Premiums, Review of Fimamcial Stndies, 2003, 16, 983-1005.

  27. Service, Global Credit Research Moodys Investors, Sovereign Bond Defaults, Rating Transitions, And Recoveries (1985-2002), Global Credit Research, 2003, Febrnary.
    Paper not yet in RePEc: Add citation now
  28. Shanken, Jay, On the Estimation of Beta-Pricing Models, The Review of Fimamcial Stndies, 1992, 5 (2), 1-33.

  29. Sharpe, William, Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk, Jonrmal of Fimamce, 1964, 19(3), 425-442.

  30. Silverio Foresi, and Chris Telmer, Affine Models of Currency Pricing: Accounting for the Forward Premium Anomaly, Journal of Finance, 2001, 56.

  31. Singh, Manmohan, Recovery Rates from Distressed Debt - Empirical Evidence from Chapter 11 Filings, International Litigation, and Recent Sovereign Debt Restructurings, IMF Workimg Paper WP/03/161, 2003, Angnst.

  32. Verdelhan, Adrien, A Habit Based Explanation of the Exchange Rate Risk Premium, 2005. Working Paper Boston University.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Open Market Operations. (2017). Wright, Randall ; Xiao, Sylvia ; Rocheteau, Guillaume.
    In: 2017 Meeting Papers.
    RePEc:red:sed017:345.

    Full description at Econpapers || Download paper

  2. Financial Crises and Systemic Bank Runs in a Dynamic Model of Banking. (2015). Robatto, Roberto.
    In: 2015 Meeting Papers.
    RePEc:red:sed015:483.

    Full description at Econpapers || Download paper

  3. Revisiting the Tale of Two Interest Rates with Endogenous Market Segmentation. (2015). Thomas, Julia ; Khan, Aubhik.
    In: Review of Economic Dynamics.
    RePEc:red:issued:12-181.

    Full description at Econpapers || Download paper

  4. Life-Cycle Portfolio choice with Liquid and Illiquid Assets. (2015). Campanale, Claudio ; Gomes, Francisco J ; Fugazza, Carolina.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10369.

    Full description at Econpapers || Download paper

  5. The case for a financial approach to money demand. (2014). Ragot, Xavier.
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/4vm8e5vhjr99cb1ekr86bivlk0.

    Full description at Econpapers || Download paper

  6. The Cantillon Effect of Money Injection through Deficit Spending. (2012). Cheng, Wenli ; Angus, Simon.
    In: Monash Economics Working Papers.
    RePEc:mos:moswps:2012-12.

    Full description at Econpapers || Download paper

  7. Demand Shocks and Trade Balance Dynamics. (2011). Torres, Jose ; Rodríguez-López, Jesús ; García-Solanes, José ; Garcia-Solanes, Jose ; Rodriguez-Lopez, Jesus.
    In: Open Economies Review.
    RePEc:kap:openec:v:22:y:2011:i:4:p:739-766.

    Full description at Econpapers || Download paper

  8. Asset pricing in the production economy subject to monetary shocks. (2011). Grishchenko, Olesya.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:63:y:2011:i:3:p:187-216.

    Full description at Econpapers || Download paper

  9. Monetary Policy and the Cyclicality of Risk. (2010). Lopez-Salido, David ; Gust, Christopher.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7727.

    Full description at Econpapers || Download paper

  10. The Case for a Financial Approach to Money Demand. (2010). Ragot, Xavier.
    In: Working papers.
    RePEc:bfr:banfra:300.

    Full description at Econpapers || Download paper

  11. Country Size, Currency Unions, and International Asset Returns. (2009). Hassan, Tarek.
    In: Working Papers.
    RePEc:onb:oenbwp:154.

    Full description at Econpapers || Download paper

  12. Aggregate Implications of Micro Asset Market Segmentation. (2009). Weill, Pierre-Olivier ; Edmond, Chris.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15254.

    Full description at Econpapers || Download paper

  13. Inventories, Markups, and Real Rigidities in Menu Cost Models. (2009). Midrigan, Virgiliu ; Kryvtsov, Oleksiy.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14651.

    Full description at Econpapers || Download paper

  14. Portfolio inertia and the equity premium. (2009). Lopez-Salido, David ; Gust, Christopher.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:984.

    Full description at Econpapers || Download paper

  15. Money supply, macroeconomic stability, and the implementation of interest rate targets. (2009). Schabert, Andreas.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:31:y:2009:i:2:p:333-344.

    Full description at Econpapers || Download paper

  16. Does the liquidity effect guarantee a positive term premium?. (2009). Chung, Kyuil.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:26:y:2009:i:5:p:893-903.

    Full description at Econpapers || Download paper

  17. Transaction costs and consumption. (2009). Li, Geng.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:33:y:2009:i:6:p:1263-1277.

    Full description at Econpapers || Download paper

  18. Monetary Policy, Velocity, and the Equity Premium. (2009). Lopez-Salido, David ; Gust, Christopher.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7388.

    Full description at Econpapers || Download paper

  19. Inventories, Markups, and Real Rigidities in Menu Cost Models. (2009). Midrigan, Virgiliu ; Kryvtsov, Oleksiy.
    In: Staff Working Papers.
    RePEc:bca:bocawp:09-6.

    Full description at Econpapers || Download paper

  20. Intermediary Asset Pricing. (2008). KRISHNAMURTHY, ARVIND ; He, Zhiguo.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14517.

    Full description at Econpapers || Download paper

  21. On the Need for a New Approach to Analyzing Monetary Policy. (2008). Kehoe, Patrick ; Atkeson, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14260.

    Full description at Econpapers || Download paper

  22. New Keynesian economics : a monetary perspective. (2008). Williamson, Stephen.
    In: Economic Quarterly.
    RePEc:fip:fedreq:y:2008:i:sum:p:197-218:n:v.94no.3.

    Full description at Econpapers || Download paper

  23. Sluggish responses of prices and inflation to monetary shocks in an inventory model of money demand. (2008). Edmond, Chris ; Atkeson, Andrew ; Alvarez, Fernando.
    In: Staff Report.
    RePEc:fip:fedmsr:417.

    Full description at Econpapers || Download paper

  24. On the need for a new approach to analyzing monetary policy. (2008). Kehoe, Patrick ; Atkeson, Andrew.
    In: Staff Report.
    RePEc:fip:fedmsr:412.

    Full description at Econpapers || Download paper

  25. Monetary policy and distribution. (2008). Williamson, Stephen.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:55:y:2008:i:6:p:1038-1053.

    Full description at Econpapers || Download paper

  26. Bayesian estimation and evaluation of the segmented markets friction in equilibrium monetary models. (2008). Occhino, Filippo ; Landon-Lane, John.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:30:y:2008:i:1:p:444-461.

    Full description at Econpapers || Download paper

  27. Segmented Asset Markets and Optimal Exchange Rate Regimes. (2007). Vegh, Carlos ; Singh, Rajesh ; Lahiri, Amartya.
    In: Staff General Research Papers Archive.
    RePEc:isu:genres:11446.

    Full description at Econpapers || Download paper

  28. Inflation and interest rates with endogenous market segmentation. (2007). Thomas, Julia ; Khan, Aubhik.
    In: Working Papers.
    RePEc:fip:fedpwp:07-1.

    Full description at Econpapers || Download paper

  29. Transaction costs and consumption. (2007). Li, Geng.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2007-38.

    Full description at Econpapers || Download paper

  30. International price dispersion in state-dependent pricing models. (2007). Midrigan, Virgiliu.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:54:y:2007:i:8:p:2231-2250.

    Full description at Econpapers || Download paper

  31. The relative price effects of monetary shocks. (2007). Wynne, Mark ; Balke, Nathan.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:29:y:2007:i:1:p:19-36.

    Full description at Econpapers || Download paper

  32. Pairwise trade and coexistence of money and higher-return assets. (2007). Zhu, Tao ; Wallace, Neil.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:133:y:2007:i:1:p:524-535.

    Full description at Econpapers || Download paper

  33. The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk. (2007). Verdelhan, Adrien ; Lustig, Hanno.
    In: American Economic Review.
    RePEc:aea:aecrev:v:97:y:2007:i:1:p:89-117.

    Full description at Econpapers || Download paper

  34. Monetary Policy and the Distribution of Money and Capital. (2006). Zhang, Yahong ; Molico, Miguel.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:136.

    Full description at Econpapers || Download paper

  35. SEARCH, LIMITED PARTICIPATION, AND MONETARY POLICY *. (2006). Williamson, Stephen.
    In: International Economic Review.
    RePEc:ier:iecrev:v:47:y:2006:i:1:p:107-128.

    Full description at Econpapers || Download paper

  36. The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk. (2006). Verdelhan, Adrien ; Lustig, Hanno.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2006-045.

    Full description at Econpapers || Download paper

  37. International Price Dispersion in State-Dependent Pricing Models. (2005). Midrigan, Virgiliu.
    In: International Finance.
    RePEc:wpa:wuwpif:0511001.

    Full description at Econpapers || Download paper

  38. Money Supply and the Implementation of Interest Rate Targets. (2005). Schabert, Andreas.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20050059.

    Full description at Econpapers || Download paper

  39. Estimation and Evaluation of a Segmented Markets Monetary Model. (2005). Occhino, Filippo ; Landon-Lane, John.
    In: Departmental Working Papers.
    RePEc:rut:rutres:200505.

    Full description at Econpapers || Download paper

  40. Monetary Policy and Distribution. (2005). Williamson, Stephen.
    In: 2005 Meeting Papers.
    RePEc:red:sed005:379.

    Full description at Econpapers || Download paper

  41. The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly. (2005). Whitelaw, Robert ; Richardson, Matthew ; Boudoukh, Jacob.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11840.

    Full description at Econpapers || Download paper

  42. The Cross-Section of Currency Risk Premia and US Consumption Growth Risk. (2005). Verdelhan, Adrien ; Lustig, Hanno.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11104.

    Full description at Econpapers || Download paper

  43. Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets. (2005). Wu, Shu.
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
    RePEc:kan:wpaper:200519.

    Full description at Econpapers || Download paper

  44. Time-varying risk, interest rates and exchange rates in general equilibrium. (2005). Kehoe, Patrick ; Atkeson, Andrew ; Alvarez, Fernando.
    In: Working Papers.
    RePEc:fip:fedmwp:627.

    Full description at Econpapers || Download paper

  45. Estimating the expected marginal rate of substitution: A systematic exploitation of idiosyncratic risk. (2005). Rose, Andrew ; Flood, Robert.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:52:y:2005:i:5:p:951-969.

    Full description at Econpapers || Download paper

  46. THE CROSS-SECTION OF FOREIGN CURRENCY RISK PREMIA AND CONSUMPTION GROWTH RISK. (2005). Verdelhan, Adrien ; Lustig, Hanno.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2005-019.

    Full description at Econpapers || Download paper

  47. Markets Segmentation and the Real Interest Rate Response to Monetary Policy Shocks. (2004). Occhino, Filippo.
    In: Departmental Working Papers.
    RePEc:rut:rutres:200403.

    Full description at Econpapers || Download paper

  48. Modeling the Response of Money and Interest Rates to Monetary Policy Shocks: A Segmented Markets Approach. (2004). Occhino, Filippo.
    In: Review of Economic Dynamics.
    RePEc:red:issued:v:7:y:2004:i:1:p:181-197.

    Full description at Econpapers || Download paper

  49. Optimal Monetary Policy under Asset Market Segmentation. (2004). Vegh, Carlos ; Singh, Rajesh ; Lahiri, Amartya.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:643.

    Full description at Econpapers || Download paper

  50. The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk (joint with Adrien Verdelhan)(updated February 2006). (2004). Lustig, Hanno.
    In: UCLA Economics Online Papers.
    RePEc:cla:uclaol:303.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-25 03:37:10 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.