Report NEP-FMK-2000-11-14

This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Erik Schloegl issued this report. It is usually issued weekly.

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Other reports in NEP-FMK

The following items were announced in this report:

• Byström , Hans, 2000. "Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market," Working Papers 2000:16, Lund University, Department of Economics.
• Byström , Hans, 2000. "The Hedging Performance of Electricity Futures on the Nordic Power Exchange Nord Pool," Working Papers 2000:15, Lund University, Department of Economics.
• Thierry Vessereau, 2000. "Factor Analysis and Independent Component Analysis in Presence of High Idiosyncratic Risks," CIRANO Working Papers 2000s-46, CIRANO.
• Byström, Hans, 2000. "Orthogonal GARCH and Covariance Matrix Forecasting in a Stress Scenario: The Nordic Stock Markets During the Asian Financial Crisis 1997-1998," Working Papers 2000:14, Lund University, Department of Economics.
• Byström, Hans, 2000. "Using Simulated Currency Rainbow Options to Evaluate Covariance Matrix Forecasts," Working Papers 2000:17, Lund University, Department of Economics.
• Item repec:wop:cirano:2000s45 is not listed on IDEAS anymore

• Michael Kohlmann & Shanjian Tang, 2000. "Multi-Dimensional Backward Stochastic Ricatti Equations, and Applications," CoFE Discussion Paper 00-29, Center of Finance and Econometrics, University of Konstanz.
• Thierry Vessereau, 2000. "Étude du Modèle d'Évaluation par Arbitrage sur le marché des actions suisses," CIRANO Working Papers 2000s-44, CIRANO.
• Amilon , Henrik & Byström , Hans, 2000. "The Compass Rose Pattern of the Stock Market: How Does it Affect Parameter Estimates, Forecasts, and Statistical Tests?," Working Papers 2000:18, Lund University, Department of Economics.