Printed from https://ideas.repec.org/n/nep-fmk/2007-12-01.html
Report NEP-FMK-2007-12-01
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:
- Gregory Connor & Matthias Hagmann & Oliver Linton, 2007, "Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-26, Sep.
- Pauline Barrieu & Henri Loubergé, 2007, "Hybrid Cat-bonds," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-27, Sep.
- Loriano Mancini & Fabio Trojani, 2007, "Robust Value at Risk Prediction," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-31, Oct.
- Igor Evstigneev & Dhruv Kapoor, 2007, "Arbitrage in Stationary Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-32, Oct.
- Amine Jalal, 2007, "Dynamic Option-Based Strategies under Downside Loss Averse Preferences," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-34, Sep.
- Albuquerque, Rui & Miao, Jianjun, 2007, "Advance Information and Asset Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6588, Nov.
- Item repec:hhs:bofrdp:2007_020 is not listed on IDEAS anymore
- Dominique Guegan & Jing Zhang, 2007, "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b07057, Nov, DOI: 10.1080/13518470902895344.
- Zhi Da & Pengjie Gao & Ravi Jagannathan, 2007, "When Does a Mutual Fund's Trade Reveal its Skill?," NBER Working Papers, National Bureau of Economic Research, Inc, number 13625, Nov.
- Balázs Zsámboki, 2007, "Basel II and financial stability: An investigation of sensitivity and cyclicality of capital requirements based on QIS 5," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2007/67.
- Fathi, Abid & Nader, Naifar, 2007, "Copula based simulation procedures for pricing basket Credit Derivatives," MPRA Paper, University Library of Munich, Germany, number 6014, Mar.
- Jose Vicente & Benjamin M. Tabak, 2007, "Forecasting Bonds Yields in the Brazilian Fixed Income Market," Working Papers Series, Central Bank of Brazil, Research Department, number 141, Aug.
- Dimitris Politis & Dimitrios Thomakos, 2007, "NoVaS Transformations: Flexible Inference for Volatility Forecasting," Working Papers, University of Peloponnese, Department of Economics, number 0005.
- Dimitrios Thomakos & Tao Wang, 2007, "'Optimal' Probabilistic Predictions for Financial Returns," Working Papers, University of Peloponnese, Department of Economics, number 0006.