Report NEP-FMK-2004-12-12

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Other reports in NEP-FMK

The following items were anounced in this report:

• Stuart M. Turnbull & Jun Yang, 2004. "Modelling the Evolution of Credit Spreads in the United States," Working Papers 04-45, Bank of Canada. [Downloadable!]
• ronald l goettler & christine a parlour & uday rajan, 2003. "Equilibrium in a dynamic limit order market," GSIA Working Papers 2003-E23, Carnegie Mellon University, Tepper School of Business. [Downloadable!]
• Richard C. Green & Burton Hollifield & Norman Schurhoff, . "Financial Intermediation and the Costs of Trading in an Opaque Market," GSIA Working Papers 2004-11, Carnegie Mellon University, Tepper School of Business.
• Michael Gallmeyer & Burton Hollifield & Duane Seppi, . "Liquidity Discovery and Asset Pricing," GSIA Working Papers 2004-10, Carnegie Mellon University, Tepper School of Business.
• Bruno Biais & Christophe Bisiere & Chester Spatt, 2002. "Imperfect Competition in Financial Markets: ISLAND vs. NASDAQ," GSIA Working Papers 2003-E41, Carnegie Mellon University, Tepper School of Business. [Downloadable!]
• Ronald Goettler & Christine Parlour & Uday Rajan, . "Information Acquisition in a Limit Order Market," GSIA Working Papers 2004-E53, Carnegie Mellon University, Tepper School of Business. [Downloadable!]
• Stephan Dieckmann & Michael Gallmeyer, . "The Equilibrium Allocation of Diffusive and Jump Risks with Heterogeneous Agents," GSIA Working Papers 2003-E36, Carnegie Mellon University, Tepper School of Business. [Downloadable!]
• Alberto Mora-Galan & Ana Perez & Esther Ruiz, 2004. "Stochastic Volatility Models And The Taylor Effect," Statistics and Econometrics Working Papers ws046315, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
• Jacobsen, B. & Marquering, W.A., 2004. "Is it the weather?," Research Paper ERS-2004-100-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
• Wouters, T. & Plantinga, A., 2004. "Dynamic behavior of value and growth stocks," Research Report 04E13, University of Groningen, Research Institute SOM (Systems, Organisations and Management). [Downloadable!]
• Elbourne, Adam & Salomons, Roelof, 2004. "Monetary transmission and equity markets in the EU," Research Report 04E15, University of Groningen, Research Institute SOM (Systems, Organisations and Management). [Downloadable!]
• Goergen, M. & Renneboog, L.D.R. & Khursed, A., 2004. "Shareholder lockup agreements in French nouveau marche and German neuer markt IPOs," Discussion Paper 012, Tilburg University, Tilburg Law and Economic Center. [Downloadable!]
• Chetverikov Viktor, 2000. "Arbitrage Possibilities in Russian Spot and Future Markets," EERC Working Paper Series 98-057e, EERC Research Network, Russia and CIS. [Downloadable!]
• Nicole Branger & Christian Schlag, 2008. "Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?," Working Paper Series: Finance and Accounting 136, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
• Item repec:fra:franaf:137 is not listed on IDEAS anymore

• Nicole Branger & Angelika Esser & Christian Schlag, 2004. "When Are Static Superhedging Strategies Optimal?," Working Paper Series: Finance and Accounting 138, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
• Nicole Branger & Christian Schlag, 2004. "Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors," Working Paper Series: Finance and Accounting 140, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
• Clive G. Bowsher, 2004. "Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange," Economics Papers 2004-W21, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
• Catalin Starica & Clive Granger, 2004. "Non-stationarities in stock returns," Econometrics 0411016, EconWPA. [Downloadable!]
• Jawadi Fredj & Koubaa Yousra, 2004. "Threshold Cointegration between Stock Returns : An application of STECM Models," Econometrics 0412001, EconWPA. [Downloadable!]
• Thomas Mikosch, 2004. "Is it really long memory we see in financial returns?," Econometrics 0412002, EconWPA. [Downloadable!]
• Item repec:wpa:wuwpfi:0411043 is not listed on IDEAS anymore

• David Hirshleifer & James N. Myers & Linda A. Myers & Siew Hong Teoh, 2004. "Do Individual Investors Drive Post-Earnings Announcement Drift? Direct Evidence from Personal Trades," Finance 0412003, EconWPA. [Downloadable!]
• Puja Guha & Shivani Daga & Richa Gulati & Ganita Bhupal & Hena Oak, 2004. "International Financial Markets Integration or Segmentation: A Case Study of Equity Markets," Finance 0412013, EconWPA. [Downloadable!]
• Cornelis A. Los, 2004. "Why VAR Fails: Long Memory and Extreme Events in Financial Markets," Finance 0412014, EconWPA. [Downloadable!]
• Wassim Daher & Leonard J. Mirman, 2004. "Market structure and insider trading," Cahiers de la Maison des Sciences Economiques b04025, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]
• Wassim Daher & Leonard J. Mirman, 2004. "Cournot duopoly and insider trading with two insiders," Cahiers de la Maison des Sciences Economiques b04077, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]

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