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Report NEP-FMK-2022-07-25
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:
- Christine L. Dobridge & Rebecca John & Berardino Palazzo, 2022, "The post-COVID stock listing boom," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2022-06-17-1, Jun, DOI: 10.17016/2380-7172.3125.
- di Iasio, Giovanni & Alogoskoufis, Spyridon & Kördel, Simon & Kryczka, Dominika & Nicoletti, Giulio & Vause, Nicholas, 2022, "A model of system-wide stress simulation: market-based finance and the Covid-19 event," Working Paper Series, European Central Bank, number 2671, Jun.
- Nordine Abidi & Matteo Falagiarda & Ixart Miquel-Flores, 2022, "Quantitative Easing and Credit Rating Agencies," IMF Working Papers, International Monetary Fund, number 2022/113, Jun.
- Ali Elminejad & Tomas Havranek & Zuzana Irsova, 2022, "People Are Less Risk-Averse than Economists Think," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2022/14, Jun, revised Jun 2022.
- Davide Lauria & W. Brent Lindquist & Stefan Mittnik & Svetlozar T. Rachev, 2022, "ESG-Valued Portfolio Optimization and Dynamic Asset Pricing," Papers, arXiv.org, number 2206.02854, Jun.
- Andrei N. Soklakov, 2022, "Information Geometry of Risks and Returns," Papers, arXiv.org, number 2206.08753, Jun, revised Jun 2023.
- R. Vilela Mendes, 2022, "The fractional volatility model and rough volatility," Papers, arXiv.org, number 2206.02205, Jun.
- Jean-Paul Laurent & Hassan Omidi Firouzi, 2022, "Market Risk and Volatility Weighted Historical Simulation After Basel III," Working Papers, HAL, number hal-03679434, May.
- Kim Oosterlinck & Ariane Reyns & Ariane Szafarz, 2022, "Gold, Bitcoin, and Portfolio Diversification: Lessons from the Ukrainian War," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 22-008, Jun.
- Lei Liu & Guangli Lu & Wei Xiong, 2022, "The Big Tech Lending Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 30160, Jun.
- Ayelen Banegas & Christopher Finch, 2022, "Interest Rates Expectations and Flow Dynamics in High Yield Corporate Debt Mutual funds," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2022-06-17-2, Jun, DOI: 10.17016/2380-7172.3115.
- Xiang Fang & Yang Liu & Nikolai Roussanov, 2022, "Getting to the Core: Inflation Risks Within and Across Asset Classes," NBER Working Papers, National Bureau of Economic Research, Inc, number 30169, Jun.
- Mr. Daniel C Hardy, 2022, "Sovereign Eurobond Liquidity and Yields," IMF Working Papers, International Monetary Fund, number 2022/098, May.
- Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2022, "Hedging option books using neural-SDE market models," Papers, arXiv.org, number 2205.15991, May.
- Giovanni Covi & James Brookes & Charumathi Raja, 2022, "Measuring Capital at Risk in the UK banking sector: a microstructural network approach," Bank of England working papers, Bank of England, number 983, May.
- Milan Szabo, 2022, "Meeting Investor Outflows in Czech Bond and Equity Funds: Horizontal or Vertical?," Working Papers, Czech National Bank, Research and Statistics Department, number 2022/6, Jun.