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Report NEP-FMK-2004-02-01
This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Erik Schlogl issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-FMK
The following items were announced in this report:
- Terry A. Marsh & Niklas Wagner, 2004, "Return-Volume Dependence and Extremes in International Equity Markets," Finance, University Library of Munich, Germany, number 0401007, Jan.
- Josef Lakonishok & Inmoo Lee & Allen M. Poteshman, 2004, "Investor Behavior in the Option Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 10264, Feb.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004, "A feasible central limit theory for realised volatility under leverage," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004fe03.
- Pedro L. Valls Pereira, 2004, "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_59, Oct.
- Niklas Wagner & Terry A. Marsh, 2004, "Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes," Econometrics, University Library of Munich, Germany, number 0401008, Jan.
- Jeremy C. Stein, 2004, "Why Are Most Funds Open-End? Competition and the Limits of Arbitrage," NBER Working Papers, National Bureau of Economic Research, Inc, number 10259, Feb.
- John Y. Campbell & Tuomo Vuolteenaho, 2004, "Inflation Illusion and Stock Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 10263, Feb.
- Markus Junker & Alexander Szimayer & Niklas Wagner, 2004, "Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications," Econometrics, University Library of Munich, Germany, number 0401007, Jan.