#FinancialMarkets – Working papers (#RePEc, 22/05/2014)


Source: RePEc – EconPapers

Sélection de working papers dans le domaine des marchés financiers:

The Time-Varying Risk and Return Trade Off in Indian Stock Markets
Roshni Mohanty and Srinivasan P 
University Library of Munich, Germany
Keywords: Stock Market Returns, Weak-From Efficiency, India, AR-EGARCH-M model
JEL-code: C58 G1 G12

Measurement and Internalization of Systemic Risk in a Global Banking Network
Xiaobing Feng and Haibo Hu 

Impact of information cost and switching of trading strategies in an artificial stock market
Yi-Fang Liu, Wei Zhang, Chao Xu, Jørgen Vitting Andersen and Hai-Chuan Xu 
Keywords: Agent-based model; heterogeneity; switching behavior; market volatility

Agglomeration Economies and Local Comovement of Stock Returns
Shihe Fu and Liwei Shan 
Working Paper
Keywords: Stock returns; Local bias; Agglomeration economies
JEL-code: G1 R1 R3

Econometric Analysis of Stock Price Co-movement in the Economic Integration of East Asia
Gregory C Chow, Shicheng Huang and Linlin Niu 
Working Paper
Keywords: economic integration, time-varying regressions, East Asia, China, US, Japan, stock prices.
JEL-code: C22 G12

Granger Causality in Risk and Detection of Extreme Risk Spillover Between Financial Markets
Yongmiao Hong, Yanhui Liu and Shouyang Wang 
Working Paper
Keywords: Cross-spectrum, Extreme downside risk, Financial contagion, Granger causality in risk,Nonlinear time…

Braided and Knotted Stocks in the Stock Market: Anticipating the flash crashes
Ovidiu Racorean 

Credit Risk in the Euro area
Simon Gilchrist and Benoit Mojon 
Banque de France
Keywords: credit cycle, euro area, financial crisis.
JEL-code: E32 E43 E44

Bond Risk Premia and Gaussian Term Structure Models
Bruno Feunou and Jean-Sébastien Fontaine 
Bank of Canada
Keywords: Asset Pricing, Interest rates
JEL-code: E43 E47 G12

10 A multivariate model for financial indexes and an algorithm for detection of jumps in the volatility
Mario Bonino, Matteo Camelia and Paolo Pigato 

11 The People’s Republic of China’s Financial Markets: Are They Deep and Liquid Enough for Renminbi Internationalization?
Prince Christian Cruz, Yuning Gao and Lei Lei Song 
Asian Development Bank Institute
Keywords: RMB internationalization; financial depth; bond markets; stock market; money markets
JEL-code: E40 E50

12 The Price of Euro: Evidence from Sovereign Debt Markets

Erik Makela 
Aboa Centre for Economics
Keywords: Synthetic Control Method, Monetary Union, Sovereign Risk, Government Bond Yield
JEL-code: F34 E42 G15

13 Stylized facts of price gaps in limit order books: Evidence from Chinese stocks
Gao-Feng Gu, Xiong Xiong, Yong-Jie Zhang, Wei Chen, Wei Zhang and Wei-Xing Zhou 

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