42 documents matched the search for the 2004-05-26 issue of the NEP report on Finance (nep-fin).
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111213141
Variable rate liquidity tenders,
Tuomas Välimäki,
from University Library of Munich, Germany
(2004)
Keywords: money market tenders, liquidity policy, bidding, central bank operational framework
Economies of scale and technological development in securities depository and settlement systems,
Heiko Schmiedel, Markku Malkamäki and Juha Tarkka,
from University Library of Munich, Germany
(2004)
Keywords: securities settlement, economies of scale, technological progress
Evolutionary Portfolio Selection with Liquidity Shocks,
Enrico De Giorgi,
from Institute for Empirical Research in Economics - University of Zurich
Keywords: insurance, portfolio theory, evolutionary finance
The IPO Spread and Conflicts of Interests,
Naoki Kojima,
from Economics and Finance Section, School of Social Sciences, Brunel University
(2004)
A multifactor model of stock returns with endogenous regime switching,
Patrick Coggi and Bogdan Manescu,
from Department of Economics, University of St. Gallen
(2004)
Keywords: Empirical asset pricing, endogenous regime switching, state-dependent models, nonstandard maximum-likelihood estimation
Links between securities settlement systems: An oligopoly theoretic approach,
Karlo Kauko,
from University Library of Munich, Germany
(2004)
Keywords: oligopoly, securities settlement systems
A descriptive analysis of the Finnish treasury bond market 1991–1999,
Matti Keloharju, Markku Malkamäki, Kjell Nyborg and Kristian Rydqvist,
from University Library of Munich, Germany
(2004)
Keywords: treasury bond auctions, secondary market
Return-volatility linkages in the international equity and currency markets,
Bill B. Francis, Iftekhar Hasan and Delroy M. Hunter,
from University Library of Munich, Germany
(2004)
Keywords: international asset pricing, exchange rate determination, equity markets, relationships between currency and equity markets
A Theory for the Term Structure of Interest Rates,
Thomas Alderweireld and Jean Nuyts,
from University Library of Munich, Germany
(2004)
Keywords: Interest rates, Scaling laws, Term structure
Exchange RAte Dynamics with Financial Repression: A Test of Exchange Rate Models for India,
Renu Kohli and Kenneth Kletzer,
from University Library of Munich, Germany
(2004)
Keywords: exchange rates; monetary model, purchasing power parity; managed floating; exchange rate policy; India
CAUSAL RELATIONSHIPS BETWEEN EXCHANGE RATES AND STOCK PRICES IN MALAYSIA AND THAILAND DURING THE 1997 CURRENCY CRISIS TURMOIL,
Huzaimi Hussain and Venus Liew,
from University Library of Munich, Germany
(2004)
Keywords: Granger causality, exchange rates, stock prices, Malaysia, Thailand.
Financial Crises and the Presence of Foreign Banks,
Adrian Tschoegl,
from University Library of Munich, Germany
(2004)
Keywords: Argentina, Bulgaria, Czech Republic, Hungary, Indonesia, Jamaica, Malaysia, Mexico, Norway, Pacific Islands, Tanzania,Thailand, emerging markets
SOURCES OF ASIAN CURRENCY CRISIS,
Muhamed Zulkhibri,
from University Library of Munich, Germany
(2004)
Keywords: currency crisis, Asian, probit
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies,
Eric Ghysels, Pedro Santa-Clara and Rossen Valkanov,
from CIRANO
(2004)
Keywords: realized variance, power variation, MIDAS regression, variance réalisée, 'power variation', régression MIDAS
There is a Risk-Return Tradeoff After All,
Eric Ghysels, Pedro Santa-Clara and Rossen Valkanov,
from CIRANO
(2004)
Keywords: ICAPM, GARCH, volatility risk, ICAPM, GARCH, risque de volatilité
The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests,
Elena Andreou and Eric Ghysels,
from CIRANO
(2004)
Keywords: Change-point tests, CUSUM, Kolmogorov-Smirnov, GARCH, quadratic variation, power variation, high-frequency data, location-scale distribution family, tests de changement structurel, CUSUM, Kolmogov-Smirnov, GARCH, variation quadratique, 'power variation', données de haute fréquence
Non-linear trading rules in the New York Stock Exchange,
Julian Andrada-Felix, Fernando Fernández Rodríguez and María Dolores García Artiles,
from Facultad de Ciencias Económicas de la ULPGC
(2004)
Keywords: Technical trading rules, Nearest neighbour predictors, Security markets
Practical guide to real options in discrete time,
Svetlana Boyarchenko and Sergei Levendorskii,
from University Library of Munich, Germany
(2004)
Keywords: Real options, embedded options, expected present value operators
American options: the EPV pricing model,
Svetlana Boyarchenko and Sergei Levendorskii,
from University Library of Munich, Germany
(2004)
Keywords: Levy processes, option pricing, dividend paying assets.
Autocorrelation as a Source of Truncated Levy Flights in Foreign Exchange Rates,
Sergio Da Silva,
from University Library of Munich, Germany
(2004)
Exponentially Damped Levy Flights, Multiscaling, and Exchange Rates,
Sergio Da Silva,
from University Library of Munich, Germany
(2004)
The Dornbusch Model with Chaos and Foreign Exchange Intervention,
Sergio Da Silva,
from University Library of Munich, Germany
(2004)
Classroom Guide to the Equilibrium Exchange Rate Model,
Sergio Da Silva,
from University Library of Munich, Germany
(2004)
International Finance, Levy Distributions, and the Econophysics of Exchange Rates,
Sergio Da Silva,
from University Library of Munich, Germany
(2004)
Uncertainty and investment: an empirical investigation using data on analysts' profits forecasts,
Stephen R. Bond and Jason Cummins,
from Board of Governors of the Federal Reserve System (U.S.)
(2004)
Keywords: Investments; Risk; Uncertainty
Potential competitive effects of Basel II on banks in SME credit markets in the United States,
Allen Berger,
from Board of Governors of the Federal Reserve System (U.S.)
(2004)
Keywords: Risk management; Bank capital - Law and legislation; Commercial credit
What explains the stock market's reaction to Federal Reserve policy?,
Ben Bernanke and Kenneth Kuttner,
from Board of Governors of the Federal Reserve System (U.S.)
(2004)
Keywords: Monetary policy; Stock exchanges
The geography of stock market participation: the influence of communities and local firms,
Jeffrey Brown, Zoran Ivković, Paul A. Smith and Scott Weisbenner,
from Board of Governors of the Federal Reserve System (U.S.)
(2004)
Keywords: Stock market; Investments; Geography
Will the proposed application of Basel II in the United States encourage increased bank merger activity? evidence from past merger activity,
Timothy Hannan and Steven J. Pilloff,
from Board of Governors of the Federal Reserve System (U.S.)
(2004)
Keywords: Bank capital - Law and legislation; Bank mergers
Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks,
Kurt Brännäs and Shahiduzzaman Quoreshi,
from Umeå University, Department of Economics
(2004)
Keywords: Count data; Intra-day; High frequency; Time series; Estimation; Finance.
Time-varying consumption correlation and the dynamics of the equity premium: evidence from the G-7 countries,
Asani Sarkar and Lingjia Zhang,
from Federal Reserve Bank of New York
(2004)
Keywords: Recessions; Stock market; Rate of return; Consumption (Economics)
The Hazard Rate of Foreign Direct Investment: A Structural Estimation of a Real Option Model,
Carlo Altomonte and Enrico Pennings,
from IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
(2004)
Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off,
Glen Donaldson and Mark Kamstra,
from Federal Reserve Bank of Atlanta
(2004)
An Interview with Paul A. Samuelson,
William Barnett and Paul Samuelson,
from University Library of Munich, Germany
(2004)
Keywords: history of economic thought, Samuelson, macroeconomics, microeconomics, policy
Monitoring for Disruptions in Financial Markets,
Elena Andreou and Eric Ghysels,
from CIRANO
(2004)
Keywords: structural change, CUSUM, GARCH, quadratic variation, power variation, high frequency data, Brownian bridge, boundary crossing, sequential tests, local power, changement structurel, CUSUM, GARCH, variation quadratique, 'power variation', données de haute fréquence, pont Brownien, puissance locale, tests séquentiels
A general decomposition formula for derivative prices in stochastic volatility models,
Elisa Alòs,
from Department of Economics and Business, Universitat Pompeu Fabra
(2003)
Keywords: Continuous-time option pricing model, stochastic volatility, Ito's formula, incomplete markets
Malliavin calculus in finance,
Arturo Kohatsu and Miquel Montero,
from Department of Economics and Business, Universitat Pompeu Fabra
(2003)
Keywords: Malliavin claculus, computational finance, Greeks, Monte Carlo methods, kernel density method
Australian Asian options,
Manuel Moreno and Javier Navas,
from Department of Economics and Business, Universitat Pompeu Fabra
(2003)
Keywords: Asian options, arithmetic average, geometric average, edgeworth expansion, lognormal distribution, gamma distribution
Honey, I shrunk the sample covariance matrix,
Olivier Ledoit and Michael Wolf,
from Department of Economics and Business, Universitat Pompeu Fabra
(2003)
Keywords: Covariance matrix, Markovitz optimization, shrinkage, tracking error
Keeping up with the Joneses: An international asset pricing model,
Juan-Pedro Gómez, Richard Priestly and Fernando Zapatero,
from Department of Economics and Business, Universitat Pompeu Fabra
(2003)
Keywords: Consumption externalities, multifactor asset pricing model
Portfolio delegation under short-selling constraints,
Juan-Pedro Gómez and Tridib Sharma,
from Department of Economics and Business, Universitat Pompeu Fabra
(2003)
Keywords: Third best effort, linear performance-adjusted contracts, short-selling constraints
Implications of dynamic trading for insurance markets,
José Penalva,
from Department of Economics and Business, Universitat Pompeu Fabra
(2003)
Keywords: Full insurance, risk sharing, portfolio choice, welfare, heterogeneity
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