Report NEP-RMG-2004-02-29

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:

• Simon Buckle & Erin Campbell, 2003, "Settlement bank behaviour and throughput rules in an RTGS payment system with collateralised intraday credit," Bank of England working papers, Bank of England, number 209, Dec.
• Zechner, Josef & Dangl, Thomas, 2003, "Credit Risk and Dynamic Capital Structure Choice," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4132, Dec.
• Wickens, Michael R., 2003, "Microeconomic Sources of Equity Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4070, Sep.
• Eklund, Bruno & Teräsvirta, Timo, 2003, "Testing constancy of the error covariance matrix in vector models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 549, Nov, revised 18 Jan 2006.
• Item repec:dnb:mebser:2003-16 is not listed on IDEAS anymore

• Lippi, Marco & Reichlin, Lucrezia & Forni, Mario, 2003, "Opening the Black Box: Structural Factor Models versus Structural VARs," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4133, Dec.
• Timmermann, Allan & Lunde, Asger, 2003, "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4104, Nov.
• Prat, Andrea & Dasgupta, Amil, 2003, "Trading Volume with Career Concerns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4034, Sep.
• Roberto Blanco & Simon Brennan & Ian W Marsh, 2004, "An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps," Bank of England working papers, Bank of England, number 211, Feb.
• Flandreau, Marc & Sussman, Nathan, 2004, "Old Sins: Exchange Rate Clauses and European Foreign Lending in the 19th Century," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4248, Feb.
• Weber, Martin & Norden, Lars, 2004, "Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4250, Feb.
• Item repec:dnb:mebser:2003-17 is not listed on IDEAS anymore

• Palomino, Frédéric & Sadrieh, Abdolkarim, 2004, "Overconfidence and Delegated Portfolio Management," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4231, Feb.
• Acharya, Viral & Bharath, Sreedhar T & Srinivasan, Anand, 2003, "Understanding the Recovery Rates on Defaulted Securities," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4098, Oct.
• Weber, Martin & Langer, Thomas, 2003, "Does Binding of Feedback Influence Myopic Loss Aversion? An Experimental Analysis," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4084, Oct.
• Driffill, John & Sola, Martin & Kenc, Turalay & Spagnolo, Fabio, 2004, "On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4165, Jan.
• Foucault, Thierry & Moinas, Sophie & Theissen, Erik, 2003, "Does Anonymity Matter in Electronic Limit Order Markets?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4091, Oct.
• Silviu Iulian Alb, 2004, "Would the CAPM Hold in a Risk-Indifferent World?," Finance, University Library of Munich, Germany, number 0402020, Feb.
• Bofinger, Peter & Schmidt, Robert, 2004, "Should One Rely on Professional Exchange Rate Forecasts? An Empirical Analysis of Professional Forecasts for the ?/US$ Rate," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4235, Feb.
• Perotti, Enrico & Driessen, Joost, 2004, "Confidence Building on Euro Conversion: Theory and Evidence from Currency Options," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4180, Jan.
• Simon Gilchrist & Charles P. Himmelberg & Gur Huberman, 2004, "Do stock price bubbles influence corporate investment?," Staff Reports, Federal Reserve Bank of New York, number 177.
• Marsh, Ian W & Wagner, Wolf, 2004, "Credit Risk Transfer and Financial Sector Performance," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4265, Feb.
• Söderlind, Paul, 2003, "C-CAPM and the Cross-Section of Sharpe Ratios," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4067, Sep.

Report NEP-RMG-2004-02-29

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: