Research Program in Finance, Working Paper Series

From Research Program in Finance, Institute for Business and Economic Research, UC Berkeley
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2013: Quantifying the Impact of Leveraging and Diversification on Systemic Risk

Paolo Tasca, Pavlin Mavrodiev and Frank Schweitzer

2012: Search Costs: The Neglected Spread Component

Mark Flood, Ronald Huisman, Kees G. Koedijk and Richard K. Lyons

2003: Return-Volume Dependence and Extremes in International Equity Markets

Niklas Wagner and Terry A. Marsh

2003: Measuring Tail Thickness under GARCH and an Application to Extremal Exchange Rate Changes

Niklas Wagner and Terry A. Marsh

2003: An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?

Chris Downing, Richard Stanton and Nancy E. Wallace

2000: On Adaptive Tail Index Estimation for Financial Return Models

Niklas Wagner and Terry Marsh

2000: Rational Markets: Yes or No? The Affirmative Case

Mark Rubinstein

2000: On the Relation Between Binomial and Trinomial Option Pricing Models

Mark Rubinstein

2000: HOw Do Firms Choose Their Leaders? An Empirical Investigation

Miguel Cantillo and Julian Wright

2000: Corporate Diversification and Agency

Benjamin Hermalin and Michael Katz

1999: Optimal Portfolio Management with Transactions Costs and Capital Gains Taxes

Hayne Leland

1999: Credit Derivatives in Banking: Useful Tools for Managing Risk?

Greg Duffee and Chunseng Zhou

1999: Order Flow and Exchange Rate Dynamics

Martin Evans and Richard K. Lyons

1999: The Role of a Corporate Bond Market in an Economy -- and in Avoiding Crises

Nils H. Hakansson

1999: Housing Return and Construction Cycles

Matthew Spiegel