This study investigates the asymmetric relationship between global and national factors and domestic food prices in Turkey, considering the recent rapid and continuous increase in domestic food prices. In this context, six global and three national explanatory variables were included, and...

We investigate the direct connection between the uncertainty related to estimated stable ratios of stock prices and risk and return of two pairs trading strategies: a conditional statistical arbitrage method and an implicit arbitrage one. A simulation-based Bayesian procedure is introduced for...

Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible....

This paper analyzes market integration among long term government bonds in the Eurozone since the inception of the Euro in 1999. While it is commonly assumed that markets for EMU government bonds were closely integrated prior to the EMU debt crisis, we find that there is significant time...

In this paper we consider two cases of pairs trading strategies: a conditional statistical arbitrage method and an implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a cointegration model, of pairs of stock prices. We show...

We investigate the behavior of daily aggregate U.S. CDS spreads during almost six years. Existing linkages between credit and equity markets advocate the use of market price and volatility channels as explanatory factors. In particular, the evolution of CDS spreads is analyzed along with the...

There has been considerable advance in understanding the properties of sparse regularization procedures in high-dimensional models. In time series context, it is mostly restricted to Gaussian autoregressions or mixing sequences. We study oracle properties of LASSO estimation of weakly sparse...

The possibility to measure the relative contribution of agents and exchanges to the price formation process in high-frequency financial markets acquired increasingly importance in the financial econometric literature. In this paper I propose to adopt fully data-driven approaches to identify...