NEP-RMG-2008-12-14

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Report NEP-RMG-2008-12-14

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:

Gao, Jiti & McAleer, Michael & Allen, Dave, 2006. "Econometric modelling in finance and risk management: An overview," MPRA Paper 11978, University Library of Munich, Germany, revised Nov 2007. [Downloadable!]
Lennart Hoogerheide & Herman K. van Dijk, 2008. "Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling," Tinbergen Institute Discussion Papers 08-092/4, Tinbergen Institute. [Downloadable!]
Zhang, Rui (Carolyn) & Houston, Jack E. & V. Vedenov, Dmitry V. & Barnett, Barry J., 2008. "Impacts of government risk management policies on hedging in futures and options:LPM2 hedge model vs. EU hedge model," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37610, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
Dimitri Vayanos & Paul Woolley, 2008. "An Institutional Theory of Momentum and Reversal," NBER Working Papers 14523, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Kimie Harada & Takatoshi Ito, 2008. "Did Mergers Help Japanese Mega-Banks Avoid Failure? Analysis of the Distance to Default of Banks," NBER Working Papers 14518, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Dahlgran, Roger A. & Ma, Xudong, 2008. "Hedge Effectiveness Forecasting," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37604, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
McKenzie, Andrew & Singh, Navinderpal, 2008. "Hedging Effectiveness around USDA Crop Reports," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37617, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]

This page was last updated on 2009-12-13.

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