Report NEP-RMG-2004-03-28

This 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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Paul Klemperer, 2004. "Auctions: Theory and Practice," Economics Papers 2004-W09, Economics Group, Nuffield College, University of Oxford.
• Nielsen, Morten Oe., "undated". "Spectral Analysis of Fractionally Cointegrated Systems," Economics Working Papers 2002-12, Department of Economics and Business Economics, Aarhus University.
• Christophe Faugere & Julian Van Erlach, 2004. "A General Theory of Stock Market Valuation and Return," Finance 0403004, University Library of Munich, Germany, revised 17 May 2004.
• Corrado Crocetta & Nicola Loperfido, 2003. "Sampling Distribution of the Gini Index from a Skew Normal," Quaderni DSEMS 07-2003, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
• Corrado Crocetta & Nicola Loperfido, 2003. "Statistical Analysis of the Correlation between Italian and U.S. Stock Returns," Quaderni DSEMS 12-2003, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
• Eduardo Levy Yeyati & Augusto de la Torre & Sergio Schmukler, 2003. "Living and Dying with Hard Pegs: The Rise and Fall of Argentina´s Currency Board," Business School Working Papers catorce, Universidad Torcuato Di Tella.
• Nielsen, Morten Oe., "undated". "Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence," Economics Working Papers 2002-16, Department of Economics and Business Economics, Aarhus University.
• Corrado Crocetta & Nicola Loperfido, 2003. "Correlations Without Moments," Quaderni DSEMS 05-2003, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
• Engström, Stefan & Westerberg, Anna, 2004. "Information Costs and Mutual Fund Flows," SSE/EFI Working Paper Series in Economics and Finance 555, Stockholm School of Economics.
• Anna Christina D'Addio & Bo E. Honoré, "undated". "Duration Dependence and Timevarying Variables in Discrete Time Duration Models," Economics Working Papers 2002-13, Department of Economics and Business Economics, Aarhus University.
• Christophe Faugere & Julian Van Erlach, 2004. "The Price of Gold: A Global Required Yield Theory," Finance 0403003, University Library of Munich, Germany.
• Feng Dai & Zifu Qin, 2004. "Df Structure Models For Options Pricing," Finance 0403005, University Library of Munich, Germany.
• Nielsen, Morten Oe., "undated". "Semiparametric Estimation in Time Series Regression with Long Range Dependence," Economics Working Papers 2002-17, Department of Economics and Business Economics, Aarhus University.
• Nielsen, Morten Oe., "undated". "Multivariate Lagrange Multiplier Tests for Fractional Integration," Economics Working Papers 2002-18, Department of Economics and Business Economics, Aarhus University.
• Boris Siliverstovs & Tom Engsted & Niels Haldrup, "undated". "Long-run forecasting in multicointegrated systems," Economics Working Papers 2002-15, Department of Economics and Business Economics, Aarhus University.