Report NEP-FIN-2004-06-13

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:

• Petroulas, Pavlos, 2004. "Short-Term Capital Flows and Growth in Developed and Emerging Markets Pavlos," Research Papers in Economics 2004:4, Stockholm University, Department of Economics.
• Antje Mahayni & Erik Schlögl, 2003. "The Risk Management of Minimum Return Guarantees," Bonn Econ Discussion Papers bgse18_2003, University of Bonn, Germany.
• de Vries, Casper & Hartmann, Philipp & Straetmans, Stefan, 2004. "Fundamentals and Joint Currency Crises," CEPR Discussion Papers 4338, C.E.P.R. Discussion Papers.
• Francis, Jennifer & LaFond, Ryan & Olsson, Per & Schipper, Katherine, 2004. "The Market Pricing of Accruals Quality," SIFR Research Report Series 22, Institute for Financial Research.
• Altug, Sumru & Usman, Murat, 2004. "Spillover Effects, Bank Lending and Growth," CEPR Discussion Papers 4320, C.E.P.R. Discussion Papers.
• Repullo, Rafael & Suarez, Javier, 2003. "Loan Pricing Under Basel Capital Requirements," CEPR Discussion Papers 3917, C.E.P.R. Discussion Papers.
• Jean-David FERMANIAN & Olivier SCAILLET, 2003. "Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements," FAME Research Paper Series rp89, International Center for Financial Asset Management and Engineering.
• Francesco Menoncin & Olivier Scaillet, 2003. "Mortality Risk and Real Optimal Asset Allocation for Pension Funds," FAME Research Paper Series rp101, International Center for Financial Asset Management and Engineering.
• Vettas, Nikolaos & Biglaiser, Gary, 2004. "Dynamic Price Competition with Capacity Constraints and Strategic Buyers," CEPR Discussion Papers 4315, C.E.P.R. Discussion Papers.
• Imbs, Jean, 2004. "The Real Effects of Financial Integration," CEPR Discussion Papers 4335, C.E.P.R. Discussion Papers.
• Jean-David FERMANIAN & Olivier SCAILLET, 2004. "Some Statistical Pitfalls In Copula Modeling For Financial Applications," FAME Research Paper Series rp108, International Center for Financial Asset Management and Engineering.
• Fischer, Andreas & Demarmels, Ricarda, 2003. "Understanding Reserve Volatility in Emerging Markets: A Look at the Long-Run," CEPR Discussion Papers 3908, C.E.P.R. Discussion Papers.
• Kaifeng CHEN & Alexander PASSOW, 2003. "Quantitative Selection of Long-Short Hedge Funds," FAME Research Paper Series rp94, International Center for Financial Asset Management and Engineering.
• Acharya, Viral & Bharath, Sreedhar T & Srinivasan, Anand, 2003. "Understanding the Recovery Rates on Defaulted Securities," CEPR Discussion Papers 4098, C.E.P.R. Discussion Papers.
• Goldreich, David & Hanke, Bernd & Nath, Purnendu, 2003. "The Price of Future Liquidity: Time-Varying Liquidity in the US Treasury Market," CEPR Discussion Papers 3900, C.E.P.R. Discussion Papers.
• Mingxin Xu, 2004. "Risk Measure Pricing and Hedging in Incomplete Markets," Finance 0406004, University Library of Munich, Germany, revised 07 Mar 2006.
• gulielmo maria caporale & rea cipollini & nicola spagnolo, 2004. "Testing For Contagion: A Conditional Correlation Analysis," International Finance 0406003, University Library of Munich, Germany.
• Foucault, Thierry & Moinas, Sophie & Theissen, Erik, 2003. "Does Anonymity Matter in Electronic Limit Order Markets?," CEPR Discussion Papers 4091, C.E.P.R. Discussion Papers.
• Randi Næs, 2004. "Ownership Structure and Stock Market Liquidity," Working Paper 2004/6, Norges Bank.
• Sébastien WÄLTI, 2003. "Testing for Contagion in International Financial Markets: Which Way to Go?," FAME Research Paper Series rp92, International Center for Financial Asset Management and Engineering.
• Guriev, Sergei & Friebel, Guido, 2004. "Smuggling Humans: A Theory of Debt-Financed Migration," CEPR Discussion Papers 4305, C.E.P.R. Discussion Papers.
• S.Galluccio & Z. Huang & J.-M. Ly & O. Scaillet, 2005. "Theory and Calibration of Swap Market Models," FAME Research Paper Series rp107, International Center for Financial Asset Management and Engineering.
• Alexey MEDVEDEV & Olivier SCAILLET, 2004. "A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics," FAME Research Paper Series rp93, International Center for Financial Asset Management and Engineering.
• Henry Schellhorn & Didier Cossin, 2004. "Credit Risk in a Network Economy," FAME Research Paper Series rp106, International Center for Financial Asset Management and Engineering.
• Keller, Wolfgang & Shiue, Carol, 2004. "Market Integration and Economic Development: A Long-Run Comparison," CEPR Discussion Papers 4310, C.E.P.R. Discussion Papers.