Report NEP-RMG-2003-05-29This 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:
- Pilegaard, Rasmus & Durré, Alain & Evjen, Snorre, 2003. "Estimating risk premia in money market rates," Working Paper Series 0221, European Central Bank.
- Item repec:att:eurcbw:2003218 is not listed on IDEAS anymore
- Allen Abrahamson, 2003. "Efficient Path-Dependent Valuation Using Lattices: Fixed and Floating Strike Asian Options," Finance 0305005, EconWPA.
- Johann Burgstaller, 2003. "Interest Rate Transmission to Commercial Credit Rates in Austria," Economics working papers 2003-06, Department of Economics, Johannes Kepler University Linz, Austria.
- Piontkovsky Ruslan, 2003. "Dollarization, Inflation Volatility and Underdeveloped Financial Markets in Transition Economies," EERC Working Paper Series 03-02e, EERC Research Network, Russia and CIS.
- George Woodward & Heather Anderson, 2003. "Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter," Monash Econometrics and Business Statistics Working Papers 9/03, Monash University, Department of Econometrics and Business Statistics.
- Item repec:dgr:kubcen:200348 is not listed on IDEAS anymore
- Marc Saidenberg & Til Schuermann & May, . "The New Basel Capital Accord and Questions for Research," Center for Financial Institutions Working Papers 03-14, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Item repec:dgr:kubcen:200346 is not listed on IDEAS anymore
- Xibin Zhang & Maxwell L. King, 2003. "Estimation of Asymmetric Box-Cox Stochastic Volatility Models Using MCMC Simulation," Monash Econometrics and Business Statistics Working Papers 10/03, Monash University, Department of Econometrics and Business Statistics.
- Edward W. Piotrowski & Jan Sladkowski, . "Arbitrage Risk Induced by Transaction Costs," Departmental Working Papers 17, University of Bialtystok, Department of Theoretical Physics.
- Federico Bandi & Benoit Perron, 2003. "Long memory and the relation between implied and realized volatility," Econometrics 0305004, EconWPA.
- Schnatz, Bernd & Osbat, Chiara & Rüffer, Rasmus, 2003. "The rise of the yen vis--vis the ("synthetic") euro: is it supported by economic fundamentals?," Working Paper Series 0224, European Central Bank.