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Foucault, Thierry; Hombert, Johan; Rosu, Ioanid - 2015

We compare the optimal trading strategy of an informed speculator when he can trade ahead of incoming news (is "fast"), versus when he cannot (is "slow"). We find that speed matters: the fast speculator's trades account for a larger fraction of trading volume, and are more correlated with...

Persistent link: https://www.econbiz.de/10010504950

Asset pricing with systematic skewness : two decades later

Anghel, Dan Gabriel; Caraiani, Petre; Roşu, Alina; … - In: Critical finance review 12 (2023) 1/4, pp. 309-354

Persistent link: https://www.econbiz.de/10014370379

Oil shocks and state-level stock market volatility of the United States : a GARCH-MIDAS approach

Salisu, Afees A.; Gupta, Rangan; Cepni, Oguzhan; … - In: Review of quantitative finance and accounting 63 (2024) 4, pp. 1473-1510

Persistent link: https://www.econbiz.de/10015178531

Monetary policy shocks and the high-frequency network connectedness of stock markets

Anghel, Dan Gabriel; Caraiani, Petre - In: International review of economics & finance : IREF 96 (2024) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10015204674

Model averaging on the high-frequency Eastern European stock market returns

Caraiani, Petre; Lupu, Radu - In: Financial and macroeconomic dynamics in Central and …, (pp. 53-73). 2012

Persistent link: https://www.econbiz.de/10009729235

Credit policy and asset price bubbles

Caraiani, Petre; Luik, Marc-André; Wesselbaum, Dennis - In: Journal of macroeconomics 65 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012433774

The impact of monetary policy shocks on stock market bubbles : international evidence

Caraiani, Petre; Călin, Adrian Cantemir - In: Finance research letters 34 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012436973

Predicting the conditional distribution of US stock market systemic stress : the role of climate risks

Caporin, Massimiliano; Caraiani, Petre; Cepni, Oguzhan; … - 2024

Persistent link: https://www.econbiz.de/10014496364

Fiscal policy and stock markets at the effective lower bound

André, Christophe; Caraiani, Petre; Gupta, Rangan - 2023

Persistent link: https://www.econbiz.de/10014281696

Fiscal policy and stock markets at the effective lower bound

André, Christophe; Caraiani, Petre; Gupta, Rangan - In: Finance research letters 58 (2023) 3, pp. 1-9

Persistent link: https://www.econbiz.de/10014637425