Report NEP-FIN-2004-09-30

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:

• Philip Arestis & Ambika Luintel & Kul Luintel, 2004. "Does Financial Structure Matter?," Money Macro and Finance (MMF) Research Group Conference 2004 61, Money Macro and Finance Research Group.
• Cornelis A. Los & Joanna M. Lipka, 2004. "Long-Term Dependence Characteristics of European Stock Indices," Finance 0409044, University Library of Munich, Germany.
• Keith Cuthbertson & Dirk Nitzsche & Niall O' Sullivan, 2004. "UK Mutual Fund Performance: Genuine Stock-Picking Ability or Luck," Money Macro and Finance (MMF) Research Group Conference 2004 55, Money Macro and Finance Research Group.
• Cowan, Robin & Jonard, Nicolas & Zimmermann, J-B, 2004. "Evolving Networks of Inventors," Research Memorandum 018, Maastricht University, Maastricht Economic Research Institute on Innovation and Technology (MERIT).
• Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2004. "Does Financial Liberalization Spur Growth?," Working Paper Research 53, National Bank of Belgium.
• Cornelis A. Los, 2004. "Valuation of Six Asian Stock Markets: Financial System Identification in Noisy Environments," Finance 0409039, University Library of Munich, Germany.
• Söehnke Bartram & Stephen Taylor & Yaw-Huei Wang, 2004. "The Euro and European Financial Market Integration," Money Macro and Finance (MMF) Research Group Conference 2004 49, Money Macro and Finance Research Group, revised 13 Oct 2004.
• Xavier Freixas & Gyongyi Loranth & Alan D. Morrison & Hyun Song Shin, 2004. "Regulating Financial Conglomerates," Working Paper Research 54, National Bank of Belgium.
• Eric Hillebrand & Gunther Schnabl, 2004. "The Effects of Japanese Foreign Exchange Intervention, GARCH Estimation and Change Point Detection," Money Macro and Finance (MMF) Research Group Conference 2004 7, Money Macro and Finance Research Group.
• Ekaterini Panopoulou & Ben Groom & Phoebe Koundouri & Theologos Pantelidis, 2004. "An Econometric Approach To Estimating Long-Run Discount Rates," Royal Economic Society Annual Conference 2004 70, Royal Economic Society.
• Roberto Guimaraes, 2004. "Foreign Exchange Intervention And Monetary Policy In Japan: Evidence From Identified Vars," Money Macro and Finance (MMF) Research Group Conference 2004 8, Money Macro and Finance Research Group.
• Susan Athey & Jonathan Levin & Enrique Seira, 2004. "Comparing Open and Sealed Bid Auctions: Theory and Evidence from Timber Auctions," Levine's Bibliography 122247000000000524, UCLA Department of Economics.
• Gary S. Shea, 2004. "Rational Pricing of Options during the South Sea Bubble," Money Macro and Finance (MMF) Research Group Conference 2004 93, Money Macro and Finance Research Group.
• Cornelis A. Los, 2004. "The Changing Concept of Financial Risk," Finance 0409034, University Library of Munich, Germany.
• Ricardo Hausmann & Ugo Panizza & Roberto Rigobon, 2004. "The Long-Run Volatility Puzzle of the Real Exchange Rate," NBER Working Papers 10751, National Bureau of Economic Research, Inc.
• Raman Uppal & Lorenzo Garlappi & Tan Wang, 2004. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," Money Macro and Finance (MMF) Research Group Conference 2004 54, Money Macro and Finance Research Group.
• Franklin Allen, 2004. "The Efficiency and Stability of Banks and Markets," Working Paper Research 52, National Bank of Belgium.
• Sergio Da Silva & Raul Matsushita & Iram Gleria & Annibal Figueiredo, 2004. "Log-Periodicity in High Frequency Financial Series," Finance 0409043, University Library of Munich, Germany.
• Ying Liu & Eli Papakirykos & Mingwei Yuan, 2004. "Market Valuation and Risk Assessment of Canadian Banks," Staff Working Papers 04-34, Bank of Canada.
• Campa, Jose M. & Fernandes, Nuno, 2004. "Sources of gains from international portfolio diversification," IESE Research Papers D/559, IESE Business School.
• Oussama Lachiri & Jean-Marc Bonnisseau, 2004. "Dreze's Criterion In A Multi-Period Economy With Stock Markets," Royal Economic Society Annual Conference 2004 88, Royal Economic Society.
• Cornelis A. Los & Jeyanthi Karuppiah, 2004. "Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997," Finance 0409037, University Library of Munich, Germany.
• Damien Lynch & Nikolaos Panigirtzoglou, 2004. "Option Implied and Realised Measures of Variance," Money Macro and Finance (MMF) Research Group Conference 2004 94, Money Macro and Finance Research Group.
• Ana-Maria Fuertes & Dylan Thomas, 2004. "Market-wide shocks and anomalous price behaviour: evidence from closed-end funds," Money Macro and Finance (MMF) Research Group Conference 2004 56, Money Macro and Finance Research Group.
• David Dupuis & David Tessier, 2004. "The U.S. Stock Market and Fundamentals: A Historical Decomposition," Money Macro and Finance (MMF) Research Group Conference 2004 73, Money Macro and Finance Research Group.
• Sutthisit Jamdee & Cornelis A. Los, 2004. "Dynamic Risk Profile of the US Term Structure by Wavelet MRA," Finance 0409045, University Library of Munich, Germany.
• Charles A.E. Goodhart & Pojanart Sunirand & Dimitrios P. Tsomocos, 2004. "A Time Series Analysis of Financial Fragility in the UK Banking System," OFRC Working Papers Series 2004fe18, Oxford Financial Research Centre.
• Maureen O'Hara, 2004. "Liquidity and Financial Market Stability," Working Paper Research 55, National Bank of Belgium.
• D H Kim, 2004. "Nonlinearity in the Term Structure," Economics Discussion Paper Series 0401, Economics, The University of Manchester.
• Item repec:att:belgnw:200457 is not listed on IDEAS anymore

• John M. Griffin & Federico Nardari & Rene M. Stulz, 2004. "Stock Market Trading and Market Conditions," NBER Working Papers 10719, National Bureau of Economic Research, Inc.
• Hainz, Christa, 2004. "Quality of Institutions, Credit Markets and Bankruptcy," Discussion Papers in Economics 388, University of Munich, Department of Economics.
• Denise Osborn & Pedro Perez & Michael Artis, 2004. "The International Business Cycle In A Changing World: Volatility And The Propagation Of Shocks," Royal Economic Society Annual Conference 2004 138, Royal Economic Society.
• Markus K. Brunnermeier & Lasse Heje Pedersen, 2004. "Predatory Trading," NBER Working Papers 10755, National Bureau of Economic Research, Inc.
• Kyri Kyriacou & Bryan Mase, 2004. "Executive Stock Option Exercises and the Predictive Ability of Transaction Value," Economics and Finance Discussion Papers 04-09, Economics and Finance Section, School of Social Sciences, Brunel University.
• Jerry Coakley & Periklis Kougoulis, 2004. "Comovement and FTSE 100 Index Changes," Money Macro and Finance (MMF) Research Group Conference 2004 11, Money Macro and Finance Research Group.
• Niklas Wagner & Terry A. Marsh, 2004. "Surprise Volume and Heteroskedasticity in Equity Market Returns," Econometrics 0409009, University Library of Munich, Germany.
• Jonathan Kearns & Phil Manners, 2004. "The Profitability of Speculators in Currency Futures Markets," RBA Research Discussion Papers rdp2004-07, Reserve Bank of Australia.
• Frederique Bec & Melika Ben Salem & Marine Carrasco, 2004. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," RCER Working Papers 509, University of Rochester - Center for Economic Research (RCER).
• Cornelis A. Los, 2004. "Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets," Finance 0409040, University Library of Munich, Germany.
• Astrid Van Landschoot, 2004. "Determinants of Euro Term Structure of Credit Spreads," Working Paper Research 57, National Bank of Belgium.
• Jan Vlieghe, 2004. "Imperfect credit markets and the transmission of macroeconomic shocks," Money Macro and Finance (MMF) Research Group Conference 2004 17, Money Macro and Finance Research Group.
• Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," NBER Technical Working Papers 0298, National Bureau of Economic Research, Inc.
• Peter Smith & Steffen Sorensen & Michael R. Wickens, 2004. "Business Cycle Variability, Stock Market Variability, Asymmetries and the Risk Premium," Money Macro and Finance (MMF) Research Group Conference 2004 76, Money Macro and Finance Research Group.
• Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2004. "On the Industry Concentration of Actively Managed Equity Mutual Funds," NBER Working Papers 10770, National Bureau of Economic Research, Inc.
• Cornelis A. Los & Rossitsa M. Yalamova, 2004. "Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash," Finance 0409050, University Library of Munich, Germany.
• Kin-Yip Ho & Ka Cheng Tsui, 2004. "Volatility Dynamics of the Tokyo Stock Exchange: A Sectoral Analysis based on the Multivariate GARCH Approach," Money Macro and Finance (MMF) Research Group Conference 2004 12, Money Macro and Finance Research Group.
• Alessandra dal Colle Stievano, 2004. "Finance-Growth Nexus in open economies with outliers," Money Macro and Finance (MMF) Research Group Conference 2004 4, Money Macro and Finance Research Group.
• Cornelis A. Los, 2004. "Optimal Asian Multi-Currency Strategy Portfolios with Exact Risk Attribution," Finance 0409038, University Library of Munich, Germany.
• Chris Becker & Michael Sinclair, 2004. "Profitability of Reserve Bank Foreign Exchange Operations: Twenty Years After the Float," RBA Research Discussion Papers rdp2004-06, Reserve Bank of Australia.
• V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2004. "A Critique of Structural VARs Using Real Business Cycle Theory," Levine's Bibliography 122247000000000518, UCLA Department of Economics.
• Marco Polenghi & Raymond Knott, 2004. "Assessing Central Counterparty Margin Coverage On Futures Contracts Using GARCH Models," Royal Economic Society Annual Conference 2004 6, Royal Economic Society.
• Börner, Kira & Hainz, Christa, 2004. "The Political Economy of Corruption and the Role of Financial Institutions," Discussion Papers in Economics 411, University of Munich, Department of Economics.
• Alberto Montagnoli & Oreste Napolitano, 2004. "Financial Condition Index and interest rate settings: a comparative analysis," Money Macro and Finance (MMF) Research Group Conference 2004 1, Money Macro and Finance Research Group.
• Pierre Monnin, "undated". "Are stock markets really like beauty contests? Empirical evidence of higher order belief's impact on asset prices," IEW - Working Papers 202, Institute for Empirical Research in Economics - University of Zurich.
• Parantap Basu & Elie Appelbaum, 2004. "A New Methodology For Studying The Equity Premium," Royal Economic Society Annual Conference 2004 72, Royal Economic Society.
• Cornelis A. Los, 2004. "The 1998 Third Annual Survey of Risk Management Practices of Unit Trusts in Singapore," Finance 0409036, University Library of Munich, Germany.
• Marco Lippi & Daniel L. Thornton, 2004. "A Dynamic Factor Analysis of the Response of U.S. Interest Rates to News," LEM Papers Series 2004/05, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
• Ariane Chapelle & Yves Crama & Georges Hubner & Jean-Philippe Peeters, 2004. "Basel II and Operational Risk: Implications for risk measurement and management in the financial sector," Working Paper Research 51, National Bank of Belgium.
• Lukas Menkhoff & Alexander Mende, 2004. "Different Counterparties In A Small Bank's FX Trading," Royal Economic Society Annual Conference 2004 117, Royal Economic Society.
• Narayana R. Kocherlakota & Luigi Pistaferri, 2004. "Asset Pricing Implications of Pareto Optimality with Private Information," Levine's Bibliography 122247000000000508, UCLA Department of Economics.
• Sutthisit Jamdee & Cornelis A. Los, 2004. "Long Memory Options: Valuation," Finance 0409049, University Library of Munich, Germany.
• Cornelis A. Los, 2004. "Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data," Finance 0409033, University Library of Munich, Germany.
• Cornelis A. Los, 2004. "Visualization of Chaos for Finance Majors," Finance 0409035, University Library of Munich, Germany.
• Item repec:dgr:umamer:2004017 is not listed on IDEAS anymore

• Brian A. Eales & Radu Tunaru, 2004. "Financial Engineering with Reverse Cliquet Options," Money Macro and Finance (MMF) Research Group Conference 2004 81, Money Macro and Finance Research Group.
• Pierre Collin-Dufresne & Christopher S. Jones & Robert S. Goldstein, 2004. "Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility," NBER Working Papers 10756, National Bureau of Economic Research, Inc.
• Hashem Pesaran & Paolo Zaffaroni & Banca d'Italia), 2004. "Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management," Money Macro and Finance (MMF) Research Group Conference 2004 101, Money Macro and Finance Research Group.
• Patrick Van Cayseele, 2004. "Financial consolidation and liquidity: prudential regulation and/or competition policy?," Working Paper Research 50, National Bank of Belgium.
• Ross Levine, 2004. "Finance and Growth: Theory and Evidence," NBER Working Papers 10766, National Bureau of Economic Research, Inc.
• Nyo Nyo A. Kyaw & Cornelis A. Los & Sijing Zong, 2004. "Persistence Characteristics of Latin American Financial Markets," Finance 0409048, University Library of Munich, Germany.
• Celine Gauthier & Fu Chun Li, 2004. "Linking Real Activity and Financial Markets: BEAM model 1," Money Macro and Finance (MMF) Research Group Conference 2004 52, Money Macro and Finance Research Group.