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Report NEP-FMK-2013-03-02
This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Erik Schlogl issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-FMK
The following items were announced in this report:
- Sabrina Camargo & Silvio M. Duarte Queiros & Celia Anteneodo, 2013, "Bridging stylized facts in finance and data non-stationarities," Papers, arXiv.org, number 1302.3197, Feb, revised May 2013.
- Robert Fernholz & Tomoyuki Ichiba & Ioannis Karatzas, 2013, "A second-order stock market model," Papers, arXiv.org, number 1302.3870, Feb.
- Adri'an Carro & Ra'ul Toral & Maxi San Miguel, 2013, "Signal amplification in an agent-based herding model," Papers, arXiv.org, number 1302.6477, Feb, revised Sep 2015.
- Jozef Barunik & Jiri Kukacka, 2013, "Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility," Papers, arXiv.org, number 1302.7036, Feb, revised May 2013.
- Claudio Fontana, 2013, "Weak and strong no-arbitrage conditions for continuous financial markets," Papers, arXiv.org, number 1302.7192, Feb, revised May 2014.
- Turan G. Bali & Lin Peng & Yannan Shen & Yi Tang, 2013, "Liquidity Shocks and Stock Market Reactions," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1304, Feb.
- Turan G. Bali & Robert F. Engle & Yi Tang, 2013, "Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1305, Feb.
- Turan G. Bali & Hao Zhou, 2013, "Risk, Uncertainty, and Expected Returns," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1306, Feb.
- Luca Papi & Andrea Filippo Presbitero & Alberto Zazzaro, 2013, "IMF Lending and Banking Crises," Mo.Fi.R. Working Papers, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences, number 80, Feb.
- Hyong-Chol O & Jong-Jun Jo & Chol-Ho Kim, 2013, "Pricing Corporate Defaultable Bond using Declared Firm Value," Papers, arXiv.org, number 1302.3654, Feb, revised Jul 2013.
- Giuseppe Campolieti & Roman N. Makarov & Karl Wouterloot, 2013, "Pricing Step Options under the CEV and other Solvable Diffusion Models," Papers, arXiv.org, number 1302.3771, Feb.
- Damiano Brigo & Jo~ao Garcia & Nicola Pede, 2013, "CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models," Papers, arXiv.org, number 1302.6629, Feb.