Results 181 to 190 of about 24,822 (265)
The Role of Price‐Volatility Cojumps in Volatility Forecasting
Journal of Futures Markets, Volume 46, Issue 5, Page 931-951, May 2026.ABSTRACT This paper investigates whether simultaneous jumps in prices and volatility improve volatility forecasting. Using up‐to‐date high‐frequency S&P 500 and VIX data, we identify price‐volatility cojumps at the intraday granularity and construct upside, downside, and asymmetric measures.
Kefu Liao
wiley +1 more source
Dollar illiquidity and central bank swap arrangements during the global financial crisis [PDF]
While the global financial crisis was centered in the United States, it led to a surprising appreciation in the dollar, suggesting global dollar illiquidity.
Andrew K. Rose, Mark M. Spiegel
core
Long-term shareholder perks and stock price reaction. [PDF]
PLoS OneGao Y, Nose Y.
europepmc +1 more source
Strategic (Inconsistent) Disclosures and Sophisticated Investors: Evidence from Hedge Funds
Journal of Accounting Research, Volume 64, Issue 2, Page 923-978, May 2026.ABSTRACT Recent SEC regulations require that qualified hedge fund advisers provide their investors with narrative disclosures of their business and operations. We find that 40% of these disclosures omit or de‐emphasize information regarding advisers' operational and investment risks when compared to other sources of public information. Funds with such “
YICHANG LIU +2 more
wiley +1 more source
Editorial: Financial modeling with frictions
Frontiers in Applied Mathematics and StatisticsDaniele Mancinelli +3 more
doaj +1 more source
How Does Credit Information Sharing Shape the Cyclicality of Bank Liquidity Creation?
Financial Review, Volume 61, Issue 2, Page 601-628, May 2026.ABSTRACT We investigate the effect of credit information sharing in the banking sector on the fluctuations of bank liquidity creation over the business cycle. Using the Berger and Bouwman comprehensive measure of bank liquidity creation and data representing 354 banks from 40 developing countries between 2012 and 2020, we find that on‐ and off‐balance ...
Jeffrey Ighedosa +2 more
wiley +1 more source
Does the Conditional CAPM Work? Evidence from the Istanbul Stock Exchange [PDF]
This paper tests whether the conditional CAPM accurately prices assets utilizing data from the Istanbul Stock Exchange (ISE) over the time period from February 1997 to April 2008. In our empirical analysis, we closely follow the methodology introduced in
Atakan Yalcýn, Nuri Ersahin
core
Skew Premiums Around Earnings Announcements
Financial Review, Volume 61, Issue 2, Page 533-554, May 2026.ABSTRACT We examine skew premiums in equity options around earnings announcements. We use the realized returns to delta‐neutral risk reversal option spreads as a proxy for the skew premiums. We find skew premiums are economically significant around earnings announcements and are not explained by changes in variance risk premiums.
Thaddeus Neururer, George Papadakis
wiley +1 more source
Review of Income and Wealth, Volume 72, Issue 2, May 2026.ABSTRACT Wealth, though crucial for modeling economic behavior and understanding well‐being, is difficult to measure in surveys. This paper introduces a new, comprehensive account‐by‐account approach for eliciting asset holding. This approach is implemented in the Vanguard Research Initiative, a panel of wealthholders designed to yield high‐quality ...
John Ameriks +4 more
wiley +1 more source
A case study for unlocking the potential of deep learning in asset-liability-management. [PDF]
Front Artif Intell, 2023 Krabichler T, Teichmann J.
europepmc +1 more source