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Report NEP-RMG-2024-02-19
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:
- Makoto Takahashi & Yuta Yamauchi & Toshiaki Watanabe & Yasuhiro Omori, 2024, "Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting," Papers, arXiv.org, number 2401.13179, Jan, revised Jul 2025.
- Virginie Terraza & Aslı Boru İpek & Mohammad Mahdi Rounaghi, 2024, "The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models," Post-Print, HAL, number hal-04395168, Jan, DOI: 10.1186/s40854-023-00520-3.
- Mahmoud Fatouh & Simone Giansante & Steven Ongena, 2023, "Leverage ratio and risk-taking: theory and practice," Bank of England working papers, Bank of England, number 1048, Oct.
- Marcel Bluhm & Adrian Cachinero Vasiljevi'c & S'ebastien Derivaux & S{o}ren Terp H{o}rluck Jessen, 2024, "Real-time Risk Metrics for Programmatic Stablecoin Crypto Asset-Liability Management (CALM)," Papers, arXiv.org, number 2401.13399, Jan.
- Ilke Aydogan & Loïc Berger & Valentina Bosetti & Ning Liu, 2023, "Three Layers of Uncertainty," Post-Print, HAL, number hal-04370968, Mar, DOI: 10.1093/jeea/jvad008.
- Karol Szafranek & Michał Rubaszek & Gazi Salah Uddin, 2023, "The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets," KAE Working Papers, Warsaw School of Economics, Collegium of Economic Analysis, number 2023-095, Nov.
- Ilke Aydogan & Loïc Berger & Valentina Bosetti, 2023, "Unraveling Ambiguity Aversion," Post-Print, HAL, number hal-04071242, Jan, DOI: 10.1162/rest_a_01358.
- Liexin Cheng & Xue Cheng, 2024, "Understanding Short-Term Implied Volatility Dynamics: A Model-Independent Approach Beyond Stochastic Volatility," Papers, arXiv.org, number 2401.03776, Jan, revised Jun 2025.
- Zongwu Cai & Ying Fang & Dingshi Tian, 2024, "CAViaR Model Selection Via Adaptive Lasso," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202403, Jan, revised Jan 2024.
- Roberto Rivera & Guido Rocco & Massimiliano Marzo & Enrico Talin & Ammar Elsabe, 2023, "RIVCoin: an alternative, integrated, CeFi/DeFi-Vaulted Cryptocurrency," Papers, arXiv.org, number 2401.05393, Dec, revised May 2025.
- Bellaumay, Rémy, 2023, "Risk exposure and well-being: who suffers most and from which risks?," Notes de l'Observatoire du bien-être, CEPREMAP, number 2313b, Nov.