Report NEP-FMK-2022-01-31

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:

• Ozdemir, Huseyin & Ozdemir, Zeynel Abidin, 2021. "A Survey of Hedge and Safe Havens Assets against G-7 Stock Markets before and during the COVID-19 Pandemic," IZA Discussion Papers 14888, Institute of Labor Economics (IZA).
• Matsuki, Takashi & Pan, Lei, 2021. "How did Australian financial markets react to the COVID-19 vaccine rollout? Fresh evidence from quantile copula spectrum analysis," MPRA Paper 111136, University Library of Munich, Germany.
• Christis Katsouris, 2021. "Optimal Portfolio Choice and Stock Centrality for Tail Risk Events," Papers 2112.12031, arXiv.org.
• Richard J. Martin, 2022. "The credit spread curve. I: Fundamental concepts, fitting, par-adjusted spread, and expected return," Papers 2201.01330, arXiv.org, revised Apr 2024.
• Songyan Hou & Thomas Krabichler & Marcus Wunsch, 2021. "Deep Partial Hedging," Papers 2112.07335, arXiv.org.
• J'er'emi Assael & Laurent Carlier & Damien Challet, 2022. "Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning," Papers 2201.04393, arXiv.org, revised Apr 2023.
• Michael Schnetzer & Thorsten Hens, 2022. "Evolutionary finance for multi-asset investors," Swiss Finance Institute Research Paper Series 22-05, Swiss Finance Institute.
• Nikolay Doskov & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2022. "Strategic complementarity and substitutability of investment strategies," Swiss Finance Institute Research Paper Series 22-04, Swiss Finance Institute.
• Mestiri, Sami, 2021. "Modelling the volatility of Bitcoin returns using Nonparametric GARCH models," MPRA Paper 111116, University Library of Munich, Germany.
• Jovanka Lili Matic & Natalie Packham & Wolfgang Karl Hardle, 2021. "Hedging Cryptocurrency Options," Papers 2112.06807, arXiv.org, revised Dec 2022.
• Zhijing Zhang & Yue Yu & Qinghua Ma & Haixiang Yao, 2021. "A revised comparison between FF five-factor model and three-factor model,based on China's A-share market," Papers 2112.03170, arXiv.org.
• Vladimir Pyrlik & Pavel Elizarov & Aleksandra Leonova, 2021. "Forecasting Realized Volatility Using Machine Learning and Mixed-Frequency Data (the Case of the Russian Stock Market)," CERGE-EI Working Papers wp713, The Center for Economic Research and Graduate Education - Economics Institute, Prague.