This paper analyzes the realized exit cashflows of individual portfolio companies in a joint modeling framework that describes both the exit timing and the exit performance.
High-frequency movements of the term structure of US interest rates: the role of oil market uncertainty
This paper analyzes the impact of oil market uncertainty on the level, slope and curvature factors derived from the term structure of US interest rates.
Dynamics of biofuel prices on the European market: the impact of EU environmental policy on resources markets
This paper explains the major drivers of biodiesel market prices by examining agricultural resource prices and gasoil prices for automotive fuels in the context of European Union environmental policy.
This paper proposes the GARCH model combined with the Cornish–Fisher expansion for the oil VaR forecast.
We show that including risk reversals in an equity portfolio creates a better portfolio compared with a pure index position.
Using Canadian data for the period 1957–2018, this paper provides evidence in support of portfolio rebalancing by professional portfolio managers.
This paper presents a novel, practical approach to risk management for multifactor equity investment strategies.
In this paper the authors introduce a novel penalty method for the VARX model in the context of portfolio returns, which aggregates the information from the financial networks of portfolios.
In this paper a simple approach for including central bank and government intervention in credit models is developed and illustrated using the Fed’s data for the CCAR 2021 stress test.
This paper examines the way that market efficiency and volatility clustering in the cryptocurrency markets can be inferred from benchmark index performance.
Technical indicator selection and trading signal forecasting: varying input window length and forecast horizon for the Pakistan Stock Exchange
This paper investigates how input window length and forecast horizon affect the predictive performance of a trading signal prediction system.
This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for developed and emerging markets from 2010 up until 2020.
This paper presents a novel and direct approach to solving boundary- and final-value problems, corresponding to barrier options, using forward pathwise deep learning and forward–backward stochastic differential equations.
The importance of window size: a study on the required window size for optimal-quality market risk models
In this paper the authors study different moving-window lengths for value-at-risk evaluation, and also address subjectivity in choosing the window size by testing change point detection algorithms.
In this paper the authors propose a semi-parametric, parsimonious value-at-risk forecasting model based on quantile regression and readily available market prices of option contracts from the over-the-counter foreign exchange interbank market.
Predicting financial distress of Chinese listed companies using a novel hybrid model framework with an imbalanced-data perspective
In this paper a novel hybrid model framework is constructed to solve the problem of predicting the financial distress of Chinese listed companies using imbalanced data.
Is factor momentum greater than stock momentum? Yes – this paper argues – but only at short lags.
Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous Lévy models
In this paper the authors derive stability and convergence of fully discrete approximation schemes of solutions to linear parabolic evolution equations governed by time-dependent coercive operators.
In this paper the authors formulate the one-dimensional RMQ and d-dimensional PMQ algorithms as standard vector quantization problems by deriving the density, distribution and lower partial expectation functions of the random variables to be quantized at…
Directional predictability between returns and trading volume in the futures markets of energy: insights into traders’ behavior
This papers aims to test for directional predictability between returns and volume (and vice versa) in the energy futures markets, employing a cross-quantilogram approach that enables the assessment of the temporal association between two stationary time…
In this paper, the authors apply a measure of statistical unusualness, called the Mahalanobis distance, to assess the plausibility of the scenarios used in the Federal Reserve's stress tests.
This paper demonstrates applications of automatic differentiation with nested dual numbers in the diffusion operator integral variance-reduction framework originally proposed by Heath and Platen.
In this paper, the authors investigate financial fraud in companies listed on the Athens Stock Exchange during the period 2008–18 and propose a model to detect fraudulent financial statements.
This paper revisits the linkage between internal audit function characteristics and internal control quality and proposes a random polynomial model for assessing ICQ.