#FinancialMarkets – Working papers (#RePEc, 17/04/2014)

working_papers1

Source: RePEc – EconPapers

Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching
Adnen Ben Nasr, Thomas Lux, Ahdi Noomen Ajmi and Rangan Gupta 
University of Pretoria, Department of Economics
Keywords: Islamic finance, volatility dynamics, long memory, multifractals
JEL-code: G15 G17 G23
Created/Revised: 2014-03Downloads

The Risk Return Relationship: Evidence from Index Return and Realised Variance Series
Minxian Yang 
School of Economics, The University of New South W…
Keywords: risk premium, volatility feedback, return predictability, realised variance model, statistical balan…
JEL-code: C32 C52 G12 G10
Created/Revised: 2014-03Downloads

Does Interbank Market Matter for Business Cycle Fluctuation? An Estimated DSGE Model with Financial Frictions for the Euro Area
Federico Giri 
Universita’ Politecnica delle Marche (I), Dipartim…
Keywords: Bayesan estimation, DSGE model, financial frictions, interbank market
JEL-code: E30 E44 E51
Created/Revised: 2014-03Downloads

Financial Market Contagion during the Global Financial Crisis
Sabur Mollah, Goran Zafirov and AMM Shahiduzzaman Quoreshi 
Center for Innovation and Technology Research, Ble…
Keywords: Contagion; Financial Markets; Global Crisis
JEL-code: C58 F36 G01
Created/Revised: 2014-04-02Downloads

Analysis of European Equity Funds Preferences for Stock Characteristics
Carlos F. Alves, João Vaz Nunes and Ana Paula Serra 
Universidade do Porto, Faculdade de Economia do Po…
Keywords: mutual fund; institutional investors behaviour
JEL-code: G11 G23
Created/Revised: 2014-04Downloads

Stock Price Booms and Expected Capital Gains
Klaus Adam, Johannes Beutel and Albert Marcet 
Barcelona Graduate School of Economics
Keywords: Stock Price Volatility, learning, survey expectations, internal rationality
JEL-code: G12 D84
Created/Revised: 2014-01Downloads

Informational and Allocative Efficiency in Financial Markets with Costly Information
Arina Nikandrova 
Birkbeck, Department of Economics, Mathematics & S…
Keywords: Sequential Trading, Cost of Information, Endogenous Information Acquisition.
JEL-code: D80 D83 D84 G12 G14
Created/Revised: 2014-03Downloads

Stochastic Evolution of Stock Market Volume-Price Distributions
Paulo Rocha, Frank Raischel, da Cruz, Jo\~ao P. and Pedro G. Lind 
arXiv.org
Created/Revised: 2014-04Downloads

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