Report NEP-FMK-2022-07-25

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:

• Christine L. Dobridge & Rebecca John & Berardino Palazzo, 2022. "The post-COVID stock listing boom," FEDS Notes 2022-06-17-1, Board of Governors of the Federal Reserve System (U.S.).
• di Iasio, Giovanni & Alogoskoufis, Spyridon & Kördel, Simon & Kryczka, Dominika & Nicoletti, Giulio & Vause, Nicholas, 2022. "A model of system-wide stress simulation: market-based finance and the Covid-19 event," Working Paper Series 2671, European Central Bank.
• Nordine Abidi & Matteo Falagiarda & Ixart Miquel-Flores, 2022. "Quantitative Easing and Credit Rating Agencies," IMF Working Papers 2022/113, International Monetary Fund.
• Ali Elminejad & Tomas Havranek & Zuzana Irsova, 2022. "People Are Less Risk-Averse than Economists Think," Working Papers IES 2022/14, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2022.
• Davide Lauria & W. Brent Lindquist & Stefan Mittnik & Svetlozar T. Rachev, 2022. "ESG-Valued Portfolio Optimization and Dynamic Asset Pricing," Papers 2206.02854, arXiv.org.
• Andrei N. Soklakov, 2022. "Information Geometry of Risks and Returns," Papers 2206.08753, arXiv.org, revised Jun 2023.
• R. Vilela Mendes, 2022. "The fractional volatility model and rough volatility," Papers 2206.02205, arXiv.org.
• Jean-Paul Laurent & Hassan Omidi Firouzi, 2022. "Market Risk and Volatility Weighted Historical Simulation After Basel III," Working Papers hal-03679434, HAL.
• Kim Oosterlinck & Ariane Reyns & Ariane Szafarz, 2022. "Gold, Bitcoin, and Portfolio Diversification: Lessons from the Ukrainian War," Working Papers CEB 22-008, ULB -- Universite Libre de Bruxelles.
• Lei Liu & Guangli Lu & Wei Xiong, 2022. "The Big Tech Lending Model," NBER Working Papers 30160, National Bureau of Economic Research, Inc.
• Ayelen Banegas & Christopher Finch, 2022. "Interest Rates Expectations and Flow Dynamics in High Yield Corporate Debt Mutual funds," FEDS Notes 2022-06-17-2, Board of Governors of the Federal Reserve System (U.S.).
• Xiang Fang & Yang Liu & Nikolai Roussanov, 2022. "Getting to the Core: Inflation Risks Within and Across Asset Classes," NBER Working Papers 30169, National Bureau of Economic Research, Inc.
• Mr. Daniel C Hardy, 2022. "Sovereign Eurobond Liquidity and Yields," IMF Working Papers 2022/098, International Monetary Fund.
• Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2022. "Hedging option books using neural-SDE market models," Papers 2205.15991, arXiv.org.
• Covi, Giovanni & Brookes, James & Raja, Charumathi, 2022. "Measuring Capital at Risk in the UK banking sector: a microstructural network approach," Bank of England working papers 983, Bank of England.
• Milan Szabo, 2022. "Meeting Investor Outflows in Czech Bond and Equity Funds: Horizontal or Vertical?," Working Papers 2022/6, Czech National Bank.