This paper proposes a model for discrete-time hedging based on continuous-time movements in portfolio and foreign currency exchange rate returns. In particular, the vector of optimal currency exposures is shown to be given by the negative realized regression coefficients from a one-period...

The impact of Bitcoin futures introduction on the underlying Bitcoin volatility has been a controversial topic. Conflicting results had been obtained with different sample periods and methodologies. To address this debate, this study examines the impacts of Bitcoin futures trading on spot market...

We develop a new method that detects jumps nonparametrically in financial time series and significantly outperforms the current benchmark on simulated data. We use a long short- term memory (LSTM) neural network that is trained on labelled data generated by a process that experiences both jumps...

We investigate for the first time the spot rate dynamics for Very Large Gas Carriers (VLGCs) by means of multrifractal detrended fluctuation analysis (MF-DFA) and rescaled range (R/S) analysis. Both methods allow for a rigorous statistical analysis of the freight process by detecting...

A reflection on the lackluster growth over the decade since the Global Financial Crisis has renewed interest in preventative measures for a long-standing problem. Advances in machine learning algorithms during this period present promising forecasting solutions. In this context, the paper...

Following the 2007-2009 global recession, economic policy uncertainty and its effect on economic recovery has become an issue of interest in academic, media as well as policy-making circles (Baker et al., 2013). Given this backdrop, we investigate causality between economic policy uncertainty in...

This paper investigates the performance and efficiency of the public sector in 74 countries worldwide for the years 1985, 1990, 1995 and 2000. Similar to what is done in Afonso / Schuhknecht / Tanzi (2005, Public Choice), I calculate performance measures for various fields of government policy,...

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...

In 2007 and 2008 world food markets observed a significant price boom. Crop failures simultaneously occurring in some of the world's major production regions have been quoted as one factor among others for the price boom. Against this background, we analyse the stochasticity of crop yields in...

There is increasing demand for models of time-varying and non-Gaussian dependencies for mul- tivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical...