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Report NEP-FMK-2021-10-25
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:
- Bazzana, Davide & Colturato, Michele & Savona, Roberto, , "Learning about Unprecedented Events: Agent-Based Modelling and the Stock Market Impact of COVID-19," FEEM Working Papers, Fondazione Eni Enrico Mattei (FEEM), number 314928, DOI: 10.22004/ag.econ.314928.
- Andrew F. Haughwout & Benjamin Hyman & Or Shachar, 2021, "The Option Value of Municipal Liquidity: Evidence from Federal Lending Cutoffs during COVID-19," Staff Reports, Federal Reserve Bank of New York, number 988, Oct.
- Ayelen Banegas & Phillip J. Monin & Lubomir Petrasek, 2021, "Sizing hedge funds' Treasury market activities and holdings," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2021-10-06-3, Oct, DOI: 10.17016/2380-7172.2979.
- Anese, Gianluca & Corazza, Marco & Costola, Michele & Pelizzon, Loriana, 2021, "Impact of public news sentiment on stock market index return and volatility," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 322.
- David Ardia & Keven Bluteau & Kris Boudt, 2021, "Media abnormal tone, earnings announcements, and the stock market," Papers, arXiv.org, number 2110.10800, Oct.
- Härdle, Wolfgang & Klochkov, Yegor & Petukhina, Alla & Zhivotovskiy, Nikita, 2021, "Robustifying Markowitz," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2021-018.
- Kun Li & Xin (Kelly) Liu & Shang-Jin Wei, 2021, "Is Stock Index Membership for Sale?," NBER Working Papers, National Bureau of Economic Research, Inc, number 29365, Oct.
- Yufei Wu & Mahmoud Mahfouz & Daniele Magazzeni & Manuela Veloso, 2021, "How Robust are Limit Order Book Representations under Data Perturbation?," Papers, arXiv.org, number 2110.04752, Oct.
- Radoslav Raykov, 2021, "Systemic Risk and Portfolio Diversification: Evidence from the Futures Market," Staff Working Papers, Bank of Canada, number 21-50, Oct, DOI: 10.34989/swp-2021-50.
- Curtis Nybo, 2021, "Sector Volatility Prediction Performance Using GARCH Models and Artificial Neural Networks," Papers, arXiv.org, number 2110.09489, Oct.
- Virla, Leonardo Quero, 2021, "An empirical characterization of volatility dynamics in the DAX," IPE Working Papers, Berlin School of Economics and Law, Institute for International Political Economy (IPE), number 167/2021.