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Stock market return predictability : does network topology matter?
Eng-Uthaiwat, Harnchai - In: Review of quantitative finance and accounting 51 (2018) 2, pp. 433-460
Persistent link: https://www.econbiz.de/10012037125
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Bayesian nonparametric measurement of factor betas and clustering with application to hedge fund returns
Garay, Urbi; Horst, Enrique ter; Molina, German; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-23
We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a … nonparametric form, which circumvents the problem of model risk and parametric assumptions that the Kalman filter and other widely …
Persistent link: https://www.econbiz.de/10011505836
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Hedge fund return, volatility asymmetry, and systemic effects : a higher-moment factor-EGARCH model
Elyasiani, Elyas; Mansur, Iqbal - In: Journal of financial stability 28 (2017), pp. 49-65
Persistent link: https://www.econbiz.de/10011825507
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Returns to networking in academia
Faria, João Ricardo; Goel, Rajeev K. - In: Netnomics 11 (2010) 2, pp. 103-117
Persistent link: https://www.econbiz.de/10009155579
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Financial contagion on the international trade network
Kali, Raja; Reyes, Javier - In: Economic inquiry : journal of the Western Economic … 48 (2010) 4, pp. 1072-1101
Persistent link: https://www.econbiz.de/10008760526
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Institutional Investors and Hedge Fund Activism
Kedia, Simi - 2020
Hedge fund activists have ambiguous relationships with the institutional shareholders in their target firms. While some support their activities, others counter their actions. Due to their relatively small holdings in target firms, the activists typically need the cooperation of other...
Persistent link: https://www.econbiz.de/10012838812
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High-frequency return and volatility spillovers among cryptocurrencies
Sensoy, Ahmet; Silva, Thiago Christiano; Corbet, Shaen; … - In: Applied economics 53 (2021) 37, pp. 4310-4328
Persistent link: https://www.econbiz.de/10012609755
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Dynamic patterns of daily lead-lag networks in stock markets
Li, Yongli; Liu, Chao; Wang, Tianchen; Sun, Baiqing - In: Quantitative finance 21 (2021) 12, pp. 2055-2068
Persistent link: https://www.econbiz.de/10012696814
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Networks of news and cross-sectional returns
Hu, Junjie; Härdle, Wolfgang - 2021 - This draft: October 2021
network attention proxy, network degree, provides a robust and significant cross-sectional predictability of the monthly stock …
Persistent link: https://www.econbiz.de/10012697603
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Can network structure predict cross-sectional stock returns? : Evidence from co-attention networks in China
Chen, Xi; Shangguan, Wuyue; Liu, Yanchu; Wang, Shichao - In: Finance research letters 38 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012485397