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Bedy Yang: ‘Corporations often come from a place of fear of being...
Companies that call themselves global do not always count on multicultural employees in their top leadership ranks. We cannot say that about 500 Startups, one of the most active venture capital firms...
View ArticleGlobal investigation on the country-level idiosyncratic volatility and its...
Publication date: Available online 22 November 2019Source: Journal of Empirical FinanceAuthor(s): Mustafa Onur Caglayan, Wenjun Xue, Liwen ZhangAbstractAdapting the FamaâFrench three-factor model to...
View ArticleMoneyScience: The Curious Investor - AQR Podcast
Resource: The Curious Investor - AQR Podcast https://t.co/x4CSd3aq37 â moneyscience (@moneyscience) November 22, 2019
View ArticleMoneyScience: Flirting with Models Podcast
Resource: Flirting with Models Podcast https://t.co/KQB9FfdDHZ â moneyscience (@moneyscience) November 22, 2019
View ArticlePathwise superhedging on prediction sets
Abstract In this paper, we provide a pricingâhedging duality for the model-independent superhedging price with respect to a prediction set (Xi subseteq C[0,T]), where the superhedging property needs...
View ArticleMoneyScience: Chat with Traders Podcast
Resource: Chat with Traders Podcast https://t.co/R5O8NltOIb â moneyscience (@moneyscience) November 22, 2019
View ArticleMoneyScience: QuantsPortal Blog
Resource: QuantsPortal Blog https://t.co/Lg7BBMt15P â moneyscience (@moneyscience) November 22, 2019
View ArticleMoneyScience: The 7 Reasons Most Machine Learning Funds Fail (Presentation...
Resource: The 7 Reasons Most Machine Learning Funds Fail (Presentation Slides) https://t.co/Ee0C7Wis43 â moneyscience (@moneyscience) November 22, 2019
View ArticleEstimation of the Parameters of Symmetric Stable ARMA and ARMA-GARCH Models....
In this article, we first propose the modified Hannan-Rissanen Method for estimating the parameters of the autoregressive moving average (ARMA) process with symmetric stable noise and symmetric stable...
View ArticleInvestigating bankruptcy prediction models in the presence of extreme class...
In the area of credit risk analytics, current Bankruptcy Prediction Models (BPMs) struggle with (a) the availability of comprehensive and real-world data sets and (b) the presence of extreme class...
View ArticleThe artefact of the Natural Resources Curse. (arXiv:1911.09681v1 [econ.GN])
This paper reexamines the validity of the natural resource curse hypothesis, using the database of mineral exporting countries. Our findings are as follows: (i) Resource-rich countries (RRCs) do not...
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John Van Reenen: ‘A lot of promises are just smoke and mirrors’
As director of LSE’s Centre for Economic Performance (CEP) up to 2016, British economist John Van Reenen led a team of academic researchers who produced detailed analysis of the consequences a divorce...
View ArticleIncorporating financial market volatility to improve forecasts of directional...
Abstract This study examines whether incorporating volatility improves the forecast of directional changes in the returns of Australiaâs banking, industrial and resource sectors. This study first...
View ArticleFrequency volatility connectedness across different industries in China
Publication date: Available online 24 November 2019Source: Finance Research LettersAuthor(s): Junhua Jiang, Vanja Piljak, Aviral Kumar Tiwari, Janne ÃijöAbstractUtilizing the advantageous method of...
View ArticleArbitrage-Free Relative Nelson−Siegel Model
Publication date: Available online 25 November 2019Source: Finance Research LettersAuthor(s): Hokuto IshiiAbstractThis paper introduces a model of the difference between home and foreign country...
View ArticleRough volatility of Bitcoin
Publication date: Available online 25 November 2019Source: Finance Research LettersAuthor(s): Tetsuya TakaishiAbstractRecent studies have found that the log-volatility of asset returns exhibits...
View ArticleForeign Investors’ Trading Behaviors around Merger and Acquisition...
Publication date: Available online 25 November 2019Source: Finance Research LettersAuthor(s): Jin Young Yang, Reuben SegaraAbstractThis study examines foreign investorsâ trading behaviors around...
View ArticleMispricing, Returns and the Quest for Parsimony
Publication date: Available online 25 November 2019Source: Finance Research LettersAuthor(s): Wanling RudkinAbstractIn the constant trade-off between accurate modelling of stock returns and maintaining...
View ArticleA New Breed of Activism
Publication date: Available online 25 November 2019Source: Finance Research LettersAuthor(s): Tanja Artiga González, Paul CalluzzoAbstractThis paper examines shareholder activism campaigns where...
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