NEP-RMG-2003-10-28

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Report NEP-RMG-2003-10-28

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan Miles issued this report. It is usually issued weekly.

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Other reports in NEP-RMG

The following items were anounced in this report:

Raffaella Giacomini & Halbert White, 2004. "Tests of Conditional Predictive Ability," University of California at San Diego, Economics Working Paper Series 2003-09, Department of Economics, UC San Diego. [Downloadable!]
Pilar Abad & Alfonso Novales, 2002. "An Error Correction Factor Model of Term Structure Slopes in International Swaps Markets," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 0222, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
M. Martin Boyer, 2003. "Directors' and Officers' Insurance and Shareholders' Protection," CIRANO Working Papers 2003s-64, CIRANO. [Downloadable!]
Alain P. Chaboud & Owen F. Humpage, 2003. "An analysis of Japanese foreign exchange interventions, 1991-2002," Working Paper 0309, Federal Reserve Bank of Cleveland. [Downloadable!]
Alfonso Novales & Emilio Domínguez, 2002. "A factor model of term structure slopes in eurocurrency markets," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 0224, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
Alfonso Novales & Pilar Abad, 2002. "Risk Premia in the Term Structure of Swaps in Pesetas," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 0219, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
Nick Webber & Claudia Ribeiro, 2003. "Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge," Computing in Economics and Finance 2003 4, Society for Computational Economics. [Downloadable!]
Nick Webber & Claudia Ribeiro, 2003. "A Monte Carlo Method for the Normal Inverse Gaussian Option Valuation Model using an Inverse Gaussian Bridge," Computing in Economics and Finance 2003 5, Society for Computational Economics. [Downloadable!]
Tae-Hwan Kim & Halbert White, 2004. "On More Robust Estimation of Skewness and Kurtosis: Simulation and Application to the S&P500 Index," University of California at San Diego, Economics Working Paper Series 2003-12, Department of Economics, UC San Diego. [Downloadable!]
DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short run and long run causality in time series: Inference," Cahiers de recherche 2003-16, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
Roberto Perli & Brian Sack, 2003. "Does mortgage hedging amplify movements in long-term interest rates?," Finance and Economics Discussion Series 2003-49, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
P N Smith & S Sorensen & M R Wickens, . "Macroeconomic Sources of Equity Risk," Discussion Papers 03/13, Department of Economics, University of York. [Downloadable!]
J. Christina Wang, 2003. "Loanable funds, risk, and bank service output," Working Papers 03-4, Federal Reserve Bank of Boston. [Downloadable!]
Patrick de Fontnouvelle & Virginia DeJesus-Rueff & John Jordan & Eric Rosengren, 2003. "Capital and risk: new evidence on implications of large operational losses," Working Papers 03-5, Federal Reserve Bank of Boston. [Downloadable!]
Jesus Rodriguez Lopez & Hugo Rodriguez Mendizabal, 2003. "How tight should one's hands be tied? Fear of floating and credibility of exchange rate regimes," UFAE and IAE Working Papers 593.03, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
Juan Ángel Lafuente & Jesús Ruiz, 2002. "The New Market Effect on Return and Volatility of Spanish Sector Indexes," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 0213, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
Alfonso Novales & J.A. Lafuente, 2002. "Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 0223, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
Rafael Caballero & Emilio Cerdá & Mª del Mar Muñoz & Lourdes Rey, 2002. "Stochastic Approach versus Multiobjective Approach for Obtaining Efficient Solutions in Stochastic Multiobjective Programming Problems," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 0217, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
Jon Wongswan, 2003. "Contagion: an empirical test," International Finance Discussion Papers 775, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
Luisa Nieto & Mª Dolores Robles & Ángeles Fernández, 2002. "Linear and Nonlinear Intraday Dynamics between the Eurostoxx-50," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 0208, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
Rodrigo Cifuentes, 2003. "Banking Concentration: Implications for Systemic Risk and Safety Net Design," Working Papers Central Bank of Chile 231, Central Bank of Chile. [Downloadable!]
Pilar Abad & Alfonso Novales, 2002. "Volatility Transmission acros the Term Structure of Swap Markets: International Evidence," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 0220, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
J. Carlos Escanciano & Carlos Velasco, 2003. "Generalized Spectral Tests For The Martingale Difference Hypothesis," Statistics and Econometrics Working Papers ws035212, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
Alfonso Novales & Emilio Domínguez, 2002. "Can forward rates be used to improve interest rate forecasts?"," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 0225, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
Hui Guo & Robert Savickas, 2003. "Does idiosyncratic risk matter: another look," Working Papers 2003-025, Federal Reserve Bank of St. Louis. [Downloadable!]

This page was last updated on 2009-11-22.

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