Report NEP-RMG-2016-05-14

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:

• Maples, William & Harri, Ardian & Riley, John Michael & Tack, Jesse & Williams, Brian, 2016. "Determining the Effectiveness of Exchange Traded Funds as a Risk Management Tool for Southeastern Producers," 2016 Annual Meeting, February 6-9, 2016, San Antonio, Texas 229979, Southern Agricultural Economics Association.
• Ergun, Lerby M., 2016. "Disaster and fortune risk in asset returns," LSE Research Online Documents on Economics 66194, London School of Economics and Political Science, LSE Library.
• René Garcia & Caio Almeida & Kym Ardison & Jose Vicente, 2016. "Nonparametric Tail Risk, Stock Returns and the Macroeconomy," CIRANO Working Papers 2016s-20, CIRANO.
• Istvan Barra & Siem Jan Koopman & Agnieszka Borowska, 2016. "Bayesian Dynamic Modeling of High-Frequency Integer Price Changes," Tinbergen Institute Discussion Papers 16-028/III, Tinbergen Institute, revised 16 Feb 2018.
• Jiang, Jingze & Marsh, Thomas L., 2016. "Volatility Spillover Effects and Cross Hedging in the U.S. Oil Market and the Energy Pipeline Sector Index," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235066, Agricultural and Applied Economics Association.
• Giulio Cimini & Matteo Serri, 2016. "Entangling credit and funding shocks in interbank markets," Papers 1604.06629, arXiv.org.
• Farooq Akram & Andrew Binning & Junior Maih, 2016. "Joint Prediction Bands for Macroeconomic Risk Management," Working Papers No 5/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
• Creedon, Conn & O'Brien, Eoin, 2016. "Indicators for Setting the Countercyclical Capital Buffer," Economic Letters 02/EL/16, Central Bank of Ireland.
• Bai, Z. & Li, H. & McAleer, M.J. & Wong, W.-K., 2016. "Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization," Econometric Institute Research Papers EI2016-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Rodolphe Dos Santos Ferreira & Teresa Lloyd-Braga & Leonor Modesto, 2016. "Could competition always raise the risk of bank failure?," Working Papers of BETA 2016-27, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
• Farooq Akram & Andrew Binning & Junior Maih, 2016. "Joint prediction bands for macroeconomic risk management," Working Paper 2016/7, Norges Bank.
• Dóra Siklós, 2016. "Capital Adequacy Regulations in Hungary: Did It Really Matter?," Working Papers 11, European Stability Mechanism.
• Alan Moreira & Tyler Muir, 2016. "Volatility Managed Portfolios," NBER Working Papers 22208, National Bureau of Economic Research, Inc.
• Anne Corcos & François Pannequin & Claude Montmarquette, 2016. "Leaving the market or reducing the coverage?," CIRANO Working Papers 2016s-26, CIRANO.
• Hubbs, Todd & Kuethe, Todd, 2016. "Latent Risk Estimation in Commercial Bank Delinquency Rates," SCC-76 Meeting, 2016, March 17-19, Pensacola, Florida 233766, SCC-76: Economics and Management of Risk in Agriculture and Natural Resources.
• Yves-Laurent Kom Samo & Alexander Vervuurt, 2016. "Stochastic Portfolio Theory: A Machine Learning Perspective," Papers 1605.02654, arXiv.org.
• Kai Li & Jun Liu, 2016. "Reversing Momentum: The Optimal Dynamic Momentum Strategy," Research Paper Series 370, Quantitative Finance Research Centre, University of Technology, Sydney.
• Revoredo-Giha, Cesar & Zuppiroli, Marco, 2015. "Hedging effectiveness of European wheat futures markets: An application of multivariate GARCH models," 2015 Conference, August 9-14, 2015, Milan, Italy 212486, International Association of Agricultural Economists.
• Rangan Gupta & Anandamayee Majumdar & Christian Pierdzioch & Mark Wohar, 2016. "Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach," Working Papers 201626, University of Pretoria, Department of Economics.
• Marmai, Nadin & Franco Villoria, Maria & Guerzoni, Marco, 2016. "How the Black Swan damages the harvest: statistical modelling of extreme events in weather and crop production in Africa, Asia, and Latin America," Department of Economics and Statistics Cognetti de Martiis LEI & BRICK - Laboratory of Economics of Innovation "Franco Momigliano", Bureau of Research in Innovation, Complexity and Knowledge, Collegio 201605, University of Turin.
• Marco Cozzi & Giulio Fella, 2016. "Job Displacement Risk and Severance Pay," Working Papers 795, Queen Mary University of London, School of Economics and Finance.
• Liu, Jia & Maheu, John M, 2015. "Improving Markov switching models using realized variance," MPRA Paper 71120, University Library of Munich, Germany.
• Kahsay, Goytom Abraha & Osberghaus, Daniel, 2016. "Extreme weather and risk preference: Panel evidence from Germany," ZEW Discussion Papers 16-032, ZEW - Leibniz Centre for European Economic Research.