… More specifically, we posit the following generic model: y j t = α j + ∑ k = 1 K β j k x j k t +
∑ g = 1 G γ g z g t + e j t , where j is the subscript identifying the bank and t indicates the time …

This paper revisits some recently found evidence in the literature on the cross-section of
stock returns for a carefully constructed dataset of euro area stocks. First, we confirm recent …

This paper evaluates the performance of the stop-loss, synthetic put and constant proportion
portfolio insurance techniques based on a block-bootstrap simulation. We consider not only …

The Nelson–Siegel model is widely used in practice for fitting the term structure of interest
rates. Due to the ease in linearizing the model, a grid search or an OLS approach using a fixed …

As highlighted by the recent market turmoil following COVID‐19, markets can experience
significant retracements or drawdowns. While these recent market moves have definitely been …

The purpose of this paper is to identify ex ante fund statistics that can be related to future
performance of European equity funds. In an efficient market setting, actively managed …

… D Y t = ∑ j = 1 L t − 1 w j t − 1 D jt ∑ j = 1 L t − 1 w j t − 1 P jt , where D jt stands for the dividend
paid out for stock j during period t. Depending on the choice of w j we compute an equally …

… The structural break analysis estimates a multiple linear regression model with M breaks of
the form y t = x t ′ β j + u t . β j is the coefficient estimate in each of the M + 1 subperiods, x t …

… is defined as:(3) JK i,j = μ ˆ i × σ ˆ j - μ ˆ j × σ ˆ i θ ˆ , where: θ ˆ = 1 T 2 σ ˆ i 2 σ ˆ j 2 - 2 σ ˆ i σ ˆ
j σ ˆ ij + 1 2 μ ˆ i 2 σ ˆ j 2 + 1 2 μ ˆ j 2 σ ˆ i 2 - μ ˆ i μ ˆ j 2 σ ˆ i σ ˆ j ( σ ˆ ij 2 + ρ ˆ ij 2 σ ˆ i 2 σ ˆ j 2 ) . …

We investigate the inflation-hedging properties of gold in Vietnam, reaching formidable
records in 1980s-1990s. Consistent with conventional belief, we find that gold provides a …