Report NEP-FMK-2011-02-12This 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:
- Octavio Fernandez-Amador & Martin Gï¿½chter & Martin Larch & Georg Peter, 2011. "Monetary policy and its impact on stock market liquidity: Evidence from the euro zone," Working Papers 2011-06, Faculty of Economics and Statistics, University of Innsbruck.
- Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," KIER Working Papers 759, Kyoto University, Institute of Economic Research.
- Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics 11/05, University of Canterbury, Department of Economics and Finance.
- Gabriele Galati & Richhild Moessner, 2011. "Macroprudential policy - a literature review," BIS Working Papers 337, Bank for International Settlements.
- Michel Fliess & Cédric Join, 2010. "A model-free approach to delta hedging," Working Papers inria-00457222, HAL.
- Michel Fliess & Cédric Join & Frédéric Hatt, 2011. "Volatility made observable at last," Post-Print hal-00562488, HAL.
- Ana Fostel & John Geanakoplos, 2010. "Why Does Bad News Increase Volatility and Decrease Leverage?," Cowles Foundation Discussion Papers 1762R, Cowles Foundation for Research in Economics, Yale University, revised Jan 2011.