Printed from https://ideas.repec.org/n/nep-rmg/2024-08-12.html
Report NEP-RMG-2024-08-12
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:
- Federico Gatta & Fabrizio Lillo & Piero Mazzarisi, 2024, "CAESar: Conditional Autoregressive Expected Shortfall," Papers, arXiv.org, number 2407.06619, Jul.
- Parisa Davar & Fr'ed'eric Godin & Jose Garrido, 2024, "Catastrophic-risk-aware reinforcement learning with extreme-value-theory-based policy gradients," Papers, arXiv.org, number 2406.15612, Jun, revised Jun 2024.
- Corrado De Vecchi & Max Nendel & Jan Streicher, 2024, "Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty," Papers, arXiv.org, number 2406.19242, Jun.
- Elie Bouri & Matteo Foglia & Sayar Karmakar & Rangan Gupta, 2024, "Return-Volatility Nexus in the Digital Asset Class: A Dynamic Multilayer Connectedness Analysis," Working Papers, University of Pretoria, Department of Economics, number 202432, Jul.
- Duy Pham, Son & Do, Hung Xuan & Nepal, Rabindra & Jamasb, Tooraj, 2024, "Tail Risk Connectedness in the Australian National Electricity Markets: The Impact of Rare Events," Working Papers, Copenhagen Business School, Department of Economics, number 9-2024, Jul.
- Marcelo Righi & Fernanda Muller, 2024, "A note on robust convex risk measures," Papers, arXiv.org, number 2406.12999, Jun, revised Jul 2025.
- Alexander Lipton & Vladimir Lucic & Artur Sepp, 2024, "Unified Approach for Hedging Impermanent Loss of Liquidity Provision," Papers, arXiv.org, number 2407.05146, Jul.
- Item repec:ags:aaea22:343698 is not listed on IDEAS anymore
- Andrei Renatovich Batyrov, 2024, "Electricity Spot Prices Forecasting Using Stochastic Volatility Models," Papers, arXiv.org, number 2406.19405, Jun.
- Anita Behme, 2024, "Volatility modeling in a Markovian environment: Two Ornstein-Uhlenbeck-related approaches," Papers, arXiv.org, number 2407.05866, Jul.
- Xu, Yongdeng & Guan, Bo & Lu, Wenna & Heravi, Saeed, 2024, "Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2024/15, Jul.
- Jinniao Qiu & Antony Ware & Yang Yang, 2024, "Stochastic Path-Dependent Volatility Models for Price-Storage Dynamics in Natural Gas Markets and Discrete-Time Swing Option Pricing," Papers, arXiv.org, number 2406.16400, Jun, revised Jul 2025.
- Item repec:ags:aaea22:343544 is not listed on IDEAS anymore
- Pehr-Johan Norbäck & Lars Persson & Joacim Tåg, 2024, "Risky Business: Venture Capital, Pivoting and Scaling," CESifo Working Paper Series, CESifo, number 11178.