A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility...

This article investigates the portfolio selection problem of an investor with three-moment preferences taking positions in commodity futures. To model the asset returns, we propose a conditional asymmetric t copula with skewed and fat-tailed marginal distributions, such that we can capture the...

The information contained in investor sentiment has up to now hardly been used for portfolio optimization, although theoretical works demonstrate that it should not be neglected and it has already been shown to contain exploitable information on future returns and volatility. Employing the...

Pairs trading is a technique that is widely used in the financial industry and its profitability has been constantly documented for various markets under different time periods. The two most commonly used methods in pairs trading are distance method and co-integration method. In this paper, we...

We construct a momentum factor that identifies cross-sectional winners and losers based on a weighting scheme that incorporates all the price data, over the entire lookback period, as opposed to only the first and last price points of the window. The weighting scheme is derived from the...

This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and Dash. A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann–Whitney U test) tests confirm the presence of price patterns...

This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and Dash. A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann-Whitney U test) tests confirm the presence of price patterns after...