Report NEP-FMK-2002-03-14

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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-FMK

The following items were announced in this report:

• Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers 2002s-02, CIRANO.
• Item repec:fip:fedfpb:01-08 is not listed on IDEAS anymore

• Nilsson, Birger, 2002. "Financial Liberalization and the Changing Characteristics of Nordic Stock Returns," Working Papers 2002:4, Lund University, Department of Economics.
• Item repec:wop:cirano:2002s21 is not listed on IDEAS anymore

• Rajnish Mehra & Edward C. Prescott, 1982. "A test of the intertemporal asset pricing model," Staff Report 81, Federal Reserve Bank of Minneapolis.
• Manganelli, Simone, 2002. "Duration, volume and volatility impact of trades," Working Paper Series 125, European Central Bank.
• Jeffrey Lange & Nicholas Economides, 2001. "A Parimutuel Market Microstructure for Contingent Claims Trading," Working Papers 01-13, New York University, Leonard N. Stern School of Business, Department of Economics.
• Nour Meddahi, 2001. "A Theoretical Comparison Between Integrated and Realized Volatilities," CIRANO Working Papers 2001s-71, CIRANO.
• Item repec:dgr:kubcen:20028 is not listed on IDEAS anymore

• Roberto Rigobon & Brian P. Sack, 2002. "The impact of monetary policy on asset prices," Finance and Economics Discussion Series 2002-4, Board of Governors of the Federal Reserve System (U.S.).
• Nour Meddahi, 2001. "An Eigenfunction Approach for Volatility Modeling," CIRANO Working Papers 2001s-70, CIRANO.
• Marcus G. Daniels & J. Doyne Farmer & Giulia Iori & Eric Smith, 2002. "Demand Storage, Market Liquidity, and Price Volatility," Working Papers 02-01-001, Santa Fe Institute.
• Kaminsky, Graciela & Lizondo, Saul & Reinhart, Carmen M., 1997. "Leading indicators of currency crises," Policy Research Working Paper Series 1852, The World Bank.
• Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2001. "Common determinants of bond and stock market liquidity: the impact of financial crises, monetary policy, and mutual fund flows," Staff Reports 141, Federal Reserve Bank of New York.
• Item repec:wop:cirano:2002s03 is not listed on IDEAS anymore

• Item repec:fip:fedlwp:2002-004a is not listed on IDEAS anymore

• Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
• Koning, Camiel de & Straetmans, Stefan, 1998. "Time varying forex market inefficiency," Serie Research Memoranda 0063, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
• Item repec:dgr:eureri:2002169 is not listed on IDEAS anymore

• Hui Guo, 2003. "Limited stock market participation and asset prices in a dynamic economy," Working Papers 2000-031, Federal Reserve Bank of St. Louis.
• John Bryant, 1980. "Costly information and the stock market," Staff Report 53, Federal Reserve Bank of Minneapolis.
• Brouwer, Frank & Ruiter, Hans de, 1997. "Asset class allocation and downside risk: does the investment horizon matter?," Serie Research Memoranda 0012, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
• Malcolm Baker & Jeremy C. Stein, 2002. "Market Liquidity as a Sentiment Indicator," NBER Working Papers 8816, National Bureau of Economic Research, Inc.
• Steven A. Sharpe, 2002. "How does the market interpret analysts' long-term growth forecasts?," Finance and Economics Discussion Series 2002-7, Board of Governors of the Federal Reserve System (U.S.).
• Ralf Becker & Urs Fischbacher & Thorsten Hens, "undated". "Soft Landing of a Stock Market Bubble, An Experimental Study," IEW - Working Papers 090, Institute for Empirical Research in Economics - University of Zurich.
• Oscar Bajo-Rubio & Simón Sosvilla-Rivero & Fernando Fernández-Rodríguez, "undated". "Non-Linear Forecasting Methods: Some Applications to the Analysis of Financial Series," Working Papers 2002-01, FEDEA.