Report NEP-FMK-2004-09-12This 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:
- Philip Kostov & Seamus McErlean, 2004. "Estimating the probability of large negative stock market," Finance 0409011, EconWPA.
- Peter Spencer, 2004. "Affine Macroeconomic Models of the Term Structure of Interest Rates: The US Treasury Market 1961-99," Discussion Papers 04/16, Department of Economics, University of York, revised Jan 2006.
- Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series 129, Quantitative Finance Research Centre, University of Technology, Sydney.
- Erdem Basci & Mehmet Fatih Ekinci, 2004. "Bond Premium in Turkey," Macroeconomics 0409007, EconWPA.
- Levy Yeyati, Eduardo*Schmukler, Sergio L.*Van Ho, 2003. "The price of inconvertible deposits - the stock market boom during the Argentine crisis," Policy Research Working Paper Series 3146, The World Bank.
- Dumoulin, Hubert Grignon & Kruse,Mogens, 2004. "The regulatory and supervisory framework for fixed income markets in Europe," Policy Research Working Paper Series 3308, The World Bank.
- Pamela Cardozo, 2004. "Valor en Riesgo de los Activos Financieros Colombianos Aplicando la Teoría de Valor Extremo," Borradores de Economia 304, Banco de la Republica de Colombia.
- Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, EconWPA.
- Friedman, Felice B, 2004. "Regulation of fixed income securities markets in the United States," Policy Research Working Paper Series 3283, The World Bank.
- Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance 0409016, EconWPA.
- Izquierdo, Alejandro & Morisset, Jacques & Olarreaga, Marcelo, 2003. "Information diffusion in international markets," Policy Research Working Paper Series 3032, The World Bank.
- Enlin Pan & Liuren Wu, 2004. "Taking Positive Interest Rates Seriously," Finance 0409013, EconWPA.
- Kjell G. Nyborg & Ilya A. Strebulaev, 2003. "Multiple Unit Auctions and Short Squeezes," Working Papers 2003.27, Fondazione Eni Enrico Mattei.
- Shane Miller & Eckhard Platen, 2004. "Two-Factor Model for Low Interest Rate Regimes," Research Paper Series 130, Quantitative Finance Research Centre, University of Technology, Sydney.
- Dailami, Mansoor & Hauswald, Robert, 2003. "The emerging project bond market - covenant provisions and credit spreads," Policy Research Working Paper Series 3095, The World Bank.