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Time-varying higher moments in Bitcoin
Cryptocurrencies represent a new and important class of investments but are associated with asymmetric distributions and extreme price changes. We...
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The statistics of time varying cross-sectional information coefficients
The information coefficient (IC), defined as the correlation coefficient between a stock return and its factor exposures predictor variables, is one...
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Consistent valuation: extensions from bankruptcy costs and tax integration with time-varying debt
This study introduces a new version of the adjusted present value (APV) method and ensures its consistent valuation with the cost of capital (CoC)...
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Investor sentiment and the time-varying sustainability premium
Studies show the inconclusive results regarding the relation between corporate social and environmental responsibility (CSR and CER) and expected...
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Trend of Commodity Prices and Exchange Rate in Australian Economy: Time Varying Parameter Model Approach
Here we investigate the relationship between export commodity prices and AUD/USD exchange rate fluctuation using time varying parameter model. Using...
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Time-varying effects of cyberattacks on firm value
This paper adds to research on the effect of cyber events on the attacked firm’s value in light of conflicting results from previous studies. Using...
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Joint estimation of volatility risk and tail risk premia with time-varying macro-state-dependent property
We propose a new method to jointly estimate volatility risk and two-tail risk price with state-dependent features. Rather than assuming a constant...
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Time-varying information share and autoregressive loading factors: evidence from S&P 500 cash and E-mini futures markets
The error correction coefficients, known as the loading factors, are a key component for information share. To date, only constant loading factors...
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Portfolio turnover when IC is time-varying
We develop new formulas for the turnover and leverage of mean–variance optimal long–short market neutral portfolios, where active weights are...
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Optimal compensation and investment affected by firm size and time-varying external factors
We investigate a continuous dynamic model associated with a firm size term and with an external factor term, which possesses the following...
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Sensitivity of optimal portfolio problems to time-varying parameters: simulation analysis
This article proposes a simulation-based approach to find the optimal values of discretionary parameters in portfolio optimization problems. An...
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Stock Returns, Crude Oil and Gold Prices in Turkey: Evidence from Rolling Window-Based Nonparametric Quantile Causality Test
This study explores the time-varying effects of crude oil prices (OP) and gold prices (GP) on the Turkish stock market using a weekly data series...
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Beyond the hype: examining the relationship between Wikipedia attention and realised skewness for crypto assets
This study investigates the relationship between Wikipedia searches and the next day’s realised skewness for the top four cryptocurrencies between...
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Multi-scale Features of Interdependence Between Oil Prices and Stock Prices
This paper investigates the time-varying connectedness between oil prices and the stock prices in African markets. We employ a wavelet-based dynamic...
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The cross-section of January effect
We examine the cross-sectional January effect among portfolios that long sentiment-prone and difficult-to-arbitrage stocks and short...
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Asymmetric dynamic risk transmission between financial stress and monetary policy uncertainty: thinking in the post-covid-19 world
Considering the dramatically increasing impact of the COVID-19 outbreak on monetary policy and the uncertainty in the financial system, we aim to...
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Dynamic BRICS Stock Market Linkages as a Channel of Systemic Risk Transmission: Evidence from the Asymmetric Connectedness Approach
Recent episodes of financial/geopolitical crises produce significant impacts on cross-market linkages. To exemplify, the novel coronavirus disease...
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Predicting expected idiosyncratic volatility: Empirical evidence from ARFIMA, HAR, and EGARCH models
We investigate the performances of the ARFIMA, HAR, and EGARCH models in capturing the time-varying property of idiosyncratic volatility (IVOL). We...
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Liquidity Connectedness Among Major Financial Asset Classes: Do Uncertainty Factors Matter?
This paper aims to examine the liquidity connectedness between major asset classes, including cryptocurrencies, oil, gold, stocks, and bonds, over...
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Dynamics of Contagion Risk Among World Markets in Times of Crises: A Financial Network Perspective
This study used a Time-Varying Parameter VAR approach to analyze contagion risk among global stock markets and WTI crude oil during times of crisis....
