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Asset Pricing and Deep Learning
Zhang, Chen - 2022
the importance of domain knowledge and financial theory when designing deep learning models. I also show return prediction …
Persistent link: https://www.econbiz.de/10014236793
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Expected Returns and Large Language Models
Jiang, Jingwen; Kelly, Bryan T.; Xiu, Dacheng - 2023
We extract contextualized representations of news text to predict returns using the state-of-the-art large language models in natural language processing. Unlike the traditional bag-of-words approach, the contextualized representation captures both the syntax and semantics of text, thus...
Persistent link: https://www.econbiz.de/10014351081
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Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance...
Persistent link: https://www.econbiz.de/10010411945
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Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance...
Persistent link: https://www.econbiz.de/10010412428
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A global perspective of market reaction to environmental quality : evidence from dynamic panel approach
Yahya, Farzan; Huy Pham; Waqas, Muhammad - In: International journal of green economics : IJGE 14 (2020) 4, pp. 366-385
Persistent link: https://www.econbiz.de/10012510879
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Is the effect of Indian energy price shocks asymmetric on the stock market at the firm level? : a panel SVAR approach
Aruna, Bhagavatula; Acharya, Rajesh H. - In: Economics and policy of energy and the environment 62 (2020) 1, pp. 191-211
Persistent link: https://www.econbiz.de/10012649738
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Higher moment exchange rate exposure of S&P500 firms
Bianconi, Marcelo; Cai, Zhe - In: The North American journal of economics and finance : a … 42 (2017), pp. 513-530
Persistent link: https://www.econbiz.de/10011938192
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Is it beneficial to be included in a sustainability stock index? : a panel data study for European firms
Ziegler, Andreas - 2009
, namely the Dow Jones Sustainability World Index (DJSI World), on corporate financial performance. On the basis of panel data … assets and even insignificant for Tobin’s Q in the flexible panel data models that include unobserved firm heterogeneity …. Therefore, we conclude that the application of misspecified panel data approaches, similar to cross-sectional models, can lead …
Persistent link: https://www.econbiz.de/10008746683
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The effect of fragmentation in trading on market quality in the UK equity market
Körber, Lena; Linton, Oliver; Vogt, Michael - 2013
volatility, liquidity and volume. We use panel regression methods on a weekly dataset following the FTSE350 stocks over the …
Persistent link: https://www.econbiz.de/10009784711
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Is it Beneficial to Be Included in a Sustainability Stock Index? A Panel Data Study for European Firms
Ziegler, Andreas - 2014
, namely the Dow Jones Sustainability World Index (DJSI World), on corporate financial performance. On the basis of panel data … assets and even insignificant for Tobin's Q in the flexible panel data models that include unobserved firm heterogeneity …. Therefore, we conclude that the application of misspecified panel data approaches, similar to cross-sectional models, can lead …
Persistent link: https://www.econbiz.de/10013070646