Report NEP-FMK-2010-03-20This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Kwang Soo Cheong issued this report. It is usually issued weekly.
The following items were announced in this report:
- Dominique Guegan & Wayne Tarrant, 2010. "On the necessity of five risk measures," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00460901, HAL.
- Marcus J. Chambers & Joanne S. Ercolani & A. M. Robert Taylor, 2010. "Testing for seasonal unit roots by frequency domain regression," Discussion Papers 10/02, University of Nottingham, Granger Centre for Time Series Econometrics.
- Ulrich Horst & Traian A. Pirvu & GonÃ§alo Dos Reis, 2010. "On Securitization, Market Completion and Equilibrium Risk Transfer," SFB 649 Discussion Papers SFB649DP2010-010, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Liuling Li & Bruce Mizrach, 2010. "Tail Return Analysis of Bear Stearns Credit Default Swaps," Departmental Working Papers 201003, Rutgers University, Department of Economics.
- Suarez, Ronny, 2010. "Defining extreme volatility events at the S&P 500 Index," MPRA Paper 21053, University Library of Munich, Germany.
- Damiano Brigo & Mirela Predescu & Agostino Capponi, 2010. "Credit Default Swaps Liquidity modeling: A survey," Papers 1003.0889, arXiv.org, revised Mar 2010.