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Report NEP-RMG-2004-01-18
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:
- Ericsson, Johan & González, Andrés, 2003, "Is Momentum Due to Data-Snooping?," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 536, Sep.
- Ben R. Craig & Joachim G. Keller, 2003, "The empirical performance of option-based densities of foreign exchange," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 0313, DOI: 10.26509/frbc-wp-200313.
- Refet S. Gürkaynak & Brian P. Sack & Eric T. Swanson, 2003, "The excess sensitivity of long-term interest rates: evidence and implications for macroeconomic models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2003-50.
- Daniel L. Thornton, 2003, "Testing the expectations hypothesis: some new evidence for Japan," Working Papers, Federal Reserve Bank of St. Louis, number 2003-033, DOI: 10.20955/wp.2003.033.
- Thomas A. Garrett & Gary A. Wagner, 2003, "State government finances: World War II to the current crisis," Working Papers, Federal Reserve Bank of St. Louis, number 2003-035, DOI: 10.20955/wp.2003.035.
- Iichiro Uesugi & Guy M. Yamashiro, 2003, "On the Relationship Between the Very Short Forward and the Spot Interest Rate," Discussion papers, Research Institute of Economy, Trade and Industry (RIETI), number 03013, May.
- Ole E. Barndorff-Nielsen & Svend Erik Graversen & Neil Shephard, 2003, "Power variation & stochastic volatility: a review and some new results," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W19, Sep.
- C. N. V. Krishnan & Peter H. Ritchken & James B. Thomson, 2003, "On credit spread slopes and predicting bank risk," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 0314, DOI: 10.26509/frbc-wp-200314.
- Don U.A. Galagedera & Roland Shami, 2003, "Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 20/03, Dec.
- Ben R. Craig & Ernst Glatzer & Joachim G. Keller & Martin Scheicher, 2003, "The forecasting performance of German stock option densities," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 0312, DOI: 10.26509/frbc-wp-200312.
- Richard L. Johnson, 2003, "Portfolio choice in tax-deferred and Roth-type savings accounts," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 03-08.
- Richard Luger, 2004, "Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates," Staff Working Papers, Bank of Canada, number 04-2, DOI: 10.34989/swp-2004-2.
- Christopher J. Neely, 2003, "The Federal Reserve responds to crises: September 11th was not the first," Working Papers, Federal Reserve Bank of St. Louis, number 2003-034, DOI: 10.20955/wp.2003.034.