Granger-causality measures of interconnectedness between financial institutions are useful indicators of systemic risk (Billio et al., 2012) [Journal of Financial Economics], as they help in evaluating how far the distress of one institution is disseminated across the whole of the financial...

While traditional predictive regressions for stock returns using financial ratios are empirically proven to be valuable at long-term horizons, evidence of predictability at few-month horizons is still weak. In this paper, based on the empirical regularity of a typical dynamic of stock returns...

The global minimum variance portfolio computed using the sample covariance matrix is known to be negatively affected by parameter uncertainty, an important component of model risk. Using a robust approach, we introduce a portfolio rule for investors who wish to invest in the global minimum...