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Report NEP-FMK-2018-07-23
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:
- Florian Huber & Gregor Kastner & Michael Pfarrhofer, 2018, "Introducing shrinkage in heavy-tailed state space models to predict equity excess returns," Papers, arXiv.org, number 1805.12217, May, revised Jul 2019.
- Yacine Ait-Sahalia & Mustafa Karaman & Loriano Mancini, 2018, "The Term Structure of Variance Swaps and Risk Premia," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-37, May.
- Pierre Collin-Dufresne & Benjamin Junge & Anders B. Trolle, 2018, "Market Structure and Transaction Costs of Index CDSs," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-40, Jun.
- Afees A. Salisu & Idris Adediran, 2018, "Testing for time-varying stochastic volatility in Bitcoin returns," Working Papers, Centre for Econometric and Allied Research, University of Ibadan, number 060, Jul.
- Marco Neffelli & Marina Resta, 2018, "Is VIX still the investor fear gauge? Evidence for the US and BRIC markets," Papers, arXiv.org, number 1806.07556, Jun, revised Jul 2018.
- Luc Arrondel & Jérôme Coffinet, 2018, "Demand For Stocks in the Crisis: France 2004-2014," Working Papers, HAL, number halshs-01785324, May.