Conditional Correlations and Principal Regression Analysis for Futures....
We explore the effect of past market movements on the instantaneous correlations between assets within the futures market. Quantifying this effect is of interest to estimate and manage the risk...
View ArticleReading Macroeconomics From the Yield Curve: The Turkish Case....
This paper aims to analyze the relationship between yield curve -being a line of the interests in various maturities at a given time- and GDP growth in Turkey. The paper focuses on analyzing the yield...
View ArticleTransforming public pensions: A mixed scheme with a credit granted by the...
Birth rates have dramatically decreased and, with continuous improvements in life expectancy, pension expenditure is on an irreversibly increasing path. This will raise serious concerns for the...
View ArticleNational culture and housing credit
Publication date: Available online 31 December 2019Source: Journal of Empirical FinanceAuthor(s): Chrysovalantis Gaganis, Iftekhar Hasan, Fotios PasiourasAbstractUsing a sample of around 30 countries...
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The Waiting Paradox: An Intro to Probability Distributions
How much longer do I have to wait for my bus?Continue reading on Cantorâs Paradise »
View ArticleCan Network Structure Predict Cross-Sectional Stock Returns? Evidence from...
Publication date: Available online 31 December 2019Source: Finance Research LettersAuthor(s): Xi Chen, Wuyue Shangguan, Yanchu Liu, Shichao WangAbstractThis study represents the Chinese stock market as...
View ArticlePortfolio value-at-risk with two-sided Weibull distribution: Evidence from...
Publication date: Available online 31 December 2019Source: Finance Research LettersAuthor(s): Baykar Silahli, Kemal Dincer Dingec, Atilla Cifter, Nezir AydinAbstractThis paper extends the univariate...
View ArticleA Note on the Behavior of Chinese Commodity Markets
Publication date: Available online 31 December 2019Source: Finance Research LettersAuthor(s): John Hua Fan, Neda TodorovaAbstractThis study investigates the presumed behavioral biases of market...
View ArticleCalendar effects in Bitcoin returns and volatility
Publication date: Available online 31 December 2019Source: Finance Research LettersAuthor(s): Harald Kinateder, Vassilios G. PapavassiliouAbstractWe use a GARCH dummy model to study the influence of...
View ArticleQuantpedia Premium in 2019
As we have promised in our previous blog, it's time to take a look at our Premium offering. What's new and what we have accomplished so far? The post Quantpedia Premium in 2019 appeared first on...
View ArticleSHARE BUYBACKS OR COMPOSITE EQUITY ISSUANCE?
By Daniel Fang, CFA, CAIA, Quantitative Research, and Diana Olteanu-Veerman, CFA, Quantitative Strategy, Northern Trust Asset Management Composite Equity Issuance (Cei) Can be a Proxy for Intangible...
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How to Formulate a Scientific Theory
What Amount of Effort Really Goes Towards It?Continue reading on Cantorâs Paradise »
View ArticleEurope’s Hedge Fund Numbers Growing Again
Eurekahedgeâs latest monthly report includes a special section on the key trends in European hedge funds. It tells us that the total number of European hedge funds grew in 2019, after a decline in...
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What happens when we find out how much everyone else is making?
Technological advances have made it possible for everyone to know potentially everything about everyone else. Sci-fi shows such as Netflixâs Black Mirror imagine dystopian scenarios that could...
View ArticleBahamas rolls out first phase of CBDC pilot - Central Banking
The Central Bank of the Bahamas has rolled out the first phase of its digital currency pilot, with plans to extend it to a second region in the first half ofâ¦
View ArticleMost popular machine learning frameworks | Kaggle
Most Popular #MachineLearning Frameworks via @kaggle https://t.co/tf7d7WEggd â Yves Hilpisch (@dyjh) January 3, 2020
View ArticleCall for Papers: Special Issue on ‘Islamic Finance’
This special issue solicits original research papers focused on Islamic Finance. We will consider manuscripts that address the broad set of issues dealing with Islamic Finance; theoretical or empirical.
View ArticleLongfin CEO Settles Fraud Action
The Securities and Exchange Commission today announced that Longfin Corp. CEO Venkata S. Meenavalli has agreed to pay $400,000 in disgorgement and penalties to resolve the SECâs fraud action against...
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