Report NEP-FMK-2024-02-19

This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Kwang Soo Cheong issued this report. It is usually issued weekly.

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Other reports in NEP-FMK

The following items were announced in this report:

• Dimos Andronoudis & Diogenis Baboukardos & Fanis Tsoligkas, 2024. "How the information content of integrated reporting flows into the stock market," Post-Print hal-04389552, HAL.
• Vladimir Skavysh & Jacob Sharples & Sofia Priazhkina & Salman H. Hasham, 2024. "Market structure of cryptoasset exchanges: Introduction, challenges and emerging trends," Staff Analytical Notes 2024-2, Bank of Canada.
• Runjia Yang & Beining Shi, 2023. "Sector Rotation by Factor Model and Fundamental Analysis," Papers 2401.00001, arXiv.org.
• Jurkatis, Simon & Schrimpf, Andreas & Todorov, Karamfil & Vause, Nicholas, 2023. "Relationship discounts in corporate bond trading," Bank of England working papers 1049, Bank of England.
• Lee, King Fuei, 2023. "Effects of Monetary Policy Frameworks on Stock Market Volatilities: An Empirical Study of Global Economies," MPRA Paper 119755, University Library of Munich, Germany.
• Makoto Takahashi & Yuta Yamauchi & Toshiaki Watanabe & Yasuhiro Omori, 2024. "Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting," Papers 2401.13179, arXiv.org, revised Oct 2024.
• Nils Herger, 2024. "A Runs Test for Stock-Market Prices with an Unobserved Trend," Working Papers 24.01, Swiss National Bank, Study Center Gerzensee.
• Fatouh, Mahmoud & Giansante, Simone & Ongena, Steven, 2023. "Leverage ratio and risk-taking: theory and practice," Bank of England working papers 1048, Bank of England.
• Karol Szafranek & Michał Rubaszek & Gazi Salah Uddin, 2023. "The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets," KAE Working Papers 2023-095, Warsaw School of Economics, Collegium of Economic Analysis.
• Virginie Terraza & Aslı Boru İpek & Mohammad Mahdi Rounaghi, 2024. "The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models," Post-Print hal-04395168, HAL.