Uwe Wystup in Wilmott Magazine May 2019: “The Sales�Margin...
How does the sell side make money with financial products, particularly with zeroâcost strategies? Read article here. The post Uwe Wystup in Wilmott Magazine May 2019: “The SalesâMargin...
View ArticleUwe Wystup in Wilmott Magazine July 2019: “Mustache to Touch”
Visualizing model risk for exotics. Read article here. The post Uwe Wystup in Wilmott Magazine July 2019: “Mustache to Touch” appeared first on MathFinance.
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Newsletter Aug 2019 FX Derivatives Pricing Models
Editorial Interview with Frédéric Bossens on FX Derivatives Pricing Models Fred, you recently joined MathFinance as senior FX quant. How did you ever get into this field? A bit incidentally to be...
View ArticleAsset pricing model uncertainty
Publication date: Available online 17 July 2019Source: Journal of Empirical FinanceAuthor(s): Daniel BorupAbstractThis paper provides a unified calendar-time portfolio methodology for assessing whether...
View ArticleFactor state-space models for high-dimensional realized covariance matrices...
Publication date: Available online 13 August 2019Source: Journal of Empirical FinanceAuthor(s): Bastian Gribisch, Jan Patrick Hartkopf, Roman LiesenfeldAbstractWe propose a dynamic factor state-space...
View ArticleHorizontal industry relationships and return predictability
Publication date: September 2019Source: Journal of Empirical Finance, Volume 53Author(s): Christian Schlag, Kailin ZengAbstractIt has been documented that vertical customerâsupplier links between...
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Publication date: September 2019Source: Journal of Empirical Finance, Volume 53Author(s):
View ArticleUsing extracted forward rate term structure information to forecast foreign...
Publication date: September 2019Source: Journal of Empirical Finance, Volume 53Author(s): Fearghal Kearney, Mark Cummins, Finbarr MurphyAbstractThe difficulty of beating the random walk in forecasting...
View ArticleU.S. municipal yields and unfunded state pension liabilities
Publication date: September 2019Source: Journal of Empirical Finance, Volume 53Author(s): Zina LekniÅ«tÄ, Roel Beetsma, Eduard PondsAbstractWe present empirical evidence that municipal bond yields are...
View ArticleSovereign bond-backed securities: A VAR-for-VaR and marginal expected...
Publication date: September 2019Source: Journal of Empirical Finance, Volume 53Author(s): Maite De Sola Perea, Peter G. Dunne, Martin Puhl, Thomas ReiningerAbstractThe risk reducing benefits of the...
View ArticleAlpha momentum and alpha reversal in country and industry equity indexes
Publication date: September 2019Source: Journal of Empirical Finance, Volume 53Author(s): Adam Zaremba, Mehmet Umutlu, Andreas KarathanasopoulosAbstractDo past alphas predict future country and...
View ArticleA multiple regime extension to the Heston–Nandi GARCH(1,1) model
Publication date: September 2019Source: Journal of Empirical Finance, Volume 53Author(s): Adán DÃaz-Hernández, Nick ConstantinouAbstractIn this article a multiple regime extension of a...
View ArticleThe bank-sovereign nexus: Evidence from a non-bailout episode
Publication date: September 2019Source: Journal of Empirical Finance, Volume 53Author(s): Massimiliano Caporin, Gisle J. Natvik, Francesco Ravazzolo, Paolo Santucci de MagistrisAbstractWe explore the...
View ArticleThe role of technical indicators in exchange rate forecasting
Publication date: September 2019Source: Journal of Empirical Finance, Volume 53Author(s): Ekaterini Panopoulou, Ioannis SouropanisAbstractForecasting exchange rates is a subject of wide interest to...
View ArticleExponential smoothing of realized portfolio weights
Publication date: September 2019Source: Journal of Empirical Finance, Volume 53Author(s): Vasyl Golosnoy, Bastian Gribisch, Miriam Isabel SeifertAbstractThe model-free exponential smoothing (ES)...
View ArticleHow do disposition effect and anchoring bias interact to impact momentum in...
Publication date: September 2019Source: Journal of Empirical Finance, Volume 53Author(s): Jungshik Hur, Vivek SinghAbstractWe show that when the disposition effect and anchoring bias of investors...
View ArticleDebt specialization and performance of European firms
Publication date: September 2019Source: Journal of Empirical Finance, Volume 53Author(s): Caterina GiannettiAbstractRelying on a cross-country comparable sample of European manufacturing firms, this...
View ArticleBond and option prices with permanent shocks
Publication date: September 2019Source: Journal of Empirical Finance, Volume 53Author(s): Haitham A. Al-ZoubiAbstractI develop and estimate an affine short-rate model that incorporates a nonstationary...
View ArticleOverconfidence, position size, and the link to performance
Publication date: September 2019Source: Journal of Empirical Finance, Volume 53Author(s): John Forman, Joanne HortonAbstractThe overconfidence literature employs activity metrics such as account...
View ArticleAsset pricing with extreme liquidity risk
Publication date: Available online 23 September 2019Source: Journal of Empirical FinanceAuthor(s): Ying WuAbstractDefining extreme liquidity as the tail of the illiquidity for all stocks, I propose a...
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