Report NEP-FIN-2004-05-26

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:

• tuomas välimäki, 2004. "Variable rate liquidity tenders," Macroeconomics 0405010, University Library of Munich, Germany.
• Carlo Altomonte & Enrico Pennings, 2004. "The Hazard Rate of Foreign Direct Investment: A Structural Estimation of a Real Option Model," Working Papers 259, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
• Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Finance 0405016, University Library of Munich, Germany.
• Karlo Kauko, 2004. "Links between securities settlement systems: An oligopoly theoretic approach," Industrial Organization 0405003, University Library of Munich, Germany.
• Sergio Da Silva, 2004. "The Dornbusch Model with Chaos and Foreign Exchange Intervention," International Finance 0405017, University Library of Munich, Germany.
• William A. Barnett & Paul A. Samuelson, 2004. "An Interview with Paul A. Samuelson," Method and Hist of Econ Thought 0405006, University Library of Munich, Germany.
• Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO.
• Manuel Moreno & Javier F. Navas, 2003. "Australian Asian options," Economics Working Papers 680, Department of Economics and Business, Universitat Pompeu Fabra.
• Heiko Schmiedel & Markku Malkamäki & Juha Tarkka, 2004. "Economies of scale and technological development in securities depository and settlement systems," Microeconomics 0405001, University Library of Munich, Germany.
• Stephen R. Bond & Jason G. Cummins, 2004. "Uncertainty and investment: an empirical investigation using data on analysts' profits forecasts," Finance and Economics Discussion Series 2004-20, Board of Governors of the Federal Reserve System (U.S.).
• Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.
• Allen N. Berger, 2004. "Potential competitive effects of Basel II on banks in SME credit markets in the United States," Finance and Economics Discussion Series 2004-12, Board of Governors of the Federal Reserve System (U.S.).
• Glen Donaldson & Mark Kamstra, 2004. "Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off," FRB Atlanta Working Paper 2004-6, Federal Reserve Bank of Atlanta.
• Timothy H. Hannan & Steven J. Pilloff, 2004. "Will the proposed application of Basel II in the United States encourage increased bank merger activity? evidence from past merger activity," Finance and Economics Discussion Series 2004-13, Board of Governors of the Federal Reserve System (U.S.).
• Enrico De Giorgi, "undated". "Evolutionary Portfolio Selection with Liquidity Shocks," IEW - Working Papers 185, Institute for Empirical Research in Economics - University of Zurich.
• José Penalva, 2003. "Implications of dynamic trading for insurance markets," Economics Working Papers 720, Department of Economics and Business, Universitat Pompeu Fabra.
• Ben S. Bernanke & Kenneth N. Kuttner, 2004. "What explains the stock market's reaction to Federal Reserve policy?," Finance and Economics Discussion Series 2004-16, Board of Governors of the Federal Reserve System (U.S.).
• Arturo Kohatsu & Montero Miquel, 2003. "Malliavin calculus in finance," Economics Working Papers 672, Department of Economics and Business, Universitat Pompeu Fabra.
• Muhd-Zulkhibri Abdul Majid, 2004. "Sources Of Asian Currency Crisis," International Finance 0405020, University Library of Munich, Germany.
• Jeffrey R. Brown & Zoran Ivković & Paul A. Smith & Scott Weisbenner, 2004. "The geography of stock market participation: the influence of communities and local firms," Finance and Economics Discussion Series 2004-22, Board of Governors of the Federal Reserve System (U.S.).
• Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "There is a Risk-Return Tradeoff After All," CIRANO Working Papers 2004s-24, CIRANO.
• Huzaimi Hussain & Venus Khim-Sen Liew, 2004. "Causal Relationships Between Exchange Rates And Stock Prices In Malaysia And Thailand During The 1997 Currency Crisis Turmoil," International Finance 0405015, University Library of Munich, Germany.
• Olivier Ledoit & Michael Wolf, 2003. "Honey, I shrunk the sample covariance matrix," Economics Working Papers 691, Department of Economics and Business, Universitat Pompeu Fabra.
• Naoki KOJIMA, 2004. "The IPO Spread and Conflicts of Interests," Public Policy Discussion Papers 04-06, Economics and Finance Section, School of Social Sciences, Brunel University.
• Asani Sarkar & Lingjia Zhang, 2004. "Time-varying consumption correlation and the dynamics of the equity premium: evidence from the G-7 countries," Staff Reports 181, Federal Reserve Bank of New York.
• Sergio Da Silva, 2004. "International Finance, Levy Distributions, and the Econophysics of Exchange Rates," International Finance 0405018, University Library of Munich, Germany.
• Svetlana Boyarchenko & Sergei Levendorskii, 2004. "American options: the EPV pricing model," Finance 0405024, University Library of Munich, Germany.
• Matti Keloharju & Markku Malkamäki & Kjell G. Nyborg & Kristian Rydqvist, 2004. "A descriptive analysis of the Finnish treasury bond market 1991–1999," Finance 0405017, University Library of Munich, Germany.
• Elisa Alòs, 2003. "A general decomposition formula for derivative prices in stochastic volatility models," Economics Working Papers 665, Department of Economics and Business, Universitat Pompeu Fabra.
• Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," CIRANO Working Papers 2004s-19, CIRANO.
• Sergio Da Silva, 2004. "Classroom Guide to the Equilibrium Exchange Rate Model," International Finance 0405019, University Library of Munich, Germany.
• Item repec:tky:fseres:2004cj112 is not listed on IDEAS anymore

• Renu Kohli & Kenneth Kletzer, 2004. "Exchange RAte Dynamics with Financial Repression: A Test of Exchange Rate Models for India," International Finance 0405013, University Library of Munich, Germany.
• Sergio Da Silva, 2004. "Autocorrelation as a Source of Truncated Levy Flights in Foreign Exchange Rates," Finance 0405018, University Library of Munich, Germany.
• Juan-Pedro Gómez & Richard Priestly & Fernando Zapatero, 2003. "Keeping up with the Joneses: An international asset pricing model," Economics Working Papers 694, Department of Economics and Business, Universitat Pompeu Fabra.
• Thomas Alderweireld & Jean Nuyts, 2004. "A Theory for the Term Structure of Interest Rates," Finance 0405029, University Library of Munich, Germany.
• Julián Andrada Félix & Fernando Fernández Rodríguez & María Dolores García Artiles, 2004. "Non-linear trading rules in the New York Stock Exchange," Documentos de trabajo conjunto ULL-ULPGC 2004-05, Facultad de Ciencias Económicas de la ULPGC.
• Patrick Coggi & Bogdan Manescu, 2004. "A multifactor model of stock returns with endogenous regime switching," University of St. Gallen Department of Economics working paper series 2004 2004-01, Department of Economics, University of St. Gallen.
• Brännäs, Kurt & Quoreshi, Shahiduzzaman, 2004. "Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks," Umeå Economic Studies 637, Umeå University, Department of Economics.
• Bill B. Francis & Iftekhar Hasan & Delroy M. Hunter, 2004. "Return-volatility linkages in the international equity and currency markets," Finance 0405022, University Library of Munich, Germany.
• Sergio Da Silva, 2004. "Exponentially Damped Levy Flights, Multiscaling, and Exchange Rates," Finance 0405027, University Library of Munich, Germany.
• Adrian E. Tschoegl, 2004. "Financial Crises and the Presence of Foreign Banks," International Finance 0405016, University Library of Munich, Germany.
• Juan-Pedro Gómez & Tridib Sharma, 2003. "Portfolio delegation under short-selling constraints," Economics Working Papers 695, Department of Economics and Business, Universitat Pompeu Fabra.