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Report NEP-FMK-2019-10-07
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:
- Abootaleb Shirvani & Stoyan V. Stoyanov & Frank J. Fabozzi & Svetlozar T. Rachev, 2019, "Equity Premium Puzzle or Faulty Economic Modelling?," Papers, arXiv.org, number 1909.13019, Sep, revised Jan 2020.
- Sarah Perrin & Thierry Roncalli, 2019, "Machine Learning Optimization Algorithms & Portfolio Allocation," Papers, arXiv.org, number 1909.10233, Sep.
- Karina Arias-Calluari & Morteza. N. Najafi & Michael S. Harr'e & Fernando Alonso-Marroquin, 2019, "Stationarity of the detrended price return in stock markets," Papers, arXiv.org, number 1910.01034, Oct, revised Aug 2020.
- Álvaro Chamizo & Alfonso Novales, 2019, "Looking through systemic credit risk: determinants, stress testing and market value," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-27, Sep.
- Rosati, Nicoletta & Bellia, Mario & Matos, Pedro Verga & Oliviera, Vasco, 2019, "Ratings matter: announcements in times of crisis and the dynamics of stock markets," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2019-08, Sep.
- David Beers & Patrisha de Leon-Manlagnit, 2019, "The BoC-BoE Sovereign Default Database: What’s New in 2019?," Staff Working Papers, Bank of Canada, number 19-39, Sep, DOI: 10.34989/swp-2019-39.
- Álvaro Chamizo & Alfonso Novales, 2019, "Market risk when hedging a global credit portfolio," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-28, Sep.
- Oguzhan Cepni & I. Ethem Guney & Rangan Gupta & Mark E. Wohar, 2019, "The Role of an Aligned Investor Sentiment Index in Predicting Bond Risk Premia of the United States," Working Papers, University of Pretoria, Department of Economics, number 201973, Sep.
- Jaegi Jeon & Geonwoo Kim & Jeonggyu Huh, 2019, "Consistent and Efficient Pricing of SPX and VIX Options under Multiscale Stochastic Volatility," Papers, arXiv.org, number 1909.10187, Sep.