Report NEP-RMG-2025-01-06

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:

• Donggyu Kim & Minseog Oh, 2024. "Dynamic Realized Minimum Variance Portfolio Models," Working Papers 202421, University of California at Riverside, Department of Economics.
• Sung Hoon Choi & Donggyu Kim, 2024. "Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector," Working Papers 202423, University of California at Riverside, Department of Economics.
• Item repec:hal:journl:hal-03902513 is not listed on IDEAS anymore

• Einmahl, John & Peng, Liang, 2024. "Variance-Reduced Risk Inference in Semi-Supervised Settings," Other publications TiSEM 970231c1-c8e0-4f52-a0a4-f, Tilburg University, School of Economics and Management.
• Anusha Chari & Karlye Dilts Stedman & Christian T. Lundblad, 2024. "Risk-on/Risk-off: Measuring Shifts in Investor Sentiment," Research Working Paper RWP 24-12, Federal Reserve Bank of Kansas City.
• Jianqing Fan & Donggyu Kim & Minseok Shin, 2024. "Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data," Working Papers 202419, University of California at Riverside, Department of Economics.
• Leonie Bräuer & Harald Hau, 2024. "Fund-Level FX Hedging Redux," Swiss Finance Institute Research Paper Series 24-103, Swiss Finance Institute.
• Christopher J. Neely, 2024. "What Happens to Expected Stock Volatility around Election Day?," On the Economy 99209, Federal Reserve Bank of St. Louis.
• Jianqing Fan & Donggyu Kim & Minseok Shin & Yazhen Wang, 2024. "Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data," Working Papers 202415, University of California at Riverside, Department of Economics.
• Azamat Abdymomunov & Zheng Duan & Anne Lundgaard Hansen & Ulas Misirli, 2024. "Designing Market Shock Scenarios," Working Paper 24-17, Federal Reserve Bank of Richmond.
• Federico Giorgi & Stefano Herzel & Paolo Pigato, 2024. "A Reinforcement Learning Algorithm For Option Hedging," CEIS Research Paper 586, Tor Vergata University, CEIS, revised 17 Dec 2024.
• Huixin Bi & Andrew Foerster & Nora Traum, 2024. "Asset Purchases in a Monetary Union with Default and Liquidity Risks," Research Working Paper RWP 24-13, Federal Reserve Bank of Kansas City.
• Natee Amornsiripanitch & Siddhartha Biswas & John Orellana & David Zink, 2024. "Flood Underinsurance," Working Papers 24-23, Federal Reserve Bank of Philadelphia.
• Sung Hoon Choi & Donggyu Kim, 2024. "Large Global Volatility Matrix Analysis Based on Observation Structural Information," Working Papers 202424, University of California at Riverside, Department of Economics.
• Einmahl, John & Peng, Liang, 2024. "Variance-Reduced Risk Inference in Semi-Supervised Settings," Discussion Paper 2024-024, Tilburg University, Center for Economic Research.
• Yalin Gündüz & Steven Ongena & Gunseli Tumer-Alkan & Yuejuan Yu, 2024. "CDS and Credit: The Effect of the Bangs on Credit Insurance, Lending and Hedging," Swiss Finance Institute Research Paper Series 24-83, Swiss Finance Institute.
• Bouwhuis, Dirck & Hendrickx, Ruud & Herings, P.J.J., 2024. "Negotiation In Bankruptcy Problems," Other publications TiSEM c8fb20e1-4ce9-4779-bacd-0, Tilburg University, School of Economics and Management.