We study the intra-horizon value at risk (iVaR) in a general jump diffusion setup and propose a new model of asset returns called displaced mixed-exponential model, which can arbitrarily closely approximate finite-activity jump-diffusions and completely monotone Levy processes. We derive...

The use of dictionaries in financial sentiment analysis and other financial and economic applications remains widespread because keyword-based methods appear more transparent and explainable than more advanced techniques commonly used in computer science. However, this paper demonstrates the...

Investors and regulators require reliable estimates of physical climate risks for decision-making. While assessing these risks is challenging, several commercial data providers and academics have started to develop physical risk scores at the firm level. This paper compares six physical risk...

To explore the rationality and competitiveness of the mutual fund industry, we analyze the alpha of active and index mutual funds from a global sample of more than 60,000 equity and fixed income funds and test the null hypothesis that alphas to investors are zero. We distinguish between...

The severity of extreme weather events is increasing due to climate change, giving rise to physical climate risk. However, physical climate risk is not only driven by the severity of individual hazards, but also by the interdependence of those hazards. This paper establishes bounds for the...

Various non-pharmaceutical interventions (NPIs) were adopted by countries worldwide to contain the transmission of COVID-19. But their implementation raises a debate on the effectiveness of these mitigation measures. Studying 13 types of NPIs with the daily data of 185 countries from January to...

Næs, Skjeltorp, and Ødegaard (2011) provide empirical evidence that stock market liquidity contains leading information about future economic activity. Their result suggests a rebalancing of small, increasingly illiquid to large stocks in recession times, an expression of...