Report NEP-RMG-2010-09-03This 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:
- Hammoudeh, S.M. & Malik, F. & McAleer, M.J., 2010. "Risk management of precious metals," Econometric Institute Research Papers EI 2010-48, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Javed Iqbal & Sara Azher & Ayesha Ijaz, 2010. "Predictive Ability of Value-at-Risk Methods: Evidence from the Karachi Stock Exchange-100 Index," EERI Research Paper Series EERI_RP_2010_18, Economics and Econometrics Research Institute (EERI), Brussels.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," KIER Working Papers 717, Kyoto University, Institute of Economic Research.
- Martin Hellwig, 2010. "Capital Regulation after the Crisis: Business as Usual?," Working Paper Series of the Max Planck Institute for Research on Collective Goods 2010_31, Max Planck Institute for Research on Collective Goods.
- Chang, C-L. & Huang, B-W. & Chen, M-G., 2010. "Modelling the Asymmetric Volatility in Hog Prices in Taiwan," Econometric Institute Research Papers EI 2010-46, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- William T. Shaw, 2010. "Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions: a Solution for Long-only Portfolios," Papers 1008.3718, arXiv.org.
- Mara Faccio & Maria-Teresa Marchica & Roberto Mura, 2010. "Large Shareholder Diversification And Corporate Risk- Taking," Purdue University Economics Working Papers 1241, Purdue University, Department of Economics.