Report NEP-RMG-2006-01-24

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Other reports in NEP-RMG

The following items were anounced in this report:

• Marco Moscadelli, 2004. "The modelling of operational risk: experience with the analysis of the data collected by the Basel Committee," Temi di discussione (Economic working papers) 517, Bank of Italy, Economic Research Department. [Downloadable!]
• Dimitris Kenourgios & Aristeidis Samitas & Spyros Papathanasiou, 2005. "The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange," Finance 0512028, EconWPA. [Downloadable!]
• Skogsvik, Kenth, 2005. "On the Choice-Based Sample Bias in Probabilistic Business Failure Prediction," Working Paper Series in Business Administration 2005:13, Stockholm School of Economics, revised 09 Jan 2006. [Downloadable!]
• Stefano Neri, 2004. "Monetary policy and stock prices: theory and evidence," Temi di discussione (Economic working papers) 513, Bank of Italy, Economic Research Department. [Downloadable!]
• Viviana Fernandez, 2005. "The International CAPM and a wavelet-based decomposition of Value at Risk," The Institute for International Integration Studies Discussion Paper Series iiisdp075, IIIS. [Downloadable!]
• Ying Chen & Wolfgang Härdle & Vladimir Spokoiny, 2005. "Portfolio Value at Risk Based on Independent Components Analysis," SFB 649 Discussion Papers SFB649DP2005-060, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
• Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005. "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance 0512030, EconWPA. [Downloadable!]
• Francois-Éric Racicot & Raymond Théoret, 2006. "La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché," RePAd Working Paper Series UQO-DSA-wp022006, Département des sciences administratives, UQO. [Downloadable!]
• Jan Frederik Slijkerman & Dirk Schoenmaker & Casper de Vries, . "Risk Diversification by European Financial Conglomerates," Tinbergen Institute Discussion Papers 05-110/2, Tinbergen Institute. [Downloadable!]
• Wolfgang Härdle & Zdenek Hlavka & Gerhard Stahl, 2006. "On the Appropriateness of Inappropriate VaR Models," SFB 649 Discussion Papers SFB649DP2006-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
• Na, H.S. & Couto Miranda, L. & Berg, J. van den & Leipoldt, M., 2006. "Data Scaling for Operational Risk Modelling," Research Paper ERS-2005-092-LIS 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!]
• Kai Detlefsen & Wolfgang Härdle, 2006. "Calibration Risk for Exotic Options," SFB 649 Discussion Papers SFB649DP2006-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
• Sanjiv Das & Darrell Duffie & Nikunj Kapadia & Leandro Saita, 2006. "Common Failings: How Corporate Defaults are Correlated," NBER Working Papers 11961, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Viviana Fernandez, 2005. "Stock Markets Turmoil: Worldwide Effects of Middle East Conflicts," Documentos de Trabajo 215, Centro de Economía Aplicada, Universidad de Chile. [Downloadable!]
• Marco Gallegati, 2005. "Stock market returns and economic activity: evidence from wavelet analysis," Macroeconomics 0512016, EconWPA. [Downloadable!]

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