Report NEP-FMK-2020-05-18This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Kwang Soo Cheong issued this report. It is usually issued weekly.
The following items were announced in this report:
- Papadamou, Stephanos & Fassas, Athanasios & Kenourgios, Dimitris & Dimitriou, Dimitrios, 2020. "Direct and Indirect Effects of COVID-19 Pandemic on Implied Stock Market Volatility: Evidence from Panel Data Analysis," MPRA Paper 100020, University Library of Munich, Germany.
- Jonathan Fu & Mrinal Mishra, 2020. "The Global Impact of COVID-19 on Fintech Adoption," Swiss Finance Institute Research Paper Series 20-38, Swiss Finance Institute.
- Roman Frydman & Nicholas Mangee & Josh Stillwagon, 2020. "How Market Sentiment Drives Forecasts of Stock Returns," Working Papers Series inetwp115, Institute for New Economic Thinking.
- Lundström, Christian, 2020. "On the Profitability of Momentum Strategies and Optimal Leverage Rules," Umeå Economic Studies 974, Umeå University, Department of Economics.
- Andrés Sagner, 2020. "Measuring Systemic Risk: A Quantile Factor Analysis," Working Papers Central Bank of Chile 874, Central Bank of Chile.
- Wang, Chih-Wei & Lopes Moreira Da Veiga, María Helena & Taamouti, Abderrahim & Ramos, Sofía B., 2020. "Quantile Consumption-Capital Asset Pricing," DES - Working Papers. Statistics and Econometrics. WS 30332, Universidad Carlos III de Madrid. Departamento de Estadística.
- Ruiz Ortega, Esther & Nieto Delfin, Maria Rosa, 2020. "Direct versus iterated multi-period Value at Risk," DES - Working Papers. Statistics and Econometrics. WS 30349, Universidad Carlos III de Madrid. Departamento de Estadística.
- Kei Nakagawa & Shuhei Noma & Masaya Abe, 2020. "RM-CVaR: Regularized Multiple $\beta$-CVaR Portfolio," Papers 2004.13347, arXiv.org, revised May 2020.
- Thomas Krabichler & Josef Teichmann, 2020. "The Jarrow & Turnbull setting revisited," Papers 2004.12392, arXiv.org.
- Ilias Tsiakas & Jiahan Li & Haibin Zhang, 2020. "Equity Premium Prediction and the State of the Economy," Working Paper series 20-16, Rimini Centre for Economic Analysis.
- Rui Pedro Brito & Pedro Maria Corte Real Alarcão Judice, 2020. "Asset classification under the IFRS 9 framework for the construction of a banking investment portfolio," CeBER Working Papers 2020-06, Centre for Business and Economics Research (CeBER), University of Coimbra.