Report NEP-RMG-2006-01-01

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:

• Andrew Ang & Joseph Chen, 2005. "CAPM Over the Long Run: 1926-2001," NBER Working Papers 11903, National Bureau of Economic Research, Inc.
• Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2005. "International Stock Return Comovements," NBER Working Papers 11906, National Bureau of Economic Research, Inc.
• Massimo Guidolin & Giovanna Nicodano, 2007. "Small caps in international equity portfolios: the effects of variance risk," Working Papers 2005-075, Federal Reserve Bank of St. Louis.
• Tony Guida & Olivier Matringe, 2005. "Application Of Garch Models In Forecasting The Volatility Of Agricultural Commodities," Finance 0512021, University Library of Munich, Germany.
• Dimitris Kenourgios & Aristeidis Samitas & Panagiotis Drosos, 2005. "Hedge ratio estimation and hedging effectiveness: the case of the S&P 500 stock index futures contract," Finance 0512018, University Library of Munich, Germany.
• Ingyu Chiou & James Jordan- Wagner & Hai-Chin Yu, 2005. "How do Currency Markets Interact? Evidence from the Yen-Dollar Exchange Rates in Tokyo, London, and New York," Finance 0512024, University Library of Munich, Germany.
• Bjuggren, Per-Olof & Wiberg, Daniel, 2005. "Industry Specific Effects in Investment Performance and Valuation of Firms - Marginal q in a Stock Market Bubble," Working Paper Series in Economics and Institutions of Innovation 45, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.