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Report NEP-RMG-2021-11-01
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:
- Marcelo Brutti Righi, 2021, "Star-shaped acceptability indexes," Papers, arXiv.org, number 2110.08630, Oct, revised May 2024.
- Sartja Duangchaiyoosook & Weerachart Kilenthong, 2021, "Long Run Risk Model and Equity Premium Puzzle in Thailand," PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research, number 150, Apr.
- c{C}au{g}{i}n Ararat & Francesco Cesarone & Mustafa c{C}elebi P{i}nar & Jacopo Maria Ricci, 2021, "MAD Risk Parity Portfolios," Papers, arXiv.org, number 2110.12282, Oct, revised Jan 2024.
- Luca Rossi, 2021, "Revisiting the Case for a Fiscal Union: the Federal Fiscal Channel of Downside-Risk Sharing in the United States," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1351, Oct.
- Douglas Castilho & Tharsis T. P. Souza & Soong Moon Kang & Jo~ao Gama & Andr'e C. P. L. F. de Carvalho, 2021, "Forecasting Financial Market Structure from Network Features using Machine Learning," Papers, arXiv.org, number 2110.11751, Oct.
- Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar, 2021, "When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-063, Sep, DOI: 10.17016/FEDS.2021.063.
- Jiqian Wang & Rangan Gupta & Oguzhan Cepni & Feng Ma, 2021, "Forecasting International REITs Volatility: The Role of Oil-Price Uncertainty," Working Papers, University of Pretoria, Department of Economics, number 202173, Oct.
- Mathias S. Kruttli & Brigitte Roth Tran & Sumudu W. Watugala, 2021, "Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics," Working Paper Series, Federal Reserve Bank of San Francisco, number 2021-23, Mar, DOI: 10.24148/wp2021-23.
- Yang Shen & Bin Zou, 2021, "Mean-Variance Portfolio Selection in Contagious Markets," Papers, arXiv.org, number 2110.09417, Oct.
- Item repec:hal:wpaper:hal-03388840 is not listed on IDEAS anymore
- Matteo Michielon & Asma Khedher & Peter Spreij, 2021, "Liquidity-free implied volatilities: an approach using conic finance," Papers, arXiv.org, number 2110.11718, Oct.
- Maneerat Gongsiang & Pongpitch Amatyakul, 2021, "Inflation at Risk in Thailand," PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research, number 151, Apr.
- Hyeyoon Jung, 2021, "Real Consequences of Shocks to Intermediaries Supplying Corporate Hedging Instruments," Staff Reports, Federal Reserve Bank of New York, number 989, Oct.