Report NEP-FIN-2005-04-16

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:

• Item repec:col:000135:000501 is not listed on IDEAS anymore

• Philippe BACCHETTA & Eric VAN WINCOOP, 2004. "Higher Order Expectations in Asset Pricing," FAME Research Paper Series rp110, International Center for Financial Asset Management and Engineering.
• Séverine CAUCHIE & Martin HOESLI, 2004. "The Integration of Securitized Real Estate and Financial Assets," FAME Research Paper Series rp111, International Center for Financial Asset Management and Engineering.
• Olivier SCAILLET, 2004. "Nonparametric Estimation of Conditional Expected Shortfall," FAME Research Paper Series rp112, International Center for Financial Asset Management and Engineering.
• Paul EHLING & Sofia B. RAMOS, 2004. "Geographic Versus Industry Diversification: Contraints Matter," FAME Research Paper Series rp113, International Center for Financial Asset Management and Engineering.
• Philippe GAUD & Martin HOESLI & André BENDER, 2004. "Further Evidence on Debt-Equity Choice," FAME Research Paper Series rp114, International Center for Financial Asset Management and Engineering.
• Amine JALAL & Michael ROCKINGER, 2004. "Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data," FAME Research Paper Series rp115, International Center for Financial Asset Management and Engineering.
• Matthias HAGMANN & Carlos LENZ, 2004. "Real Asset Returns and Components of Inflation: A Structural VAR Analysis," FAME Research Paper Series rp118, International Center for Financial Asset Management and Engineering.
• Olivier Scaillet, 2005. "A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence," FAME Research Paper Series rp128, International Center for Financial Asset Management and Engineering.
• Richard C. Green & Burton Hollifield & Norman Schürhoff, 2005. "Financial Intermediation and the Costs of Trading in an Opaque Market," FAME Research Paper Series rp130, International Center for Financial Asset Management and Engineering.
• Eric Jondeau & Michael Rockinger, 2005. "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series rp132, International Center for Financial Asset Management and Engineering.
• Didier Cossin & Gero Jung, 2005. "Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets," FAME Research Paper Series rp134, International Center for Financial Asset Management and Engineering.
• Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2005. "Indirect Robust Estimation of the Short-term interest Rate Process," FAME Research Paper Series rp135, International Center for Financial Asset Management and Engineering.
• Pascal St-Amour, 2005. "Direct Preference Wealth in Aggregate Household Portfolios," FAME Research Paper Series rp136, International Center for Financial Asset Management and Engineering.
• Richard Watt & Henri Loubergé, 2005. "On the Demand for Budget Constrained Insurance," FAME Research Paper Series rp137, International Center for Financial Asset Management and Engineering.
• Julien Hugonnier & Erwan Morellec & Suresh Sundaresan, 2005. "Growth Options in General Equilibrium: Some Asset Pricing Implications," FAME Research Paper Series rp138, International Center for Financial Asset Management and Engineering.
• Tony Berrada & Julien Hugonnier & Marcel Rindisbacher, 2005. "Trading Volumes in Dynamically Efficient Markets," FAME Research Paper Series rp139, International Center for Financial Asset Management and Engineering.
• Foort HAMELINK & Martin HOESLI, 2003. "What Factors Determine International Real Estate Security Returns?," FAME Research Paper Series rp50, International Center for Financial Asset Management and Engineering.
• Séverine CAUCHIE & Martin HOESLI & Dušan ISAKOV, 2003. "The Determinants of Stock Returns in a Small Open Economy," FAME Research Paper Series rp54, International Center for Financial Asset Management and Engineering.
• Martin Hoesli & Jon Lekander & Witold Witkiewicz, 2003. "International Evidence on Real Estate as a Portfolio Diversifier," FAME Research Paper Series rp70, International Center for Financial Asset Management and Engineering.
• Jean-Pierre Danthine & John B. Donaldson & Christos Giannikos & Hany Guirguis, 2004. "On the Consequences of State Dependent Preferences for the Pricing of Financial Assets," FAME Research Paper Series rp73, International Center for Financial Asset Management and Engineering.
• Olivier RENAULT & Olivier SCAILLET, 2003. "On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities," FAME Research Paper Series rp83, International Center for Financial Asset Management and Engineering.
• Pascal BOTTERON & Jean-François CASANOVA, 2003. "Start-ups Defined as Portfolios of Embedded Options," FAME Research Paper Series rp85, International Center for Financial Asset Management and Engineering.
• Kpate ADJAOUTÉ & Jean-Pierre DANTHINE & Dušan ISAKOV, 2003. "Portfolio Diversification in Europe," FAME Research Paper Series rp86, International Center for Financial Asset Management and Engineering.
• Foort HAMELINK & Martin HOESLI, 2003. "Maximum Drawdown and the Allocation to Real Estate," FAME Research Paper Series rp87, International Center for Financial Asset Management and Engineering.
• Garance Genicot (Georgetown University) and Debraj Ray (New York University), 2005. "Bargaining Power and Enforcement in Credit Markets," Working Papers gueconwpa~05-05-09, Georgetown University, Department of Economics.
• Carletti, Elena & Hartmann, Philipp & Spagnolo, Giancarlo, 2005. "Bank Mergers, Competition and Liquidity," Working Paper Series 182, Sveriges Riksbank (Central Bank of Sweden).
• Leach, J. Chris & Moyen, Nathalie & Yang, Jing, 2004. "On the Strategic Use of Debt and Capacity in Imperfectly Competitive Product Markets," SIFR Research Report Series 33, Institute for Financial Research.
• Quoreshi, Shahiduzzaman, 2005. "Bivariate Time Series Modelling of Financial Count Data," Umeå Economic Studies 655, Umeå University, Department of Economics.
• Simonsen, Ola, 2005. "An Empirical Model for Durations in Stocks," Umeå Economic Studies 657, Umeå University, Department of Economics.
• Elisa Luciano & Elena Vigna, 2005. "Non mean reverting affine processes for stochastic mortality," ICER Working Papers - Applied Mathematics Series 4-2005, ICER - International Centre for Economic Research.
• Item repec:idb:wpaper:1015 is not listed on IDEAS anymore

• Item repec:idb:wpaper:1016 is not listed on IDEAS anymore

• Ahuja, Rajeev, 2004. "Health insurance for the poor in India," Indian Council for Research on International Economic Relations, New Delhi Working Papers 123, Indian Council for Research on International Economic Relations, New Delhi, India.
• Sule Alan, 2005. "Entry Costs and Stock Market Participation Over the Life Cycle," Social and Economic Dimensions of an Aging Population Research Papers 126, McMaster University.
• BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Cahiers de recherche 2005-04, Universite de Montreal, Departement de sciences economiques.
• Kenneth A. Carow & Edward J. Kane & Rajesh P. Narayanan, 2005. "Winners and Losers from Enacting the Financial Modernization Statute," NBER Working Papers 11256, National Bureau of Economic Research, Inc.
• Item repec:eab:financ:204 is not listed on IDEAS anymore

• Item repec:eab:financ:228 is not listed on IDEAS anymore

• Item repec:eab:financ:92 is not listed on IDEAS anymore

• Item repec:eab:macroe:122 is not listed on IDEAS anymore

• Maciej Firla-Cuchra & Tim Jenkinson, 2005. "Why are Securitization Issues Tranched?," OFRC Working Papers Series 2005fe04, Oxford Financial Research Centre.
• Seonghoon Cho & Antonio Moreno & Geert Bekaert, 2005. "New-Keynesian Macroeconomics and the Term Structure," Faculty Working Papers 04/05, School of Economics and Business Administration, University of Navarra.
• Kevin Fergusson & Eckhard Platen, 2005. "On the Distributional Characterization of Log-returns of a World Stock Index," Research Paper Series 153, Quantitative Finance Research Centre, University of Technology, Sydney.
• Hardy Hulley & Shane Miller & Eckhard Platen, 2005. "Benchmarking and Fair Pricing Applied to Two Market Models," Research Paper Series 155, Quantitative Finance Research Centre, University of Technology, Sydney.
• Rafal Weron, 2005. "Market price of risk implied by Asian-style electricity options," Econometrics 0502003, University Library of Munich, Germany.
• Vadim Marmer, 2005. "Nonlinearity, Nonstationarity and Spurious Forecasts," Econometrics 0503002, University Library of Munich, Germany, revised 15 Dec 2005.
• T. Di Matteo & T. Aste & Michel M. Dacorogna, 2005. "Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development," Econometrics 0503004, University Library of Munich, Germany.
• Martin Smid, 2005. "Conditional Distribution of the Limit Order Book Given the History of the Best Quote Process," Econometrics 0503015, University Library of Munich, Germany, revised 02 May 2005.
• Marco Cipriani & Antonio Guarino, 2005. "Herd Behavior in a Laboratory Financial Market," Experimental 0502002, University Library of Munich, Germany.
• Samuel Mongrut Montalván & Didac Ramírez Sarrió, 2005. "Discount Rates in Emerging Capital Markets," Finance 0501013, University Library of Munich, Germany.
• Eric Hillebrand, 2005. "Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation," Finance 0501015, University Library of Munich, Germany.
• Ananth Rao, 2005. "Multi-attribute Analysis of Confidence, Convenience and Price Functions of Customers of Financial Services Firms: a GLS Systems Model," Finance 0502002, University Library of Munich, Germany.
• Jayesh Kumar, 2005. "Corporate Governance Mechanisms and Firm Financing in India," Finance 0502003, University Library of Munich, Germany.
• Raoul Pietersz & Antoon Pelsser, 2005. "Risk Managing Bermudan Swaptions in the Libor BGM Model," Finance 0502004, University Library of Munich, Germany.
• Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel, 2005. "Fast drift approximated pricing in the BGM model," Finance 0502005, University Library of Munich, Germany.
• Raoul Pietersz & Patrick J. F. Groenen, 2005. "Rank Reduction of Correlation Matrices by Majorization," Finance 0502006, University Library of Munich, Germany.
• Igor Grubisic & Raoul Pietersz, 2005. "Efficient Rank Reduction of Correlation Matrices," Finance 0502007, University Library of Munich, Germany.
• Raoul Pietersz & Antoon Pelsser, 2005. "A Comparison of Single Factor Markov-functional and Multi Factor Market Models," Finance 0502008, University Library of Munich, Germany.
• Raoul Pietersz & Marcel van Regenmortel, 2005. "Generic Market Models," Finance 0502009, University Library of Munich, Germany.
• rea cipollini & giuseppe missaglia, 2005. "Business cycle effects on Portfolio Credit Risk: scenario generation through Dynamic Factor analysis," Finance 0502010, University Library of Munich, Germany.
• Cornelis A. Los, 2005. "Measurement of Financial Risk Persistence," Finance 0502013, University Library of Munich, Germany.
• Massimo Marinacci & Fabio Maccheroni & Aldo Rustichini & Marco Taboga, 2005. "Portfolio Selection with Monotone Mean-Variance Preferences," Finance 0502014, University Library of Munich, Germany.
• Stefano d'Addona & Axel H. Kind, 2005. "International Stock-Bond Correlations in a Simple Affine Asset Pricing Model," Finance 0502018, University Library of Munich, Germany.
• Daniel Stavarek, 2005. "Efficiency of Banks in Regions at Different Stage of European Integration Process," Finance 0502020, University Library of Munich, Germany.
• Sutthisit Jamdee & Cornelis A. Los, 2005. "Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate," Finance 0502021, University Library of Munich, Germany.
• Doris Neuberger, 2005. "What’s Common to Relationship Banking and Relationship Investing? Reflections within the Contractual Theory of the Firm," Finance 0503001, University Library of Munich, Germany.
• Henrard Marc, 2005. "Eurodollar futures and options: convexity adjustment in HJM one- factor model," Finance 0503005, University Library of Munich, Germany.
• Item repec:wpa:wuwpfi:0503007 is not listed on IDEAS anymore

• Marcos Mailoc López de Prado & Achim Peijan, 2005. "Measuring Loss Potential of Hedge Fund Strategies," Finance 0503010, University Library of Munich, Germany.
• Michail Koubouros & Dimitrios Malliaropulos & Ekaterini Panopoulou, 2005. "Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns," Finance 0503014, University Library of Munich, Germany, revised 17 Jan 2006.
• Ulrich Pape & Stephan Schmidt-Tank, 2005. "Liquidity Effects of Changes in a Pan-European Stock Index," Finance 0503016, University Library of Munich, Germany.
• Norbert_Jobst & Arnaud_de_Servigny, 2005. "An Empirical Analysis of Equity Default Swaps (II): Multivariate Insights," Finance 0503025, University Library of Munich, Germany.
• Gourdel & Triki, 2005. "Monetary Policy with Incomplete Markets," Finance 0503026, University Library of Munich, Germany.
• Ayla Ogus, 2005. "Pricing Of S&P 100 Index Options Based On Garch Volatility Estimates," Finance 0504005, University Library of Munich, Germany.
• Dimitrios D. Thomakos & Michail S. Koubouros, 2005. "Realized Volatility and Asymmetries in the A.S.E. Returns," Finance 0504009, University Library of Munich, Germany, revised 17 Jan 2006.
• Stefan Denzler & Michel M. Dacorogna & Ulrich A. Mueller & Alexander McNeil, 2005. "From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices," Finance 0504011, University Library of Munich, Germany.
• Sebastián Alberto Rey & Javier Ignacio García-Fronti & María Teresa Casparri, 2005. "Liquidity Risk Estimation Using Fuzzy Measure Theory," Finance 0504012, University Library of Munich, Germany.
• Ehud Lehrer, 2005. "A new integral for capacities," Game Theory and Information 0504004, University Library of Munich, Germany.
• Jian Wang, 2005. "Can Long Horizon Data Beat Random Walk Under Engel-West Explanation?," International Finance 0501002, University Library of Munich, Germany.
• Sebastian Dullien, 2005. "Does Asian foreign exchange intervention really hurt Europe? Lessons from a three-asset portfolio model," International Finance 0502010, University Library of Munich, Germany.
• Gamini Premaratne & Prabhath Jayasinghe, 2005. "Exchange rate exposure of stock returns at firm level," International Finance 0503004, University Library of Munich, Germany.
• Ralph de Haas & Ilko Naaborg, 2005. "Foreign Banks in Transition Economies: Small Business Lending and Internal Capital Markets," International Finance 0504004, University Library of Munich, Germany.
• Edgar L. Feige & M. Parkin & R Avery & C. Stones, 2005. "The Roles Of Money In An Economy And The Optimum Quantity Of Money," Macroeconomics 0501035, University Library of Munich, Germany.
• Shiu-Sheng Chen, 2005. "Does Monetary Policy Have Asymmetric Effects on Stock Returns?," Macroeconomics 0502001, University Library of Munich, Germany, revised 01 Feb 2005.
• Michal Brzoza-Brzezina, 2005. "Lending Booms in Europe’s Periphery: South-Western Lessons for Central-Eastern Members," Macroeconomics 0502002, University Library of Munich, Germany.
• Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics 0503001, University Library of Munich, Germany.
• William Barnett, 2005. "Monetary Aggregation," Macroeconomics 0503017, University Library of Munich, Germany.
• Item repec:wpa:wuwpme:0503001 is not listed on IDEAS anymore

• Onur Ozgur, 2005. "A Model of Dynamic Liquidity Contracts," Microeconomics 0502004, University Library of Munich, Germany.
• V.F. Martins-da-Rocha & L. Triki, 2005. "Equilibria in exchange economies with financial constraints: Beyond the Cass Trick," Microeconomics 0503013, University Library of Munich, Germany.
• Dr.Vsr.Subramaniam, 2005. "A Push To George ( In ) Bush," Public Economics 0502010, University Library of Munich, Germany, revised 12 Feb 2006.
• Krzysztof Burnecki & Rafal Weron, 2005. "Modeling the risk process in the XploRe computing environment," Risk and Insurance 0502001, University Library of Munich, Germany.
• William N. Goetzmann & Massimo Massa, 2005. "Dispersion of Opinion and Stock Returns," Yale School of Management Working Papers ysm444, Yale School of Management.
• William Goetzmann & Andrey Ukhov, 2005. "British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach," Yale School of Management Working Papers ysm445, Yale School of Management.
• William Goetzmann & Roger Ibbotson, 2005. "History and the Equity Risk Premium," Yale School of Management Working Papers ysm448, Yale School of Management.
• William Goetzmann, 2005. "More Social Security, Not Less," Yale School of Management Working Papers ysm449, Yale School of Management.
• William Goetzmann & Elisabeth Köll, 2004. "The History of Corporate Ownership in China: State Patronage, Company Legislation, and the Issue of Control," Yale School of Management Working Papers ysm450, Yale School of Management.
• William N. Goetzmann & Stephen J. Brown, 2005. "Performance Persistence," Yale School of Management Working Papers ysm451, Yale School of Management.
• Gaël Giraud, 2004. "Walrasian non-tâtonnement with incomplete and imperfect markets," Cahiers de la Maison des Sciences Economiques b04119, Université Panthéon-Sorbonne (Paris 1).
• Pascal Gourdel & Leila Triki, 2005. "Incomplete markets and monetary policy," Cahiers de la Maison des Sciences Economiques b05024, Université Panthéon-Sorbonne (Paris 1).
• Julien Reynaud & Rofikoh Rokhim, 2005. "Do banking crises enhance efficiency? A case study of 1994 Turkish and 1997 Indonesian crises," Cahiers de la Maison des Sciences Economiques bla05007, Université Panthéon-Sorbonne (Paris 1).
• William Barnett & Shu Wu, 2004. "On user costs of risy monetary assets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200404, University of Kansas, Department of Economics, revised Jun 2004.
• Martin Cihak, 2004. "Stress Testing: A Review of Key Concepts," Research and Policy Notes 2004/02, Czech National Bank.
• Martin Cihak, 2004. "Designing Stress Tests for the Czech Banking System," Research and Policy Notes 2004/03, Czech National Bank.
• Alexis Derviz, 2003. "Components of the Czech Koruna Risk Premium in a Multiple-Dealer FX Market," Working Papers 2003/04, Czech National Bank.
• Alexis Derviz, 2003. "FOREX Microstructure, Invisible Price Determinants,and the Central Bank's Understanding of Exchange Rate Formation," Working Papers 2003/06, Czech National Bank.
• Alexis Derviz & Narcisa Kadlcakova & Lucie Kobzova, 2003. "Credit Risk, Systemic Uncertainties and Economic Capital Requirements for an Artificial Bank Loan Portfolio," Working Papers 2003/09, Czech National Bank.
• Alexis Derviz & Jiri Podpiera, 2004. "Predicting Bank CAMELS and S&P Ratings: The Case of the Czech Republic," Working Papers 2004/01, Czech National Bank.
• Anca Pruteanu, 2004. "The Role of Banks in the Czech Monetary Policy Transmission Mechanism," Working Papers 2004/03, Czech National Bank.
• Narcisa Kadlcakova & Joerg Keplinger, 2004. "Credit Risk and Bank Lending in the Czech Republic," Working Papers 2004/06, Czech National Bank.