Report NEP-FIN-2004-12-02

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:

• Christian M. Hafner, 2004. "Temporal aggregation of multivariate GARCH processes," Econometric Society 2004 North American Winter Meetings 538, Econometric Society.
• Allan Timmermann & Andrew J. Patton, 2004. "Properties of Optimal Forecasts," Econometric Society 2004 North American Winter Meetings 234, Econometric Society.
• Mathias Drehmann & Jörg Oechssler, 2004. "Herding and Contrarian Behavior in Financial Markets - An Internet Experiment," Econometric Society 2004 North American Winter Meetings 55, Econometric Society.
• Lionel de Boisdeffre, 2004. "No-arbitrage equilibria with differential information: an enlarged existence theorem," Cahiers de la Maison des Sciences Economiques b04102, Université Panthéon-Sorbonne (Paris 1).
• Rene Garcia & Richard Luger & Eric Renault, 2004. "Option Prices, Preferences, and State Variables," Emory Economics 0418, Department of Economics, Emory University (Atlanta).
• Item repec:hai:wpaper:0410 is not listed on IDEAS anymore

• Ernesto Mordecki & José Fajardo, 2004. "Pricing Derivatives on Two Lé}vy-driven Stocks," Econometric Society 2004 North American Winter Meetings 139, Econometric Society.
• Ronald Goettler & Christine Parlour & Uday Rajan, "undated". "Information Acquisition in a Limit Order Market," GSIA Working Papers 2004-E53, Carnegie Mellon University, Tepper School of Business.
• Kjetil Storesletten & Chris Telmer & Amir Yaron, "undated". "Asset pricing with idiosyncratic risk and overlapping generations," GSIA Working Papers 226, Carnegie Mellon University, Tepper School of Business.
• James Poterba, 2004. "The Impact of Population Aging on Financial Markets," NBER Working Papers 10851, National Bureau of Economic Research, Inc.
• Santosh Mishra & Gloria Gonzalez-Rivera & Tae-Hwy Lee, 2004. "Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk," Econometric Society 2004 North American Winter Meetings 356, Econometric Society.
• Jing-zhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings 405, Econometric Society.
• Stephen Cauley & Andrey Pavlov, 2004. "Homeownership as a Constraint on Asset Allocation," Econometric Society 2004 North American Winter Meetings 625, Econometric Society.
• Clive G. Bowsher, 2004. "Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange," Economics Papers 2004-W21, Economics Group, Nuffield College, University of Oxford.
• Mark Aguiar & Gita Gopinath, 2004. "Emerging Market Business Cycles: The Cycle is the Trend," NBER Working Papers 10734, National Bureau of Economic Research, Inc.
• Normann, Göran, 2004. "Taxation of Entrepreneurs Relative to Well Diversified Investors - A Swedish Perspective," Working Paper Series 632, Research Institute of Industrial Economics.
• Hyunbae Chun & Jung-Wook Kim & Jason Lee & Randall Morck, 2004. "Patterns of Comovement: The Role of Information Technology in the U.S. Economy," NBER Working Papers 10937, National Bureau of Economic Research, Inc.
• Viral V. Acharya & Lasse Heje Pedersen, 2004. "Asset Pricing with Liquidity Risk," NBER Working Papers 10814, National Bureau of Economic Research, Inc.
• Paul Ehling, 2004. "Consumption, Portfolio Policies and Dynamic Equilibrium in the Presence of Preference for Ownership," Econometric Society 2004 North American Winter Meetings 311, Econometric Society.
• Pedro Santa-Clara & Shu Yan, 2004. "Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options," NBER Working Papers 10912, National Bureau of Economic Research, Inc.
• Robert Dammon & Chester Spatt & Harold Zhang, "undated". "Diversification and Capital Gains Taxes with Multiple Risky Assets," GSIA Working Papers 2003-E43, Carnegie Mellon University, Tepper School of Business.
• Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan Storud, 2004. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," NBER Working Papers 10934, National Bureau of Economic Research, Inc.
• Jamsheed Shorish & Stephen Spear, "undated". "Shaking the Tree: An Agency Theoretic Model of Asset Pricing," GSIA Working Papers 2003-E19, Carnegie Mellon University, Tepper School of Business.
• Bruno Biais & Peter Bossaerts & Chester Spatt, "undated". "Equilibrium Asset Pricing Under Heterogeneous Information," GSIA Working Papers 2003-E42, Carnegie Mellon University, Tepper School of Business.
• Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "There is a Risk-Return Tradeoff After All," NBER Working Papers 10913, National Bureau of Economic Research, Inc.
• Michael Gallmeyer & Sanjay Srivastava, "undated". "No Arbitrage and the Tax Code," GSIA Working Papers 2003-E37, Carnegie Mellon University, Tepper School of Business.
• Ajay Subramanian & Jonathan Clarke, 2004. "Dynamic Forecasting Behavior by Analysts: Theory and Evidence," Econometric Society 2004 North American Winter Meetings 546, Econometric Society.
• Ian Christensen & Frédéric Dion & Christopher Reid, 2004. "Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate," Staff Working Papers 04-43, Bank of Canada.
• Michael D. Bordo & Ashoka Mody & Nienke Oomes, 2004. "Keeping Capital Flowing: The Role of the IMF," NBER Working Papers 10834, National Bureau of Economic Research, Inc.
• Robert Dammon & Chester Spatt & Harold Zhang, "undated". "Optimal Asset Location and Allocation with Taxable and Tax-Deferred Investing," GSIA Working Papers 2003-E44, Carnegie Mellon University, Tepper School of Business.
• Stepana Lazarova, 2004. "Testing for structural change in regression with long memory processes," Econometric Society 2004 North American Winter Meetings 501, Econometric Society.
• Item repec:dgr:kubcen:2004106 is not listed on IDEAS anymore

• Roel C.A. Oomen, 2004. "Statistical Models for High Frequency Security Prices," Econometric Society 2004 North American Winter Meetings 77, Econometric Society.
• Luc Bauwens & Jeroen Rombouts, 2004. "Bayesian Clustering Of Similar Multivariate Garch Models," Econometric Society 2004 North American Winter Meetings 370, Econometric Society.