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Report NEP-FMK-2020-08-24
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:
- Alqaralleh, Huthaifa & Canepa, Alessandra & Zanetti Chini, Emilio, 2020, "COVID-19 Pandemic and Stock Market Contagion: A Wavelet-Copula GARCH Approach," Department of Economics and Statistics Cognetti de Martiis. Working Papers, University of Turin, number 202012, Jun.
- Tirupam Goel & José María Serena Garralda, 2020, "Bonds and syndicated loans during the Covid-19 crisis: decoupled again?," BIS Bulletins, Bank for International Settlements, number 29, Aug.
- David P. Glancy & Max Gross & Felicia Ionescu, 2020, "How Did Banks Fund C&I Drawdowns at the Onset of the COVID-19 Crisis?," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2020-07-31-1, Jul, DOI: 10.17016/2380-7172.2601.
- Hardik A. Marfatia & Rangan Gupta & Stephen M. Miller, 2020, "125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets," Working papers, University of Connecticut, Department of Economics, number 2020-12, Aug.
- Dominique Pépin & Stephen M. Miller, 2020, "The Time-Varying Nature of Risk Aversion: Evidence from 60 Years of U.S. Stock Market Data," Working papers, University of Connecticut, Department of Economics, number 2020-09, Aug.
- Lysle Boller & Fiona Scott Morton, 2020, "Testing the Theory of Common Stock Ownership," NBER Working Papers, National Bureau of Economic Research, Inc, number 27515, Jul.
- Sumit Agarwal & Xudong An & Lawrence R. Cordell & Raluca Roman, 2020, "Bank Stress Test Results and Their Impact on Consumer Credit Markets," Working Papers, Federal Reserve Bank of Philadelphia, number 20-30, Jul, DOI: 10.21799/frbp.wp.2020.30.
- Longbing Cao & Qiang Yang & Philip S. Yu, 2020, "Data science and AI in FinTech: An overview," Papers, arXiv.org, number 2007.12681, Jul, revised Jul 2021.
- A. R. Provenzano & D. Trifir`o & A. Datteo & L. Giada & N. Jean & A. Riciputi & G. Le Pera & M. Spadaccino & L. Massaron & C. Nordio, 2020, "Machine Learning approach for Credit Scoring," Papers, arXiv.org, number 2008.01687, Jul.
- Anindya Goswami & Sharan Rajani & Atharva Tanksale, 2020, "Data-Driven Option Pricing using Single and Multi-Asset Supervised Learning," Papers, arXiv.org, number 2008.00462, Aug, revised Dec 2020.
- Mahdi Ghaemi Asl & Giorgio Canarella & Stephen M. Miller, 2020, "Dynamic Asymmetric Optimal Portfolio Allocation between Energy Stocks and Energy Commodities: Evidence from Clean Energy and Oil and Gas Companies," Working papers, University of Connecticut, Department of Economics, number 2020-07, Aug.
- James Collin Harkrader & Michael Puglia, 2020, "Principal Trading Firm Activity in Treasury Cash Markets," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2020-08-04, Aug, DOI: 10.17016/2380-7172.2620.
- Vinicius Ratton Brandi, 2020, "Short-Term Predictability of Stock Market Indexes following Large Drawdowns and Drawups," Working Papers Series, Central Bank of Brazil, Research Department, number 529, Jul.
- Tim D. Maurer & Thomas Nitschka, 2020, "Stock market evidence on the international transmission channels of US monetary policy surprises," Working Papers, Swiss National Bank, number 2020-10.
- Jiawei Du, 2020, "A Research on Cross-sectional Return Dispersion and Volatility of US Stock Market during COVID-19," Papers, arXiv.org, number 2007.11546, Jul, revised Mar 2021.
- Ricardo Correa & Wenxin Du & Gordon Y. Liao, 2020, "U.S. Banks and Global Liquidity," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1289, Jul, DOI: 10.17016/IFDP.2020.1289.
- Alex Aronovich & Andrew C. Meldrum, 2020, "New Financial Market Measures of the Neutral Real Rate and Inflation Expectations," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2020-08-03, Aug, DOI: 10.17016/2380-7172.2621.
- Marcin Chlebus & Michał Dyczko & Michał Woźniak, 2020, "Nvidia’s stock returns prediction using machine learning techniques for time series forecasting problem," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-22.
- Alexandre de Carvalho & Thiago Trafane Oliveira Santos, 2020, "Is the Equity Risk Premium Compressed in Brazil?," Working Papers Series, Central Bank of Brazil, Research Department, number 527, Jul.