Report NEP-FMK-2012-09-09This 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:
- Pui Sun Tam & Pui I Tam, 2012. "Rethinking stock market integration: Globalization, valuation and convergence," SFB 649 Discussion Papers SFB649DP2012-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Francis Breedon & Jagjit S. Chadha & Alex Water, 2012. "The Financial Market Impact of UK Quantitative Easing," Working Papers 696, Queen Mary, University of London, School of Economics and Finance.
- D.E. Allen & A. Kramadibrata & Michael McAleer & R. Powell & A. K. Singh, 2012. "A non-parametric and entropy based analysis of the relationship between the VIX and S&P500," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 2012-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Renne, J-P., 2012. "A model of the euro-area yield curve with discrete policy rates," Working papers 395, Banque de France.
- Matthew Lorig & Oriol Lozano Carbasse & Rafael Mendoza-Arriaga, 2012. "Variance Swaps on Defaultable Assets and Market Implied Time-Changes," Papers 1209.0697, arXiv.org, revised Jul 2013.