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Report NEP-FMK-2021-12-20
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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-FMK
The following items were announced in this report:
- Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021. "Sovereign Risk and Financial Risk," NBER Working Papers 29501, National Bureau of Economic Research, Inc.
- Philippe Bacchetta & Margaret Davenport & Eric van Wincoop, 2021. "Can Sticky Portfolios Explain International Capital Flows and Asset Prices?," Swiss Finance Institute Research Paper Series 21-80, Swiss Finance Institute.
- Sebastiano Michele Zema & Giorgio Fagiolo & Tiziano Squartini & Diego Garlaschelli, 2021. "Mesoscopic Structure of the Stock Market and Portfolio Optimization," LEM Papers Series 2021/45, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Bin Xie & Weiping Li & Nan Liang, 2021. "Pricing S&P 500 Index Options with L\'evy Jumps," Papers 2111.10033, arXiv.org, revised Nov 2021.
- Yajie Yang & Longfeng Zhao & Lin Chen & Chao Wang & Jihui Han, 2021. "Portfolio optimization with idiosyncratic and systemic risks for financial networks," Papers 2111.11286, arXiv.org.
- Daniele Bianchi & Mykola Babiak, 2021. "A Factor Model for Cryptocurrency Returns," CERGE-EI Working Papers wp710, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Guoxi Duan & Hisashi Tanizaki, 2021. "A Study on the Level of Market Efficiency in five countries," Discussion Papers in Economics and Business 21-24, Osaka University, Graduate School of Economics, revised Dec 2021.
- Guoxi Duan & Hisashi Tanizaki, 2021. "A Study on Market Efficiency Using Data from Shanghai Stock Exchange and Shenzhen Stock Exchange," Discussion Papers in Economics and Business 21-22, Osaka University, Graduate School of Economics.
- Guoxi Duan & Hisashi Tanizaki, 2021. "A Study on the Level of Market Efficiency Based on CSI 300 and 300 Constituent Stocks," Discussion Papers in Economics and Business 21-23, Osaka University, Graduate School of Economics.