Report NEP-RMG-2005-02-01This 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:
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," PIER Working Paper Archive 05-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Davies, G.B., 2005. "Rethinking Risk: Aspiration as Pure Risk," Cambridge Working Papers in Economics 0507, Faculty of Economics, University of Cambridge.
- Peter Woehrmann & Willi Semmler & Martin Lettau, . "Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models," IEW - Working Papers 225, Institute for Empirical Research in Economics - University of Zurich.
- Peter Woehrmann, . "A dynamic model of the financial–real interaction as a model selection criterion for nonparametric stock market prediction," IEW - Working Papers 226, Institute for Empirical Research in Economics - University of Zurich.
- Tower, Edward & Zheng, Wei, 2004. "Fidelity versus Vanguard: Comparing the Performance of the Two Largest Mutual Fund Families," Working Papers 04-08, Duke University, Department of Economics.
- Tower, Edward & Reinker, Kenneth S., 2004. "Index Fundamentalism Revisited," Working Papers 04-07, Duke University, Department of Economics.
- Martin Feldstein, 2005. "Reducing the Risk of Investment-Based Social Security Reform," NBER Working Papers 11084, National Bureau of Economic Research, Inc.