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Report NEP-RMG-2017-10-01
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:
- Jozef Barunik & Lucie Kraicova, 2017, "Common Cycles in Volatility and Cross Section of Stock Returns," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2017/19, Aug, revised Aug 2017.
- Frantisek Cech & Jozef Barunik, 2017, "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2017/20, Sep, revised Sep 2017.
- Dietmar Pfeifer & Andreas Mandle & Olena Ragulina, 2017, "New copulas based on general partitions-of-unity and their applications to risk management (part II)," Papers, arXiv.org, number 1709.07682, Sep, revised Jan 2019.
- Martin D. Gould & Nikolaus Hautsch & Sam D. Howison & Mason A. Porter, 2017, "Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading," Papers, arXiv.org, number 1709.08238, Sep, revised Jan 2021.
- Rajae Aboulaich & Rachid Ellaia & Samira El Moumen & Abderahmane Habbal & Noureddine Moussaid, 2017, "The Mean-CVaR Model for Portfolio Optimization Using a Multi-Objective Approach and the Kalai-Smorodinsky Solution," Post-Print, HAL, number hal-01575730, DOI: 10.1051/matecconf/201710500010.
- Tan, A.C. & McAleer, M.J., 2017, "Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number 17-069/III, Jul.
- S. Ali Pourmousavi & Mahdi Behrangrad & Ali Jahanbani Ardakani & M. Hashem Nehrir, 2017, "Ownership Cost Calculations for Distributed Energy Resources Using Uncertainty and Risk Analyses," Papers, arXiv.org, number 1709.08023, Sep.
- William N. Goetzmann & Dasol Kim, 2017, "Negative Bubbles: What Happens After a Crash," NBER Working Papers, National Bureau of Economic Research, Inc, number 23830, Sep.
- Anil K. Kashyap & Dimitrios P. Tsomocos & Alexandros Vardoulakis, 2017, "Optimal Bank Regulation in the Presence of Credit and Run Risk," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-097, Sep, DOI: 10.17016/FEDS.2017.097.
- Sonali Sen Gupta & Trivikram Dokka Venkata Satyanaraya & Alain Zemkoho & Fabrice Talla Nobibon, 2017, "Robust Toll Pricing," Working Papers, Lancaster University Management School, Economics Department, number 194217799.