Report NEP-RMG-2024-02-12

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:

• Brahmana, Rayenda Khresna, 2022. "Do Machine Learning Approaches Have the Same Accuracy in Forecasting Cryptocurrencies Volatilities?," MPRA Paper 119598, University Library of Munich, Germany.
• Dennis Koch & Vahidin Jeleskovic & Zahid I. Younas, 2024. "Modelling and Predicting the Conditional Variance of Bitcoin Daily Returns: Comparsion of Markov Switching GARCH and SV Models," Papers 2401.03393, arXiv.org, revised Jan 2024.
• Cristina Chinazzo & Vahidin Jeleskovic, 2024. "Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches," Papers 2401.02049, arXiv.org.
• Elisa Al`os & Eulalia Nualart & Makar Pravosud, 2023. "On the implied volatility of Inverse options under stochastic volatility models," Papers 2401.00539, arXiv.org, revised Sep 2024.
• Jean-Gabriel Lauzier & Liyuan Lin & Ruodu Wang, 2024. "Optimal sharing, equilibria, and welfare without risk aversion," Papers 2401.03328, arXiv.org, revised Dec 2024.
• Tahir Choulli & Emmanuel Lepinette, 2024. "Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon," Papers 2401.05713, arXiv.org.
• Xolani Sibande & Alistair Milne, 2024. "The impact of Basel III implementation on bank lending in South Africa," Working Papers 11055, South African Reserve Bank.
• Hoang Nguyen & Audron.e Virbickait.e & M. Concepci'on Aus'in & Pedro Galeano, 2024. "Structured factor copulas for modeling the systemic risk of European and United States banks," Papers 2401.03443, arXiv.org.
• Ilke Aydogan & Loïc Berger & Valentina Bosetti, 2023. "Unraveling Ambiguity Aversion," Post-Print hal-04370668, HAL.
• Zhang Chern Lee & Wei Yun Tan & Hoong Khen Koo & Wilson Pang, 2024. "Comparison of Markowitz Model and Single-Index Model on Portfolio Selection of Malaysian Stocks," Papers 2401.05264, arXiv.org.
• Braun, Alexander & Braun, Julia & Weigert, Florian, 2023. "Extreme weather risk and the cost of equity," CFR Working Papers 23-08, University of Cologne, Centre for Financial Research (CFR).
• Yue Chen & Mohan Li, 2024. "Economic Forces in Stock Returns," Papers 2401.04132, arXiv.org.
• Christoph Moehr, 2023. "A framework for the valuation of insurance liabilities by production cost," Papers 2401.00263, arXiv.org.
• Smart, Shanike J. & Polachek, Solomon, 2024. "COVID-19 Vaccine and Risk-Taking," IZA Discussion Papers 16707, Institute of Labor Economics (IZA).
• Fruet Dias, Gustavo & Papailias, Fotis & Scherrer, Cristina, 2023. "An econometric analysis of volatility discovery," LSE Research Online Documents on Economics 121363, London School of Economics and Political Science, LSE Library.
• Stephen Boyd & Kasper Johansson & Ronald Kahn & Philipp Schiele & Thomas Schmelzer, 2024. "Markowitz Portfolio Construction at Seventy," Papers 2401.05080, arXiv.org.
• Yue Chen & Xingyi Andrew & Salintip Supasanya, 2024. "CRISIS ALERT:Forecasting Stock Market Crisis Events Using Machine Learning Methods," Papers 2401.06172, arXiv.org.