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. Stan Miles issued this report. It is usually issued weekly.

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