NEP-RMG-2003-12-07

This file is part of IDEAS, which uses RePEc data

Report NEP-RMG-2003-12-07

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:

L. Ingber, . "Statistical Mechanics of Financial Markets (SMFM): Applications to Trading Indicators and Options," Lester Ingber Papers 01at, Lester Ingber. [Downloadable!]
Valentina Corradi & Norman R. Swanson, 2003. "Bootstrap Specification Tests for Diffusion Processes," Departmental Working Papers 200321, Rutgers University, Department of Economics. [Downloadable!]
Carmen Broto & Esther Ruiz, 2003. "Unobserved Component Models With Asymmetric Conditional Variances," Statistics and Econometrics Working Papers ws032003, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
Kole, H.J.W.G. & Koedijk, C.G. & Verbeek, M.J.C.M., 2003. "Stress Testing with Student's t Dependence," Research Paper ERS-2003-056-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!]
Julio Rodríguez & Esther Ruiz, 2003. "A Powerful Test For Conditional Heteroscedasticity For Financial Time Series With Highly Persistent Volatilities," Statistics and Econometrics Working Papers ws036716, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
Soest, A.H.O. van & Peresetsky, A.A. & Karminsky, A.M., 2003. "An analysis of ratings of Russian banks," Discussion Paper 85, Tilburg University, Center for Economic Research. [Downloadable!]
Valentina Corradi & Norman R. Swanson, 2003. "Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data," Departmental Working Papers 200320, Rutgers University, Department of Economics. [Downloadable!]
Friese, Sebastian & Mittendorf, Thomas, 2003. "Asset-Liability Management bei Komposit- und Lebensversicherern - Besinnung auf die Grundlagen -," Diskussionspapiere der Wirtschaftswissenschaftlichen FakultÃ¤t der UniversitÃ¤t Hannover dp-288, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
Item repec:cdl:oplwec:11031 is not listed on IDEAS anymore
Akihiko Takahashi & Nakahiro Yoshida, 2003. "Monte Carlo Simulation with Asymptotic Method," CIRJE F-Series CIRJE-F-249, CIRJE, Faculty of Economics, University of Tokyo.
Pilar Abad Romero & Mª Dolores Robles Fernández, 2003. "Contenido informativo de los cambios de Rating en el mercado de Valores Español," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 0304, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
Huisman, R. & Huurman, C., 2003. "Fat Tails in Power Prices," Research Paper ERS-2003-059-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!]
Christiansen, Claus Bang & Madsen, Peter Brink & Christensen, Michael, 2003. "Further Evidence on Hedge Funds Performance," Finance Working Papers 03-5, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
Post, G.T. & Vliet, P. van, 2003. "Risk Aversion and Skewness Preference: a comment," Research Paper ERS-2003-009-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!]
Gianluigi Ferrucci, . "Empirical determinants of emerging market economies' sovereign bond spreads," Bank of England working papers 205, Bank of England. [Downloadable!]
Werker, B.J.M. & Goorbergh, R.W.J. van den & Roon, de F.A., 2003. "Economic hedging portfolios," Discussion Paper 102, Tilburg University, Center for Economic Research. [Downloadable!]
R. Anton Braun & Etsuro Shioji, 2003. "Aggregate Risk in Japanese Equity Markets," CIRJE F-Series CIRJE-F-250, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
Post, G.T., 2003. "Asset prices and omitted moments; A stochastic dominance analysis of market efficiency," Research Paper ERS-2003-017-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!]
Item repec:cdl:oplwec:11066 is not listed on IDEAS anymore

This page was last updated on 2009-11-22.

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