Report NEP-FIN-2003-10-20

This report is closed
Other reports in NEP-FIN

The following items were anounced in this report:

• Claudio Tebaldi, 2002. "Hedging using simulation: a least squares approach," Computing in Economics and Finance 2002 279, Society for Computational Economics.
• John Driffill & Turalay Kenc & Martin Sola, 2002. "Merton-style option pricing under regime switching," Computing in Economics and Finance 2002 304, Society for Computational Economics.
• Fajardo, J. & Farias, A. R. & Ornelas, J. R. H., 2003. "Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations," Finance Lab Working Papers flwp_58, Finance Lab, Ibmec São Paulo. [Downloadable!]
• Lise Patureau, 2002. "Pricing-to-market and limited participation : a joint explanation to the exchange rate disconnect puzzle," Computing in Economics and Finance 2002 299, Society for Computational Economics. [Downloadable!]
• S. Manzan & P. Boswijk & C.H. Hommes, 2003. "Mean Reversion, Bubbles and Heterogeneous Beliefs in Stock Prices," Computing in Economics and Finance 2003 252, Society for Computational Economics. [Downloadable!]
• Ariadna Dumitrescu, 2003. "Imperfect Competition and Market Liquidity with a Supply Informed Trader," UFAE and IAE Working Papers 591.03, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
• J. Huston McCulloch & Prasad V. Bidarkota, 2003. "Signal Extraction can Generate Volatility Clusters," Computing in Economics and Finance 2003 59, Society for Computational Economics. [Downloadable!]
• Margo Bergman, 2003. "When a Fad Ends: An Agent-Based Model of Imitative Behavior," Computing in Economics and Finance 2003 271, Society for Computational Economics. [Downloadable!]
• Marney J.P. & Fyfe C. & Tarbert H., 2002. "Risk Adjusted Returns And Technical Trading Rules From Data Projection," Computing in Economics and Finance 2002 53, Society for Computational Economics.
• Neven T. Valev & John A. Carlson, 2002. "Tenuous Financial Stability," International Studies Program Working Paper Series, at AYSPS, GSU paper0210, International Studies Program, Andrew Young School of Policy Studies, Georgia State University. [Downloadable!]
• Fajardo, J. & Cajueiro, D. O., 2003. "Volatility Estimation and Option Pricing with Fractional Brownian Motion," Finance Lab Working Papers flwp_53, Finance Lab, Ibmec São Paulo. [Downloadable!]
• Christopher Rude, 2002. "Information, Trading, and the Pricing of Risky Financial Securities:," Computing in Economics and Finance 2002 119, Society for Computational Economics. [Downloadable!]
• Araujo, A. & Fajardo, J & Páscoa, M. R., 2003. "Endogenous Collateral: Arbitrage and Equilibrium without Bounded Short Sales," Finance Lab Working Papers flwp_52, Finance Lab, Ibmec São Paulo. [Downloadable!]
• Burkhard Raunig, 2003. "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German DAX," Working Papers 86, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
• Man-Chung CHAN & Chi-Cheong WONG & Bernard K-S Cheung & Gordon Y-N Tang, 2002. "Genetic Algorithms in Multi-Stage Portfolio Optimization System," Computing in Economics and Finance 2002 165, Society for Computational Economics. [Downloadable!]
• Item repec:mtl:montde:07-2003 is not listed on IDEAS anymore

• M. Kabir Hassan & Anisul M. Islam & Syed Basher, 2003. "Market Efficiency, Time-Varying Volatility and Equity Returns in Bangladesh Stock Market," Finance 0310015, EconWPA. [Downloadable!]
• Simon Gilchrist, 2003. "Financial Markets and Financial Leverage in a Two-Country World-Economy," Working Papers Central Bank of Chile 228, Central Bank of Chile. [Downloadable!]
• NUÑEZ, Laura, 2002. "An analysis of the robustness of Genetic Algorithm (GA) methodology in the design of trading systems for the Stock Exchange," Computing in Economics and Finance 2002 29, Society for Computational Economics. [Downloadable!]
• Fajardo, J. & Farias, A. R & Ornelas, J. R. H, 2003. "Goodness-of-fit Tests focus on VaR Estimation," Finance Lab Working Papers flwp_55, Finance Lab, Ibmec São Paulo. [Downloadable!]
• Fajardo, J. & Mordeckiy, E., 2003. "Pricing Derivatives on Two Lévy-driven Stocks," Finance Lab Working Papers flwp_56, Finance Lab, Ibmec São Paulo. [Downloadable!]
• Bakhodir A Ergashev, 2003. "On a CAPM monitoring based on the EWMA process control," Computing in Economics and Finance 2003 283, Society for Computational Economics. [Downloadable!]
• M. A. Kaboudan, 2003. "Genetic Programming Software to Forecast Time Series," Computing in Economics and Finance 2003 97, Society for Computational Economics. [Downloadable!]
• Fajardo, J. & Mordecki, E., 2003. "Put-Call Duality and Symmetry," Finance Lab Working Papers flwp_54, Finance Lab, Ibmec São Paulo. [Downloadable!]

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