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Learning from prices: information aggregation and accumulation in an asset market
Can prices convey information about the fundamental value of an asset? This paper considers this problem in relation to the dynamic properties of the...
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Economic profitability and (non)additivity of residual income
We show that the standard notion of residual income (RI) does not fulfill additive coherence. This gives rise to ambiguities and inconsistencies. The...
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Differential learning methods for solving fully nonlinear PDEs
We propose machine learning methods for solving fully nonlinear partial differential equations (PDEs) with convex Hamiltonian. Our algorithms are...
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Forecasting Multiple VaR and ES Using a Dynamic Joint Quantile Regression with an Application to Portfolio Optimization
An accurate assessment of tail dependencies of financial returns is key for risk management and portfolio allocation. The use of quantitative risk...
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Scientific Research Basis and Empirical Testing Results
A complementary set of four distinctive methodologies and techniques are used to empirically and comparably test the meaningfulness of the model...
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Bayesian estimation of the stochastic volatility model with double exponential jumps
This paper generalizes the stochastic volatility model to allow for the double exponential jumps. To derive the jumps and time-varying volatility in...
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Taming the Fringe The Regulation and Development of the British Payday Lending and Pawnbroking Markets since 1870
Taming the Fringe analyses the regulation and evolution of two credit products that were, and remain, vital to the working poor. Policymakers have...
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Corporate Risk Management and Hedge Accounting Under the Scope of IFRS 9
Accounting for derivatives has stirred important debate among academics, international standard setters and practitioners over the past decade. On...
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Evaluating Order Picking Efficiency Under Demand Fluctuations
Storage location assignment is a dynamic problem due to product life cycles and time-varying demand patterns. We demonstrate the impact of demand...
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Time-varying managerial overconfidence and pecking order preference
This paper examines whether managerial overconfidence enhances or weakens pecking order preference. We construct time-varying managerial words-based...
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Measuring the contribution of Chinese financial institutions to systemic risk: an extended asymmetric CoVaR approach
This study proposes an extension of the Asymmetric CoVaR method in Espinosa et al. (J Bank Finance 58: 471–485, 2015) to capture the time-varying...
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Dynamic Linkages and Economic Role of Leading Cryptocurrencies in an Emerging Market
Motivated by the exponential growth of the cryptocurrency market and the need for more empirical work to understand the dynamics of the young...
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Direct Estimation of Lead–Lag Relationships Using Multinomial Dynamic Time War**
This paper investigates the lead–lag relationships in high-frequency data. We propose multinomial dynamic time war** (MDTW) that deals with...
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Information flow and price discovery dynamics
Non-homogeneous and time-varying information flow that affects the price discovery processes within and across markets is a common occurrence in...
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Comparative Efficiency of Green Assets and Black Assets Around the Russo-Ukraine War
Our study examines the hedging ability and safe-haven properties of green/clean assets compared to two major safe-haven instruments around the war in...
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Neural networks and arbitrage in the VIX
The Chicago Board Options Exchange Volatility Index (VIX) is considered by many market participants as a common measure of market risk and investors’...
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Stock price reaction to profit warnings: the role of time-varying betas
This study investigates the role of time-varying betas, event-induced variance and conditional heteroskedasticity in the estimation of abnormal...
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A geometric treatment of time-varying volatilities
In this article, we propose a new framework for addressing multivariate time-varying volatilities. By employing methods of differential geometry, our...
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Market Efficiency and Stock Market
This study examines the concept of variable efficiency (time-varying levels of efficiency) and time-varying return predictabilityTime-varying return...
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Panel Data
Panel data, also known as cross-sectional time series data, is a type of data that combines both cross-sectional and time series dimensions. In...