GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and US Head of Portfolio Construction Teams:Presentations To: JP Morgan Global Head of Quant...

GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...

We document four facts about the worldwide COVID-19 pandemic that are relevant for those studying the impact of nonpharmaceutical interventions (NPIs) on COVID-19 transmission. First, across all countries and U.S. states that we study, the growth rates of daily deaths from COVID-19 fell from a...

We document four facts about the worldwide COVID-19 pandemic that are relevant for those studying the impact of nonpharmaceutical interventions (NPIs) on COVID-19 transmission. First, across all countries and U.S. states that we study, the growth rates of daily deaths from COVID-19 fell from a...

This study examines the relationship between crude oil prices, US dollar exchange rates and thirty selected international agricultural prices and five international fertilizer prices in a panel framework. The study uses panel VAR methods and Granger causality tests on panel data sets of...

ETFs and index funds have grown at very rapid rates in recent years. Originally launched to track some large liquid indices in developed markets, they now also concern less liquid asset classes such as emerging market bonds. Illiquidity certainly affects the quality of the replication, and in...

This study examines the long-run relationship between crude oil prices, US dollar exchange rates and the prices of thirty selected international agricultural prices and five international fertilizer prices using panel econometric methods with and without unobserved heterogeneous effects on data...

Since 1980, a series of legislative acts and judicial decisions have affected the ownership, scope, and duration of patents. These include: the Bayh-Dole Act in 1980; the extension of the maximum patent term in 1994; and the shift from a first to invent standard to a first to file system in 2011. These...

This paper studies the existence of risk premia in crude oil futures prices with simple regression and Bayesian VAR models. It also studies the importance of three main risk premia models in explaining and forecasting the risk premia in practice. Whilst the existence of the premia and the...

This paper studies oil market and other macroeconomic shocks in a structural vector autoregression with sign restrictions. It introduces a new indicator for oil demand, and uniquely, performs a sign restriction set-up with a penalty function approach in an oil market vector autoregression. The...