Printed from https://ideas.repec.org/n/nep-rmg/2003-11-30.html
Report NEP-RMG-2003-11-30
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:
- Mira Antonietta & Tenconi Paolo, 2003, "Bayesian estimate of credit risk via MCMC with delayed rejection," Economics and Quantitative Methods, Department of Economics, University of Insubria, number qf0315, Oct.
- L Christopher Plantier & Dean Scrimgeour, 2002, "Estimating a Taylor Rule for New Zealand with a time-varying neutral real rate," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2002/06, May.
- Paolo Pellizzari, 2003, "Static Hedging of Multivariate Derivatives by Simulation," Finance, University Library of Munich, Germany, number 0311013, Nov, revised 04 Dec 2003.
- Tapiero, Charles, 2003, "Value at Risk and Inventory Control," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 03012, Nov.
- Barry Eichengreen & Kenneth Kletzer, 2003, "Crisis Resolution: Next Steps," NBER Working Papers, National Bureau of Economic Research, Inc, number 10095, Nov.
- Diderik Lund, 2003, "How to analyze the investment–uncertainty relationship in real option models?," EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, number 03-17, Nov.
- Albrecht, Peter & Kantar, Cemil, 2003, "Random Walk oder Mean Reversion? Eine statistische Analyse des Kurs/Gewinn-Verhältnisses für den deutschen Aktienmarkt," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 03-31, Oct.
- Douglas W. Diamond & Raghuram G. Rajan, 2003, "Liquidity Shortages and Banking Crises," NBER Working Papers, National Bureau of Economic Research, Inc, number 10071, Nov.
- Geman, Hélyette & Roncoroni, Andrea, 2003, "A Class of Marked Point Processes for Modelling Electricity Prices," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 03004, Mar.
- John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara, 2003, "Two Trees: Asset Price Dynamics Induced by Market Clearing," NBER Working Papers, National Bureau of Economic Research, Inc, number 10116, Nov.
- Marco Realdon, , "About Debt and the Option to Extend Debt Maturity," Discussion Papers, Department of Economics, University of York, number 03/20.
- Robert F. Engle & Giampiero M. Gallo, 2003, "A Multiple Indicators Model for Volatility Using Intra-Daily Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 10117, Nov.
- Marco Realdon, , "Valuation of Exchangeable Convertible Bonds," Discussion Papers, Department of Economics, University of York, number 03/17.
- Peter F. Christoffersen & Francis X. Diebold, 2003, "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," NBER Working Papers, National Bureau of Economic Research, Inc, number 10009, Oct.
- Marco Realdon, , "Valuation of Put Options on Leveraged Equity," Discussion Papers, Department of Economics, University of York, number 03/19.
- Björk, Tomas, 2003, "On the Geometry of Interest Rate Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 545, Nov.
- Ken West, 2003, "Monetary policy and the volatility of real exchange rates in New Zealand," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2003/09, Nov.
- Roman Kraeussl, 2003, "Sovereign Credit Ratings and Their Impact on Recent Financial Crises," International Finance, University Library of Munich, Germany, number 0311013, Nov.
- Bartolucci Francesco & Mira Antonietta, 2003, "Efficient estimate of Bayes factors from Reversible Jump output," Economics and Quantitative Methods, Department of Economics, University of Insubria, number qf0314, Oct.
- Jane E. Ihrig & David Prior, 2003, "The effect of exchange rate fluctuations on multinationals' returns," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 782.
- Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003, "Choosing the best volatility models: the model confidence set approach," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2003-28.
- Item repec:esx:essedp:571 is not listed on IDEAS anymore
- Francis X. Diebold & Canlin Li, 2003, "Forecasting the Term Structure of Government Bond Yields," NBER Working Papers, National Bureau of Economic Research, Inc, number 10048, Oct.
- Item repec:fip:fedfpb:03-01 is not listed on IDEAS anymore
- Item repec:fip:fedfap:2003-18 is not listed on IDEAS anymore
- D. Heyman & M. Deloof & H. Ooghe, 2003, "The Debt-Maturity Structure of Small Firms in a Creditor-Oriented Environment," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 03/197, Sep.
- Valeri Zakamouline, 2003, "American Option Pricing with Transaction Costs," Finance, University Library of Munich, Germany, number 0311012, Nov.
- Serena Sordi & Alessandro Vercelli, 2003, "Financial Fragility and Economic Fluctuations: Numerical Simulations and Policy Implications," Department of Economics University of Siena, Department of Economics, University of Siena, number 407, Oct.
- Jon Faust & John H. Rogers & Shing-Yi Wang & Jonathan H. Wright, 2003, "The high-frequency response of exchange rates and interest rates to macroeconomic announcements," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 784.
- Marco Realdon, , "Convertible Subordinated Debt Valuation and "Conversion in Distress"," Discussion Papers, Department of Economics, University of York, number 03/18.
- Item repec:fip:fedfpb:02-09 is not listed on IDEAS anymore