The predictability of a high-dimensional time series model in forecasting with large information sets depends not only on the stability of parameters but also depends heavily on the active covariates in the model. Since the true empirical environment can change as time goes by, the variables...

After more than a decade of existence, crypto-currencies may now be considered an important class of assets presenting some unique appealing characteristics but also sharing some features with real financial assets. This paper provides a comprehensive statistical analysis of the six most...

Using more than two years of daily interest rate cap price data, this paper provides a systematic documentation of a volatility smile in cap prices. We find that Black (1976) implied volatilities exhibit an asymmetric smile (sometimes called a sneer) with a stronger skew for in-the-money caps...

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...

The predictability of a high-dimensional time series model in forecasting with large information sets depends not only on the stability of parameters but also depends heavily on the active covariates in the model. Since the true empirical environment can change as time goes by, the variables...

After more than a decade of existence, crypto-currencies may now be considered an important class of assets presenting some unique appealing characteristics but also sharing some features with real financial assets. This paper provides a comprehensive statistical analysis of the six most...

In this study, we aim to build better risk models for energy commodities by employing statistical procedures to identify outliers in the prices for all crude oil and natural gas futures contracts traded on the CME over the period of December 2003 through March 2017. Our results show that it is...

In the paper we introduce an empirical approximation of the log-optimal investment strategy that guarantees an almost optimal growth rate of investments. The proposed strategy also considers the effects of portfolio rearrangement costs on growth optimality and advises a suboptimal portfolio for...

Regulators in the U.S. and Europe have called for quantitative risk retention requirements to address some of the shortcomings of securitized products, which contributed to the credit crisis but remain an integral component of financial markets. The paper explores the conflicts in the...

This research paper tries to detect the nonlinearity and chaos structure in the South East Asia Countries Capital Markets. The capital markets of three South East Asia Countries are chosen: Indonesia, Philippine, and Singapore. Daily return data of Capital Markets composite indices are observed:...