Report NEP-FMK-2009-08-02This 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:
- Fares Triki, 2009. "Leverage Bubbles," Post-Print halshs-00390688, HAL.
- Taylor D. Nadauld & Shane M. Sherlund, 2009. "The role of the securitization process in the expansion of subprime credit," Finance and Economics Discussion Series 2009-28, Board of Governors of the Federal Reserve System (U.S.).
- Daniel L. Thornton & Giorgio Valente, 2009. "Revisiting the predictability of bond risk premia," Working Papers 2009-009, Federal Reserve Bank of St. Louis.
- David Büttner & Bernd Hayo, 2009. "Determinants of European Stock Market Integration," MAGKS Papers on Economics 200932, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models : from GARCH to Multi-Horizon Cascades," Post-Print halshs-00390636, HAL.
- Abdou Kâ Diongue & Dominique Guegan & Bertrand Vignal, 2009. "Forecasting electricity spot market prices with a k-factor GIGARCH process," Post-Print halshs-00307606, HAL.
- Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Post-Print halshs-00368336, HAL.