Report NEP-FMK-2004-02-01

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:

• Terry A. Marsh & Niklas Wagner, 2004. "Return-Volume Dependence and Extremes in International Equity Markets," Finance 0401007, University Library of Munich, Germany.
• Josef Lakonishok & Inmoo Lee & Allen M. Poteshman, 2004. "Investor Behavior in the Option Market," NBER Working Papers 10264, National Bureau of Economic Research, Inc.
• Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "A feasible central limit theory for realised volatility under leverage," OFRC Working Papers Series 2004fe03, Oxford Financial Research Centre.
• Pedro L. Valls Pereira, 2004. "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Finance Lab Working Papers flwp_59, Finance Lab, Insper Instituto de Ensino e Pesquisa.
• Niklas Wagner & Terry A. Marsh, 2004. "Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes," Econometrics 0401008, University Library of Munich, Germany.
• Jeremy C. Stein, 2004. "Why Are Most Funds Open-End? Competition and the Limits of Arbitrage," NBER Working Papers 10259, National Bureau of Economic Research, Inc.
• John Y. Campbell & Tuomo Vuolteenaho, 2004. "Inflation Illusion and Stock Prices," NBER Working Papers 10263, National Bureau of Economic Research, Inc.
• Markus Junker & Alexander Szimayer & Niklas Wagner, 2004. "Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications," Econometrics 0401007, University Library of Munich, Germany.