Report NEP-FIN-2003-10-20

This 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:

• Claudio Tebaldi, 2002. "Hedging using simulation: a least squares approach," Computing in Economics and Finance 2002 279, Society for Computational Economics.
• John Driffill & Turalay Kenc & Martin Sola, 2002. "Merton-style option pricing under regime switching," Computing in Economics and Finance 2002 304, Society for Computational Economics.
• Fajardo, J. & Farias, A. R. & Ornelas, J. R. H., 2003. "Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations," Finance Lab Working Papers flwp_58, Finance Lab, Insper Instituto de Ensino e Pesquisa.
• Lise Patureau, 2002. "Pricing-to-market and limited participation : a joint explanation to the exchange rate disconnect puzzle," Computing in Economics and Finance 2002 299, Society for Computational Economics.
• S. Manzan & P. Boswijk & C.H. Hommes, 2003. "Mean Reversion, Bubbles and Heterogeneous Beliefs in Stock Prices," Computing in Economics and Finance 2003 252, Society for Computational Economics.
• Ariadna Dumitrescu, 2003. "Imperfect Competition and Market Liquidity with a Supply Informed Trader," UFAE and IAE Working Papers 591.03, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
• J. Huston McCulloch & Prasad V. Bidarkota, 2003. "Signal Extraction can Generate Volatility Clusters," Computing in Economics and Finance 2003 59, Society for Computational Economics.
• Margo Bergman, 2003. "When a Fad Ends: An Agent-Based Model of Imitative Behavior," Computing in Economics and Finance 2003 271, Society for Computational Economics.
• Marney J.P. & Fyfe C. & Tarbert H., 2002. "Risk Adjusted Returns And Technical Trading Rules From Data Projection," Computing in Economics and Finance 2002 53, Society for Computational Economics.
• Neven Valev & John A. Carlson, 2002. "Tenuous Financial Stability," International Center for Public Policy Working Paper Series, at AYSPS, GSU paper0210, International Center for Public Policy, Andrew Young School of Policy Studies, Georgia State University.
• Fajardo, J. & Cajueiro, D. O., 2003. "Volatility Estimation and Option Pricing with Fractional Brownian Motion," Finance Lab Working Papers flwp_53, Finance Lab, Insper Instituto de Ensino e Pesquisa.
• Christopher Rude, 2002. "Information, Trading, and the Pricing of Risky Financial Securities:," Computing in Economics and Finance 2002 119, Society for Computational Economics.
• Araujo, A. & Fajardo, J & Páscoa, M. R., 2003. "Endogenous Collateral: Arbitrage and Equilibrium without Bounded Short Sales," Finance Lab Working Papers flwp_52, Finance Lab, Insper Instituto de Ensino e Pesquisa.
• Burkhard Raunig, 2003. "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German," Working Papers 86, Oesterreichische Nationalbank (Austrian Central Bank).
• Man-Chung CHAN & Chi-Cheong WONG & Bernard K-S Cheung & Gordon Y-N Tang, 2002. "Genetic Algorithms in Multi-Stage Portfolio Optimization System," Computing in Economics and Finance 2002 165, Society for Computational Economics.
• Item repec:mtl:montde:07-2003 is not listed on IDEAS anymore

• M. Kabir Hassan & Anisul M. Islam & Syed Basher, 2003. "Market Efficiency, Time-Varying Volatility and Equity Returns in Bangladesh Stock Market," Finance 0310015, University Library of Munich, Germany.
• Simon Gilchrist, 2003. "Financial Markets and Financial Leverage in a Two-Country World-Economy," Working Papers Central Bank of Chile 228, Central Bank of Chile.
• NUÑEZ, Laura, 2002. "An analysis of the robustness of Genetic Algorithm (GA) methodology in the design of trading systems for the Stock Exchange," Computing in Economics and Finance 2002 29, Society for Computational Economics.
• Fajardo, J. & Farias, A. R & Ornelas, J. R. H, 2003. "Goodness-of-fit Tests focus on VaR Estimation," Finance Lab Working Papers flwp_55, Finance Lab, Insper Instituto de Ensino e Pesquisa.
• Fajardo, J. & Mordeckiy, E., 2003. "Pricing Derivatives on Two Lévy-driven Stocks," Finance Lab Working Papers flwp_56, Finance Lab, Insper Instituto de Ensino e Pesquisa.
• Bakhodir A Ergashev, 2003. "On a CAPM monitoring based on the EWMA process control," Computing in Economics and Finance 2003 283, Society for Computational Economics.
• M. A. Kaboudan, 2003. "Genetic Programming Software to Forecast Time Series," Computing in Economics and Finance 2003 97, Society for Computational Economics.
• Fajardo, J. & Mordecki, E., 2003. "Put-Call Duality and Symmetry," Finance Lab Working Papers flwp_54, Finance Lab, Insper Instituto de Ensino e Pesquisa.