Report NEP-RMG-2016-05-14

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:

• Maples, William & Harri, Ardian & Riley, John Michael & Tack, Jesse & Williams, Brian, 2016, "Determining the Effectiveness of Exchange Traded Funds as a Risk Management Tool for Southeastern Producers," 2016 Annual Meeting, February 6-9, 2016, San Antonio, Texas, Southern Agricultural Economics Association, number 229979, DOI: 10.22004/ag.econ.229979.
• Ergun, Lerby M., 2016, "Disaster and fortune risk in asset returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 66194, Mar.
• René Garcia & Caio Almeida & Kym Ardison & Jose Vicente, 2016, "Nonparametric Tail Risk, Stock Returns and the Macroeconomy," CIRANO Working Papers, CIRANO, number 2016s-20, Apr.
• Istvan Barra & Siem Jan Koopman & Agnieszka Borowska, 2016, "Bayesian Dynamic Modeling of High-Frequency Integer Price Changes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-028/III, Apr, revised 16 Feb 2018.
• Jiang, Jingze & Marsh, Thomas L., 2016, "Volatility Spillover Effects and Cross Hedging in the U.S. Oil Market and the Energy Pipeline Sector Index," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts, Agricultural and Applied Economics Association, number 235066, Jul, DOI: 10.22004/ag.econ.235066.
• Giulio Cimini & Matteo Serri, 2016, "Entangling credit and funding shocks in interbank markets," Papers, arXiv.org, number 1604.06629, Apr.
• Farooq Akram & Andrew Binning & Junior Maih, 2016, "Joint Prediction Bands for Macroeconomic Risk Management," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 5/2016, May.
• Creedon, Conn & O'Brien, Eoin, 2016, "Indicators for Setting the Countercyclical Capital Buffer," Economic Letters, Central Bank of Ireland, number 02/EL/16, Apr.
• Bai, Z. & Li, H. & McAleer, M.J. & Wong, W.-K., 2016, "Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-20, Apr.
• Rodolphe Dos Santos Ferreira & Teresa Lloyd-Braga & Leonor Modesto, 2016, "Could competition always raise the risk of bank failure?," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2016-27.
• Farooq Akram & Andrew Binning & Junior Maih, 2016, "Joint prediction bands for macroeconomic risk management," Working Paper, Norges Bank, number 2016/7, Apr.
• Dóra Siklós, 2016, "Capital Adequacy Regulations in Hungary: Did It Really Matter?," Working Papers, European Stability Mechanism, number 11, Apr.
• Alan Moreira & Tyler Muir, 2016, "Volatility Managed Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 22208, Apr.
• Anne Corcos & François Pannequin & Claude Montmarquette, 2016, "Leaving the market or reducing the coverage?," CIRANO Working Papers, CIRANO, number 2016s-26, May.
• Hubbs, Todd & Kuethe, Todd, 2016, "Latent Risk Estimation in Commercial Bank Delinquency Rates," SCC-76 Meeting, 2016, March 17-19, Pensacola, Florida, SCC-76: Economics and Management of Risk in Agriculture and Natural Resources, number 233766, Mar, DOI: 10.22004/ag.econ.233766.
• Yves-Laurent Kom Samo & Alexander Vervuurt, 2016, "Stochastic Portfolio Theory: A Machine Learning Perspective," Papers, arXiv.org, number 1605.02654, May.
• Kai Li & Jun Liu, 2016, "Reversing Momentum: The Optimal Dynamic Momentum Strategy," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 370, Mar.
• Revoredo-Giha, Cesar & Zuppiroli, Marco, 2015, "Hedging effectiveness of European wheat futures markets: An application of multivariate GARCH models," 2015 Conference, August 9-14, 2015, Milan, Italy, International Association of Agricultural Economists, number 212486, DOI: 10.22004/ag.econ.212486.
• Rangan Gupta & Anandamayee Majumdar & Christian Pierdzioch & Mark Wohar, 2016, "Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach," Working Papers, University of Pretoria, Department of Economics, number 201626, Mar.
• Marmai, Nadin & Franco Villoria, Maria & Guerzoni, Marco, 2016, "How the Black Swan damages the harvest: statistical modelling of extreme events in weather and crop production in Africa, Asia, and Latin America," Department of Economics and Statistics Cognetti de Martiis LEI & BRICK - Laboratory of Economics of Innovation "Franco Momigliano", Bureau of Research in Innovation, Complexity and Knowledge, Collegio, University of Turin, number 201605, May.
• Item repec:qmw:qmwecw:wp795 is not listed on IDEAS anymore

• Liu, Jia & Maheu, John M, 2015, "Improving Markov switching models using realized variance," MPRA Paper, University Library of Munich, Germany, number 71120, Sep.
• Kahsay, Goytom Abraha & Osberghaus, Daniel, 2016, "Extreme weather and risk preference: Panel evidence from Germany," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 16-032.

Report NEP-RMG-2016-05-14

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: