Report NEP-FMK-2002-02-10

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:

• Alexander K. Koch & Zdravetz Lazarov, 2001. "Clustering of Trading Activity in the DAX Index Options Market," Bonn Econ Discussion Papers bgse30_2001, University of Bonn, Germany.
• Frank de Jong & Frans A. de Roon, 2001. "Time-Varying Market Integration and Expected Returns in Emerging Markets," Tinbergen Institute Discussion Papers 01-113/2, Tinbergen Institute.
• Item repec:fth:calaec:17-01 is not listed on IDEAS anymore

• Anderson, Ronald & Sundaresan, Suresh, 1998. "A Comparative Study of Structural Models of Corporate Bond Yields: An Exploratory Investigation," LIDAM Discussion Papers IRES 1999009, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Jan 1999.
• Prigent, J.-L. & Renault, O. & Scaillet, O., 1999. "Option Pricing with Discrete Rebalancing," LIDAM Discussion Papers IRES 1999029, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Oct 1999.
• Carmen M. Reinhart, 2002. "Default, Currency Crises and Sovereign Credit Ratings," NBER Working Papers 8738, National Bureau of Economic Research, Inc.
• Waldenström, Daniel & Frey, Bruno S., 2002. "How Government Bond Prices Reflect Wartime Events. The Case of the Stockholm Market," SSE/EFI Working Paper Series in Economics and Finance 489, Stockholm School of Economics.
• Dor, Eric & Durré, Alain, 1999. "Stock Prices, Exchange Rates and Monetary Policy," LIDAM Discussion Papers IRES 2000001, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
• Vincent BODART & Paul REDING, 2001. "Do Foreign Exchange Markets Matter Dor Industry Stock Returns ? An empirical investigation," LIDAM Discussion Papers IRES 2001016, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
• Boccard, N. & Calcagno, R., 1999. "Asymmetries of information in centralized order-driven markets," LIDAM Discussion Papers IRES 1999016, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
• Prigent, J.-L. & Renault, O. & Scaillet, O., 2000. "An Empirical Investigation in Credit Spread Indices," LIDAM Discussion Papers IRES 2000028, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
• Mark Grinblatt & Matti Keloharju, 2002. "Tax-Loss Trading and Wash Sales," NBER Working Papers 8745, National Bureau of Economic Research, Inc.
• Erik Theissen, 2001. "Price Discovery in Floor and Screen Trading Systems," Bonn Econ Discussion Papers bgse35_2001, University of Bonn, Germany.
• Gouriéroux, C. & Scaillet, O., 1997. "Multiregime Term Structure Models," LIDAM Discussion Papers IRES 1998002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Dec 1997.
• Younes Bensalah, 2002. "Asset Allocation Using Extreme Value Theory," Staff Working Papers 02-2, Bank of Canada.
• Mark Grinblatt & Tobias J. Moskowitz, 2002. "What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns?," NBER Working Papers 8744, National Bureau of Economic Research, Inc.
• Calcagno, Riccardo & Lovo, Stefano M., 1998. "Bid-Ask Price Competition with Asymmetric Information between Market Makers," LIDAM Discussion Papers IRES 1998012, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
• Laurent, J.P. & Scaillet, O., 1997. "Variance Optimal Cap Pricing Models," LIDAM Discussion Papers IRES 1999002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 01 Jan 1999.