Report NEP-FMK-2011-11-14This 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:
- Andrew Stuart Duncan & Alain Kabundi, 2011. "Global Financial Crises and Time-varying Volatility Comovement in World Equity Markets," Working Papers 253, Economic Research Southern Africa.
- Lumengo Bonga-Bonga & Jamela Hoveni, 2011. "Volatility Spillovers between the Equity Market and Foreign Exchange Market in South Africa," Working Papers 252, Economic Research Southern Africa.
- Marta Gómez-Puig & Simón Sosvilla-Rivero, 2011. "Causality and contagion in peripheral EMU public debt markets: a dynamic approach," Working Papers del Instituto Complutense de Estudios Internacionales 08-11, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
- Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "The Rise and Fall of S&P500 Variance Futures," KIER Working Papers 795, Kyoto University, Institute of Economic Research.
- Borgy, V. & Laubach, T. & Mésonnier, J-S. & Renne, J-P., 2011. "Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets," Working papers 350, Banque de France.
- Susie Lee & Ingmar Schumacher, 2011. "When does financial sector (in)stability induce financial reforms?," Working Papers hal-00637954, HAL.
- Fourel, V. & Idier, J., 2011. "Risk aversion and Uncertainty in European Sovereign Bond Markets," Working papers 349, Banque de France.
- Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios, 2011. "Credit Derivative Pricing with Stochastic Volatility Models," Research Paper Series 293, Quantitative Finance Research Centre, University of Technology, Sydney.
- Ehrlich, Isaac & Shin, Jong Kook & Yin, Yong, 2011. "Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets," IZA Discussion Papers 6060, Institute for the Study of Labor (IZA).
- Favero, Carlo A. & Missale, Alessandro, 2011. "Sovereign spreads in the Euro area: Which prospects for a Eurobond?," CEPR Discussion Papers 8637, C.E.P.R. Discussion Papers.
- Lester Alfonso & Ricardo Mansilla & Cesar A. Terrero-Escalante, 2011. "On the scaling of the distribution of daily price fluctuations in Mexican financial market index," Papers 1111.2038, arXiv.org.