NEP-FIN-2003-09-24

Report NEP-FIN-2003-09-24

This is the archive for NEP-FIN, a report on new working papers in the area of Finance. Philip Yu issued this report. It is usually issued weekly.

The following items were anounced in this report:

Julia Lynn Coronado & Steven A. Sharpe, 2003. "Did pension plan accounting contribute to a stock market bubble?," Finance and Economics Discussion Series 2003-38, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
Michael Boguslavsky & Elena Boguslavskaya, 2003. "Optimal Arbitrage Trading," Finance 0309012, EconWPA. [Downloadable!]
L. Baele, 2003. "Volatility Spillover Effects in European Equity Markets," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 03/189, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
Tim Bollerslev & Hao Zhou, 2003. "Volatility puzzles: a unified framework for gauging return-volatility regressions," Finance and Economics Discussion Series 2003-40, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
Jonathan Lewellen & Stefan Nagel, 2003. "The Conditional CAPM does not Explain Asset-Pricing Anamolies," NBER Working Papers 9974, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Christopher J. Neely, 2004. "Implied volatility from options on gold futures: do statistical forecasts add value or simply paint the lilly?," Working Papers 2003-018, Federal Reserve Bank of St. Louis. [Downloadable!]

This page was last updated on 2008-8-31.