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Report NEP-RMG-2004-02-01
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:
- Niklas Wagner & Terry A. Marsh, 2004, "Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes," Econometrics, University Library of Munich, Germany, number 0401008, Jan.
- Jeremy C. Stein, 2004, "Why Are Most Funds Open-End? Competition and the Limits of Arbitrage," NBER Working Papers, National Bureau of Economic Research, Inc, number 10259, Feb.
- Andrew Atkeson & Patrick Kehoe, 2004, "Deflation and Depression: Is There and Empirical Link?," NBER Working Papers, National Bureau of Economic Research, Inc, number 10268, Feb.
- Alex Strashny, 2004, "Asymmetric loss utility: an analysis of decision under risk," Game Theory and Information, University Library of Munich, Germany, number 0401006, Jan.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004, "A feasible central limit theory for realised volatility under leverage," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004fe03.
- Pedro L. Valls Pereira, 2004, "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_59, Oct.
- Charles Engel & Kenneth D. West, 2004, "Accounting for Exchange Rate Variability in Present-Value Models When the Discount Factor is Near One," NBER Working Papers, National Bureau of Economic Research, Inc, number 10267, Feb.
- Horst Entorf, 2004, "Random Walks with Drifts, Simulaneous Equation Errors, and Small Samples - Simulating the Bird's Eye View," Econometrics, University Library of Munich, Germany, number 0401009, Jan.
- Markus Junker & Alexander Szimayer & Niklas Wagner, 2004, "Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications," Econometrics, University Library of Munich, Germany, number 0401007, Jan.
- Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2004, "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," NBER Working Papers, National Bureau of Economic Research, Inc, number 10270, Feb.