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Report NEP-RMG-2015-12-12
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:
- Christian Brownlees & Benjamin Chabot & Eric Ghysels & Christopher J. Kurz, 2015, "Backtesting Systemic Risk Measures During Historical Bank Runs," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2015-9, Jul.
- Yue-Jun Zhang & Ting Yao & Ling-Yun He, 2015, "Forecasting crude oil market volatility: can the Regime Switching GARCH model beat the single-regime GARCH models?," Papers, arXiv.org, number 1512.01676, Dec.
- Mihaly Ormos & Dusan Timotity, 2015, "Generalized asset pricing: Expected Downside Risk-Based Equilibrium Modelling," Papers, arXiv.org, number 1512.01806, Dec.
- Miguel Sarmiento & Jorge E. Galán, 2015, "The influence of risk-taking on bank efficiency: evidence from Colombia," Working Papers, Banco de España, number 1537, Dec.
- Syed Abul, Basher & Perry, Sadorsky, 2015, "Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH," MPRA Paper, University Library of Munich, Germany, number 68231, Dec.
- David Puelz & P. Richard Hahn & Carlos M. Carvalho, 2015, "Sparse Mean-Variance Portfolios: A Penalized Utility Approach," Papers, arXiv.org, number 1512.02310, Dec, revised Oct 2016.
- Martina Jasova, 2015, "Banking Crises in Emerging Economies: Can Credit Variables Work as Early Warnings?," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2015/27, Nov, revised Nov 2015.