NEP-RMG-2003-03-19

This file is part of IDEAS, which uses RePEc data

Report NEP-RMG-2003-03-19

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 anounced in this report:

Luc Arrondel & Hector Calvo-Pardo, 2002. "Portfolio Choice with a Correlated Background Risk : Theory and Evidence," DELTA Working Papers 2002-16, DELTA (Ecole normale supérieure). [Downloadable!]
Byström, Hans, 2003. "The Market’s View on the Probability of Banking Sector Failure: Cross-Country Comparisons," Working Papers 2003:2, Lund University, Department of Economics.
Tims, B. & Mahieu, R.J., 2003. "A Range-Based Multivariate Model for Exchange Rate Volatility," Research Paper ERS-2003-022-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
Suhejla Hoti & Felix Chan & Michael McAleer, 2003. "Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings," CIRJE F-Series CIRJE-F-203, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
Remco T. Peters & Robin G. de Vilder, 2002. "The S&P500 future index as a time changed Brownian motion," DELTA Working Papers 2002-06, DELTA (Ecole normale supérieure). [Downloadable!]
Ellen R. McGrattan & Edward C. Prescott, 2003. "Average Debt and Equity Returns: Puzzling?," Levine's Bibliography 506439000000000367, UCLA Department of Economics. [Downloadable!]
Byström, Hans, 2003. "Estimating Default Probabilities Using Stock Prices: The Swedish Banking Sector During the 1990s Banking Crisis," Working Papers 2003:1, Lund University, Department of Economics.
Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003. "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns," NBER Working Papers 9571, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Arnold Chassagnon & Bertrand Villeneuve, 2002. "Efficient risk-sharing under adverse selection and subjective risk perception," DELTA Working Papers 2002-19, DELTA (Ecole normale supérieure). [Downloadable!]

This page was last updated on 2009-11-29.

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