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Report NEP-FMK-2021-03-08
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:
- Rangan Gupta & Jacobus Nel & Christian Pierdzioch, 2021, "Investor Confidence and Forecastability of US Stock Market Realized Volatility : Evidence from Machine Learning," Working Papers, University of Pretoria, Department of Economics, number 202118, Feb.
- Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2021, "Forecasting Realized Volatility of International REITs: The Role of Realized Skewness and Realized Kurtosis," Working Papers, University of Pretoria, Department of Economics, number 202114, Feb.
- Alexis Marchal, 2021, "Risk & Returns around Fomc Press Conferences: A Novel Perspective from Computer Vision," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-18, Mar.
- Mattia Montagna & Gabriele Torri & Giovanni Covi, 2021, "On the origin of systemic risk," Bank of England working papers, Bank of England, number 906, Jan.
- Tony Berrada, 2021, "Can the variance after-effect distort stock returns?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-16, Feb.
- Perico Ortiz, Daniel, 2021, "The high frequency impact of economic policy narratives on stock market uncertainty," FAU Discussion Papers in Economics, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, number 02/2021.
- Trimborn, Simon & Härdle, Wolfgang Karl, 2020, "CRIX an Index for cryptocurrencies," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-009.
- Kakuho Furukawa & Hibiki Ichiue & Yugo Kimura & Noriyuki Shiraki, , "Too-big-to-fail Reforms and Systemic Risk," Bank of Japan Working Paper Series, Bank of Japan, number 21-E-1.
- Aase, Knut K. & Bjerksund, Petter, 2021, "The optimal spending rate versus the expected real return of a sovereign wealth fund," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2021/1, Feb.
- Juan Ayuso Huertas & Carlos Antonio Conesa Lareo, 2020, "An introduction to the current debate on central bank digital currency (CBDC)," Occasional Papers, Banco de España, number 2005, Mar.
- Colliard, Jean-Edouard & Foucault, Thierry & Hoffmann, Peter, 2021, "Inventory management, dealers’ connections, and prices in OTC markets," Working Paper Series, European Central Bank, number 2529, Feb.
- Alessandro Bitetto & Paola Cerchiello & Stefano Filomeni & Alessandra Tanda & Barbara Tarantino, 2021, "Machine Learning and Credit Risk: Empirical Evidence from SMEs," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 201, Feb.
- Ben Amor, Souhir & Althof, Michael & Härdle, Wolfgang Karl, 2021, "FRM Financial Risk Meter for Emerging Markets," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2021-002.
- Fornari, Fabio & Zaghini, Andrea, 2021, "It's not time to make a change: Sovereign fragility and the corporate credit risk," CFS Working Paper Series, Center for Financial Studies (CFS), number 652.
- Craja, Patricia & Kim, Alisa & Lessmann, Stefan, 2020, "Deep Learning application for fraud detection in financial statements," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-007.
- Anne-Caroline Hüser & Caterina Lepore & Luitgard Veraart, 2021, "How does the repo market behave under stress? Evidence from the Covid-19 crisis," Bank of England working papers, Bank of England, number 910, Feb.
- Atul Gupta & Sabrina T. Howell & Constantine Yannelis & Abhinav Gupta, 2021, "Owner Incentives and Performance in Healthcare: Private Equity Investment in Nursing Homes," NBER Working Papers, National Bureau of Economic Research, Inc, number 28474, Feb.