NAPLES;Mining the lead-lag Relationship from Non-synchronous and...
In time-series analysis, the term "lead-lag effect" is used to describe a delayed effect on a given time series caused by another time series. lead-lag effects are ubiquitous in practice and are...
View ArticleVolatility estimation for cryptocurrencies using Markov-switching GARCH models
International Journal of Financial Markets and Derivatives, Volume 7, Issue 1, Page 1-14, January 2019.
View ArticlePost global financial crisis modelling: credit risk for firms that are too...
International Journal of Financial Markets and Derivatives, Volume 7, Issue 1, Page 15-39, January 2019.
View ArticleOptions pricing models of interest rate index: a comparative of pricing...
International Journal of Financial Markets and Derivatives, Volume 7, Issue 1, Page 40-53, January 2019.
View ArticleConcentration measures in emerging banking
International Journal of Financial Markets and Derivatives, Volume 7, Issue 1, Page 54-67, January 2019.
View ArticlePredictable risks and returns: further evidence from the UK stock market
International Journal of Financial Markets and Derivatives, Volume 7, Issue 1, Page 68-100, January 2019.
View ArticleConsensus protocols as a model of trust in blockchains
International Journal of Blockchains and Cryptocurrencies, Volume 1, Issue 1, Page 7-21, January 2019.
View ArticleCryptocurrencies: the communication inside blockchain technology and the...
International Journal of Blockchains and Cryptocurrencies, Volume 1, Issue 1, Page 22-41, January 2019.
View ArticleMathematical assessment of blocks acceptance in blockchain using Markov model
International Journal of Blockchains and Cryptocurrencies, Volume 1, Issue 1, Page 42-53, January 2019.
View ArticleA quick synopsis of blockchain technology
International Journal of Blockchains and Cryptocurrencies, Volume 1, Issue 1, Page 54-66, January 2019.
View ArticleDigital ledger technology-based real estate transaction mechanism and its...
International Journal of Blockchains and Cryptocurrencies, Volume 1, Issue 1, Page 67-84, January 2019.
View ArticleOptimised and dynamic KYC system based on blockchain technology
International Journal of Blockchains and Cryptocurrencies, Volume 1, Issue 1, Page 85-106, January 2019.
View ArticleSEC Wins Jury Trial Against Massachusetts Man Charged in Multi-Year Insider...
Yesterday evening, jurors in Boston federal court returned a verdict finding that Lexington, Massachusetts restauranteur Charlie Chen engaged in illegal insider trading in advance of five earnings...
View ArticleSurvival of reorganized firms in France
Publication date: Available online 4 February 2020Source: Finance Research LettersAuthor(s): Rim Ayadi, Ilyes Abid, Khaled GuesmiAbstractThis paper investigates the survival prospects of reorganized...
View ArticleOn fairness of systemic risk measures
Abstract In our previous paper âA unified approach to systemic risk measures via acceptance setsâ (Mathematical Finance, 2018), we have introduced a general class of systemic risk measures that...
View ArticleClik here to view.
A Bird in the Hand is Worth…
Two in the Hand?Continue reading on Cantorâs Paradise »
View ArticleClik here to view.
Retail banks are far from obsolete: they are needed more than ever in the age...
The internet has fundamentally reformed a number of industries. Newspaper publishing lost the deep moat that investment in printing presses and distribution once represented. Music publishing went the...
View ArticlePCA for Implied Volatility Surfaces. (arXiv:2002.00085v1 [q-fin.ST])
Principal component analysis (PCA) is a useful tool when trying to construct factor models from historical asset returns. For the implied volatilities of U.S. equities there is a PCA-based model with a...
View ArticleEstimating the Welfare Effects of School Vouchers. (arXiv:2002.00103v1...
We analyze the welfare effects of voucher provision in the DC Opportunity Scholarship Program (OSP), a school voucher program in Washington, DC, that randomly allocated vouchers to students. To do so,...
View ArticleOptimal portfolio choice with path dependent labor income: the infinite...
We consider an infinite horizon portfolio problem with borrowing constraints, in which an agent receives labor income which adjusts to financial market shocks in a path dependent way. This...
View Article
