Report NEP-FMK-2002-06-13

This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Erik Schloegl issued this report. It is usually issued weekly.

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Other reports in NEP-FMK

The following items were announced in this report:

• Yacine Ait-Sahalia & Jefferson Duarte, 2002. "Nonparametric Option Pricing under Shape Restrictions," NBER Working Papers 8944, National Bureau of Economic Research, Inc.
• Item repec:dgr:uvatin:20020004 is not listed on IDEAS anymore

• Aron Gereben, 2002. "Extracting market expectations from option prices: an application to over-the-counter New Zealand dollar options," Reserve Bank of New Zealand Discussion Paper Series DP2002/04, Reserve Bank of New Zealand.
• Engsted, Tom & Tanggaard, Carsten, 2002. "The comovement of US and UK stock markets," Finance Working Papers 02-1, University of Aarhus, Aarhus School of Business, Department of Business Studies.
• de Goeij, P. & Marquering, W.A., 2002. "Modeling the Conditional Covariance between Stock and Bond Returns," ERIM Report Series Research in Management ERS-2002-11-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
• Hui Guo, 2002. "Understanding the risk-return tradeoff in the stock market," Working Papers 2002-001, Federal Reserve Bank of St. Louis.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," NBER Working Papers 8959, National Bureau of Economic Research, Inc.
• Item repec:dgr:kubcen:200242 is not listed on IDEAS anymore

• Jiri Hoogland & Dimitri Neumann & Michel Vellekoop, 2002. "Symmetries in Jump-Diffusion Models with Applications in Option Pricing and Credit Risk," Finance 0203001, University Library of Munich, Germany.
• Bindseil, Ulrich, 2002. "Equilibrium bidding in the Eurosystem's open market operations," Working Paper Series 137, European Central Bank.
• Item repec:xrs:meawpa:0221 is not listed on IDEAS anymore

• John H. Cochrane, 2002. "Stocks as Money: Convenience Yield and the Tech-Stock Bubble," NBER Working Papers 8987, National Bureau of Economic Research, Inc.
• Anusha Chari & Peter Blair Henry, 2002. "Risk Sharing and Asset Prices: Evidence From a Natural Experiment," NBER Working Papers 8988, National Bureau of Economic Research, Inc.
• Clive Coetzee, 2002. "Monetary Conditions and Stock Returns: A South African Case Study," Finance 0205002, University Library of Munich, Germany.
• Item repec:xrs:meawpa:0223 is not listed on IDEAS anymore

• Alex Strashny, 2002. "Trading system evaluation based on past performance: Random Signals Test," Finance 0205003, University Library of Munich, Germany, revised 10 Jun 2002.
• John Y. Campbell & Glen B. Taksler, 2002. "Equity Volatility and Corporate Bond Yields," NBER Working Papers 8961, National Bureau of Economic Research, Inc.
• Chernov, Mikhail & Gallant, A. Ronald & Ghysels, Eric & Tauchen, George, 2002. "Alternative Models for Stock Price Dynamic," Working Papers 02-03, Duke University, Department of Economics.
• Leo Krippner, 2002. "Extracting expectations of New Zealand's Official Cash Rate from the bank-risk yield curve," Reserve Bank of New Zealand Discussion Paper Series DP2002/01, Reserve Bank of New Zealand.