Absence of arbitrage conditions impose important restrictions on the dynamics of bond and exchange rate returns. It can be shown that the exchange rate serves to convert prices of international undiversifiable risks from one currency to another. Put differently, arbitrage ensures that risk...

This paper assesses the effects of monetary unification in Europe on the pricing behavior in financial markets and more in particular on excess returns. We use the standard IAPT framework to analyze the role of the exchange rate in separating excess return pricing accross European countries. We...

Mutual funds often inform directly about their strategy in their name. This paper studies the accuracy of mutual fund names. Constructing a fund name history data set based on SEC filings and applying unsupervised machine learning techniques, we document that a significant fraction of mutual...

The COAALA copula allows to analyse financial market stability by studying co-movement between stocks and government bonds using information on both the global and the four local tail dependence measures (i.e. dependence between severe movements). Such encompassing view on stock-bond co-movement...

Providing risk-sharing benefits to risk-averse policy holders is a primary function of insurance companies. We model that policy holders are paying a fee over the present value of indemnifications (i.e., technical provisions) to enjoy these risk-sharing benefits. Although the traditional...

This paper explores the determinants of U.S. stock-bond correlations estimated at various frequencies. For this purpose, the two-component DCC-MIDAS model of correlation Colacito, Engle & Ghysels (2011) is used and extended to incorporate a third correlation frequency component. Subsequently,...

In this paper we study the investment dynamics employed by hedge fund managers. Using daily data for nine investable hedge fund strategies, we use a rolling-over regression technique, which allows us to capture the time-variability present in the different strategies of hedge fund managers. The...