Travis D. Nesmith - Central Bank Research Hub

Papers by year: All | 2016 | 2007 | 2005

Title Other author(s)

Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2016-065, 05.07.2016)

JEL: C46, G11

Risk and Concentration in Payment and Securities Settlement Systems

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2007-62, 05.12.2007)

Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2007-03, 01.03.2007)

JEL: C14, C32, C51, C82, E4

Rational Seasonality

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2007-04, 01.03.2007)

JEL: C43, D11, E31

Solving Stochastic Money-in-the-Utility-Function Models

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2005-52, 05.12.2005)

JEL: C61, C62, D81, D84, E40, G12

Papers by year: All | 2016 | 2007 | 2005