Report NEP-FMK-2009-04-25This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Kwang Soo Cheong issued this report. It is usually issued weekly.
The following items were announced in this report:
- Høg, Esben, 2008. "Volatility and realized quadratic variation of differenced returns : A wavelet method approach," Finance Research Group Working Papers F-2008-06, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Yan-Leung Cheung & Yin-Wong Cheung & Alan T. K. Wan, 2009. "A High-Low Model of Daily Stock Price Ranges," Working Papers 032009, Hong Kong Institute for Monetary Research.
- Cyril Caillault & Dominique Guegan, 2009. "Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00375765, HAL.
- Christophe Chorro & Dominique Guegan & Florian Ielpo, 2009. "Martingalized Historical approach for Option Pricing," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00376756, HAL.
- Kenichiro Shiraya & Akihiko Takahashi, 2009. "Pricing and Hedging of Long-term Futures and Forward Contracts by a Three-Factor Model," CIRJE F-Series CIRJE-F-618, CIRJE, Faculty of Economics, University of Tokyo.
- Abdou Kâ Diongue & Dominique Guegan & Bertrand Vignal, 2009. "Forecasting electricity spot market prices with a k-factor GIGARCH process," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00307606, HAL.
- David S. Bates, 2009. "U.S. Stock Market Crash Risk, 1926-2006," NBER Working Papers 14913, National Bureau of Economic Research, Inc.
- Douglas W. Diamond & Raghuram G. Rajan, 2009. "Fear of Fire Sales and the Credit Freeze," NBER Working Papers 14925, National Bureau of Economic Research, Inc.
- Shirai, Sayuri, 2009. "The Impact of the US Subprime Mortgage Crisis on the World and East Asia," MPRA Paper 14722, University Library of Munich, Germany.
- Francesco Drudi & Petra Köhler-Ulbrich & Marco Protopapa & Jiri Slacalek & Christoffer Kok Sørensen & Guido Wolswijk & Ramón Gómez Salvador & Ruth Magono & Nico Valckx & Elmar Stöss & Karin Wagne, 2009. "Housing Finance in the Euro Area," Occasional Paper Series 101, European Central Bank.
- Item repec:fra:franaf:201 is not listed on IDEAS anymore
- Tyler Rooker, 2008. "2008 Stock Markets and the Race to the Bottom: “Stuck” in China," WEF Working Papers 0040, ESRC World Economy and Finance Research Programme, Birkbeck, University of London.