Report NEP-RMG-2003-04-09

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:

• Bent Nielsen, 2003. "Correlograms for non-stationary autoregressions," Economics Papers 2003-W11, Economics Group, Nuffield College, University of Oxford.
• Ibáñez, Alfredo & Romera, Rosario, 2002. "Shadow risk-free returns when hedging the interest rate risk," DEE - Working Papers. Business Economics. WB wb020501, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
• Erhan Bayraktar & Li Chen & H. Vincent Poor, 2003. "Projecting the Forward Rate Flow on a Finite Dimensional Manifold," Finance 0303007, University Library of Munich, Germany.
• Hans Dewachter & Marco Lyrio, 2003. "Macro Factors and the Term Structure of Interest Rates," International Economics Working Papers Series ces0304, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
• Coval, Joshua & Pástor, LuboÅ¡ & Cohen, Randolph, 2003. "Judging Fund Managers by the Company They Keep," CEPR Discussion Papers 3717, C.E.P.R. Discussion Papers.
• Roberto Rigobon & Brian Sack, 2003. "The Effects of War Risk on U.S. Financial Markets," NBER Working Papers 9609, National Bureau of Economic Research, Inc.
• Item repec:wop:bodewp:467 is not listed on IDEAS anymore

• L. Ingber & R.P. Mondescu, 2003. "Automated internet trading based on optimized physics models of markets," Lester Ingber Papers 03ai, Lester Ingber.
• Wolff, Christian & Bams, Dennis & Walkowiak, Kim, 2003. "More Evidence on the Dollar Risk Premium in the Foreign Exchange Market," CEPR Discussion Papers 3726, C.E.P.R. Discussion Papers.
• Yacine Ait-Sahalia & Per A. Mykland, 2003. "How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise," NBER Working Papers 9611, National Bureau of Economic Research, Inc.
• Szeidl, Adam, 2003. "The Credibility of the Hungarian Exchange Rate Regime 1997-98," CEPR Discussion Papers 3799, C.E.P.R. Discussion Papers.
• Danthine, Jean-Pierre & Donaldson, John B & Giannikos, Chrisos & Guirguis, Hany, 2003. "On the Consequences of State Dependent Preferences for the Pricing of Financial Assets," CEPR Discussion Papers 3697, C.E.P.R. Discussion Papers.
• Hairault, Jean-Olivier & Sopraseuth, Thepthida, 2003. "Exchange rate determination in a model of pricing-to-market and nontradeables," CEPREMAP Working Papers (Couverture Orange) 0304, CEPREMAP.
• Li Chen & Damir Filipovic, 2003. "Pricing Credit Default Swaps Under Default Correlations and Counterparty Risk," Finance 0303009, University Library of Munich, Germany.
• Item repec:cte:dbrepe:db020202 is not listed on IDEAS anymore