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ABSTRACT Expanding the realized variance concept through realized skewness and kurtosis is a straightforward process. We calculate one-day forecasts for these moments with a simple exponentially weighted...
ABSTRACT Using nonlinear machine-learning methods and a proper backtest procedure, we critically examine the claim that Google Trends (GT) can predict future price returns. We first review the many potential...
Financial policing takes on a touch of Silicon Valley glamour
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This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.