Report NEP-RMG-2007-03-31

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 Vivian, 2007. "The Equity Premium: UK Industry Evidence," CRIEFF Discussion Papers 0702, Centre for Research into Industry, Enterprise, Finance and the Firm.
• Joao F. Gomes & Leonid Kogan & Motohiro Yogo, 2007. "Durability of Output and Expected Stock Returns," NBER Working Papers 12986, National Bureau of Economic Research, Inc.
• Mierzejewski, Fernando, 2006. "Economic capital allocation under liquidity constraints," MPRA Paper 2414, University Library of Munich, Germany.
• Gregory Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
• Raymond Kan & Cesare Robotti, 2007. "Model comparison using the Hansen-Jagannathan distance," FRB Atlanta Working Paper 2007-04, Federal Reserve Bank of Atlanta.
• Fulvio Corsi & Francesco Audrino, 2007. "Realized Correlation Tick-by-Tick," University of St. Gallen Department of Economics working paper series 2007 2007-02, Department of Economics, University of St. Gallen.
• Carlo Rosa & Giovanni Verga, 2006. "The Impact of Central Bank Announcements on Asset Prices in Real Time: Testing the Efficiency of the Euribor Futures Market," CEP Discussion Papers dp0764, Centre for Economic Performance, LSE.
• Robert J. Aumann & Roberto Serrano, 2007. "An Economic Index of Riskiness," Discussion Paper Series dp446, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.
• Meredith J. Beechey & Jonathan H. Wright, 2007. "Rounding and the impact of news: a simple test of market rationality," Finance and Economics Discussion Series 2007-05, Board of Governors of the Federal Reserve System (U.S.).