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Report NEP-RMG-2024-02-12
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:
- Brahmana, Rayenda Khresna, 2022, "Do Machine Learning Approaches Have the Same Accuracy in Forecasting Cryptocurrencies Volatilities?," MPRA Paper, University Library of Munich, Germany, number 119598, Dec.
- Dennis Koch & Vahidin Jeleskovic & Zahid I. Younas, 2024, "Modelling and Predicting the Conditional Variance of Bitcoin Daily Returns: Comparsion of Markov Switching GARCH and SV Models," Papers, arXiv.org, number 2401.03393, Jan, revised Jan 2024.
- Cristina Chinazzo & Vahidin Jeleskovic, 2024, "Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches," Papers, arXiv.org, number 2401.02049, Jan.
- Elisa Al`os & Eulalia Nualart & Makar Pravosud, 2023, "On the implied volatility of Inverse options under stochastic volatility models," Papers, arXiv.org, number 2401.00539, Dec, revised Apr 2025.
- Jean-Gabriel Lauzier & Liyuan Lin & Peter Wakker & Ruodu Wang, 2024, "Optimal risk sharing, equilibria, and welfare with empirically realistic risk attitudes," Papers, arXiv.org, number 2401.03328, Jan, revised Oct 2025.
- Tahir Choulli & Emmanuel Lepinette, 2024, "Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon," Papers, arXiv.org, number 2401.05713, Jan.
- Xolani Sibande & Alistair Milne, 2024, "The impact of Basel III implementation on bank lending in South Africa," Working Papers, South African Reserve Bank, number 11055, Jan.
- Hoang Nguyen & Audron.e Virbickait.e & M. Concepci'on Aus'in & Pedro Galeano, 2024, "Structured factor copulas for modeling the systemic risk of European and United States banks," Papers, arXiv.org, number 2401.03443, Jan.
- Ilke Aydogan & Loïc Berger & Valentina Bosetti, 2023, "Unraveling Ambiguity Aversion," Post-Print, HAL, number hal-04370668, Jul, DOI: 10.1162/rest_a_01358.
- Zhang Chern Lee & Wei Yun Tan & Hoong Khen Koo & Wilson Pang, 2024, "Comparison of Markowitz Model and Single-Index Model on Portfolio Selection of Malaysian Stocks," Papers, arXiv.org, number 2401.05264, Jan.
- Braun, Alexander & Braun, Julia & Weigert, Florian, 2023, "Extreme weather risk and the cost of equity," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 23-08.
- Yue Chen & Mohan Li, 2024, "Economic Forces in Stock Returns," Papers, arXiv.org, number 2401.04132, Jan.
- Christoph Moehr, 2023, "A framework for the valuation of insurance liabilities by production cost," Papers, arXiv.org, number 2401.00263, Dec, revised Jun 2025.
- Smart, Shanike J. & Polachek, Solomon, 2024, "COVID-19 Vaccine and Risk-Taking," IZA Discussion Papers, Institute of Labor Economics (IZA), number 16707, Jan.
- Fruet Dias, Gustavo & Papailias, Fotis & Scherrer, Cristina, 2023, "An econometric analysis of volatility discovery," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 121363, Dec.
- Stephen Boyd & Kasper Johansson & Ronald Kahn & Philipp Schiele & Thomas Schmelzer, 2024, "Markowitz Portfolio Construction at Seventy," Papers, arXiv.org, number 2401.05080, Jan.
- Yue Chen & Xingyi Andrew & Salintip Supasanya, 2024, "CRISIS ALERT:Forecasting Stock Market Crisis Events Using Machine Learning Methods," Papers, arXiv.org, number 2401.06172, Jan.