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Report NEP-FMK-2019-12-02
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:
- Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna, 2019, "A Moving Average Heterogeneous Autoregressive Model for Forecasting the Realized Volatility of the US Stock Market: Evidence from Over a Century of Data," Working Papers, University of Pretoria, Department of Economics, number 201978, Nov.
- Manuel Ammann & Mathis Mörke, 2019, "Credit Variance Risk Premiums," Working Papers on Finance, University of St. Gallen, School of Finance, number 1908, Jun.
- Benedikt Ballensiefen & Angelo Ranaldo, 2019, "Safe Asset Carry Trade," Working Papers on Finance, University of St. Gallen, School of Finance, number 1909, Jul, revised Oct 2019.
- Oleg Kolesnikov & Alexander Markov & Daulet Smagulov & Sergejs Solovjovs, 2019, "Cyber bonds and their pricing models," Papers, arXiv.org, number 1911.06698, Nov.
- de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2019, "OTC discount," Discussion Papers, Deutsche Bundesbank, number 42/2019.
- Luca Benzoni & Lorenzo Garlappi & Robert S. Goldstein, 2019, "Asymmetric Information, Dynamic Debt Issuance, and the Term Structure of Credit Spreads," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2019-8, Sep, DOI: 10.21033/wp-2019-08.
- Vasilios Plakandaras & Elie Bouri & Rangan Gupta, 2019, "Forecasting Bitcoin Returns: Is there a Role for the U.S. – China Trade War?," Working Papers, University of Pretoria, Department of Economics, number 201980, Nov.
- Riza Demirer & Rangan Gupta & Hossein Hassani & Xu Huang, 2019, "Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram," Working Papers, University of Pretoria, Department of Economics, number 201979, Nov.
- Gilbert V. Nartea & Harold Glenn A. Valera & Maria Luisa G. Valera, 2019, "Mean Reversion in Asia-Pacific Stock Prices: New Evidence from Quantile Unit Root Tests," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 19/16, Nov.
- Maria Gabriela Ladu & Andrea Linarello & Filippo Oropallo, 2019, "Trade shocks, product mix adjustment and productivity growth in Italian manufacturing," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 513, Oct.