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Report NEP-RMG-2018-05-28
This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley Miles issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-RMG
The following items were announced in this report:
- Marcel Bräutigam & Michel Dacorogna & Marie Kratz, 2018, "Predicting risk with risk measures : an empirical study," Working Papers, HAL, number hal-01791026, Feb.
- Becker, Janis & Leschinski, Christian, 2018, "Estimating the Volatility of Asset Pricing Factors," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-631, May.
- Irani, Rustom M & Iyer, Rajkamal & Meisenzahl, Ralf R & Peydró, José-Luis, 2018, "The Rise of Shadow Banking: Evidence from Capital Regulation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12913, May.
- Michele Leonardo Bianchi & Gian Luca Tassinari, 2018, "Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform," Papers, arXiv.org, number 1805.05584, May, revised May 2018.
- Ellul, Andrew & Jotikasthira, Chotibhak & Kartasheva, Anastasia & Lundblad, Christian T. & Wagner, Wolf, 2018, "Insurers as asset managers and systemic risk," ESRB Working Paper Series, European Systemic Risk Board, number 75, May.
- Kamiya, Shinichi & Kang, Jun-Koo & Kim, Jungmin & Milidonis, Andreas & Stulz, Rene M., 2018, "What Is the Impact of Successful Cyberattacks on Target Firms?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2018-04, Mar.
- Alogoskoufis, Spyros & Langfield, Sam, 2018, "Regulating the doom loop," ESRB Working Paper Series, European Systemic Risk Board, number 74, May.
- Zhi-Qiang Jiang & Wen-Jie Xie & Wei-Xing Zhou & Didier Sornette, 2018, "Multifractal analysis of financial markets," Papers, arXiv.org, number 1805.04750, May.
- Henryk Gzyl & Alfredo Rios, 2018, "Which portfolio is better? A discussion of several possible comparison criteria," Papers, arXiv.org, number 1805.06345, May, revised Jun 2022.
- Marco Bardoscia & Ginestra Bianconi & Gerardo Ferrara, 2018, "Multiplex network analysis of the UK OTC derivatives market," Bank of England working papers, Bank of England, number 726, May.
- Shengzhong Chen & Niushan Gao & Foivos Xanthos, 2018, "The strong Fatou property of risk measures," Papers, arXiv.org, number 1805.05259, May.
- Cristiana Tudor, 2018, "Implications of Extreme Value Theory for stock market investments," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 7508377, Apr.
- Wruck, Karen H. & Wu, YiLin, 2017, "Do CEOs Make Their Own Luck? Relative Versus Absolute Performance Evaluation and Firm Risk," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2017-20, Oct.
- Cuneyt Akcora & Matthew Dixon & Yulia Gel & Murat Kantarcioglu, 2018, "Bitcoin Risk Modeling with Blockchain Graphs," Papers, arXiv.org, number 1805.04698, May.
- Amanah Ramadiah & Domenico Di Gangi & D. Ruggiero Lo Sardo & Valentina Macchiati & Tuan Pham Minh & Francesco Pinotti & Mateusz Wilinski & Paolo Barucca & Giulio Cimini, 2018, "Network Sensitivity of Systemic Risk," Papers, arXiv.org, number 1805.04325, May, revised Jun 2020.
- Basir, Yana, 2018, "Liquidity and its determinants," MPRA Paper, University Library of Munich, Germany, number 86863, May.
- Rangan Gupta & Patrick Kanda & Mark E. Wohar, 2018, "Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings," Working Papers, University of Pretoria, Department of Economics, number 201830, May.
- Brigitte Frutig & Prashant Das, 2017, "Geographic Focus and Systematic Risk in REITs," ERES, European Real Estate Society (ERES), number eres2017_369, Jul.
- Cassim, Lucius, 2018, "Non-parametric Estimation of GARCH (2, 2) Volatility model: A new Algorithm," MPRA Paper, University Library of Munich, Germany, number 86861, May.
- Shota Gugushvili & Frank van der Meulen & Moritz Schauer & Peter Spreij, 2018, "Nonparametric Bayesian volatility learning under microstructure noise," Papers, arXiv.org, number 1805.05606, May, revised Mar 2024.