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

compta

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 
arXiv.org

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 
HAL
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 
arXiv.org

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 
arXiv.org

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 
arXiv.org

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