Report NEP-FMK-2021-05-31

This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Kwang Soo Cheong issued this report. It is usually issued weekly.

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Other reports in NEP-FMK

The following items were announced in this report:

• Andreas Krause, 2021. "A note on the CAPM with endogenously consistent market returns," Papers 2105.10252, arXiv.org.
• Olkhov, Victor, 2021. "Three Remarks On Asset Pricing," MPRA Paper 107938, University Library of Munich, Germany.
• John R. J. Thompson & Longlong Feng & R. Mark Reesor & Chuck Grace & Adam Metzler, 2021. "Measuring Financial Advice: aligning client elicited and revealed risk," Papers 2105.11892, arXiv.org.
• Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2021. "Predicting returns and dividend growth - the role of non-Gaussian innovations," Working Papers 2021:10, Örebro University, School of Business.
• Mignot, Sarah & Tramontana, Fabio & Westerhoff, Frank H., 2021. "Speculative asset price dynamics and wealth taxes," BERG Working Paper Series 169, Bamberg University, Bamberg Economic Research Group.
• Alex Aronovich & Dobrislav Dobrev & Andrew C. Meldrum, 2021. "The Treasury Market Flash Event of February 25, 2021," FEDS Notes 2021-05-14, Board of Governors of the Federal Reserve System (U.S.).
• Zihao Zhang & Stefan Zohren, 2021. "Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Units," Papers 2105.10430, arXiv.org, revised Aug 2021.
• Hassane Abba Mallam & Diakarya Barro & Yameogo WendKouni & Bisso Saley, 2021. "Pricing multivariate european equity option using gaussian mixture distributions and evt-based copulas," Papers 2105.10599, arXiv.org.
• Sandoval Paucar, Giovanny, 2021. "A Conditional Correlation Analysis For The Colombian Stock Market," MPRA Paper 107963, University Library of Munich, Germany.
• Chia, Ricky Chee-Jiun & Liew, Venus Khim-Sen & Rowland, Racquel, 2020. "Daily New Covid-19 Cases, The Movement Control Order, and Malaysian Stock Market Returns," MPRA Paper 107988, University Library of Munich, Germany.