Report NEP-RMG-2003-04-27

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

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-RMG

The following items were announced in this report:

• Item repec:dgr:uvatin:20030030 is not listed on IDEAS anymore

• Tokuo Iwaisako, 2003, "Household Portfolios in Japan," NBER Working Papers, National Bureau of Economic Research, Inc, number 9647, Apr.
• Til Schuermann & Yusuf Jafry, 2003, "Measurement and Estimation of Credit Migration Matrices," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 03-08, Apr.
• Item repec:lev:wrkpap:354 is not listed on IDEAS anymore

• Yasushi Hamao & Jianping Mei & Yexiao Xu, 2003, "Idiosyncratic Risk and the Creative Destruction in Japan," NBER Working Papers, National Bureau of Economic Research, Inc, number 9642, Apr.
• Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2002, "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach," CIRANO Working Papers, CIRANO, number 2002s-85, Nov.
• Peter Christoffersen & Denis Pelletier, 2003, "Backtesting Value-at-Risk: A Duration-Based Approach," CIRANO Working Papers, CIRANO, number 2003s-05, Feb.
• Item repec:dgr:uvatin:20030028 is not listed on IDEAS anymore

• M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler & Scott M. Weiner & April, , "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 03-13.
• Jon Faust & John H. Rogers & Eric Swanson & Jonathan H. Wright, 2003, "Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 9660, Apr.
• Silvia Gonçalves & Lutz Kilian, 2003, "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," CIRANO Working Papers, CIRANO, number 2003s-17, Apr.
• Colin Mayer & Koen Schoors & Yishay Yafeh, 2003, "Sources of Funds and Investment Activities of Venture Capital Funds: Evidence from Germany, Israel, Japan and the UK," NBER Working Papers, National Bureau of Economic Research, Inc, number 9645, Apr.
• Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002, "Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities," CIRANO Working Papers, CIRANO, number 2002s-91, Dec.
• Joe Peek & Eric S. Rosengren, 2003, "Unnatural Selection: Perverse Incentives and the Misallocation of Credit in Japan," NBER Working Papers, National Bureau of Economic Research, Inc, number 9643, Apr.
• Stephen Gordon & Pascal St-Amour, 2003, "Asset Returns and State-Dependent Risk Preferences," CIRANO Working Papers, CIRANO, number 2003s-09, Apr.
• Nour Meddahi, 2002, "ARMA Representation of Integrated and Realized Variances," CIRANO Working Papers, CIRANO, number 2002s-93, Dec.
• Eric Ghysels & Jean-Pierre Florens & Mikhail Chernov & Marine Carrasco, 2003, "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," CIRANO Working Papers, CIRANO, number 2003s-02, Jan.
• Peter Hansen & Asger Lunde & James M. Nason, 2003, "Choosing the Best Volatility Models:The Model Confidence Set Approach," Working Papers, Brown University, Department of Economics, number 2003-05.
• Egil Matsen, 2002, "International Diversification, Growth, and Welfare with Non-Traded Income Risk and Incomplete Markets," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 1702, Oct.
• Morone, Andrea & Schmidt, Ulrich, 2003, "An Experimental Investigation of Alternatives to Expected Utility Using Pricing Data," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-280, Apr.
• Hugo A. Hopenhayn & Galina Vereshchagina, 2003, "Risk Taking by Entrepreneurs," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 500, Apr.
• Yusuf Jafry & Til Schuermann, 2003, "Metrics for Comparing Credit Migration Matrices," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 03-09, Mar.
• Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002, "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers, CIRANO, number 2002s-90, Dec.
• Item repec:lev:wrkpap:370 is not listed on IDEAS anymore

• Maher Kooli & Jean-François L'Her & Jean-Marc Suret, 2003, "Do IPOs Underperform in the Long-Run? New Evidence from the Canadian Stock Market," CIRANO Working Papers, CIRANO, number 2003s-16, Apr.
• René Garcia & Eric Renault & Andrei Semenov, 2003, "Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level," CIRANO Working Papers, CIRANO, number 2003s-12, Apr.

Report NEP-RMG-2003-04-27

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

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-RMG

The following items were announced in this report: