Report NEP-FMK-2011-03-05This 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:
- Ansgar Belke & Christian Gokus, 2011. "Volatility Patterns of CDS, Bond and Stock Markets before and during the Financial Crisis: Evidence from Major Financial Institutions," Discussion Papers of DIW Berlin 1107, DIW Berlin, German Institute for Economic Research.
- Jean-Marie Dufour & René Garcia & Abderrahim Taamouti, 2011. "Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility," CIRANO Working Papers 2011s-27, CIRANO.
- Matt P. Dziubinski, 2011. "Option valuation with the simplified component GARCH model," CREATES Research Papers 2011-09, School of Economics and Management, University of Aarhus.
- Kay Pilz & Erik Schlogl, 2010. "Calibration of Multicurrency LIBOR Market Models," Research Paper Series 286, Quantitative Finance Research Centre, University of Technology, Sydney.