Report NEP-RMG-2007-01-13This 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:
- Sydney Ludvigson & Serena Ng, 2006. "The Empirical Risk-Return Relation: a factor analysis approach," 2006 Meeting Papers 236, Society for Economic Dynamics.
- Marcel Scharth & Marcelo Cunha Medeiros, 2006. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," Textos para discussão 532, Department of Economics PUC-Rio (Brazil).
- Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," 2006 Meeting Papers 29, Society for Economic Dynamics.
- Item repec:cdl:bphupl:1018 is not listed on IDEAS anymore
- Jeremy Berkowitz & Peter Christoffersen & Denis Pelletier, 2005. "Evaluating Value-at-Risk models with desk-level data," Working Paper Series 010, North Carolina State University, Department of Economics, revised Dec 2006.
- Item repec:cfs:cfswop:wp2000625 is not listed on IDEAS anymore
- Item repec:cdl:ucsdec:2006-03 is not listed on IDEAS anymore
- Gouta Akiyama & Naoto Kunitomo, 2005. ""On Risk Management Methods of Equity-Linked Insurance and Practical Problems"(in Japanese)," CIRJE J-Series CIRJE-J-141, CIRJE, Faculty of Economics, University of Tokyo.
- Item repec:cfs:cfswop:wp2000633 is not listed on IDEAS anymore
- Item repec:lmu:muenec:1356 is not listed on IDEAS anymore