Information Efficiency Research of China's Carbon Markets
Publication date: Available online 24 January 2020Source: Finance Research LettersAuthor(s): Jian Liu, Ting Jiang, Ze YeAbstractThis paper studies the information efficiency of China's carbon markets...
View ArticleReliance on Major Customers and Product Market Competition
Publication date: Available online 25 January 2020Source: Finance Research LettersAuthor(s): Yelena LarkinAbstractAlthough reliance on major customers has been growing over time, the literature has...
View ArticleInsider Investment Horizon
ABSTRACT We examine the relation between insidersâ investment horizon and the information content of their trades with respect to future stock returns. We conjecture that an insider's investment...
View ArticleTaming the Factor Zoo: A Test of New Factors
ABSTRACT We propose a model selection method to systematically evaluate the contribution to asset pricing of any new factor, above and beyond what a highâdimensional set of existing factors...
View ArticleNecessary and Sufficient Conditions for Existence and Uniqueness of Recursive...
ABSTRACT We obtain exact necessary and sufficient conditions for existence and uniqueness of solutions of a class of homothetic recursive utility models postulated by Epstein and Zin. The conditions...
View ArticleSASB + TCFD = Common ESG Disclosure Standards?
The Sustainability Accounting Standards Board (SASB), a non-profit organization has developed industry-specific standards across environmental, social, and governance topics, working toward a consensus...
View ArticleAffine term structure models : a time-changed approach with perfect fit to...
We address the so-called calibration problem which consists of fitting in a tractable way a given model to a specified term structure like, e.g., yield or default probability curves. Time-homogeneous...
View ArticleSmile Modelling in Commodity Markets. (arXiv:1808.09685v2 [q-fin.PR] UPDATED)
We present a stochastic-local volatility model for derivative contracts on commodity futures able to describe forward-curve and smile dynamics with a fast calibration to liquid market quotes. A...
View ArticleForecasting NIFTY 50 benchmark Index using Seasonal ARIMA time series models....
This paper analyses how Time Series Analysis techniques can be applied to capture movement of an exchange traded index in a stock market. Specifically, Seasonal Auto Regressive Integrated Moving...
View ArticleSocial Cost of Carbon: What Do the Numbers Really Mean?. (arXiv:2001.08935v1...
The Social Cost of Carbon (SCC) is estimated by integrated assessment models and is widely used by government agencies to value the climate impacts of rulemakings, however, the core discussion around...
View ArticleBig Data based Research on Mechanisms of Sharing Economy Restructuring the...
Many researches have discussed the phenomenon and definition of sharing economy, but an understanding of sharing economy's reconstructions of the world remains elusive. We illustrate the mechanism of...
View ArticleRefined model of the covariance/correlation matrix between securities....
A new methodology has been introduced to clean the correlation matrix of single stocks returns based on a constrained principal component analysis using financial data. Portfolios were introduced,...
View ArticlePricing commodity swing options. (arXiv:2001.08906v1 [q-fin.PR])
In commodity and energy markets swing options allow the buyer to hedge against futures price fluctuations and to select its preferred delivery strategy within daily or periodic constraints, possibly...
View ArticleChoosing the Right Return Distribution and the Excess Volatility Puzzle....
Proponents of behavioral finance have identified several "puzzles" in the market that are inconsistent with rational finance theory. One such puzzle is the "excess volatility puzzle". Changes in equity...
View ArticleClik here to view.
Business automation in investment banking: fast forward…. or not?
By 2020 service automation, based on robotic process automation (RPA), cognitive automation (CA) and artificial intelligence (AI) has reached an intriguing and confusing moment in its evolution across...
View ArticleDifference between the determinants of operational risk reporting in Islamic...
In this study, the author investigates the operational risk reporting practices of Islamic banking institutions (IBIs) and conventional banks (CBs) in Saudi Arabia. Moreover, the author explores the...
View ArticleRisk capital reserve and measurement precision in modeling heavy-tailed...
This paper provides a rationale for adopting quantitative buffer capital, designed to absorb variations due to measurement errors, especially those originating from the estimation risk.
View ArticleVolatility forecasting: the role of internet search activity and implied...
In this study, the authors search for a benchmark model with available market-based predictors to evaluate the net contribution of internet search activity data in forecasting volatility. The paper...
View Article