Report NEP-ALL-2012-02-15
This is the archive for NEP-ALL, a report on new working papers in the area of All new papers. Kyle Fluegge issued this report. It is usually issued weekly.Subscribe to this report: email, RSS or Twitter.
Other reports in NEP-ALL
The following items were announced in this report:
- Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options," CREATES Research Papers 2012-04, Department of Economics and Business Economics, Aarhus University.
- Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011. "Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns," Working Paper 2011/19, Norges Bank.
- Jason M. Fletcher & Stephen L. Ross, 2011. "Estimating the Effects of Friendship Networks on Health Behaviors of Adolescents," Working papers 2011-26, University of Connecticut, Department of Economics.
- SÖRENSEN, Kenneth & VANOVERMEIRE, Christine & BUSSCHAERT, Sylvie, 2012. "Efficient metaheuristics to solve the intermodal terminal location problem," Working Papers 2012001, University of Antwerp, Faculty of Business and Economics.
- Item repec:ner:leuven:urn:hdl:123456789/262181 is not listed on IDEAS anymore
- R. Anton Braun & Tomoyuki Nakajima, 2012. "Making the case for a low intertemporal elasticity of substitution," FRB Atlanta Working Paper 2012-01, Federal Reserve Bank of Atlanta.
- Dario Caldara & Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez & Yao Wen, 2012. "Computing DSGE models with recursive preferences and stochastic volatility," Finance and Economics Discussion Series 2012-04, Board of Governors of the Federal Reserve System (US).
- Ergungor, O. Emre & Nelson, Lisa, 2012. "The impact of recovery efforts on residential vacancies," Working Papers (Old Series) 1203, Federal Reserve Bank of Cleveland.
- Michael C. Munnix & Takashi Shimada & Rudi Schafer & Francois Leyvraz Thomas H. Seligman & Thomas Guhr & H. E. Stanley, 2012. "Identifying States of a Financial Market," Papers 1202.1623, arXiv.org.
- Thorsten Rheinlander & Michael Schmutz, 2012. "Quasi self-dual exponential L\'evy processes," Papers 1201.5132, arXiv.org.
- Carlos Pedro Gonc{c}alves, 2012. "Quantum Financial Economics of Games of Strategy and Financial Decisions," Papers 1202.2080, arXiv.org.
- B. Acciaio & M. Beiglbock & F. Penkner & W. Schachermayer & J. Temme, 2012. "A trajectorial interpretation of Doob's martingale inequalities," Papers 1202.0447, arXiv.org, revised Jul 2013.
- Mikio Ito & Akihiko Noda & Tatsuma Wada, 2012. "The Evolution of Stock Market Efficiency in the US: A Non-Bayesian Time-Varying Model Approach," Papers 1202.0100, arXiv.org, revised Aug 2015.
- Wei-Xing Zhou, 2012. "Determinants of immediate price impacts at the trade level in an emerging order-driven market," Papers 1201.5448, arXiv.org.
- Alina Beygelzimer & John Langford & David Pennock, 2012. "Learning Performance of Prediction Markets with Kelly Bettors," Papers 1201.6655, arXiv.org.
- Amel Bentata & Rama Cont, 2012. "Short-time asymptotics for marginal distributions of semimartingales," Papers 1202.1302, arXiv.org.
- Sunil Kumar & Nivedita Deo, 2012. "Correlation, Network and Multifractal Analysis of Global Financial Indices," Papers 1202.0409, arXiv.org.
- J. Shen & B. Zheng, 2012. "On return-volatility correlation in financial dynamics," Papers 1202.0342, arXiv.org.
- Jozef Barunik & Lukas Vacha, 2012. "Realized wavelet-based estimation of integrated variance and jumps in the presence of noise," Papers 1202.1854, arXiv.org, revised Feb 2013.
- Peter Kratz & Torsten Schoneborn, 2012. "Portfolio liquidation in dark pools in continuous time," Papers 1201.6130, arXiv.org, revised Aug 2012.
- X. F. Jiang & B. Zheng, 2012. "Anti-correlation and subsector structure in financial systems," Papers 1201.6418, arXiv.org.
- Henri Pag`es & Dylan Possamai, 2012. "A mathematical treatment of bank monitoring incentives," Papers 1202.2076, arXiv.org, revised Apr 2015.
- Jongwook Kim & Gabjin Oh, 2012. "Heavy-tail driven by memory," Papers 1201.5690, arXiv.org, revised May 2013.
- Andreas Kunz, 2012. "Robust Hedging of Withdrawal Guarantees (Extended Version)," Papers 1202.0175, arXiv.org, revised Sep 2012.
- Ribin Lye & James Peng Lung Tan & Siew Ann Cheong, 2012. "Understanding agent-based models of financial markets: a bottom-up approach based on order parameters and phase diagrams," Papers 1202.0606, arXiv.org.
- Anca Gheorghiu & Ion Spanulescu, 2012. "An Econophysics Model for the Migration Phenomena," Papers 1202.0996, arXiv.org.
- Martin Gremm & Mark B. Wise, 2012. "Mathematical Constraints on Financially Viable Public Policy," Papers 1201.6340, arXiv.org.
- Anita Mehta, 2012. "Predatory trading and risk minimisation: how to (b)eat the competition," Papers 1202.1374, arXiv.org.
- Martin Rypdal & Ola L{o}vsletten, 2012. "Modeling electricity spot prices using mean-reverting multifractal processes," Papers 1201.6137, arXiv.org.
- Giacomo Livan & Luca Rebecchi, 2012. "Asymmetric correlation matrices: an analysis of financial data," Papers 1201.6535, arXiv.org, revised Apr 2012.
- Miklos Rasonyi & Andrea M. Rodrigues, 2012. "Optimal Portfolio Choice for a Behavioural Investor in Continuous-Time Markets," Papers 1202.0628, arXiv.org, revised Apr 2013.
- Zorana Grbac & Antonis Papapantoleon, 2012. "A tractable LIBOR model with default risk," Papers 1202.0587, arXiv.org, revised Oct 2012.
- Neil Johnson & Guannan Zhao & Eric Hunsader & Jing Meng & Amith Ravindar & Spencer Carran & Brian Tivnan, 2012. "Financial black swans driven by ultrafast machine ecology," Papers 1202.1448, arXiv.org.
- Thorsten Rheinlander & Michael Schmutz, 2012. "Self-dual continuous processes," Papers 1201.6516, arXiv.org.
- Jean-Claude Juhel, 2012. "Choix strat\'egiques de la firme et contr\^ole financier," Papers 1202.1949, arXiv.org.
- J. Shen & B. Zheng, 2012. "Cross-correlation in financial dynamics," Papers 1202.0344, arXiv.org.
- Masaaki Fujii & Akihiko Takahashi, 2012. "Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility," Papers 1202.0608, arXiv.org, revised Sep 2012.
- Ma{l}gorzata Snarska, 2012. "A Random Matrix Approach to Dynamic Factors in macroeconomic data," Papers 1201.6544, arXiv.org.
- Jo~ao P. da Cruz & Pedro G. Lind, 2012. "Heavy-tails in economic data: fundamental assumptions, modelling and analysis," Papers 1202.0142, arXiv.org.