Report NEP-FMK-2007-12-01

This 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.

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Other reports in NEP-FMK

The following items were announced in this report:

• Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns," Swiss Finance Institute Research Paper Series 07-26, Swiss Finance Institute.
• Pauline Barrieu & Henri Loubergé, 2007. "Hybrid Cat-bonds," Swiss Finance Institute Research Paper Series 07-27, Swiss Finance Institute.
• Loriano Mancini & Fabio Trojani, 2007. "Robust Value at Risk Prediction," Swiss Finance Institute Research Paper Series 07-31, Swiss Finance Institute.
• Igor Evstigneev & Dhruv Kapoor, 2007. "Arbitrage in Stationary Markets," Swiss Finance Institute Research Paper Series 07-32, Swiss Finance Institute.
• Amine Jalal, 2007. "Dynamic Option-Based Strategies under Downside Loss Averse Preferences," Swiss Finance Institute Research Paper Series 07-34, Swiss Finance Institute.
• Albuquerque, Rui & Miao, Jianjun, 2007. "Advance Information and Asset Prices," CEPR Discussion Papers 6588, C.E.P.R. Discussion Papers.
• Item repec:hhs:bofrdp:2007_020 is not listed on IDEAS anymore

• Dominique Guegan & Jing Zhang, 2007. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Documents de travail du Centre d'Economie de la Sorbonne b07057, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Zhi Da & Pengjie Gao & Ravi Jagannathan, 2007. "When Does a Mutual Fund's Trade Reveal its Skill?," NBER Working Papers 13625, National Bureau of Economic Research, Inc.
• Balázs Zsámboki, 2007. "Basel II and financial stability: An investigation of sensitivity and cyclicality of capital requirements based on QIS 5," MNB Occasional Papers 2007/67, Magyar Nemzeti Bank (Central Bank of Hungary).
• Fathi, Abid & Nader, Naifar, 2007. "Copula based simulation procedures for pricing basket Credit Derivatives," MPRA Paper 6014, University Library of Munich, Germany.
• Jose Vicente & Benjamin M. Tabak, 2007. "Forecasting Bonds Yields in the Brazilian Fixed Income Market," Working Papers Series 141, Central Bank of Brazil, Research Department.
• Dimitris Politis & Dimitrios Thomakos, 2007. "NoVaS Transformations: Flexible Inference for Volatility Forecasting," Working Papers 0005, University of Peloponnese, Department of Economics.
• Dimitrios Thomakos & Tao Wang, 2007. "'Optimal' Probabilistic Predictions for Financial Returns," Working Papers 0006, University of Peloponnese, Department of Economics.