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Report NEP-FMK-2009-03-07
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:
- Besancenot, Damien & Vranceanu, Radu, 2008, "Financial distress and banks' communication policy in crisis times," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 08018, Nov.
- Fulvio Corsi & Davide Pirino & Roberto Reno, 2009, "Volatility Forecasting: The Jumps Do Matter," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-036, Mar.
- Isao Ishida & Toshiaki Watanabe, 2009, "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-032, Feb.
- Federico M. Bandi & Roberto Reno, 2009, "Nonparametric Stochastic Volatility," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-035, Mar.
- Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009, "Duration-Based Volatility Estimation," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-034, Mar.
- Hiroki Masuda & Takayuki Morimoto, 2009, "An Optimal Weight for Realized Variance Based on Intermittent High-Frequency Data," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-033, Feb.
- Shamiri, Ahmed, 2008, "Volatility Transmission: What Does Asia-Pacific Markets Expect?," MPRA Paper, University Library of Munich, Germany, number 13706.