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Report NEP-RMG-2024-01-29
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:
- Peter Christensen, 2024, "Roughness Signature Functions," Papers, arXiv.org, number 2401.02819, Jan.
- Jalal Etesami & Ali Habibnia & Negar Kiyavash, 2023, "Modeling Systemic Risk: A Time-Varying Nonparametric Causal Inference Framework," Papers, arXiv.org, number 2312.16707, Dec.
- Haochun Ma & Davide Prosperino & Alexander Haluszczynski & Christoph Rath, 2023, "Linear and nonlinear causality in financial markets," Papers, arXiv.org, number 2312.16185, Dec.
- Martin Keller-Ressel & Martin Larsson & Sergio Pulido, 2023, "Rough affine models," Post-Print, HAL, number hal-02265210, DOI: 10.1137/1.9781611977783.
- Alessandra Mainini & Enrico Moretto & Daniela Visetti, 2024, "Displaying risk in mergers: a diagrammatic approach for exchange ratio determination," Papers, arXiv.org, number 2401.02681, Jan.
- Albert Dorador, 2024, "Constrained Max Drawdown: a Fast and Robust Portfolio Optimization Approach," Papers, arXiv.org, number 2401.02601, Jan.
- Bruno Feunou & James Kyeong, 2023, "Finding the balance—measuring risks to inflation and to GDP growth," Staff Analytical Notes, Bank of Canada, number 2023-18, Dec, DOI: 10.34989/san-2023-18.
- Liu, Jia & Maheu, John M & Song, Yong, 2023, "Identification and Forecasting of Bull and Bear Markets using Multivariate Returns," MPRA Paper, University Library of Munich, Germany, number 119515.
- Carlo Boselli & Stefano Costa & Marco Rinaldi & Claudio Vicarelli, 2023, "The Covid-19 crisis was different:Assessing the Italian firms in trouble through a new indicator of financial solidity," Working Papers LuissLab, Dipartimento di Economia e Finanza, LUISS Guido Carli, number 23159.
- Taisuke Nakata & Daisuke Fujii & Takeshi Ojima, 2023, "Heterogeneous Risk Attitudes and Waves of Infection," Working Papers, Tokyo Center for Economic Research, number e192, Dec.