Report NEP-RMG-2006-10-21This 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:
- Aase, Knut K., 2005. "Using Option Pricing Theory to Infer About Equity Premiums," Discussion Papers 2005/11, Department of Business and Management Science, Norwegian School of Economics.
- Bjørnland , Hilde & Leitemo, Kai, 2005. "Identifying the interdependence between US monetary policy and the stock market," Research Discussion Papers 17/2005, .
- Hasan, Iftekhar & Zazzara, Cristiano, 2006. "Pricing risky bank loans in the new Basel II environment," Research Discussion Papers 3/2006, .
- Chen, Jing & Chollete, Lorán, 2006. "Financial Distress and Idiosyncratic Volatility: An Empirical Investigation," Discussion Papers 2006/8, Department of Business and Management Science, Norwegian School of Economics.
- Schmitz, Philipp & Glaser, Markus & Weber, Martin, 2006. "Individual Investor Sentiment and Stock Returns - What Do We Learn from Warrant Traders?," Sonderforschungsbereich 504 Publications 06-12, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
- Chollete, Lorán & Heinen, Andreas, 2006. "Frequent Turbulence? A Dynamic Copula Approach," Discussion Papers 2006/10, Department of Business and Management Science, Norwegian School of Economics.
- Vuorenmaa , Tommi, 2005. "A wavelet analysis of scaling laws and long-memory in stock market volatility," Research Discussion Papers 27/2005, .
- Scalas, Enrico & Kim, Kyungsik, 2006. "The art of fitting financial time series with Levy stable distributions," MPRA Paper 336, University Library of Munich, Germany.