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Report NEP-FMK-2022-06-20
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:
- Yong Xie & Dakuo Wang & Pin-Yu Chen & Jinjun Xiong & Sijia Liu & Sanmi Koyejo, 2022, "A Word is Worth A Thousand Dollars: Adversarial Attack on Tweets Fools Stock Predictions," Papers, arXiv.org, number 2205.01094, May, revised Jul 2022.
- Ming Zeng & Guihai Zhao, 2022, "Expectation-Driven Term Structure of Equity and Bond Yields," Staff Working Papers, Bank of Canada, number 22-21, May, DOI: 10.34989/swp-2022-21.
- Cyril Bachelard & Apostolos Chalkis & Vissarion Fisikopoulos & Elias Tsigaridas, 2022, "Randomized geometric tools for anomaly detection in stock markets," Papers, arXiv.org, number 2205.03852, May, revised May 2022.
- Olkhov, Victor, 2022, "The Market-Based Asset Price Probability," MPRA Paper, University Library of Munich, Germany, number 113096, May.
- Taras Bodnar & Vilhelm Niklasson & Erik Thors'en, 2022, "Volatility Sensitive Bayesian Estimation of Portfolio VaR and CVaR," Papers, arXiv.org, number 2205.01444, May.
- Dixon Domfeh & Arpita Chatterjee & Matthew Dixon, 2022, "A Unified Bayesian Framework for Pricing Catastrophe Bond Derivatives," Papers, arXiv.org, number 2205.04520, May.
- Claudiu Vinte & Marcel Ausloos & Titus Felix Furtuna, 2022, "A Volatility Estimator of Stock Market Indices Based on the Intrinsic Entropy Model," Papers, arXiv.org, number 2205.01370, May.
- Benjamin King & James Semark, 2022, "Reducing liquidity mismatch in open-ended funds: a cost-benefit analysis," Bank of England working papers, Bank of England, number 975, Apr.
- Imran Yousaf & Vasilios Plakandaras & Elie Bouri & Rangan Gupta, 2022, "Hedge and Safe Haven Properties of Gold, US Treasury, Bitcoin, and Dollar/CHF against the FAANA Companies and S&P 500," Working Papers, University of Pretoria, Department of Economics, number 202227, May.
- Jappelli, Ruggero & Lucke, Konrad & Pelizzon, Loriana, 2022, "Price and liquidity discovery in European sovereign bonds and futures," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 350.
- Darmouni, Olivier & Papoutsi, Melina, 2022, "Non-bank lending to mid-size firms in Europe: evidence from corporate securities," Working Paper Series, European Central Bank, number 2663, May.
- Andreas Kick & Horst Rottmann, 2022, "The Relevance of Banks to the European Stock Market," CESifo Working Paper Series, CESifo, number 9752.
- Richard Finlay & Dmitry Titkov & Michelle Xiang, 2022, "The Yield and Market Function Effects of the Reserve Bank of Australia's Bond Purchases," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2022-02, May, DOI: 10.47688/rdp2022-02.
- Chenrui Zhang, 2022, "Deep learning based Chinese text sentiment mining and stock market correlation research," Papers, arXiv.org, number 2205.04743, May.
- Chenrui Zhang & Xinyi Wu & Hailu Deng & Huiwei Zhang, 2022, "A time-varying study of Chinese investor sentiment, stock market liquidity and volatility: Based on deep learning BERT model and TVP-VAR model," Papers, arXiv.org, number 2205.05719, May, revised May 2022.
- Manuel Ennes Ferreira & João Dias & Jelson Serafim, 2022, "Stock Market and Economic Growth: Evidence from Africa," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2022/0228, May.