Search Results - subject_exact:"Financial econometrics"

Normalising flow enhanced GARCH models : a two-stage framework for flexible innovation modelling in financial time series

Hassan, Abdullah; Mlambo, Farai; Mongwe, Wilson Tsakane - 2026

We introduce the Normalising Flow GARCH (NF-GARCH), a two-stage hybrid framework that enhances traditional GARCH models by replacing restrictive parametric innovation distributions with learned densities via normalising flows. Our approach preserves the interpretability of standard variance...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656145

Explosive price dynamics in global REIT markets : evidence from developed regions

Iancu, Laura Andreea - 2026

This paper investigates the presence and timing of explosive price dynamics in major listed real estate markets over the period 04 January 2011 - 11 February 2026. The analysis focuses on four benchmark indices: the FTSE EPRA Nareit Developed Europe Index, the FTSE Nareit All Equity REITs Index...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639899

Interpretable deep learning for REIT return forecasting : a comparative study of LSTM, TVP-VAR proxy, and SHAP-based explanations

Eddy Suprihadi; Danila, Nevi; Ali, Zaiton; Ananta, Gede … - 2026

Forecasting returns in Real Estate Investment Trust (REIT) markets remains challenging because REIT performance is shaped by nonlinear and time-varying interactions with macro-financial conditions. This study evaluates the forecasting performance of Long Short-Term Memory (LSTM) neural networks...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015644257

ORAKULUM : an information-impact asset pricing model introducing a jump-diffusion framework for information-driven markets

Köntös, Zoltán; Rahimkulov, Ruszlan Megdetovics - 2026

Standard asset pricing models treat price dynamics as a stochastic process driven by undifferentiated random noise, rendering them agnostic about the primary engine of price discovery: the arrival of economically significant information. This paper introduces ORAKULUM, a structured...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656182

Temporal dynamics of market microstructure in cryptocurrency perpetual futures : econometric evidence from centralized and decentralized exchanges

Zhivkov, Petar; Todorov, Venelin; Georgiev, Slavi - 2026

We apply rolling-window econometric methods, including GARCH(1,1) estimation, Bai-Perron structural break detection, CUSUM stability testing, and Granger causality analysis in bivariate VAR frameworks, to analyze the temporal dynamics of market integration in cryptocurrency perpetual futures,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652336

Econometric frontiers deep learning and machine learning in financial econometrics

Chassot, Jonathan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015603756

Do financial markets allow the independence of central banks?

Miró, Damià Rey; Piffaut, Pedro; Zurdo, Ricardo Palomo - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014558467

Essays on the econometrics of option pricing

Vladimirov, Evgenii - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014491683

Do financial markets allow the independence of central banks?

Miró, Damià Rey; Piffaut, Pedro; Zurdo, Ricardo Palomo - 2024

The research work presented below addresses the possible concern of central bank independence through the development and application of econometric models. The complexity of the modelling has allowed a step further in corroborating that financial independence is not only linked to the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014496228

Exploring the role of global value chain position in economic models for bankruptcy forecasting

Croquet, Mélanie; Cultrera, Loredana; Laroutis, Dimitri; … - 2024

This study addresses a significant gap in the literature by comparing the effectiveness of traditional statistical methods with artificial intelligence (AI) techniques in predicting bankruptcy among small and medium-sized enterprises (SMEs). Traditional bankruptcy prediction models often fail to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015272906

A generalization of the Topological Tail Dependence theory : from indices to individual stocks

Souto, Hugo Gobato; Moradi, Amir - 2024

This study investigates the Topological Tail Dependence (TTD) theory's applicability to individual stock volatility and high dimensions. Utilizing a comprehensive dataset from the S&P 100, the research employs various methodologies to test the predictions and implications of the TTD theory. The...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015418080

What Threshold Should be Applied to Tests of Factor Models?

Harvey, Campbell R.; Sancetta, Alessio; Zhao, Yuqian - 2026

Researchers generally acknowledge that statistical tests must be adjusted when hundreds of factors and trading strategies have been examined. But how should these adjustments be made? Existing methods are often misunderstood or misapplied. We show that proper inference requires accounting for...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611202

Teaching econometrics : a tribute to R. Carter Hill

2026

Introduction -- Teaching Applied Econometrics -- Reflections on the Teaching of Bayesian Econometrics -- Teaching Financial Econometrics to Students Converting to Finance -- Teaching Panel Data Econometrics -- The Harm that Good Teachers Do and Other Stories -- Teaching Reproducibility and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015587578

A Tale of Two Market Returns : The Broad Market Factor and The Idiosyncratic Financial Factor

Byun, Sung Je; Loudis, Johnathan; Schmidt, Lawrence - 2026

We construct a Broad Market Factor (BMF), which is a proxy for the value-weighted equity return on all firms in the US economy (public and private). The BMF differs from the standard Value-weighted Market Factor (VMF), which reflects the value-weighted equity return on public firms. We define...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654007

Complex Modern Portfolio Theory

Hellum, Oliver; Jensen, Theis Ingerslev; Kelly, Bryan T.; … - 2026

The literature has long wrestled with the practical usefulness of Modern Portfolio Theory (MPT), and extensive evidence shows its performance decreases rapidly with the number of assets (N ). We present several new and counterintuitive facts about MPT. Most importantly, the performance of MPT in...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654010

Scaling Point-in-Time Language Models

Kelly, Bryan T.; Malamud, Semyon; Schwab, Johannes; Xu, … - 2026

Large language models trained on unrestricted internet corpora inevitably embed information from the future, introducing lookahead bias that compromises the validity of backtests and causal inference in finance and the social sciences. Point-in-time language models--trained exclusively on text...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654011

Empirical finance

Hamori, Shigeyuki - 2020

The research field related to finance has made great progress in recent years due to the development of information processing technology and the availability of large-scale data. This special issue is a collection of 16 articles on empirical finance and one book review. The content is six...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012173272

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Empirical finance

Hamori, Shigeyuki - 2020

Article

The impact of COVID-19 on the volatility of copper futures

Melo-Vega-Angeles, Oscar; Chuquillanqui-Lichardo, Bryan - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015469767

Financial Machine Learning

Kelly, Bryan T.; Xiu, Dacheng - 2023

We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offer and recommend promising directions for future research. This survey is designed for both financial economists interested in grasping...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014322889

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Financial Machine Learning

Kelly, Bryan T.; Xiu, Dacheng - 2023

Book / Working Paper

Financial Machine Learning

Kelly, Bryan T.; Xiu, Dacheng - 2023

Book / Working Paper

Interdependence and contagion effects in agricultural commodities markets : a bibliometric analysis, implications, and insights for sustainable development

Santana, Thiago Pires; Horta, Nicole Rebolo; Ramos, … - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014492190

The impact of COVID-19 on the volatility of copper futures

Melo-Vega-Angeles, Oscar; Chuquillanqui-Lichardo, Bryan - 2023

The COVID-19 pandemic has introduced significant uncertainty across various economic sectors, most notably in the industrial sector due to the high volatility in copper futures markets. These markets play a crucial role in the construction, electrical networks, electronic products, and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014322991

New methods for testing, prediction, and estimation with applications to finance

Hediger, Simon - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014282051

Machine Forecast Disagreement

Bali, Turan G.; Kelly, Bryan T.; Mörke, Mathis; … - 2023

We propose a statistical model of differences in beliefs in which heterogeneous investors are represented as different machine learning model specifications. Each investor forms return forecasts from their own specific model using data inputs that are available to all investors. We measure...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014337816

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Machine Forecast Disagreement

Bali, Turan G.; Kelly, Bryan T.; Mörke, Mathis; … - 2023

Book / Working Paper

Statistical arbitrage with mean-reverting overnight price gaps on high-frequency data of the S&P 500

Stübinger, Johannes; Schneider, Lucas - 2019

This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump-diffusion model and applies it to high-frequency data of the S&P 500 constituents from January 1998-December 2015. In particular, the established stock selection and trading framework identifies...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012022240

Economic magnitudes within reason

Liu, Zack; Winegar, Adam - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015440885

Financial econometrics : theory and applications

2025

Financial Econometrics is a contribution to modern financial econometrics, overviewing both theory and application. It covers, in detail, three important topics in the field that have recently drawn the attention of the academic community and practitioners, with low-frequency data (trend...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015357486

Infill asymptotic theory and applications in financial econometrics

Lui, Yiu Lim - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015426488

Lectures on the theory and application of modern finance with R and ChatGPT

Favero, Carlo A.; Tebaldi, Flavio - 2025

"These lecture notes are thought for Master courses in Finance, Fintech and Quantitative Finance programmes. We fully subscribe to the philosophy that post-graduate students should be offered courses that are really at the cutting edge of the technologies and advances that are disrupting the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015622680

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Lectures on the theory and application of modern finance with R and ChatGPT

Favero, Carlo A.; Tebaldi, Claudio - 2025

Book / Working Paper

Evaluating financial prediction models for business failure in Moroccan industrial firms : analysis and strategic implications

Elmazouny, Chayma; Bourhaba, Zineb; Abdelkrim, Kandrouch - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015637010

How and When are High-Frequency Stock Returns Predictable?

Aït-Sahalia, Yacine; Fan, Jianqing; Xue, Lirong; Zhou, … - 2022

This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013362020

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How and When are High-Frequency Stock Returns Predictable?

Aït-Sahalia, Yacine; Fan, Jianqing; Xue, Lirong; Zhou, … - 2022

Book / Working Paper

Feature Scaling for Financial Machine Learning

Shen, Jieli - 2022

Machine learning have made a large number of novel applications in various domains in finance. Though more complex and advanced models have been proposed and explored in literatures, the input data to the models and how the raw features are preprocessed, remains important. This article provides...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013406507

Machine Forecast Disagreement and Equity Returns

Bali, Turan G.; Chang, Ran; Kelly, Bryan T. - 2022

We propose a belief-generating model from which we build a statistical measure of investor disagreement. We simulate differences in beliefs across investors by endowing them with different machine learning models for forecasting returns from the same set of inputs. We measure disagreement as the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013298797

Essays in financial econometrics

Siggaard, Mathias Voldum - 2022 - This version: November 1, 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014259181

Bayesian nonparametrics for financial volatility modeling

Zaharieva, Martina Danielova - 2017

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012200829

Volatilityforecastingpackage : a financial volatility package in mathematica

Khodabaccus, Noorshanaaz; Saib, Aslam A. E. F. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014636740

Run risks of cash-redeemable ETFs

Leung, David Wing Yu; Wong, Joe Ho-Yeung; Fong, Tom - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014575236

Application of supervised machine learning techniques to forecast the COVID‑19 U.S. recession and stock market crash

Malladi, Rama K. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014546241

Benchmark analysis of machine learning methods to forecast the U.S. annual inflation rate during a high-decile inflation period

Malladi, Rama K. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015078028

Does swing pricing reduce investment funds' liquidity risk in times of market stress? : evidence from the March-2020 episode

Wu, Shui Tang; Wong, Joe Ho-Yeung; Fong, Tom - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014534799

The Statistical Limit of Arbitrage

Da, Rui; Nagel, Stefan; Xiu, Dacheng - 2024

We investigate the economic consequences of statistical learning for arbitrage pricing in a high-dimensional setting. Arbitrageurs learn about alphas from historical data. When alphas are weak and rare, estimation errors hinder arbitrageurs--even those employing optimal machine learning...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015094912

Quantitative risk and portfolio management : theory and practice

Winston, Kenneth - 2024

"A modern introduction to risk and portfolio management for advanced undergraduate and beginning graduate students who will become practitioners in the field of quantitative finance, including extensive live data and Python code which allow the application of theory to real-world situations."

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014380156

Computational reproducibility in finance : evidence from 1,000 tests

Pérignon, Christophe; Akmansoy, Olivier; Hurlin, Christophe - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015359488

Reading the candlesticks : an OK estimator for volatility

Li, Jia; Wang, Dishen; Zhang, Qiushi - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015046594

Financial econometrics, mathematics, statistics, and financial technology : an overall view

Lee, Cheng F. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015046651

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Financial econometrics, mathematics, statistics, and financial technology : an overall view

Lee, Cheng F. - 2020

Article

Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence

Blasques, Francisco; D'Innocenzo, Enzo; Koopman, Siem Jan - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012606023

Quantitative methods in economics and finance

2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012606042

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Quantitative methods in economics and finance

2021

Book / Working Paper

The interplay between board characteristics, financial performance, and risk management disclosure in the financial services sector: New empirical evidence from Europe

Noja, Gratiela Georgiana; Thalassinos, Eleftherios; … - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012611636

Testing the efficiency of globally listed private equity markets

Tegtmeier, Lars - 2021

This study is the first to investigate the efficient market hypothesis in its weak form and the random walk behaviour of globally listed private equity (LPE) markets represented by nine global, regional, and style indices based on weekly data covering the period from January 2004 to December...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012622817

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Testing the efficiency of globally listed private equity markets

Tegtmeier, Lars - 2021

Article

Who are the arbitrageurs? : empirical evidence from Bitcoin traders in the Mt. Gox exchange platform

Saggese, Pietro; Belmonte, Alessandro; Dimitri, Nicola; … - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013165396

Essays in financial econometrics

Bertelsen, Kristoffer Pons - 2021 - This version: November 9, 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013041226

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