We propose new methods for estimating the bid-ask spread from observed transaction prices alone. Our methods are based on the empirical characteristic function instead of the sample autocovariance function like the method of Roll (1984). As in Roll (1984), we have a closed form expression for...

We develop and apply a new methodology in order to study the transmission mechanisms of international macroeconomic and financial shocks in the context of emerging markets. We propose a time-varying multi level factor augmented global VAR model which combines aspects of factor analysis and GVAR...

Comprehensive global cooperation is essential to limit global temperature increases while continuing economic development, e.g., reducing severe inequality or achieving long-term economic growth. Achieving long-term cooperation on climate change mitigation with n strategic agents poses a complex...

In this paper we measure the systemic risk in a set of large international banks. We first measure the contribution of a financial institution to international systemic risk. Importantly, we show the existence of an asymmetric non-linear contribution of banks to systemic risk depending on...

This paper proposes a novel approach to uncover the linkages of the housing market and macroeconomy for fifteen OECD countries. One of the limitations of conventional approach is that it does not distinguish the time domain from the frequency domain. However, econometric and economic rationale...

In today's turbulent marketplace with unprecedented portfolio turnover, transition activity and drawdowns, one must identify and eliminate all sources of Sharpe ratio erosion. In this environment, trading costs and risks are significant contributors to this performance drag and avoiding them is...

In this paper, we analyse the effects of a shock to global financial uncertainty and risk aversion on real economic activity. To this end, we extract a global factor, which explains approximately 40% of the variance of about 1000 risky asset returns from around the world. We then study how...

Since the beginning of the decade, flows to institutional and retail products in the international small cap space have grown at a faster clip than flows to international large caps.The reasons for this are fairly obvious - greater alpha generating opportunities and higher diversification...

This paper employs the ZCAPM asset pricing model of Liu, Kolari, and Huang (2018) to show that momentum returns are highly related to market risk arising from return dispersion (RD). Cross-sectional tests show that momentum risk loadings and RD risk loadings are similarly priced in momentum...

In this paper, we investigate the presence of non-linearities in the transmission of geopolitical risk (GPR) shocks. Our methodology involves incorporating a non-linear function of the identified shock into a VARX model and examining its impulse response functions and historical decomposition....