Report NEP-RMG-2020-04-06

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan Miles issued this report. It is usually issued weekly.

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Other reports in NEP-RMG

The following items were announced in this report:

• Daniel Felix Ahelegbey & Paolo Giudici & Fatemeh Mojtahedi, 2020. "Tail Risk Measurement In Crypto-Asset Markets," DEM Working Papers Series 186, University of Pavia, Department of Economics and Management.
• Yue-Jun Zhang & Elie Bouri & Shu-Jiao Ma & Rangan Gupta, 2020. "Risk Spillover between Bitcoin and Conventional Financial Markets: An Expectile-Based Approach," Working Papers 202027, University of Pretoria, Department of Economics.
• Paul Dommel & Alois Pichler, 2020. "Convex Risk Measures based on Divergence," Papers 2003.07648, arXiv.org, revised Mar 2020.
• Elena Dumitrescu & Sullivan Hué & Christophe Hurlin & Sessi Tokpavi, 2021. "Machine Learning or Econometrics for Credit Scoring: Let's Get the Best of Both Worlds," Working Papers hal-02507499, HAL.
• Daniel Bartl & Ludovic Tangpi, 2020. "Non-asymptotic convergence rates for the plug-in estimation of risk measures," Papers 2003.10479, arXiv.org, revised Oct 2022.
• Einmahl, John & Ferreira, Ana & de Haan, Laurens & Neves, C. & Zhou, C., 2020. "Spatial Dependence and Space-Time Trend in Extreme Events," Discussion Paper 2020-009, Tilburg University, Center for Economic Research.
• Raphaël Douady, 2019. "Managing the Downside of Active and Passive Strategies: Convexity and Fragilities," Post-Print hal-02488589, HAL.
• Xingxing Ye & Raphaël Douady, 2019. "Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel," Post-Print hal-02488592, HAL.
• Felix Haase & Matthias Neuenkirch, 2020. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," Research Papers in Economics 2020-01, University of Trier, Department of Economics.
• Jaewon Choi & Jieun Lee, 2020. "Network-Based Measures of Systemic Risk in Korea," Working Papers 2020-8, Economic Research Institute, Bank of Korea.
• Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & Lingbo Li & David Martinez-Regoband & Fan Wu, 2020. "Cryptocurrency Trading: A Comprehensive Survey," Papers 2003.11352, arXiv.org, revised Jan 2022.
• Yuan, Huiling & Zhou, Yong & Xu, Lu & Sun, Yulei & Cui, Xiangyu, 2020. "A New Volatility Model: GQARCH-Ito Model," SocArXiv hkzdr, Center for Open Science.
• Christopher Busch & Alexander Ludwig, 2020. "Higher-Order Income Risk over the Business Cycle," Working Papers 1159, Barcelona School of Economics.
• Wąs, Adam & Sulewski, Piotr & Kobus, Paweł, 2020. "Risk exposure and risk awareness as a factor of farms resilience in Poland," 173rd EAAE Seminar, September 26-27, 2019, Bucharest, Romania 302625, European Association of Agricultural Economists.
• Charles W. Calomiris & Harry Mamaysky & Ruoke Yang, 2020. "Measuring the Cost of Regulation: A Text-Based Approach," NBER Working Papers 26856, National Bureau of Economic Research, Inc.
• Anatoli Segura & Javier Suarez, 2019. "Optimally Solving Banks' Legacy Problems," Working Papers wp2019_1910, CEMFI.
• Kinouchi, Renato, 2018. "Philosophical issues related to risks and values," LSE Research Online Documents on Economics 90470, London School of Economics and Political Science, LSE Library.
• Baumöhl, Eduard & Vyrost, Tomas, 2020. "Stablecoins as a crypto safe haven? Not all of them!," EconStor Preprints 215484, ZBW - Leibniz Information Centre for Economics.