Report NEP-RMG-2008-01-12

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The following items were anounced in this report:

• Wolfgang Härdle & Julius Mungo, 2008. "Value-at-Risk and Expected Shortfall when there is long range dependence," SFB 649 Discussion Papers SFB649DP2008-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
• Bartram, Söhnke M., 2007. "Corporate Cash Flow and Stock Price Exposures to Foreign Exchange Rate Risk," MPRA Paper 6662, University Library of Munich, Germany. [Downloadable!]
• Angela Romagnoli, 2007. "Balance-sheet ratios and stock returns: An analysis for Italian banks," Temi di discussione (Economic working papers) 648, Bank of Italy, Economic Research Department. [Downloadable!]
• Caiado, Jorge & Crato, Nuno, 2007. "Identifying common spectral and asymmetric features in stock returns," MPRA Paper 6607, University Library of Munich, Germany. [Downloadable!]
• Xavier Gabaix, 2008. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," NBER Working Papers 13724, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Item repec:pra:mprapa:6668 is not listed on IDEAS anymore

• Stéphane Loisel & Daniel Serant, 2007. "In the core of longevity risk: hidden dependence in stochastic mortality models and cut-offs in prices of longevity swaps," Pre- and Post-Print documents hal-00201393_v1, HAL. [Downloadable!]
• Lorán Chollete & Randi Næs & Johannes A. Skjeltorp, 2007. "What captures liquidity risk? A comparison of trade and order based liquidity factors," Working Paper 2007/03, Norges Bank. [Downloadable!]
• Stéphane Loisel & Claude Lefèvre, 2007. "Finite-Time Horizon Ruin Probabilities for Independent or Dependent Claim Amounts," Pre- and Post-Print documents hal-00201377_v1, HAL. [Downloadable!]
• Fagan, Stephen & Gencay, Ramazan, 2008. "Liquidity-Induced Dynamics in Futures Markets," MPRA Paper 6677, University Library of Munich, Germany. [Downloadable!]
• Pavel Cizek & Wolfgang Härdle & Vladimir Spokoiny, 2008. "Adaptive pointwise estimation in time-inhomogeneous time-series models," SFB 649 Discussion Papers SFB649DP2008-002, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
• Junni L. Zhang & Wolfgang Härdle, 2008. "The Bayesian Additive Classification Tree Applied to Credit Risk Modelling," SFB 649 Discussion Papers SFB649DP2008-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
• Buiter, Willem H, 2007. "Lessons from the 2007 Financial Crisis," CEPR Discussion Papers 6596, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Melecky, Martin, 2008. "An alternative framework for foreign exchange risk management of sovereign debt," Policy Research Working Paper Series 4458, The World Bank. [Downloadable!]

This page was last updated on 2008-7-20.