Details about Travis Dean Nesmith

Access statistics for papers by Travis Dean Nesmith.

Last updated 2024-05-07. Update your information in the RePEc Author Service.

Short-id: pne82

Working Papers

2025

1. Portfolio Margining Using PCA Latent Factors
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2024

2. Revisiting Risky Money
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2023

3. Optimal Bidder Selection in Clearing House Default Auctions
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2022

4. Central Clearing and Systemic Liquidity Risk
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
   Also in Working Paper Series, Federal Reserve Bank of Chicago (2019)
   See also Journal Article Central Clearing and Systemic Liquidity Risk, International Journal of Central Banking, International Journal of Central Banking (2023) (2023)

2016

5. Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
   See also Journal Article Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors, JRFM, MDPI (2017) View citations (5) (2017)

2008

6. Divisia Second Moments
   MPRA Paper, University Library of Munich, Germany View citations (7)
7. Divisia Second Moments: An Application of Stochastic Index Number Theory
   WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics View citations (11)

2007

8. Risk and concentration in payment and securities settlement systems
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
   See also Journal Article Risk and concentration in payment and securities settlement systems, Journal of Monetary Economics, Elsevier (2008) View citations (33) (2008)

2006

9. Linear cointegration of nonlinear time series with an application to interest rate dynamics
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
   See also Journal Article Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2008) View citations (4) (2008)
10. Rational seasonality
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
    See also Chapter Rational Seasonality, International Symposia in Economic Theory and Econometrics, Emerald Group Publishing Limited (2007) (2007)

2005

11. Solving stochastic money-in-the-utility-function models
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2004

12. The Nonlinear Skeletons in the Closet
    Econometrics, University Library of Munich, Germany View citations (2)
    Also in WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics (2004) View citations (2)

1999

13. Tests for non-linear dynamics in systems of non-stationary economic time series: the case of short-term US interest rates
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

1996

14. Building new monetary services indices: methodology and source data
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
15. Monetary aggregation theory and statistical index numbers
    Working Papers, Federal Reserve Bank of St. Louis View citations (35)

Journal Articles

2023

1. Central Clearing and Systemic Liquidity Risk
   International Journal of Central Banking, 2023, 19, (4), 85-142
   See also Working Paper Central Clearing and Systemic Liquidity Risk, Finance and Economics Discussion Series (2022) View citations (2) (2022)

2017

2. Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors
   JRFM, 2017, 10, (1), 1-14 View citations (5)
   See also Working Paper Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors, Finance and Economics Discussion Series (2016) View citations (3) (2016)

2008

3. Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics
   Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (1), 18 View citations (4)
   See also Working Paper Linear cointegration of nonlinear time series with an application to interest rate dynamics, Finance and Economics Discussion Series (2006) (2006)
4. Risk and concentration in payment and securities settlement systems
   Journal of Monetary Economics, 2008, 55, (3), 542-553 View citations (33)
   See also Working Paper Risk and concentration in payment and securities settlement systems, Finance and Economics Discussion Series (2007) View citations (3) (2007)

1997

5. Special report: The monetary services index project of the Federal Reserve Bank of St. Louis: building new monetary services indexes: concepts, data and methods
   Review, 1997, (Jan), 53-82 View citations (2)
6. Special report: The monetary services index project of the Federal Reserve Bank of St. Louis: introduction to the St. Louis monetary services index project
   Review, 1997, (Jan), 25-30 View citations (7)
7. Special report: The monetary services index project of the Federal Reserve Bank of St. Louis: monetary aggregation theory and statistical index numbers
   Review, 1997, (Jan), 31-52 View citations (7)

Chapters

2007

1. Rational Seasonality
   A chapter in Functional Structure Inference, 2007, pp 227-255
   See also Working Paper Rational seasonality, Board of Governors of the Federal Reserve System (U.S.) (2006) (2006)

2004

2. Time Series Cointegration Tests and Nonlinearity
   A chapter in Functional Structure and Approximation in Econometrics, 2004, pp 549-567