Report NEP-FIN-2004-02-01This 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.
This report is closed
Other reports in NEP-FIN
The following items were announced in this report:
- Terry A. Marsh & Niklas Wagner, 2004. "Return-Volume Dependence and Extremes in International Equity Markets," Finance, EconWPA 0401007, EconWPA.
- Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2004. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," NBER Working Papers 10270, National Bureau of Economic Research, Inc.
- Josef Lakonishok & Inmoo Lee & Allen M. Poteshman, 2004. "Investor Behavior in the Option Market," NBER Working Papers 10264, National Bureau of Economic Research, Inc.
- A. Prinzie & D. Van Den Poel, 2003. "Investigating Purchasing Patterns for Financial Services using Markov, MTD and MTDg Models," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration 03/213, Ghent University, Faculty of Economics and Business Administration.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "A feasible central limit theory for realised volatility under leverage," OFRC Working Papers Series, Oxford Financial Research Centre 2004fe03, Oxford Financial Research Centre.
- Niklas Wagner & Terry A. Marsh, 2004. "Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes," Econometrics, EconWPA 0401008, EconWPA.
- Kenneth D. West, 2004. "Monetary Policy and the Volatility of Real Exchange Rates in New Zealand," NBER Working Papers 10280, National Bureau of Economic Research, Inc.
- John Y. Campbell & Tuomo Vuolteenaho, 2004. "Inflation Illusion and Stock Prices," NBER Working Papers 10263, National Bureau of Economic Research, Inc.