Printed from https://ideas.repec.org/n/nep-fmk/2004-12-12.html
Report NEP-FMK-2004-12-12
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:
- Stuart Turnbull & Jun Yang, 2004, "Modelling the Evolution of Credit Spreads in the United States," Staff Working Papers, Bank of Canada, number 04-45, DOI: 10.34989/swp-2004-45.
- ronald l goettler & christine a parlour & uday rajan, 2003, "Equilibrium in a dynamic limit order market," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2003-E23, Oct.
- Richard C. Green & Burton Hollifield & Norman Schurhoff, , "Financial Intermediation and the Costs of Trading in an Opaque Market," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2004-11.
- Michael Gallmeyer & Burton Hollifield & Duane Seppi, , "Liquidity Discovery and Asset Pricing," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2004-10.
- Bruno Biais & Christophe Bisiere & Chester Spatt, 2002, "Imperfect Competition in Financial Markets: ISLAND vs. NASDAQ," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2003-E41, Oct.
- Ronald Goettler & Christine Parlour & Uday Rajan, , "Information Acquisition in a Limit Order Market," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2004-E53.
- Stephan Dieckmann & Michael Gallmeyer, , "The Equilibrium Allocation of Diffusive and Jump Risks with Heterogeneous Agents," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2003-E36.
- Mora Galán, Alberto & Pérez, Ana & Ruiz Ortega, Esther, 2004, "Stochastic volatility models and the Taylor effect," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws046315, Nov.
- Item repec:dgr:eureri:30001963 is not listed on IDEAS anymore
- Item repec:dgr:rugsom:04e13 is not listed on IDEAS anymore
- Item repec:dgr:rugsom:04e15 is not listed on IDEAS anymore
- Item repec:dgr:kubtil:2004012 is not listed on IDEAS anymore
- Chetverikov Viktor, 2000, "Arbitrage Possibilities in Russian Spot and Future Markets," EERC Working Paper Series, EERC Research Network, Russia and CIS, number 98-057e, Apr.
- Nicole Branger & Christian Schlag, 2008, "Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 136.
- Item repec:fra:franaf:137 is not listed on IDEAS anymore
- Nicole Branger & Angelika Esser & Christian Schlag, 2004, "When Are Static Superhedging Strategies Optimal?," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 138, Oct.
- Nicole Branger & Christian Schlag, 2004, "Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 140, Oct.
- Clive G. Bowsher, 2004, "Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W21, Sep.
- Catalin Starica & Clive Granger, 2004, "Non-stationarities in stock returns," Econometrics, University Library of Munich, Germany, number 0411016, Nov.
- Jawadi Fredj & Koubaa Yousra, 2004, "Threshold Cointegration between Stock Returns : An application of STECM Models," Econometrics, University Library of Munich, Germany, number 0412001, Dec.
- Thomas Mikosch, 2004, "Is it really long memory we see in financial returns?," Econometrics, University Library of Munich, Germany, number 0412002, Dec.
- Item repec:wpa:wuwpfi:0411043 is not listed on IDEAS anymore
- David Hirshleifer & James N. Myers & Linda A. Myers & Siew Hong Teoh, 2004, "Do Individual Investors Drive Post-Earnings Announcement Drift? Direct Evidence from Personal Trades," Finance, University Library of Munich, Germany, number 0412003, Dec.
- Puja Guha & Shivani Daga & Richa Gulati & Ganita Bhupal & Hena Oak, 2004, "International Financial Markets Integration or Segmentation: A Case Study of Equity Markets," Finance, University Library of Munich, Germany, number 0412013, Dec.
- Cornelis A. Los, 2004, "Why VAR Fails: Long Memory and Extreme Events in Financial Markets," Finance, University Library of Munich, Germany, number 0412014, Dec.
- Wassim Daher & Leonard J. Mirman, 2004, "Market structure and insider trading," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number b04025, Mar.
- Wassim Daher & Leonard J. Mirman, 2004, "Cournot duopoly and insider trading with two insiders," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number b04077, Sep.