Report NEP-FIN-2004-03-14

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.

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The following items were announced in this report:

• Item repec:att:belgnw:200442 is not listed on IDEAS anymore

• Asgharian, Hossein, 2004. "A Comparative Analysis of Ability of Mimicking Portfolios in Representing the Background Factors," Working Papers 2004:10, Lund University, Department of Economics.
• Engström, Stefan, 2004. "Investment Strategies, Fund Performance and Portfolio Characteristics," SSE/EFI Working Paper Series in Economics and Finance 554, Stockholm School of Economics.
• Thilo Pausch & Gerhard Schweimayer, 2004. "Hedging with Credit Derivatives and its Strategic Role in Banking Competition," Discussion Paper Series 260, Universitaet Augsburg, Institute for Economics.
• Meitz, Mika & Teräsvirta, Timo, 2004. "Evaluating models of autoregressive conditional duration," SSE/EFI Working Paper Series in Economics and Finance 557, Stockholm School of Economics, revised 13 Dec 2004.
• Randi Naes & Johannes A. Skjeltorp, 2003. "Strategic Investor Behaviour and the Volume-Volatility Relation in Equity Markets," Working Paper 2003/9, Norges Bank.
• Oliver Linton & Yoon-Jae Whang, 2004. "A Quantilogram Approach to Evaluating Directional Predictability," Cowles Foundation Discussion Papers 1454, Cowles Foundation for Research in Economics, Yale University.
• Allard Bruinshoofd, 2003. "Corporate Investment and Financing Constraints: Connections with Cash management," DNB Staff Reports (discontinued) 110, Netherlands Central Bank.
• Rafael Rob, 2004. "Is Bigger Better? Investing in Reputation," Theory workshop papers 658612000000000086, UCLA Department of Economics.
• Engström, Stefan, 2004. "Does Active Portfolio Management Create Value? An Evaluation of Fund Managers' Decisions," SSE/EFI Working Paper Series in Economics and Finance 553, Stockholm School of Economics.
• Dietmar Bauer, 2004. "Using Subspace Methods for Estimating ARMA Models for Multivariate Time Series with Conditionally Heteroskedastic Innovations," Cowles Foundation Discussion Papers 1452, Cowles Foundation for Research in Economics, Yale University.
• SADEFO KAMDEM Jules, 2004. "VaR and ES for linear Portfolios with mixture of elliptically distributed Risk Factors," GE, Growth, Math methods 0403004, University Library of Munich, Germany.
• Norberg, Peter, 2003. "”Life is a fake. All that is real are the stock prices” - Simulating Authenticity in Financial Markets," SSE/EFI Working Paper Series in Business Administration 2003:15, Stockholm School of Economics, revised 02 Sep 2004.
• Arjen Siegmann, 2003. "Optimal Investment Policies for Defined Benefit Pension Funds," DNB Staff Reports (discontinued) 112, Netherlands Central Bank.
• Andrea Terzi, 2004. "Is a transactions tax an effective means to stabilize the foreign exchange market?," International Finance 0403007, University Library of Munich, Germany.
• Paolo, BATTOCCHIO & Francesco, MENONCIN & Olivier, SCAILLET, 2003. "Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases," LIDAM Discussion Papers IRES 2003004, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).