Report NEP-FMK-2012-12-06This 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:
- Tim Bollerslev & Lai Xu & Hao Zhou, 2012. "Stock Return and Cash Flow Predictability: The Role of Volatility Risk," CREATES Research Papers 2012-51, Department of Economics and Business Economics, Aarhus University.
- Varvara Isyuk, 2012. "Financial versus Demand shocks in stock price returns of US non-financial firms in the crisis of 2007," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00755562, HAL.
- Viral V. Acharya, 2012. "The Dodd-Frank Act and Basel III : Intentions, Unintended Consequences, and Lessons for Emerging Markets," Governance Working Papers 23352, East Asian Bureau of Economic Research.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012. "Persistence and Cycles in the US Federal Funds Rate," Discussion Papers of DIW Berlin 1255, DIW Berlin, German Institute for Economic Research.
- Sebastian Edwards, 2012. "The Federal Reserve, Emerging Markets, and Capital Controls: A High Frequency Empirical Investigation," NBER Working Papers 18557, National Bureau of Economic Research, Inc.
- Zhi-Qiang Jiang & Wen-Jie Xie & Wei-Xing Zhou, 2012. "Testing the weak-form efficiency of the WTI crude oil futures market," Papers 1211.4686, arXiv.org.
- Dimitri O. Ledenyov & Viktor O. Ledenyov, 2012. "On the Risk Management with Application of Econophysics Analysis in Central Banks and Financial Institutions," Papers 1211.4108, arXiv.org.
- Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012. "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers 2012-50, Department of Economics and Business Economics, Aarhus University.
- Bruno R'emillard & Sylvain Rubenthaler, 2012. "Optimal hedging in discrete time," Papers 1211.5035, arXiv.org.
- Tobias Adrian & Brian Begalle & Adam Copeland & Antoine Martin, 2012. "Repo and Securities Lending," NBER Working Papers 18549, National Bureau of Economic Research, Inc.