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Report NEP-FMK-2022-01-31
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:
- Ozdemir, Huseyin & Ozdemir, Zeynel Abidin, 2021, "A Survey of Hedge and Safe Havens Assets against G-7 Stock Markets before and during the COVID-19 Pandemic," IZA Discussion Papers, Institute of Labor Economics (IZA), number 14888, Nov.
- Matsuki, Takashi & Pan, Lei, 2021, "How did Australian financial markets react to the COVID-19 vaccine rollout? Fresh evidence from quantile copula spectrum analysis," MPRA Paper, University Library of Munich, Germany, number 111136, Dec.
- Christis Katsouris, 2021, "Optimal Portfolio Choice and Stock Centrality for Tail Risk Events," Papers, arXiv.org, number 2112.12031, Dec.
- Richard J. Martin, 2022, "The credit spread curve. I: Fundamental concepts, fitting, par-adjusted spread, and expected return," Papers, arXiv.org, number 2201.01330, Jan, revised Apr 2024.
- Songyan Hou & Thomas Krabichler & Marcus Wunsch, 2021, "Deep Partial Hedging," Papers, arXiv.org, number 2112.07335, Dec.
- J'er'emi Assael & Laurent Carlier & Damien Challet, 2022, "Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning," Papers, arXiv.org, number 2201.04393, Jan, revised Apr 2023.
- Michael Schnetzer & Thorsten Hens, 2022, "Evolutionary finance for multi-asset investors," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-05, Jan.
- Nikolay Doskov & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2022, "Strategic complementarity and substitutability of investment strategies," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-04, Jan.
- Mestiri, Sami, 2021, "Modelling the volatility of Bitcoin returns using Nonparametric GARCH models," MPRA Paper, University Library of Munich, Germany, number 111116, Dec.
- Jovanka Lili Matic & Natalie Packham & Wolfgang Karl Hardle, 2021, "Hedging Cryptocurrency Options," Papers, arXiv.org, number 2112.06807, Nov, revised Dec 2022.
- Zhijing Zhang & Yue Yu & Qinghua Ma & Haixiang Yao, 2021, "A revised comparison between FF five-factor model and three-factor model,based on China's A-share market," Papers, arXiv.org, number 2112.03170, Oct.
- Vladimir Pyrlik & Pavel Elizarov & Aleksandra Leonova, 2021, "Forecasting Realized Volatility Using Machine Learning and Mixed-Frequency Data (the Case of the Russian Stock Market)," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp713, Nov.