Report NEP-FMK-2005-11-19

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:

• Viktoria Hnatkovska & Martin Evans, 2005, "International Capital Flows in a World of Greater Financial Integration," Computing in Economics and Finance 2005, Society for Computational Economics, number 419, Nov.
• Guenter Franke & Jan Pieter Krahnen, 2005, "Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations," NBER Working Papers, National Bureau of Economic Research, Inc, number 11741, Nov.
• Item repec:ecb:ecbwps:20050547 is not listed on IDEAS anymore

• Ritirupa Samanta & Blake LeBaron, 2005, "Extreme Value Theory and Fat Tails in Equity Markets," Computing in Economics and Finance 2005, Society for Computational Economics, number 140, Nov.
• Item repec:ecb:ecbwps:20050548 is not listed on IDEAS anymore

• Sikandar Hussain & M. Shahid Ebrahim, 2005, "Financial Development and Property Valuation," Computing in Economics and Finance 2005, Society for Computational Economics, number 24, Nov.
• Menzie D. Chinn & Hiro Ito, 2005, "Current Account Balances, Financial Development and Institutions: Assaying the World "Savings Glut"," NBER Working Papers, National Bureau of Economic Research, Inc, number 11761, Nov.
• Item repec:ecb:ecbwps:20050552 is not listed on IDEAS anymore

• Xiaozhong Liang, 2005, "The Behavior of Banks under the Deposit Insurance and Capital Requirements," Computing in Economics and Finance 2005, Society for Computational Economics, number 407, Nov.
• Joseph Friedman & Yochanan Shachmurove, 2005, "European Stock Market Dynamics Before and After the Introduction of the Euro," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 05-028, Oct.
• Walid Hejazi & Eric Santor, 2005, "Degree of Internationalization and Performance: An Analysis of Canadian Banks," Staff Working Papers, Bank of Canada, number 05-32, DOI: 10.34989/swp-2005-32.
• Item repec:kie:kieliw:1260 is not listed on IDEAS anymore

• Mark E. Wohar & David E. Rapach, 2005, "Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence," Computing in Economics and Finance 2005, Society for Computational Economics, number 329, Nov.
• Item repec:ecb:ecbwps:20050553 is not listed on IDEAS anymore

• Francisco Ledesma-Rodríguez & Manuel Navarro-Ibáñezr & Jorge Pérez-Rodríguez & Simón Sosvilla-Rivero, , "Implicit regimes for the Spanish Peseta/Deutschmark exchange rate," Working Papers, FEDEA, number 2005-21.
• Marian Micu, 2005, "Extracting expectations from currency option prices: a comparison of methods," Computing in Economics and Finance 2005, Society for Computational Economics, number 226, Nov.
• Mathias Hoffmann, 2005, "Proprietary Income, Entrepreneurial Risk and the Predictability of U.S. Stock Returns," Computing in Economics and Finance 2005, Society for Computational Economics, number 229, Nov.
• Item repec:kie:kieliw:1259 is not listed on IDEAS anymore

• Kathryn Dominguez & Freyan Panthaki, 2005, "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers, National Bureau of Economic Research, Inc, number 11769, Nov.
• Campa, Jose M. & Goldberg, Linda S. & Gonzalez-Minguez, Jose M., 2005, "Exchange-rate pass-through to import prices in the euro area," IESE Research Papers, IESE Business School, number D/609, Sep.
• Ramdane Djoudad & Jack Selody & Carolyn A. Wilkins, 2005, "Does Financial Structure Matter for the Information Content of Financial Indicators?," Staff Working Papers, Bank of Canada, number 05-33, DOI: 10.34989/swp-2005-33.
• Tommaso Monacelli & Ester Faia, 2005, "Optimal Interest Rate Rules, Asset Prices and Credit Frictions," Computing in Economics and Finance 2005, Society for Computational Economics, number 452, Nov.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2005, "Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 11775, Nov.
• Item repec:dgr:uvatin:20050089 is not listed on IDEAS anymore

• James Laurenceson & Kam Ki Tang, , "China's capital account convertibility and financial stability," EAERG Discussion Paper Series, School of Economics, University of Queensland, Australia, number 0505.
• Michael Haliassos & Michael Reiter, 2005, "Credit card debt puzzles," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 901, Nov.
• Sheri Markose & Amadeo Alentorn, 2005, "Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution," Computing in Economics and Finance 2005, Society for Computational Economics, number 397, Nov.
• Ajit Singh & Jack Glen & Ann Zammitt & Rafael De Hoyos & Alaka Singh & Bruce Weisse, 2005, "Shareholder value maximisation, stock market and new technology: should the US corporate model be the universal standard," Working Papers, Centre for Business Research, University of Cambridge, number wp315, Sep.
• Item repec:ecb:ecbwps:20050550 is not listed on IDEAS anymore

• Neng Wang & Rui Albuquerque, 2005, "Agency Conflicts, Investment, and Asset Pricing," Computing in Economics and Finance 2005, Society for Computational Economics, number 351, Nov.
• Glaser, Markus & Langer, Thomas & Reynders, Jens & Weber, Martin, 2005, "Framing Effects in Stock Market Forecasts: The Difference Between Asking for Prices and Asking for Returns," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 05-40, Nov.
• Shafiqur Rahman & M. Shahid Ebrahim, 2005, "The Futures Pricing Puzzle," Computing in Economics and Finance 2005, Society for Computational Economics, number 35, Nov.
• Glaser, Markus & Weber, Martin, 2005, "Which Past Returns Affect Trading Volume?," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 05-33, Aug.
• Virginia Queijo, 2005, "Bayesian Estimation of a DSGE Model with Financial Frictions for the U.S. and the Euro Area," Computing in Economics and Finance 2005, Society for Computational Economics, number 306, Nov.
• Duc PHAM-HI, 2005, "Operational risk management and new computational needs in banks," Computing in Economics and Finance 2005, Society for Computational Economics, number 355, Nov.
• Charles Engel, 2005, "The US Current Account Deficit: A Re-examination of the Role of Private Saving," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2005-09, Nov.
• Paolo Surico & Antonello D'Agostino & Luca Sala, 2005, "The Fed and the Stock Market," Computing in Economics and Finance 2005, Society for Computational Economics, number 293, Nov.
• Michael P. Dooley & David Folkerts-Landau & Peter M. Garber, 2005, "Interest Rates, Exchange Rates and International Adjustment," NBER Working Papers, National Bureau of Economic Research, Inc, number 11771, Nov.
• Marius Jurgilas, 2005, "Interbank market under the currency board: Case of Lithuania," Computing in Economics and Finance 2005, Society for Computational Economics, number 448, Nov.
• Luigi Benfratello & Fabio Schiantarelli & Alessandro Sembenelli, 2005, "Banks and Innovation: Microeconometric Evidence on Italian Firms," Boston College Working Papers in Economics, Boston College Department of Economics, number 631, Oct, revised 13 Jun 2007.
• Eva de Francisco, 2005, "Limited Participation, Income Distribution and Capital Account Liberalization," Computing in Economics and Finance 2005, Society for Computational Economics, number 454, Nov.
• Matt Pritsker, 2005, "A Fully-Rational Liquidity-Based Theory of IPO Underpricing and Underperformance," Computing in Economics and Finance 2005, Society for Computational Economics, number 414, Nov.
• basab dasgupta, 2005, "Capital Accumulation in the Presence of Informal Credit Contract: Does Incentive Mechanism Work Better than Credit Rationing Under Asymmetric Information?," Computing in Economics and Finance 2005, Society for Computational Economics, number 366, Nov.
• James Stodder, 2005, "Computational Efficiency and Macroeconomic Stability under Centralized Exchange: Evidence from Swiss and US Exchange Data," Computing in Economics and Finance 2005, Society for Computational Economics, number 64, Nov.
• Jiali Liao & Theodore V. Theodosopoulos, 2005, "Optimal Timing of Mark-to-Market for Contingent Credit Risk Control," Computing in Economics and Finance 2005, Society for Computational Economics, number 220, Nov.
• Arup Daripa & Simone Varotto, 2005, "Ex Ante Versus Ex Post Regulation of Bank Capital," Finance, University Library of Munich, Germany, number 0511009, Nov.
• Daniela Fabbri & Anna Maria Cristina Menichini, 2005, "Trade Credit, Collateral Liquidation and Borrowing Constraints," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 146, Nov, revised 08 Feb 2009.
• Arup Daripa, 2005, "How (Not) to Sell Money," Macroeconomics, University Library of Munich, Germany, number 0511019, Nov.
• Eymen Errais & Fabio Mercurio, 2005, "Yes, Libor Models can capture Interest Rate Derivatives Skew : A Simple Modelling Approach," Computing in Economics and Finance 2005, Society for Computational Economics, number 192, Nov.
• Pasquale Lucio Scandizzo, 2004, "Financing Technology: An Assessment of Theory and Practice," CEIS Research Paper, Tor Vergata University, CEIS, number 43, Jan.
• Alfredo Ibáñez, 2005, "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Computing in Economics and Finance 2005, Society for Computational Economics, number 216, Nov.
• Willi Semmler & Lars Grüne, 2005, "Asset Pricing and Loss Aversion," Computing in Economics and Finance 2005, Society for Computational Economics, number 199, Nov.
• Mohammad R. Rahman & Ruppa K. Thulasiram & Parimala Thulasiraman, 2005, "Wavelet Optimized Finite-Difference Approach to Solve Jump-Diffusion type Partial Differential Equation for Option Pricing," Computing in Economics and Finance 2005, Society for Computational Economics, number 471, Nov.
• Oleksandr Zhylyevskyy, 2005, "Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geske–Johnson Scheme," Computing in Economics and Finance 2005, Society for Computational Economics, number 187, Nov.
• Frode Brevik & Stefano d'Addona, 2005, "Information Quality and Stock Returns Revisited," Finance, University Library of Munich, Germany, number 0511006, Nov, revised 26 Mar 2006.

Report NEP-FMK-2005-11-19

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: