Report NEP-FIN-2003-12-07

This is the archive for NEP-FIN, a report on new working papers in the area of Finance. Philip Yu issued this report. It is usually issued weekly.

This report is closed
Other reports in NEP-FIN

The following items were announced in this report:

• Yanjun Liu & Bing-Sun Wong, "undated". "Estimating Structural Breaks in the Volatility of Canadian Output Growth," Working Papers-Department of Finance Canada 2003-20, Department of Finance Canada.
• Rodríguez, Julio, 2003. "A powerful test for conditional heteroscedasticity for financial time series with highly persistent volatilities," DES - Working Papers. Statistics and Econometrics. WS ws036716, Universidad Carlos III de Madrid. Departamento de Estadística.
• Dewachter, H.D.R. & Lyrio, M., 2003. "The Cost of Technical Trading Rules in the Forex Market: A Utility-based Evaluation," ERIM Report Series Research in Management ERS-2003-052-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
• Christiansen, Claus Bang & Madsen, Peter Brink & Christensen, Michael, 2003. "Further Evidence on Hedge Funds Performance," Finance Working Papers 03-5, University of Aarhus, Aarhus School of Business, Department of Business Studies.
• Patrick Georges, "undated". "The Value of Waiting and the Theory of Investment Under Uncertainty(With an Application to Kyoto)," Working Papers-Department of Finance Canada 2003-19, Department of Finance Canada.
• Elyès Jouini & Clotilde Napp, 2003. "Consensus consumer and intertemporal asset pricing with heterogeneous beliefs," Finance 0312001, University Library of Munich, Germany.
• Item repec:dgr:eureri:30001047 is not listed on IDEAS anymore

• Item repec:cdl:oplwec:11070 is not listed on IDEAS anymore

• John Whitley & Richard Windram, 2003. "A quantitative framework for commercial property and its relationship to the analysis of the financial stability of the corporate sector," Bank of England working papers 207, Bank of England.
• Item repec:cdl:oplwec:11064 is not listed on IDEAS anymore

• van den Berg, J.H. & van den Bergh, W.-M. & Kaymak, U., 2003. "Financial Markets Analysis by Probabilistic Fuzzy Modelling," ERIM Report Series Research in Management ERS-2003-036-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
• Item repec:dgr:eureri:3000450 is not listed on IDEAS anymore

• Item repec:cdl:oplwec:11004 is not listed on IDEAS anymore

• Hallerbach, W.G.P.M., 2003. "Holding Period Return-Risk Modeling: Ambiguity in Estimation," ERIM Report Series Research in Management ERS-2003-063-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
• Item repec:cdl:oplwec:11063 is not listed on IDEAS anymore

• L. Ingber, 2001. "Statistical Mechanics of Financial Markets (SMFM): Applications to Trading Indicators and Options," Lester Ingber Papers 01at, Lester Ingber.
• Elyès Jouini & Hedi Kallal & Clotilde Napp, 2003. "Arbitrage with fixed costs and interest rate models," Finance 0312002, University Library of Munich, Germany.
• Broto, Carmen, 2003. "Unobserved component models with asymmetric conditional variances," DES - Working Papers. Statistics and Econometrics. WS ws032003, Universidad Carlos III de Madrid. Departamento de Estadística.
• Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics.
• Elyès Jouini & Clotilde Napp & Walter Schachermayer, 2003. "No-arbitrage and state price deflators in a general continuous time framework," Finance 0312003, University Library of Munich, Germany.
• Item repec:dgr:eureri:30001043 is not listed on IDEAS anymore

• Post, G.T. & van Vliet, P., 2003. "Risk Aversion and Skewness Preference: a comment," ERIM Report Series Research in Management ERS-2003-009-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
• Item repec:cdl:oplwec:11035 is not listed on IDEAS anymore

• Item repec:esx:essedp:572 is not listed on IDEAS anymore

• Item repec:dgr:eureri:30001042 is not listed on IDEAS anymore

• D. Narayana, 2003. "Why is the credit-deposit ratio low in Kerala?," Centre for Development Studies, Trivendrum Working Papers 342, Centre for Development Studies, Trivendrum, India.
• R. Anton Braun & Etsuro Shioji, 2003. "Aggregate Risk in Japanese Equity Markets," CIRJE F-Series CIRJE-F-250, CIRJE, Faculty of Economics, University of Tokyo.
• Comin, D. & Mulani, S., 2003. "Diverging Trends in Macro and Micro Volatility: Facts," Working Papers 03-08, C.V. Starr Center for Applied Economics, New York University.
• Item repec:cdl:oplwec:11087 is not listed on IDEAS anymore

• Hallerbach, W.G.P.M. & Ning, H. & Spronk, J., 2003. "The effects of decision flexibility in the hierarchical investment decision process," ERIM Report Series Research in Management ERS-2003-047-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.