Report NEP-RMG-2024-08-12

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:

• Federico Gatta & Fabrizio Lillo & Piero Mazzarisi, 2024. "CAESar: Conditional Autoregressive Expected Shortfall," Papers 2407.06619, arXiv.org.
• Parisa Davar & Fr'ed'eric Godin & Jose Garrido, 2024. "Catastrophic-risk-aware reinforcement learning with extreme-value-theory-based policy gradients," Papers 2406.15612, arXiv.org, revised Jun 2024.
• Corrado De Vecchi & Max Nendel & Jan Streicher, 2024. "Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty," Papers 2406.19242, arXiv.org.
• Elie Bouri & Matteo Foglia & Sayar Karmakar & Rangan Gupta, 2024. "Return-Volatility Nexus in the Digital Asset Class: A Dynamic Multilayer Connectedness Analysis," Working Papers 202432, University of Pretoria, Department of Economics.
• Duy Pham, Son & Do, Hung Xuan & Nepal, Rabindra & Jamasb, Tooraj, 2024. "Tail Risk Connectedness in the Australian National Electricity Markets: The Impact of Rare Events," Working Papers 9-2024, Copenhagen Business School, Department of Economics.
• Marcelo Righi, 2024. "Robust convex risk measures," Papers 2406.12999, arXiv.org, revised Oct 2024.
• Alexander Lipton & Vladimir Lucic & Artur Sepp, 2024. "Unified Approach for Hedging Impermanent Loss of Liquidity Provision," Papers 2407.05146, arXiv.org.
• Liu, Mengqiao & Zhang, Yu Yvette & Jia, Ruixin, 2024. "Is the Chinese gold product a hedge or safe haven for Chinese overseas investors?," 2024 Annual Meeting, July 28-30, New Orleans, LA 343698, Agricultural and Applied Economics Association.
• Andrei Renatovich Batyrov, 2024. "Electricity Spot Prices Forecasting Using Stochastic Volatility Models," Papers 2406.19405, arXiv.org.
• Anita Behme, 2024. "Volatility modeling in a Markovian environment: Two Ornstein-Uhlenbeck-related approaches," Papers 2407.05866, arXiv.org.
• Xu, Yongdeng & Guan, Bo & Lu, Wenna & Heravi, Saeed, 2024. "Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets," Cardiff Economics Working Papers E2024/15, Cardiff University, Cardiff Business School, Economics Section.
• Jinniao Qiu & Antony Ware & Yang Yang, 2024. "Stochastic Path-Dependent Volatility Models for Price-Storage Dynamics in Natural Gas Markets and Discrete-Time Swing Option Pricing," Papers 2406.16400, arXiv.org.
• Chavas, Jean-Paul & Li, Jian & Wang, Linjie, 2024. "Option Pricing Revisited: The Role of Price Volatility and Dynamics," 2024 Annual Meeting, July 28-30, New Orleans, LA 343544, Agricultural and Applied Economics Association.
• Pehr-Johan Norbäck & Lars Persson & Joacim Tåg, 2024. "Risky Business: Venture Capital, Pivoting and Scaling," CESifo Working Paper Series 11178, CESifo.