We perform an extensive and robust study of the performance of three different pairs trading
strategies—the distance, cointegration and copula methods—on the entire US equity market …

… constituent indices are higher (lower) when returns are … lower-tail dependence across
equity returns is accommodated but not imposed. By focusing on managing the scenario of lower-…

Asymmetric dependence in equities markets has been shown to have detrimental effects on
portfolio diversification as assets within the portfolio exhibit greater correlations during …

We examine the inclusion of ESG variables, with commonly used financial variables into
multi-class corporate credit rating prediction. Using random forests and extremely randomized …

Why do mean–variance (MV) models perform so poorly? In searching for an answer to this
question, we estimate expected returns by sampling from a multivariate probability model that …

… metals generally have lower standard deviation than … having the highest maximum and
lowest minimum. A closer look … gold on weekends are significantly lower than on weekdays. The …

Regulators need a method that is versatile, is easy to use and can handle complex path
models with latent (not directly observable) variables. In a first application of partial least …

We evaluate the extent to which sell-side equity analysts can facilitate market efficiency
when there is increasing uncertainty about a stock's future value. The prevalence of the 52-week-…

The commodity pricing literature advocates the design of long-short portfolios based on equal
weights. Relaxing the assumption of naive diversification, this article studies the benefits of …

We perform an empirical evaluation of fourteen multinomial classifiers in the prediction of
credit ratings on a large dataset consisting of macroeconomic, firm-level financial, and …