Report NEP-FIN-2005-05-23

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:

• Alvaro Aguirre & César Calderón, 2005. "Real Exchange Rate Misalignments and Economic Performance," Working Papers Central Bank of Chile 316, Central Bank of Chile.
• Albert Ballinger & Gerald P. Dwyer & Ann B. Gillette, 2004. "Trading institutions and price discovery: the cash and futures markets for crude oil," FRB Atlanta Working Paper 2004-28, Federal Reserve Bank of Atlanta.
• Elijah Brewer & William E. Jackson, 2004. "The “risk-adjusted” price-concentration relationship in banking," FRB Atlanta Working Paper 2004-35, Federal Reserve Bank of Atlanta.
• Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Testing the significance of calendar effects," FRB Atlanta Working Paper 2005-02, Federal Reserve Bank of Atlanta.
• Pierluigi Balduzzi & Cesare Robotti, 2005. "Mimicking portfolios, economic risk premia, and tests of multi-beta models," FRB Atlanta Working Paper 2005-04, Federal Reserve Bank of Atlanta.
• Chen-Miao Lin & Stephen D. Smith, 2005. "Hedging, financing, and investment decisions: a simultaneous equations framework," FRB Atlanta Working Paper 2005-05, Federal Reserve Bank of Atlanta.
• Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Model confidence sets for forecasting models," FRB Atlanta Working Paper 2005-07, Federal Reserve Bank of Atlanta.
• Patrick de Fontnouvelle & John S. Jordan & Eric Rosengren, 2004. "Implications of alternative operational risk modeling techniques," Working Papers 04-9, Federal Reserve Bank of Boston.
• Charles T. Carlstrom & Timothy S. Fuerst, 2004. "Asset prices, nominal rigidities, and monetary policy," Working Papers (Old Series) 0413, Federal Reserve Bank of Cleveland.
• Item repec:fip:fedfam:2005-04 is not listed on IDEAS anymore

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• Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2004. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Finance and Economics Discussion Series 2004-56, Board of Governors of the Federal Reserve System (U.S.).
• Refet S. Gürkaynak, 2005. "Econometric tests of asset price bubbles: taking stock," Finance and Economics Discussion Series 2005-04, Board of Governors of the Federal Reserve System (U.S.).
• Stefania D'Amico, 2005. "Density selection and combination under model ambiguity: an application to stock returns," Finance and Economics Discussion Series 2005-09, Board of Governors of the Federal Reserve System (U.S.).
• Daniel M. Covitz & Song Han, 2004. "An empirical analysis of bond recovery rates: exploring a structural view of default," Finance and Economics Discussion Series 2005-10, Board of Governors of the Federal Reserve System (U.S.).
• John Ammer & Nathanael Clinton, 2004. "Good news is no news? The impact of credit rating changes on the pricing of asset-backed securities," International Finance Discussion Papers 809, Board of Governors of the Federal Reserve System (U.S.).
• John Ammer & Jon Wongswan, 2004. "Cash flows and discount rates, industry and country effects, and co-movement in stock returns," International Finance Discussion Papers 818, Board of Governors of the Federal Reserve System (U.S.).
• Carol C. Bertaut & Linda S. Kole, 2004. "What makes investors over or underweight? explaining international appetites for foreign equities," International Finance Discussion Papers 819, Board of Governors of the Federal Reserve System (U.S.).
• David W. Berger & Alain P. Chaboud & Sergey V. Chernenko & Edward Howorka & Jonathan H. Wright, 2006. "Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data," International Finance Discussion Papers 830, Board of Governors of the Federal Reserve System (U.S.).
• Todd E. Clark & Michael W. McCracken, 2004. "Improving forecast accuracy by combining recursive and rolling forecasts," Research Working Paper RWP 04-10, Federal Reserve Bank of Kansas City.
• Hui Guo & Robert Savickas, 2006. "Aggregate idiosyncratic volatility in G7 countries," Working Papers 2004-027, Federal Reserve Bank of St. Louis.
• Hui Guo & Jason Higbee & Christopher J. Neely, 2006. "Foreign exchange volatility is priced in equities," Working Papers 2004-029, Federal Reserve Bank of St. Louis.
• Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis.
• Massimo Guidolin & Allan Timmerman, 2005. "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Working Papers 2005-003, Federal Reserve Bank of St. Louis.
• Massimo Guidolin & Allan Timmerman, 2005. "Optimal portfolio choice under regime switching, skew and kurtosis preferences," Working Papers 2005-006, Federal Reserve Bank of St. Louis.
• Massimo Guidolin & Allan Timmerman, 2005. "Size and value anomalies under regime shifts," Working Papers 2005-007, Federal Reserve Bank of St. Louis.
• Gianluca Cassesse & Massimo Guidolin, 2005. "Modelling the MIB30 implied volatility surface. Does market efficiency matter?," Working Papers 2005-008, Federal Reserve Bank of St. Louis.
• Massimo Guidolin & Allan Timmerman, 2005. "Properties of equilibrium asset prices under alternative learning schemes," Working Papers 2005-009, Federal Reserve Bank of St. Louis.
• Silvia Goncalves & Massimo Guidolin, 2005. "Predictable dynamics in the S&P 500 index options implied volatility surface," Working Papers 2005-010, Federal Reserve Bank of St. Louis.
• Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model For Volatility Using Intra-Daily Data," Econometrics Working Papers Archive wp2003_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Otto van Hemert & Joost Driessen & Frank de Jong, 2005. "(UBS Pensions Series 036) Dynamic portfolio and mortgage choice for homeowners," FMG Discussion Papers dp538, Financial Markets Group.
• Item repec:fmg:fmgsps:sp0097 is not listed on IDEAS anymore

• Bonfiglioli, Alessandra, 2005. "Equities and Inequality," Seminar Papers 737, Stockholm University, Institute for International Economic Studies.
• Bjørnland, Hilde C. & Leitemo, Kai, 2005. "Identifying the Interdependence between US Monetary Policy and the Stock Market," Memorandum 12/2005, Oslo University, Department of Economics.
• Alexander K. Koch & Zdravetz Lazarov, 2005. "Clustering of Trading Activity in the DAX Index Options Market," Royal Holloway, University of London: Discussion Papers in Economics 05/02, Department of Economics, Royal Holloway University of London, revised Mar 2005.
• Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2005. "New-Keynesian Macroeconomics and the Term Structure," NBER Working Papers 11340, National Bureau of Economic Research, Inc.
• Antonio Geldson de Carvalho & Charles W. Calomiris & Joao Amaro de Matos, 2005. "Venture Capital as Human Resource Management," NBER Working Papers 11350, National Bureau of Economic Research, Inc.
• Charles W. Calomiris & Thanavut Pornrojnangkool, 2005. "Monopoly-Creating Bank Consolidation? The Merger of Fleet and BankBoston," NBER Working Papers 11351, National Bureau of Economic Research, Inc.
• Manju Puri & David Robinson, 2005. "Optimism and Economic Choice," NBER Working Papers 11361, National Bureau of Economic Research, Inc.
• Jianping Mei & Jose Scheinkman & Wei Xiong, 2005. "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," NBER Working Papers 11362, National Bureau of Economic Research, Inc.
• Gary Gorton & Matthias Kahl & Richard Rosen, 2005. "Eat or Be Eaten: A Theory of Mergers and Merger Waves," NBER Working Papers 11364, National Bureau of Economic Research, Inc.
• Linda S. Goldberg, 2005. "The International Exposure of U.S. Banks," NBER Working Papers 11365, National Bureau of Economic Research, Inc.
• Harrison Hong & Jose Scheinkman & Wei Xiong, 2005. "Asset Float and Speculative Bubbles," NBER Working Papers 11367, National Bureau of Economic Research, Inc.
• Andrea Cipollini & George Kapetanios, 2005. "Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis," Working Papers 538, Queen Mary University of London, School of Economics and Finance.
• David Heath & Eckhard Platen, 2005. "Currency Derivatives under a Minimal Market Model with Random Scaling," Research Paper Series 154, Quantitative Finance Research Centre, University of Technology, Sydney.
• Jes??s Crespo-Cuaresma & Bal??zs ??gert & Ronald MacDonald, 2005. "Non-Linear Exchange Rate Dynamics in Target Zones: A Bumpy Road Towards A Honeymoon Some Evidence from the ERM, ERM2 and Selected New EU Member States," William Davidson Institute Working Papers Series wp771, William Davidson Institute at the University of Michigan.
• João Fernandes, 2005. "Corporate Credit Risk Modeling: Quantitative Rating System And Probability Of Default Estimation," Finance 0505013, University Library of Munich, Germany.
• Manuela Magalhaes & Carlos carvalhosa, 2005. "Modelo Cost-Of-Carry: Mispricing, Retornos e Volatilidades do Índice PSI-20 e dos Futuros PSI-20," Finance 0505014, University Library of Munich, Germany.
• P Nair & Deepak Kumar, 2005. "The Financing of Higher Education – A Broader View," Finance 0505015, University Library of Munich, Germany.
• Deepak Kumar, 2005. "Roles of the Banking Sector in Indian Agriculture -A Paradigm Shift," Finance 0505016, University Library of Munich, Germany.
• António Portugal Duarte, 2005. "Purchasing power parity: an empirical study of three EMU countries," International Finance 0505010, University Library of Munich, Germany.
• Eichberger, Jürgen & Summer, Martin, 2004. "Bank Capital, Liquidity and Systemic Risk," Sonderforschungsbereich 504 Publications 04-45, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.