Report NEP-FMK-2002-02-15This 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:
- Pierluigi Balduzzi & Cesare Robotti, 2001. "Minimum-variance kernels, economic risk premia, and tests of multi-beta models," Working Paper 2001-24, Federal Reserve Bank of Atlanta.
- Gurdip Bakshi & Dilip Madan & Frank Zhang, 2001. "Understanding the role of recovery in default risk models: empirical comparisons and implied recovery rates," Finance and Economics Discussion Series 2001-37, Board of Governors of the Federal Reserve System (U.S.).
- Item repec:fip:fedlwp:2001-021a is not listed on IDEAS anymore
- J. Benson Durham, 2001. "The effect of monetary policy on monthly and quarterly stock market returns: cross-country evidence and sensitivity analyses," Finance and Economics Discussion Series 2001-42, Board of Governors of the Federal Reserve System (U.S.).
- Jose A. Lopez & Christian A. Walter, 2000. "Evaluating covariance matrix forecasts in a value-at-risk framework," Working Papers in Applied Economic Theory 2000-21, Federal Reserve Bank of San Francisco.
- Item repec:fmg:fmgdps:dp0394 is not listed on IDEAS anymore
- Item repec:fip:fednep:v.7no.3:x:3 is not listed on IDEAS anymore
- Post, G.T., 2002. "A Stochastic Dominance Approach to Spanning," Research Paper ERS-2002-01-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
- Item repec:fip:fedlwp:2002-001a is not listed on IDEAS anymore
- Nilsson, Birger, 2002. "International Asset Pricing and the Benefits from World Market Diversification," Working Papers 2002:1, Lund University, Department of Economics.
- Item repec:fip:fednsr:2:x:1 is not listed on IDEAS anymore
- Cesare Robotti, 2001. "The price of inflation and foreign exchange risk in international equity markets," Working Paper 2001-26, Federal Reserve Bank of Atlanta.
- Patrice Bertail & Christian Haefke & Dimitris N. Politis & Halbert White, 2001. "A subsampling approach to estimating the distribution of diversing statistics with application to assessing financial market risks," Economics Working Papers 599, Department of Economics and Business, Universitat Pompeu Fabra.
- Item repec:fip:fedlwp:2000-032b is not listed on IDEAS anymore
- Christian A. Johnson, 2000. "Value at Risk Ajustado por Liquidez: Una Aplicación a los Bonos Soberanos Chilenos," Working Papers Central Bank of Chile 76, Central Bank of Chile.