Report NEP-RMG-2004-09-05This 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.
The following items were announced in this report:
- Rosario Dell'Aquila & Elvezio Ronchetti, 2004. "Stock and Bond Return Predictability : The Discrimination Power of Model Selection Criteria," Research Papers by the Department of Economics, University of Geneva 2004.05, Département des Sciences Économiques, Université de Genève.
- Austin Kelly, 2004. "Modeling the Credit Risk in Agricultural Mortgages: A Critical Review of the Farm Credit Administration’s Credit Risk Model for Farmer Mac," Finance 0409001, EconWPA.
- Edward W. Piotrowski, . "The Attainability of an Financial Instrument and Financial Risk (in Polish)," Departmental Working Papers 114pl, University of Bialtystok, Department of Theoretical Physics.
- Ram Bhar & Carl Chiarella & Thuy-Duong To, 2004. "Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets," Finance 0409003, EconWPA.
- John Kambhu, 2004. "Trading risk and volatility in interest rate swap spreads," Staff Reports 178, Federal Reserve Bank of New York.
- Ram Bhar & Carl Chiarella & Hing Hung & Wolfgang Runggaldier, 2004. "The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach," Finance 0409002, EconWPA.
- Andersson, Patric, 2004. "How well do financial experts perform? A review of empirical research on performance of analysts, day-traders, forecasters, fund managers, investors, and stockbrokers," Working Paper Series in Business Administration 2004:9, Stockholm School of Economics.
- Edin, Per-Anders & Gustavsson, Magnus, 2004. "Time Out of Work and Skill Depreciation," Working Paper Series 2004:14, Uppsala University, Department of Economics.