Report NEP-RMG-2014-03-22

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:

• Amine Lahiani & Khaled Guesmi, 2014. "Commodity Price Correlation and Time varying Hedge Ratios," Working Papers 2014-142, Department of Research, Ipag Business School.
• Jiranyakul, Komain & Opiela, Timothy, 2014. "Market Discipline at Thai Banks before the Asian Crisis," MPRA Paper 54492, University Library of Munich, Germany.
• David Ardia & Lukasz Gatarek & Lennart F. hoogerheide, 2014. "A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: an Application to Risk Analysis," Cahiers de recherche 1413, CIRPEE.
• Grané, Aurea & Martín-Barragán, Belén & Veiga, Helena, 2014. "Outliers in multivariate Garch models," DES - Working Papers. Statistics and Econometrics. WS ws140503, Universidad Carlos III de Madrid. Departamento de Estadística.
• cho, hyejin, 2014. "bank capital regulation model," MPRA Paper 54365, University Library of Munich, Germany.
• Mosheim, Roberto & Blaney, Don & Burdine, Kenneth H. & Maynard, Leigh J., 2014. "Livestock Gross Margin-Dairy Insurance: An Assessment of Risk Management and Potential Supply Impacts," Economic Research Report 164606, United States Department of Agriculture, Economic Research Service.
• Dieter Hendricks & Diane Wilcox & Tim Gebbie, 2014. "High-speed detection of emergent market clustering via an unsupervised parallel genetic algorithm," Papers 1403.4099, arXiv.org, revised Aug 2015.
• Georges Dionne & Maria Pacurar & Xiaozhou Zhou, 2014. "Liquidity-adjusted Intraday Value at Risk modeling and Risk Management: an Application to Data from Deutsche Börse," Cahiers de recherche 1414, CIRPEE.
• Harold L. Cole & Thomas F. Cooley, 2014. "Rating Agencies," NBER Working Papers 19972, National Bureau of Economic Research, Inc.
• Gazi Salah Uddin & Mohamed Arouri & Aviral Kumar Tiwari, 2014. "Co-movements between Germany and International Stock Markets: Some New Evidence from DCC-GARCH and Wavelet Approaches," Working Papers 2014-143, Department of Research, Ipag Business School.
• Peter N, Bell, 2014. "Optimal Use of Put Options in a Stock Portfolio," MPRA Paper 54394, University Library of Munich, Germany.
• Ignacio Lozano & Alexander Guarín, 2014. "Fragilidad Bancaria en Colombia: Un Análisis Basado en las Hojas de Balance," Borradores de Economia 813, Banco de la Republica de Colombia.