Report NEP-RMG-2013-01-26This 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.
The following items were announced in this report:
- Afrasiab Mirza, 2012. "Dynamic Prudential Regulation," Discussion Papers, Department of Economics, University of Birmingham 12-13, Department of Economics, University of Birmingham.
- Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias EconÃ³micas y Empresariales, Instituto Complutense de AnÃ¡lisis EconÃ³mico 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Oct 2012.
- Frank Riedel & Tobias Hellmann, 2013. "The Foster-Hart Measure of Riskiness for General Gambles," Working Papers, Bielefeld University, Center for Mathematical Economics 474, Bielefeld University, Center for Mathematical Economics.
- Thomas Breuer & Imre Csiszar, 2013. "Measuring Model Risk," Papers, arXiv.org 1301.4832, arXiv.org.
- Audrone Virbickaite & M. Concepci\'on Aus\'in & Pedro Galeano, 2013. "A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection," Papers, arXiv.org 1301.5129, arXiv.org, revised Jan 2014.
- Chia-Lin Chang & David Allen & Michael McAleer, 2013. "Recent Developments in Financial Economics and Econometrics: An Overview," Tinbergen Institute Discussion Papers, Tinbergen Institute 13-021/III, Tinbergen Institute.
- David E. Allen & Abhay K. Singh & Robert J. Powell & Michael McAleer & James Taylor & Lyn Thomas, 2013. "Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression," Tinbergen Institute Discussion Papers, Tinbergen Institute 13-020/III, Tinbergen Institute.
- René Garcia & Daniel Mantilla-Garcia & Lionel Martellini, 2013. "A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns," CIRANO Working Papers, CIRANO 2013s-01, CIRANO.
- David E. Allen & Mohammad A. Ashraf & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2013. "Financial Dependence Analysis: Applications of Vine Copulae," Tinbergen Institute Discussion Papers, Tinbergen Institute 13-022/III, Tinbergen Institute.
- Lucyna Gornicka & Sweder van Wijnbergen, 2013. "Financial Frictions and the Credit Transmission Channel: Capital Requirements and Bank Capital," Tinbergen Institute Discussion Papers, Tinbergen Institute 13-013/VI/DSF50, Tinbergen Institute.
- Fulbert, Tchana Tchana & Georges, Tsafack, 2013. "The Implications of VaR and Short-Selling Restrictions on the Portfolio Manager Performance," MPRA Paper 43797, University Library of Munich, Germany.
- Bai, Zhidong & Li, Hua & Wong, Wing-Keung, 2013. "The best estimation for high-dimensional Markowitz mean-variance optimization," MPRA Paper 43862, University Library of Munich, Germany.