Details about Dennis F.M. Bams

Access statistics for papers by Dennis F.M. Bams.

Last updated 2014-02-05. Update your information in the RePEc Author Service.

Short-id: pba780

Working Papers

2012

1. Modeling default correlation in a US retail loan portfolio
   LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg View citations (7)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (5)

2005

2. Loss Functions in Option Valuation: A Framework for Model Selection
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)

2003

3. More Evidence on the Dollar Risk Premium in the Foreign Exchange Market
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
   See also Journal Article More evidence on the dollar risk premium in the foreign exchange market, Journal of International Money and Finance, Elsevier (2004) View citations (14) (2004)

2002

4. An Evaluation Framework for Alternative VaR Models
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
   See also Journal Article An evaluation framework for alternative VaR-models, Journal of International Money and Finance, Elsevier (2005) View citations (25) (2005)

2000

5. Risk Premia In The Term Structure Of Interest Rates: A Panel Data Approach
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
   Also in Working Papers, Southern California - School of Business Administration (1998)
   See also Journal Article Risk premia in the term structure of interest rates: a panel data approach, Journal of International Financial Markets, Institutions and Money, Elsevier (2003) View citations (6) (2003)

1998

6. Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)

Journal Articles

2009

1. Loss Functions in Option Valuation: A Framework for Selection
   Management Science, 2009, 55, (5), 853-862 View citations (9)

2007

2. The Performance of Local versus Foreign Mutual Fund Managers
   European Financial Management, 2007, 13, (4), 702-720 View citations (20)

2005

3. An evaluation framework for alternative VaR-models
   Journal of International Money and Finance, 2005, 24, (6), 944-958 View citations (25)
   See also Working Paper An Evaluation Framework for Alternative VaR Models, CEPR Discussion Papers (2002) View citations (7) (2002)

2004

4. How to measure mutual fund performance: economic versus statistical relevance
   Accounting and Finance, 2004, 44, (2), 203-222 View citations (25)
5. More evidence on the dollar risk premium in the foreign exchange market
   Journal of International Money and Finance, 2004, 23, (2), 271-282 View citations (14)
   See also Working Paper More Evidence on the Dollar Risk Premium in the Foreign Exchange Market, CEPR Discussion Papers (2003) View citations (2) (2003)

2003

6. Direct estimation of the risk neutral factor dynamics of Gaussian term structure models
   Journal of Econometrics, 2003, 117, (1), 179-206 View citations (7)
7. Risk premia in the term structure of interest rates: a panel data approach
   Journal of International Financial Markets, Institutions and Money, 2003, 13, (3), 211-236 View citations (6)
   See also Working Paper Risk Premia In The Term Structure Of Interest Rates: A Panel Data Approach, CEPR Discussion Papers (2000) View citations (1) (2000)

2002

8. European Mutual Fund Performance
   European Financial Management, 2002, 8, (1), 75-101 View citations (146)