Report NEP-FMK-2002-04-25

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:

• Michael J. Fleming, 2002. "Are larger Treasury issues more liquid? Evidence from bill reopenings," Staff Reports 145, Federal Reserve Bank of New York.
• Allan Timmermann & M. Hashem Pesaran, 2002. "Market Timing and Return Prediction under Model Instability," FMG Discussion Papers dp412, Financial Markets Group.
• John Rust & George Hall, 2002. "Middlemen versus Market Makers: A Theory of Competitive Exchange," NBER Working Papers 8883, National Bureau of Economic Research, Inc.
• Anderson, H.M. & Vahid, F., 2001. "Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices," Monash Econometrics and Business Statistics Working Papers 3/01, Monash University, Department of Econometrics and Business Statistics.
• C.S. Forbes & G.M. Martin & J. Wright, 2002. "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices," Monash Econometrics and Business Statistics Working Papers 2/02, Monash University, Department of Econometrics and Business Statistics.
• Ross Levine, 2002. "Bank-Based or Market-Based Financial Systems: Which is Better?," William Davidson Institute Working Papers Series 442, William Davidson Institute at the University of Michigan.
• Item repec:fmg:fmgdps:dp0405 is not listed on IDEAS anymore

• Ian Tonks & Daniella Acker & Matthew Stalker, 2002. "Daily Closing Inside Spreads and Trading Volumes around Earnings Announcements," FMG Discussion Papers dp404, Financial Markets Group.
• G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Parametric Pricing of Higher Order Moments in S&P500 Options," Monash Econometrics and Business Statistics Working Papers 1/02, Monash University, Department of Econometrics and Business Statistics.
• Item repec:fmg:fmgdps:dp0410 is not listed on IDEAS anymore

• Item repec:dgr:kubcen:200229 is not listed on IDEAS anymore

• Bechmann, Ken L., 2002. "Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index - The KFX Index," Working Papers 2002-2, Copenhagen Business School, Department of Finance.
• Martin, G.M. & Forbes, C.S. & Martin, V.L., 2000. "Implicit Bayesian Inference Using Option Prices," Monash Econometrics and Business Statistics Working Papers 5/00, Monash University, Department of Econometrics and Business Statistics.
• Markus K Brunnermeier, 2002. "Bubbles and Crashes," FMG Discussion Papers dp401, Financial Markets Group.