Similar Search Results

A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure

Blaskowitz, Oliver (contributor); … - 2008

The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic exante … forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither …

Persistent link: https://www.econbiz.de/10003770821

Empirical essays on cross-sectional asset pricing and institutional investors

Smajlbegovic, Esad - 2016

Persistent link: https://www.econbiz.de/10011525433

Assessing MiFID 2 Regulation on Tick Sizes : A Transaction Costs Analysis Viewpoint

Laruelle, Sophie - 2018

The new MiFID II regulation put in place in January 2018 has deeply modified the microstructure of European financial market. In particular, new tick size tables have been created, leading to tick size modifications for hundreds of assets. In this work, we investigate the relevance of this new...

Persistent link: https://www.econbiz.de/10012910433