Suchergebnisse
Filter
13 Ergebnisse
Sortierung:
Hedge Funds and the Positive Idiosyncratic Volatility Effect
In: Georgetown McDonough School of Business Research Paper No. 3292347
SSRN
Working paper
Unobserved Performance of Hedge Funds
In: University of St.Gallen, School of Finance Research Paper No. 2018/25
SSRN
Working paper
SSRN
Joint Extreme Events in Equity Returns and Liquidity and their Cross-Sectional Pricing Implications
In: Journal of Banking and Finance, Forthcoming
SSRN
Factor Exposure Variation and Mutual Fund Performance
In: Financial Analyst Journal, Forthcoming
SSRN
Working paper
Multivariate Crash Risk
In: Journal of Financial Economics (JFE), Forthcoming
SSRN
Working paper
SSRN
SSRN
Regulatory Stress Testing and Bank Performance
In: European Financial Management, Forthcoming
SSRN
Working paper
An empirical analysis of multivariate copula models
In: Quantitative Finance, Band 9, Heft 7, S. 839-854
Since the pioneering work of Embrechts and co-authors in 1999, copula models have enjoyed steadily increasing popularity in finance. Whereas copulas are well-studied in the bivariate case, the higher-dimensional case still offers several open issues and it is far from clear how to construct copulas which sufficiently capture the characteristics of financial returns. For this reason, elliptical copulas (i.e. Gaussian and Student-t copula) still dominate both empirical and practical applications. On the other hand, several attractive construction schemes have appeared in the recent literature promising flexible but still manageable dependence models. The aim of this work is to empirically investigate whether these models are really capable of outperforming its benchmark, i.e. the Student-t copula and, in addition, to compare the fit of these different copula classes among themselves.
Option Return Predictability with Machine Learning and Big Data
In: Georgetown McDonough School of Business Research Paper No. 3895984
SSRN
SSRN