Report NEP-RMG-2017-10-01

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:

• Jozef Barunik & Lucie Kraicova, 2017. "Common Cycles in Volatility and Cross Section of Stock Returns," Working Papers IES 2017/19, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2017.
• Frantisek Cech & Jozef Barunik, 2017. "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Working Papers IES 2017/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2017.
• Dietmar Pfeifer & Andreas Mandle & Olena Ragulina, 2017. "New copulas based on general partitions-of-unity and their applications to risk management (part II)," Papers 1709.07682, arXiv.org, revised Jan 2019.
• Martin D. Gould & Nikolaus Hautsch & Sam D. Howison & Mason A. Porter, 2017. "Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading," Papers 1709.08238, arXiv.org, revised Jan 2021.
• Rajae Aboulaich & Rachid Ellaia & Samira El Moumen & Abderahmane Habbal & Noureddine Moussaid, 2017. "The Mean-CVaR Model for Portfolio Optimization Using a Multi-Objective Approach and the Kalai-Smorodinsky Solution," Post-Print hal-01575730, HAL.
• Tan, A.C. & McAleer, M.J., 2017. "Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management," Econometric Institute Research Papers 17-069/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• S. Ali Pourmousavi & Mahdi Behrangrad & Ali Jahanbani Ardakani & M. Hashem Nehrir, 2017. "Ownership Cost Calculations for Distributed Energy Resources Using Uncertainty and Risk Analyses," Papers 1709.08023, arXiv.org.
• William N. Goetzmann & Dasol Kim, 2017. "Negative Bubbles: What Happens After a Crash," NBER Working Papers 23830, National Bureau of Economic Research, Inc.
• Anil K. Kashyap & Dimitrios P. Tsomocos & Alexandros Vardoulakis, 2017. "Optimal Bank Regulation in the Presence of Credit and Run Risk," Finance and Economics Discussion Series 2017-097, Board of Governors of the Federal Reserve System (U.S.).
• Trivikram Dokka Venkata Satyanaraya & Sonali Sen Gupta & Fabrice Talla Nobibon & Alain Zemkoho, 2017. "Robust Toll Pricing," Working Papers 194217799, Lancaster University Management School, Economics Department.