19 documents matched the search for the 2024-04-22 issue of the NEP report on Risk Management (nep-rmg), currently edited by Stan Miles.
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111
Hydrodynamics of Markets:Hidden Links Between Physics and Finance,
Alexander Lipton,
from arXiv.org
(2024)
Hedge Fund Investment Returns and Performance,
David Lee,
from University Library of Munich, Germany
(2024)
Keywords: hedge fund performance, daily return, cash flow, market index, linear regression.
Noising the GARCH volatility: A random coefficient GARCH model,
Abdelhakim Aknouche, Bader Almohaimeed and Stefanos Dimitrakopoulos,
from University Library of Munich, Germany
(2024)
Keywords: Noised volatility GARCH, Randon coefficient GARCH, Markov switching GARCH, QMLE, Weighted least squares, filtering volatility, time-varying conditional kurtosis.
Inflation Target at Risk: A Time-varying Parameter Distributional Regression,
Yunyun Wang, Tatsushi Oka and Dan Zhu,
from arXiv.org
(2024)
The ins and outs of selling houses: understanding housing-market volatility,
L. Rachel Ngai and Kevin Sheedy,
from London School of Economics and Political Science, LSE Library
(2024)
Keywords: housing-market cyclicality; inflows and outflows; search frictions; match quality
Field of Study and Financial Problems: How Economics Reduces the Risk of Default,
Kristoffer Balle Hvidberg,
from University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI)
(2023)
Keywords: Financial Problems, Education, Regression Discontinuity, Financial Literacy
Subjective Earnings Risk,
Andrew Caplin, Victoria Gregory, Eungik Lee, Søren Leth-Petersen and Johan Saeverud,
from University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI)
(2023)
Keywords: earnings risk, job transitions, subjective expectations
The future of social protection: challenges posed by a reconfigured risk structure,
Raúl Holz, Isabel Jacas and Claudia Robles,
from Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL)
(2024)
“Safe” Annuity Retirement Products and a Possible US Retirement Crisis,
Thomas Lambert and Christopher Tobe,
from University Library of Munich, Germany
(2024)
Keywords: annuities, financialization, monopoly capital, pensions, retirement, risky assets, systemic risk.
Skewness Preferences: Evidence from Online Poker,
Markus Dertwinkel-Kalt, Johannes Kasinger and Dmitrij Schneider,
from CESifo
(2024)
Keywords: risk preferences, choice under risk, skewness, gambling
Financial Asymmetries, Risk Sharing and Growth in The EU,
Eleonora Cavallaro and Ilaria Villani,
from Directorate-General for Internal Market, Industry, Entrepreneurship and SMEs (European Commission), Chief Economist Team
(2024)
Keywords: financial structure, financial heterogeneity, growth, volatility, risk sharing
Tails of Foreign Exchange-at-Risk (FEaR),
Daniel Ostry,
from Faculty of Economics, University of Cambridge
(2023)
Keywords: Disaster Risk, Exchange Rates, Liquidity Yields, Quantile regression, U.S. Safety
Estimating a Density Ratio Model for Stock Market Risk and Option Demand,
Jeroen Dalderop and Oliver B. Linton,
from Faculty of Economics, University of Cambridge
(2024)
Keywords: Density Forecasting, Nonparametric Estimation, Option Pricing, Trade Data
Forecasting Realized US Stock Market Volatility: Is there a Role for Economic Policy Uncertainty?,
Matteo Bonato, Oguzhan Cepni, Rangan Gupta and Christian Pierdzioch,
from University of Pretoria, Department of Economics
(2024)
Keywords: Stock market, Volatility, Forecasting, Moments, Economic policy uncertainty
Energy Market Uncertainties and US State-Level Stock Market Volatility: A GARCH-MIDAS Approach,
Afees Salisu, Ahamuefula Oghonna, Rangan Gupta and Oguzhan Cepni,
from University of Pretoria, Department of Economics
(2024)
Keywords: Monthly Oil Price and Energy Market Uncertainties, Daily State-Level Stock Returns Volatility, GARCH-MIDAS,Forecasting
Political Geography and Stock Market Volatility: The Role of Political Alignment across Sentiment Regimes,
Oguzhan Cepni, Riza Demirer, Rangan Gupta and Christian Pierdzioch,
from University of Pretoria, Department of Economics
(2024)
Keywords: Stock market volatility, Random forests, Political alignment, Investor sentiment
Robust-less-fragile: Tackling Systemic Risk and Financial Contagion in a Macro Agent-Based Model,
Gianluca Pallante, Mattia Guerini, Mauro Napoletano and Andrea Roventini,
from Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France
(2024)
Keywords: Financial contagion, Systemic risk, Micro-prudential policy, Macro-prudential policy, Macroeconomic stability, Agent-based computational economics
Should new prudential regulation discriminate green credit risk ? A macrofinancial study for the Output Floor case,
Corentin Roussel,
from Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg
(2024)
Keywords: Output Floor, Credit Risk, Green Finance, Climate Change, DSGE.
Are decision-makers sensitive to the source of uncertainty?,
Marielle Brunette, Stéphane Couture and Kene BOUN My,
from Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg
(2024)
Keywords: risk, uncertainty, ambiguity, experiments.
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