Partial (replication) index tracking is a popular passive investment strategy. It aims to replicate the performance of a given index by constructing a tracking portfolio which...

Nov 13 2019 12:02

This paper compares alternative univariate versus multivariate models, frequentist versus Bayesian autoregressive and vector autoregressive specifications, for hourly day-ahea...

Nov 13 2019 12:02

We investigate the links between various no-arbitrage conditions and the existence of pricing functionals in general markets, and prove the Fundamental Theorem of Asset Pricin...

Nov 13 2019 12:02

Remittances mean an important connection between people working abroad and their home countries. This paper considers these transfers as a measure of preferences revealed by t...

Nov 13 2019 12:02

The field of study of this paper is the analysis of the exchange between two subjects. Circumscribed to the micro dimension, it is however expanded with respect to standard ec...

Nov 13 2019 12:02

In this paper, we present a method for the accurate estimation of the derivative (aka.~sensitivity) of expectations of functions involving an indicator function by combining a...

Nov 13 2019 12:02

Many researchers both in academia and industry have long been interested in the stock market. Numerous approaches were developed to accurately predict future trends in stock p...

Nov 13 2019 12:02

We develop a modelling framework for multiple yield curves driven by continuous-state branching processes with immigration (CBI processes). Exploiting the self-exciting behavi...

Nov 13 2019 12:02

Uniswap---and other constant product markets---appear to work well in practice despite their simplicity. In this paper, we give a simple formal analysis of constant product ma...

Nov 13 2019 12:02

Publication date: Available online 13 November 2019Source: Finance Research LettersAuthor(s): Shaojie Lai, Xiaoling PuAbstractComparing acquisition premium paid by private equ...

Nov 13 2019 12:01

Publication date: Available online 12 November 2019Source: Finance Research LettersAuthor(s): Xiaofan PengAbstractThis study examines the hedge and safe haven properties of pr...

Nov 13 2019 12:01

Publication date: Available online 12 November 2019Source: Finance Research LettersAuthor(s): Nagaraju Thota, A.C.V. SubrahmanyamAbstractThis study examines the total factor p...

Nov 13 2019 12:01

Publication date: Available online 12 November 2019Source: Finance Research LettersAuthor(s): XiaoPing Li, Bin Tong, ChunYang ZhouABSTRACTWe examine the roles of heterogeneous...

Nov 13 2019 12:01

Publication date: Available online 12 November 2019Source: Finance Research LettersAuthor(s): Seema Narayan, Mobeen Ur RehmanAbstractThis study examines long- and short-run di...

Nov 13 2019 12:01

Publication date: Available online 13 November 2019Source: Journal of Empirical FinanceAuthor(s): Massimiliano Caporin, Farooq MalikAbstractWe show through extensive Monte Car...

Nov 13 2019 12:01

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Nov 13 2019 12:01

MMM Global, a ponzi scheme, relied on bitcoin for payments. And since bitcoin transactions are public, the authors of this paper were able to get unique…

Nov 13 2019 12:01

Last week, UBS boldly claimed that companies run by billionaires "outperform", because billionaires are "smart risk-takers". This entire claim was based on…

Nov 13 2019 12:01

Activists and academics alike hailed the conclusion of the Accord on Fire and Building Safety which offered hope that lessons had been learned from the carnage of the 2013 Ra...

Nov 13 2019 06:08

Matthew X. Hanauer and Steffen Windmueller, two scholars affiliated with the Technical University of Munich, compare the performance of three risk management approaches applic...

Nov 13 2019 00:09