Report NEP-FIN-2004-09-12

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:

• Savvakis C. Savvides, 2004. "Risk Analysis in Investment Appraisal," Finance 0409020, University Library of Munich, Germany.
• Akihiko Takahashi & Shuichiro Matsushima, 2004. ""Monte Carlo Simulation with an Asymptotic Expansion in HJM Framework"(in Japanese)," CIRJE J-Series CIRJE-J-112, CIRJE, Faculty of Economics, University of Tokyo.
• Goodwin, Barry K. & Mahul, Olivier, 2004. "Risk modeling concepts relating to the design and rating of agricultural insurance contracts," Policy Research Working Paper Series 3392, The World Bank.
• Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," Finance 0409032, University Library of Munich, Germany.
• Jan P.A.M. Jacobs & Gerard H. Kuper & Lestano, 2004. "Currency crises in Asia: A multivariate logit approach," International Finance 0409005, University Library of Munich, Germany.
• de la Torre, Augusto & Schmukler & Sergio L., 2004. "Coping with risk through mismatches : domestic and international financial contracts for emerging economies," Policy Research Working Paper Series 3212, The World Bank.
• Lestano & Jan Jacobs & Gerard H. Kuper, 2004. "Indicators of financial crises do work! An early-warning system for six Asian countries," International Finance 0409001, University Library of Munich, Germany.
• Calderon,Cesar & Loayza,Norman V. & Serven,Luis, 2003. "Do capital flows respond to risk and return?," Policy Research Working Paper Series 3059, The World Bank.
• Fisman, Raymond & Love, Inessa, 2004. "Financial development and growth in the short and long run," Policy Research Working Paper Series 3319, The World Bank.
• Paul V. Azzopardi & Silvio John Camilleri, 2004. "The Relevance of Short Sales to the Maltese Stock Market," Finance 0409009, University Library of Munich, Germany.
• Naoto Kunitomo & Tomoyuki Ichiba, 2004. ""Multiperiod Statistical Risk Management Methods and Equity-Linked Life Insurance"(in Japanese)," CIRJE J-Series CIRJE-J-113, CIRJE, Faculty of Economics, University of Tokyo.
• Philip Kostov & Seamus McErlean, 2004. "Estimating the probability of large negative stock market," Finance 0409011, University Library of Munich, Germany.
• Christian Calmès, 2004. "Financial Market Imperfections and Investment: an Overview," Finance 0409031, University Library of Munich, Germany.
• Love, Inessa & Zicchino, Lea, 2002. "Financial development and dynamic investment behavior : evidence from panel vector autoregression," Policy Research Working Paper Series 2913, The World Bank.
• Beck, Thorsten & Demirguc-Kunt, Asli & Levine, Ross, 2004. "Law and firms'access to finance," Policy Research Working Paper Series 3194, The World Bank.
• Christophe Godlewski, 2004. "Capital Regulation and Credit Risk Taking : Empirical Evidence from Banks in Emerging Market Economies," Finance 0409030, University Library of Munich, Germany.
• Pami Dua & Nishita Raje & Satyananda Sahoo, 2004. "Interest Rate Modeling and Forecasting in India," Occasional papers 3, Centre for Development Economics, Delhi School of Economics.
• Giorgio Busetti & Matteo Manera, 2003. "STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US," Working Papers 2003.43, Fondazione Eni Enrico Mattei.
• Craig Thorburn, 2004. "On the measurement of solvency of insurance companies : recent developments that will alter methodsadopted in emerging markets," Policy Research Working Paper Series 3199, The World Bank.
• Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series 129, Quantitative Finance Research Centre, University of Technology, Sydney.
• Malmsten, Hans & Teräsvirta, Timo, 2004. "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance 563, Stockholm School of Economics, revised 03 Sep 2004.
• Chiquier, Loic & Hassler, Olivier & Lea, Michael, 2004. "Mortgage securities in emerging markets," Policy Research Working Paper Series 3370, The World Bank.
• Beck, Thorsten & Demirguc-Kunt, Asli & Levine, Ross, 2003. "Bank concentration and crises," Policy Research Working Paper Series 3041, The World Bank.
• Thorsten Beck, 2004. "The determinants of financing obstacles," Policy Research Working Paper Series 3204, The World Bank.
• Buckley, Robert & Karaguishiyeva, Gulmira & Van Order, Robert & Vecvagare, Laura, 2003. "Comparing mortgage credit risk policies : an options-based approach," Policy Research Working Paper Series 3047, The World Bank.
• Do, Quy-Toan & Levchenko, Andrei A., 2004. "Trade and financial development," Policy Research Working Paper Series 3347, The World Bank.
• Beck, Thorsten & Fuchs, Michael, 2004. "Structural issues in the Kenyan financial system: improving competition and access," Policy Research Working Paper Series 3363, The World Bank.
• Scott Hendry & Michael R. King, 2004. "The Efficiency of Canadian Capital Markets: Some Bank of Canada Research," Finance 0409010, University Library of Munich, Germany.
• Beck, Thorsten & Demirguc-Kunt, Asli & Levine, Ross, 2003. "Bank supervision and corporate finance," Policy Research Working Paper Series 3042, The World Bank.
• Marina Halac & Sergio Schmukler, 2003. "Distributional effects of crises : the role of financial transfers," Policy Research Working Paper Series 3173, The World Bank.
• Hnatkovska, Viktoria & Loayza, Norman, 2004. "Volatility and growth," Policy Research Working Paper Series 3184, The World Bank.
• Cowan, kevin & Quy-Toan Do, 2003. "Financial dollarization and central bank credibility," Policy Research Working Paper Series 3082, The World Bank.
• Inessa Love & Nataliya Mylenko, 2003. "Credit reporting and financing constraints," Policy Research Working Paper Series 3142, The World Bank.
• Patrick Honohan, 2004. "Financial development, growth, and poverty: how close are the links?," Policy Research Working Paper Series 3203, The World Bank.
• Galeano, Pedro, 2004. "A note on prediction and interpolation errors in time series," DES - Working Papers. Statistics and Econometrics. WS ws042710, Universidad Carlos III de Madrid. Departamento de Estadística.
• Beck, Thorsten & Demirguc-Kunt, Asli & Maksimovic, Vojislav, 2003. "Financial and legal institutions and firm size," Policy Research Working Paper Series 2997, The World Bank.
• Raddatz, Claudio, 2003. "Liquidity needs and vulnerability to financial udnerdevelopment," Policy Research Working Paper Series 3161, The World Bank.
• Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, University Library of Munich, Germany.
• Martinez Peria, Maria Soledad & Mody, Ashoka, 2004. "How foreign participation and market concentration impact bank spreads : evidence from Latin America," Policy Research Working Paper Series 3210, The World Bank.
• Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance 0409016, University Library of Munich, Germany.
• Powell, Andrew, 2004. "Basel II and developing countries : Sailing through the sea of standards," Policy Research Working Paper Series 3387, The World Bank.
• Koki Arai, 2004. "Elimination of Competitors: Some Economics of Payment Card Associations," Industrial Organization 0409002, University Library of Munich, Germany.
• Claudio Raddatz & Roberto Rigobon, 2003. "Monetary policy and sectoral shocks : did the Federal Reserve react properly to the high-tech crisis?," Policy Research Working Paper Series 3160, The World Bank.
• Gurenko, Eugene & Mahul, Olivier, 2003. "Combining insurance, contingent debt, and self-retention in an optimal corporate risk financing strategy," Policy Research Working Paper Series 3167, The World Bank.
• Michele Moretto & Paolo M. Panteghini & Carlo Scarpa, 2003. "Investment Size and Firm’s Value Under Profit Sharing Regulation," Working Papers 2003.80, Fondazione Eni Enrico Mattei.
• Malmsten, Hans, 2004. "Evaluating exponential GARCH models," SSE/EFI Working Paper Series in Economics and Finance 564, Stockholm School of Economics, revised 03 Sep 2004.
• El-Hawary & Dahlia & Grais, Wafik & Iqbal, Zamir, 2004. "Regulating islamic financial institutions : The nature of the regulated," Policy Research Working Paper Series 3227, The World Bank.
• Ulugbek Olimov, 2004. "Was the Russian Financial Crisis Contagious?," International Finance 0409003, University Library of Munich, Germany.
• Dimitri Vittas, 2003. "The use of"asset swaps"by institutional investors in South Africa," Policy Research Working Paper Series 3175, The World Bank.
• Massoud Heidari & Liuren Wu, 2004. "What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities," Finance 0409017, University Library of Munich, Germany.
• Christophe Godlewski, 2004. "Bank Risk-Taking in a Prospect Theory Framework Empirical Investigation in the Emerging Markets’ Case," Finance 0409024, University Library of Munich, Germany.
• Beck, Thorsten & Demirguc-Kunt, Asli & Levine, Ross, 2004. "Finance, inequality, and poverty: cross-country evidence," Policy Research Working Paper Series 3338, The World Bank.
• Fisman, Raymond & Love, Inessa, 2002. "Patterns of industrial development revisted : the role of finance," Policy Research Working Paper Series 2877, The World Bank.
• Beck, Thorsten & Demirguc-Kant, Asl' & Maksimovic, Vojislav, 2003. "Bank competition, financing obstacles, and access to credit," Policy Research Working Paper Series 2996, The World Bank.
• Shane Miller & Eckhard Platen, 2004. "Two-Factor Model for Low Interest Rate Regimes," Research Paper Series 130, Quantitative Finance Research Centre, University of Technology, Sydney.
• Alessandro Lanza & Matteo Manera & Margherita Grasso & Massimo Giovannini, 2003. "Long-run Models of Oil Stock Prices," Working Papers 2003.96, Fondazione Eni Enrico Mattei.
• Tokhir Mirzoev, 2004. "A Dynamic Model of Endogenous Exchange Rate Pass-Through," International Finance 0409002, University Library of Munich, Germany.
• Carling, Kenneth & Rönnegård, Lars & Roszbach, Kasper, 2004. "Is Firm Interdependence within Industries Important for Portfolio Credit Risk?," Working Paper Series 168, Sveriges Riksbank (Central Bank of Sweden).
• Kraay, Aart & Loayza, Norman & Serven, Luis & Ventura, Jaume, 2004. "Country Portfolios," Policy Research Working Paper Series 3320, The World Bank.
• Jens Tapking, 2004. "Multiple equilibrium overnight rates in a dynamic interbank market game," Finance 0409018, University Library of Munich, Germany.
• Peter Carr & Liuren Wu, 2004. "Stochastic Skew in Currency Options," Finance 0409014, University Library of Munich, Germany.
• Christophe Godlewski, 2004. "Are Bank Ratings Coherent with Bank Default Probabilities in Emerging Market Economies ?," Finance 0409023, University Library of Munich, Germany.