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Report NEP-FMK-2009-11-27
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:
- Backus, David & Chernov, Mikhail & Martin, Ian, 2009, "Disasters implied by equity index options," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7416, Aug.
- Robert Rigg & Lotte Schou-Zibell, 2009, "The Financial Crisis and Money Markets in Emerging Asia," Working Papers on Regional Economic Integration, Asian Development Bank, number 38, Nov.
- Fengzhong Wang & Kazuko Yamasaki & Shlomo Havlin & H. Eugene Stanley, 2009, "Statistical Regularities of Equity Market Activity," Papers, arXiv.org, number 0911.4258, Nov.
- Valadkhani, Abbas & O'Brien, Martin & Karunanayake, Indika, 2009, "Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp09-11.
- Abdul Hakim & Michael McAleer, 2009, "Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-677, Oct.
- Abdul Hakim & Michael McAleer, 2009, "VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-676, Oct.
- Nathalie Rey, 2009, "Credit derivatives: instruments of hedging and factors of instability. The example of ?Credit Default Swaps? on French reference entities," Papers, arXiv.org, number 0911.4039, Nov.
- Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009, "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-680, Oct.
- Kenichiro Shiraya & Akihiko Takahashi, 2009, "Pricing Average Options on Commodities," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-681, Oct.
- Onur Olgun & Ý. Hakan Yetkiner, 2009, "The Superiority of Time-Varying Hedge Ratios in Turkish Futures," Working Papers, Izmir University of Economics, number 0907, Nov.