Report NEP-FMK-2013-09-25This 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:
- Magomet Yandiev & Alexander Pakhalov, 2013. "The Relationship Between Stock Market Parameters and Interbank Lending Market: an Empirical Evidence," Papers 1309.5703, arXiv.org.
- Pierre Blanc & R'emy Chicheportiche & Jean-Philippe Bouchaud, 2013. "The fine structure of volatility feedback II: overnight and intra-day effects," Papers 1309.5806, arXiv.org, revised May 2014.
- Ying Jiao & Olivier Klopfenstein & Peter Tankov, 2013. "Hedging under multiple risk constraints," Papers 1309.5094, arXiv.org.
- Thilo A. Schmitt & Desislava Chetalova & Rudi Schafer & Thomas Guhr, 2013. "Credit Risk and the Instability of the Financial System: an Ensemble Approach," Papers 1309.5245, arXiv.org, revised Nov 2013.
- Francisco Covas & Ben Rump & Egon Zakrajsek, 2013. "Stress-testing U.S. bank holding companies: a dynamic panel quantile regression approach," Finance and Economics Discussion Series 2013-55, Board of Governors of the Federal Reserve System (U.S.).