Report NEP-FMK-2014-02-02

This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Kwang Soo Cheong 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:

• John Goddard & Enrico Onali, 2014. "Self-affinity in financial asset returns," Papers 1401.7170, arXiv.org.
• Radoslava Mirkov & Thomas Maul & Ronald Hochreiter & Holger Thomae, 2014. "Modeling Credit Spreads Using Nonlinear Regression," Papers 1401.6955, arXiv.org.
• Néstor Romero, 2013. "Comparison of Model for Pricing Volatility Swaps," Working Papers Central Bank of Chile 708, Central Bank of Chile.
• M. Bernardi & L. Petrella, 2014. "Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors," Papers 1401.6408, arXiv.org, revised Apr 2014.
• Marcel Aloy & Gilles de Truchis & Gilles Dufrénot & Benjamin Keddad, 2014. "Shift-Volatility Transmission in East Asian Equity Markets," AMSE Working Papers 1402, Aix-Marseille School of Economics, France, revised Mar 2014.
• Gunther CAPELLE-BLANCARD & HAVRYLCHYK, Olena, 2014. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Discussion papers 14007, Research Institute of Economy, Trade and Industry (RIETI).
• Daniel King & Ferdi Botha, 2014. "Modelling Stock Return Volatility Dynamics in Selected African Markets," Working Papers 410, Economic Research Southern Africa.