Report NEP-RMG-2003-10-20

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:

• Donald P. Morgan & Philip E. Strahan, 2003, "Foreign Bank Entry and Business Volatility: Evidence from U.S. States and Other Countries," Working Papers Central Bank of Chile, Central Bank of Chile, number 229, Oct.
• Fajardo, J. & Cajueiro, D. O., 2003, "Volatility Estimation and Option Pricing with Fractional Brownian Motion," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_53, Oct.
• Christopher Rude, 2002, "Information, Trading, and the Pricing of Risky Financial Securities:," Computing in Economics and Finance 2002, Society for Computational Economics, number 119, Jul.
• J. Huston McCulloch & Prasad V. Bidarkota, 2003, "Signal Extraction can Generate Volatility Clusters," Computing in Economics and Finance 2003, Society for Computational Economics, number 59, Aug.
• Claudio Tebaldi, 2002, "Hedging using simulation: a least squares approach," Computing in Economics and Finance 2002, Society for Computational Economics, number 279, Jul.
• Fajardo, J. & Farias, A. R & Ornelas, J. R. H, 2003, "Goodness-of-fit Tests focus on VaR Estimation," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_55, Oct.
• Wasseem Mina & Jorge Martinez-Vazquez, 2003, "IMF Lending, Maturity of International Debt and Moral Hazard," International Center for Public Policy Working Paper Series, at AYSPS, GSU, International Center for Public Policy, Andrew Young School of Policy Studies, Georgia State University, number paper0301, Jan.
• Fajardo, J. & Mordeckiy, E., 2003, "Pricing Derivatives on Two Lévy-driven Stocks," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_56, Oct.
• Yoram Louzoun & Sorin Solomon, 2002, "Power Law Volatility Auto-Correlations in Stochastic Logistic Systems," Computing in Economics and Finance 2002, Society for Computational Economics, number 202, Jul.
• Ariadna Dumitrescu, 2003, "Valuation of Defaultable Bonds and Debt Restructuring," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 590.03, Oct.
• Neven Valev, 2002, "Lender Heterogeneity and the Maturity of International Loans," International Center for Public Policy Working Paper Series, at AYSPS, GSU, International Center for Public Policy, Andrew Young School of Policy Studies, Georgia State University, number paper0211, May.
• Asli Demirgüç-Kun & Edward J. Kane, 2003, "Deposit Insurance: Handle With Care," Working Papers Central Bank of Chile, Central Bank of Chile, number 227, Oct.
• Albrecht, Peter & Weber II, Carsten, 2003, "Asset/Liability Management of German Life Insurance Companies: A Value-at-Risk Approach in the Presence of Interest Rate Guarantees," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 03-19, Oct.
• M. A. Kaboudan, 2003, "Genetic Programming Software to Forecast Time Series," Computing in Economics and Finance 2003, Society for Computational Economics, number 97, Aug.
• Marney J.P. & Fyfe C. & Tarbert H., 2002, "Risk Adjusted Returns And Technical Trading Rules From Data Projection," Computing in Economics and Finance 2002, Society for Computational Economics, number 53, Jul.
• H. Vincent Poor & Li Chen, 2003, "Parametric Estimation of Quadratic Term Structure Models of Interest Rates," Computing in Economics and Finance 2003, Society for Computational Economics, number 22, Aug.
• Marc Henrard, 2003, "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance, University Library of Munich, Germany, number 0310009, Oct.
• Fajardo, J. & Farias, A. R. & Ornelas, J. R. H., 2003, "Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_58, Oct.
• Araujo, A. & Fajardo, J & Páscoa, M. R., 2003, "Endogenous Collateral: Arbitrage and Equilibrium without Bounded Short Sales," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_52, Oct.
• Burkhard Raunig, 2003, "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 86, Sep.
• Item repec:cep:cepdps:0537 is not listed on IDEAS anymore

• Gonçalves, Sílvia & KILIAN, Lutz, 2003, "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 01-2003.
• Carl Chiarella & Andrew Ziogas, 2002, "Evaluation of American Strangles," Computing in Economics and Finance 2002, Society for Computational Economics, number 28, Jul.
• Alfredo Ibáñez, 2002, "Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities," Computing in Economics and Finance 2002, Society for Computational Economics, number 114, Jul.
• Fajardo, J. & Mordecki, E., 2003, "Put-Call Duality and Symmetry," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_54, Oct.
• Man-Chung CHAN & Chi-Cheong WONG & Bernard K-S Cheung & Gordon Y-N Tang, 2002, "Genetic Algorithms in Multi-Stage Portfolio Optimization System," Computing in Economics and Finance 2002, Society for Computational Economics, number 165, Jul.
• Item repec:mtl:montde:07-2003 is not listed on IDEAS anymore

• Catherine S. Forbes & Gael M. Martin & Jill Wright, 2003, "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 17/03, Oct.
• Item repec:dgr:uvatin:20030077 is not listed on IDEAS anymore

• Marc Henrard, 2003, "Currency basket as asset or base currency in value-at-risk computation," Risk and Insurance, University Library of Munich, Germany, number 0310003, Oct, revised 12 Oct 2003.
• Item repec:mtl:montde:04-2003 is not listed on IDEAS anymore

• Item repec:mtl:montde:06-2003 is not listed on IDEAS anymore

• Moh. Khusaini, 2002, "The Role of Economic Fundamentals in Explaining Indonesian Currency Crisis," International Center for Public Policy Working Paper Series, at AYSPS, GSU, International Center for Public Policy, Andrew Young School of Policy Studies, Georgia State University, number paper0219, Apr.
• John L. Mikesell, 2002, "Subnational Government Bankruptcy, Defaul, and Fiscal Crisis in the United States," International Center for Public Policy Working Paper Series, at AYSPS, GSU, International Center for Public Policy, Andrew Young School of Policy Studies, Georgia State University, number paper0221, Dec.
• Tetsuji Okazaki, 2003, ""Mitsubishi Bank under the Showa Financial Crisis, 1927: The Crisis observed thorough the Daily Financial Data"(in Japanese)," CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-J-97, Oct.
• Neven Valev & John A. Carlson, 2002, "Tenuous Financial Stability," International Center for Public Policy Working Paper Series, at AYSPS, GSU, International Center for Public Policy, Andrew Young School of Policy Studies, Georgia State University, number paper0210, May.
• Clinton WATKINS & Michael McALEER, 2002, "Volatility of a Market Index and its Components: An Application to Commodity Markets," Computing in Economics and Finance 2002, Society for Computational Economics, number 18, Jul.
• S. Manzan & P. Boswijk & C.H. Hommes, 2003, "Mean Reversion, Bubbles and Heterogeneous Beliefs in Stock Prices," Computing in Economics and Finance 2003, Society for Computational Economics, number 252, Aug.
• J. Huston McCulloch & E. Richard Percy, Jr., 2002, "A Spline LR Test for Goodness-of-Fit," Computing in Economics and Finance 2002, Society for Computational Economics, number 123, Jul.
• NUÑEZ, Laura, 2002, "An analysis of the robustness of Genetic Algorithm (GA) methodology in the design of trading systems for the Stock Exchange," Computing in Economics and Finance 2002, Society for Computational Economics, number 29, Jul.
• Tetsuya Noguchi & Berc Rustem, 2002, "An algorithm for the quasivariational inequality arising in option pricing with transaction costs I," Computing in Economics and Finance 2002, Society for Computational Economics, number 378, Jul.

Report NEP-RMG-2003-10-20

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: