Report NEP-RMG-2022-08-29

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:

• Fabien Le Floc'h, 2022. "Roughness of the Implied Volatility," Papers 2207.04930, arXiv.org, revised Jul 2022.
• Kara Karpman & Samriddha Lahiry & Diganta Mukherjee & Sumanta Basu, 2022. "Exploring Financial Networks Using Quantile Regression and Granger Causality," Papers 2207.10705, arXiv.org, revised Jul 2022.
• Fantazzini, Dean, 2022. "Crypto Coins and Credit Risk: Modelling and Forecasting their Probability of Death," MPRA Paper 113744, University Library of Munich, Germany.
• Griffith, Andrew P. & Boyer, Christopher N. & Kane, Ian, 2022. "Literature Review: Price Risk Management Contributions to Economic Sustainability in the Cattle Industry," Extension Reports 322767, University of Tennessee, Department of Agricultural and Resource Economics.
• Bhaskarjit Sarmah & Nayana Nair & Dhagash Mehta & Stefano Pasquali, 2022. "Learning Embedded Representation of the Stock Correlation Matrix using Graph Machine Learning," Papers 2207.07183, arXiv.org.
• Alexander Barzykin & Philippe Bergault & Olivier Gu'eant, 2022. "Dealing with multi-currency inventory risk in FX cash markets," Papers 2207.04100, arXiv.org, revised Oct 2023.
• Griffith, Andrew P. & Boyer, Christopher N. & Kane, Ian, 2022. "Producer Focus Groups: Price Risk Management Contributions to Economic Sustainability in the Cattle Industry," Extension Reports 322768, University of Tennessee, Department of Agricultural and Resource Economics.
• Giulia Peveri, 2022. "Modeling the risk of multimorbidity: An application of multistate models to the Swedish National March Cohort," Italian Stata Users' Group Meetings 2022 11, Stata Users Group.
• Vassilis Polimenis, 2022. "The Lepto-Variance of Stock Returns," Papers 2207.04867, arXiv.org, revised Oct 2022.
• Worley, Julian M. & Dorfman, Jeffrey H., 2022. "Perspective Is Everything: How Shifts in Firm Level Risk Perceptions Affect Optimal Production Plant Capital Investment Decisions," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322091, Agricultural and Applied Economics Association.
• Clements, Adam & Vasnev, Andrey, 2021. "Forecast combination puzzle in the HAR model," Working Papers BAWP-2021-01, University of Sydney Business School, Discipline of Business Analytics.
• Jun Lu & Shao Yi, 2022. "Autoencoding Conditional GAN for Portfolio Allocation Diversification," Papers 2207.05701, arXiv.org.
• Araba, Narjiss, 2022. "Organic markets: a safe haven from volatility," 96th Annual Conference, April 4-6, 2022, K U Leuven, Belgium 321209, Agricultural Economics Society - AES.
• Muriuki, James M. & Fuad, Syed M. & Badruddoza, Syed, 2022. "Can Machine Learning Predict Defaults in Peer-to-Peer Small Loans?," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322533, Agricultural and Applied Economics Association.
• Ozili, Peterson K, 2021. "Managing climate change risk: a responsibility for politicians not Central Banks," MPRA Paper 113468, University Library of Munich, Germany.
• Andrea Giacomelli, 2022. "Mark to Target Information: idiosyncratic forward-looking information and its use to define primary ESG indicators," Working Papers 2022:08, Department of Economics, University of Venice "Ca' Foscari".