Printed from https://ideas.repec.org/n/nep-rmg/2003-03-19.html
Report NEP-RMG-2003-03-19
This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley Miles issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-RMG
The following items were announced in this report:
- Luc Arrondel & Hector Calvo-Pardo, 2002, "Portfolio Choice with a Correlated Background Risk : Theory and Evidence," DELTA Working Papers, DELTA (Ecole normale supérieure), number 2002-16.
- Byström, Hans, 2003, "The Market’s View on the Probability of Banking Sector Failure: Cross-Country Comparisons," Working Papers, Lund University, Department of Economics, number 2003:2, Mar.
- Item repec:dgr:eureri:2003292 is not listed on IDEAS anymore
- Suhejla Hoti & Felix Chan & Michael McAleer, 2003, "Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-203, Mar.
- Remco T. Peters & Robin G. de Vilder, 2002, "The S&P500 future index as a time changed Brownian motion," DELTA Working Papers, DELTA (Ecole normale supérieure), number 2002-06.
- Item repec:cla:levrem:506439000000000367 is not listed on IDEAS anymore
- Byström, Hans, 2003, "Estimating Default Probabilities Using Stock Prices: The Swedish Banking Sector During the 1990s Banking Crisis," Working Papers, Lund University, Department of Economics, number 2003:1, Mar.
- Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003, "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 9571, Mar.
- Arnold Chassagnon & Bertrand Villeneuve, 2002, "Efficient risk-sharing under adverse selection and subjective risk perception," DELTA Working Papers, DELTA (Ecole normale supérieure), number 2002-19.