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Report NEP-FMK-2018-07-09
This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Erik Schlogl issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-FMK
The following items were announced in this report:
- Richard K. Crump & Miro Everaert & Domenico Giannone & Sean Hundtofte, 2018, "Changing Risk-Return Profiles," Staff Reports, Federal Reserve Bank of New York, number 850, Jun.
- Huang, Darien & Schlag, Christian & Shaliastovich, Ivan & Thimme, Julian, 2018, "Volatility-of-volatility risk," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 210, DOI: 10.2139/ssrn.3183610.
- XingYu Fu & JinHong Du & YiFeng Guo & MingWen Liu & Tao Dong & XiuWen Duan, 2018, "A Machine Learning Framework for Stock Selection," Papers, arXiv.org, number 1806.01743, Jun, revised Aug 2018.
- Ludovico Latmiral, 2018, "Weak Correlations of Stocks Future Returns," Papers, arXiv.org, number 1806.05160, Jun, revised Sep 2018.
- Alain-Philippe Fortin & Jean-Guy Simonato & Georges Dionne, 2018, "Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors?," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 18-4, Jun.
- Blake C. Stacey & Yaneer Bar-Yam, 2018, "The Stock Market Has Grown Unstable Since February 2018," Papers, arXiv.org, number 1806.00529, Jun.
- Daniel Roberts & Asani Sarkar & Or Shachar, 2018, "Liquidity Regulations, Bank Lending, and Fire-Sale Risk," Staff Reports, Federal Reserve Bank of New York, number 852, Jun.
- Cristina Sattarhoff & Marc Gronwald, 2018, "How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market," CESifo Working Paper Series, CESifo, number 7102.
- Damien Challet, 2018, "Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions," Papers, arXiv.org, number 1807.00573, Jul.