Report NEP-CMP-2004-09-30

This is the archive for NEP-CMP, a report on new working papers in the area of Computational Economics. Stan Miles issued this report. It is usually issued weekly.

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Other reports in NEP-CMP

The following items were announced in this report:

• Savvakis C. Savvides, 2004. "Risk Analysis in Investment Appraisal," Finance 0409020, University Library of Munich, Germany.
• Cornelis A. Los & Joanna M. Lipka, 2004. "Long-Term Dependence Characteristics of European Stock Indices," Finance 0409044, University Library of Munich, Germany.
• Cornelis A. Los, 2004. "The 1998 Third Annual Survey of Risk Management Practices of Unit Trusts in Singapore," Finance 0409036, University Library of Munich, Germany.
• Philip Kostov & John Lingard, 2004. "Rural Development as Risk Management," Others 0409013, University Library of Munich, Germany.
• Isaac Ehrlich & Yong Yin, 2004. "Explaining Diversities in Age-Specific Life Expectancies and Values of Life Saving: A Numerical Analysis," NBER Working Papers 10759, National Bureau of Economic Research, Inc.
• Damien Lynch & Nikolaos Panigirtzoglou, 2004. "Option Implied and Realised Measures of Variance," Money Macro and Finance (MMF) Research Group Conference 2004 94, Money Macro and Finance Research Group.
• Ariane Chapelle & Yves Crama & Georges Hubner & Jean-Philippe Peeters, 2004. "Basel II and Operational Risk: Implications for risk measurement and management in the financial sector," Working Paper Research 51, National Bank of Belgium.
• Cornelis A. Los, 2004. "Measuring Financial Cash Flow and Term Structure Dynamics," Finance 0409046, University Library of Munich, Germany.
• Cornelis A. Los, 2004. "Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets," Finance 0409040, University Library of Munich, Germany.
• Augurzky, Boris & Kluve, Jochen, 2004. "Assessing the Performance of Matching Algorithms When Selection into Treatment Is Strong," IZA Discussion Papers 1301, Institute of Labor Economics (IZA).
• John Cockburn, 2004. "Trade Liberalisation and Poverty in Nepal A Computable General Equilibrium Micro Simulation Analysis," Development and Comp Systems 0409012, University Library of Munich, Germany.
• Cornelis A. Los, 2004. "Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data," Finance 0409033, University Library of Munich, Germany.
• Peter Smith & Steffen Sorensen & Michael R. Wickens, 2004. "Business Cycle Variability, Stock Market Variability, Asymmetries and the Risk Premium," Money Macro and Finance (MMF) Research Group Conference 2004 76, Money Macro and Finance Research Group.
• Sutthisit Jamdee & Cornelis A. Los, 2004. "Dynamic Risk Profile of the US Term Structure by Wavelet MRA," Finance 0409045, University Library of Munich, Germany.
• Brian A. Eales & Radu Tunaru, 2004. "Financial Engineering with Reverse Cliquet Options," Money Macro and Finance (MMF) Research Group Conference 2004 81, Money Macro and Finance Research Group.
• Hashem Pesaran & Paolo Zaffaroni & Banca d'Italia), 2004. "Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management," Money Macro and Finance (MMF) Research Group Conference 2004 101, Money Macro and Finance Research Group.
• Cornelis A. Los, 2004. "Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries," Finance 0409047, University Library of Munich, Germany.
• Cornelis A. Los & Rossitsa M. Yalamova, 2004. "Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash," Finance 0409050, University Library of Munich, Germany.
• Cornelis A. Los, 2004. "Optimal Asian Multi-Currency Strategy Portfolios with Exact Risk Attribution," Finance 0409038, University Library of Munich, Germany.
• Philip Kostov & John Lingard, 2004. "Risk Management – Managing Risks, not Calculating Them," Risk and Insurance 0409001, University Library of Munich, Germany.
• Cornelis A. Los, 2004. "The Changing Concept of Financial Risk," Finance 0409034, University Library of Munich, Germany.
• Cornelis A. Los, 2004. "Galton's Error and the Under-Representation of Systematic Risk," Finance 0409041, University Library of Munich, Germany.
• Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance 0409016, University Library of Munich, Germany.
• Francisco Louça & Giovanna Devetag, 2004. "The Influence of Experimental and Computational Economics: Economics Back to the Future of Social Sciences," Working Papers Department of Economics 2004/10, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
• Nyo Nyo A. Kyaw & Cornelis A. Los & Sijing Zong, 2004. "Persistence Characteristics of Latin American Financial Markets," Finance 0409048, University Library of Munich, Germany.