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. 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:

• Ericsson, Johan & González, Andrés, 2003. "Is Momentum Due to Data-Snooping?," SSE/EFI Working Paper Series in Economics and Finance 536, Stockholm School of Economics.
• Ben R. Craig & Joachim G. Keller, 2003. "The empirical performance of option-based densities of foreign exchange," Working Papers (Old Series) 0313, Federal Reserve Bank of Cleveland.
• 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 2003-50, Board of Governors of the Federal Reserve System (U.S.).
• Daniel L. Thornton, 2003. "Testing the expectations hypothesis: some new evidence for Japan," Working Papers 2003-033, Federal Reserve Bank of St. Louis.
• Thomas A. Garrett & Gary A. Wagner, 2003. "State government finances: World War II to the current crisis," Working Papers 2003-035, Federal Reserve Bank of St. Louis.
• Iichiro Uesugi & Guy M. Yamashiro, 2003. "On the Relationship Between the Very Short Forward and the Spot Interest Rate," Discussion papers 03013, Research Institute of Economy, Trade and Industry (RIETI).
• Ole E. Barndorff-Nielsen & Svend Erik Graversen & Neil Shephard, 2003. "Power variation & stochastic volatility: a review and some new results," Economics Papers 2003-W19, Economics Group, Nuffield College, University of Oxford.
• C. N. V. Krishnan & Peter H. Ritchken & James B. Thomson, 2003. "On credit spread slopes and predicting bank risk," Working Papers (Old Series) 0314, Federal Reserve Bank of Cleveland.
• 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 20/03, Monash University, Department of Econometrics and Business Statistics.
• Ben R. Craig & Ernst Glatzer & Joachim G. Keller & Martin Scheicher, 2003. "The forecasting performance of German stock option densities," Working Papers (Old Series) 0312, Federal Reserve Bank of Cleveland.
• Richard L. Johnson, 2003. "Portfolio choice in tax-deferred and Roth-type savings accounts," Research Working Paper RWP 03-08, Federal Reserve Bank of Kansas City.
• Richard Luger, 2004. "Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates," Staff Working Papers 04-2, Bank of Canada.
• Christopher J. Neely, 2003. "The Federal Reserve responds to crises: September 11th was not the first," Working Papers 2003-034, Federal Reserve Bank of St. Louis.