Two investment anomalies in aggregate home-production models are investigated: excess volatility and comovement. Adjustment cost in capital accumulation reduces both volatility and the negative correlation in investments on capital goods in the market and at home. Investments comove to the...

Subsistence farmers in low income countries are confronted with multiple risks. Hence, small scale farmers have developed several strategies to cope with weather related risks in order to self-insure against weather risks. Recent developments on global food markets have increased food price...

This note explores machine learning based modelling approach over classical quantitative methods with a focus on modelling realized volatility of asset price over time. Initially, a few modelling assumptions of classical quantitative finance are examined using recent market data. Daily stock...