Results 1 to 10 of about 82,302 (43)
Are bond returns predictable with real-time macro data?
Journal of Econometrics, 2023 We examine whether bond returns are predictable with real-time macro variables by using two supervised learning methods, scaled PCA (sPCA) and partial least squares (PLS) instead of the usual PCA.
Dashan Huang +4 more
semanticscholar +1 more source
Tourism Economics, 2022 This study investigates the effect of COVID-19-induced uncertainty on the overall stock market and the stock performance of the tourism and hospitality industry and its subsectors utilizing a novel time-varying robust Granger causality test.
Oğuzhan Çepni, T. Dogru, Ozgur Ozdemir
semanticscholar +1 more source
Optimal Portfolio with Sustainable Attitudes under Cumulative Prospect Theory
Journal of Applied Finance & Banking, 2023 In the last five years, extreme events such as the COVID-19 pandemic and the Ukrainian crisis have highlighted the importance of corporate social responsibility and sustainable principles.
M. Kaucic +3 more
semanticscholar +1 more source
NEURAL NETWORKS IN FINANCE: A DESCRIPTIVE SYSTEMATIC REVIEW
Indian Journal of Finance and Banking, 2021 Traditional statistical methods pose challenges in data analysis due to irregularity in the financial data. To improve accuracy, financial researchers use machine learning architectures for the past two decades.
Dr. K. Riyazahmed
semanticscholar +1 more source
Equity Premium in Efficient Markets [PDF]
Social Science Research NetworkEquity premium, the surplus returns of stocks over bonds, has been an enduring puzzle. While numerous prior works approach the problem assuming the utility of money is invariant across contexts, our approach implies that in efficient markets the utility ...
B. N. Kausik
semanticscholar +1 more source
Value-at-Risk Estimation Using an Interpolated Distribution of Financial Returns Series
Journal of Applied Finance & Banking, 2022 This paper develops a model for estimating Value-at-Risk (VaR) from the historical return series. The proposed method uses spline interpolation to represent the empirical probability distribution of the return series. The approach developed in this paper
Saeed Shaker-Akhtekhane +1 more
semanticscholar +1 more source
Banks' Strategic Interaction, Adverse Price Dynamics and Systemic Liquidity Risk
Social Science Research Network, 2022 In this paper, we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS), to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking system.
U. Krüger +3 more
semanticscholar +1 more source
Journal of Econometrics, 2019 We view economic time series as the result of a cascade of shocks occurring at different times and different frequencies (scales). We suggest that economic relations that are found to be elusive when using raw data may hold true for different layers ...
F. Bandi +3 more
semanticscholar +1 more source
Journal of Finance and Investment Analysis, 2022 This paper aims to identify an innovative procedure to assess the model risk of a derivative financial product. More precisely, the authors, after briefly discussing the role of banking supervision, present a framework to estimate the model risk at the ...
R. Ferrentino, L. Vota
semanticscholar +1 more source
Structural asymmetries and financial imbalances in the Eurozone
Review of economic dynamics (Print), 2020 Almost two decades after the introduction of the common currency differences in institutional frameworks remain a major source of cross-country heterogeneity in the eurozone.
I. Jaccard, F. Smets
semanticscholar +1 more source