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Outlier Identification Analysis of the General Administration Management Component of the Capital Expenditure of the Bangalore Municipal Corporation

A., Sathyavathi - 2023

In continuation of our previous study (A. Sathyavathi (2023). Analysis of the General Administration Management Expenditure of the Bangalore Municipal Corporation https://www.ssrn.com/abstract=4403863 ; http://dx.doi.org/10.2139/ssrn.4403863 ) we propose to further analyze the sample of the...

Persistent link: https://www.econbiz.de/10014354075

Analysis of the General Administration Management Expenditure of the Bangalore Municipal Corporation

A., Sathyavathi - 2023

In this very first paper of a series of forthcoming research papers of ours, which we propose to bring out in near future regarding the detailed statistical and mathematical analysis of the financial resources and the budget of the Bangalore Municipal Corporation (more appropriately now called...

Persistent link: https://www.econbiz.de/10014357920

The Effects of VIX Index, Exchange Rate & Oil Prices on the BIST 100 Index : A Quantile Regression Approach

Tekin, Bilgehan - 2020

The aim of this study is to investigate the effect of oil price, US Dollar rate and VIX on Borsa Istanbul by employing quantile regression model. In the literature, there are studies that examine the effect of the mentioned factors on stock market, but the number of studies in which these...

Persistent link: https://www.econbiz.de/10012854437

The Macroeconomy and the Cross-Section of International Equity Index Returns : A Machine Learning Approach

Popescu, Andreea Victoria - 2020

The paper evaluates the out-of-sample predictive potential of machine learning methods in the cross-section of international equity index returns using firm fundamentals and macroeconomic predictors. The relatively small number of equity indices in the cross-section compared to the multitude of...

Persistent link: https://www.econbiz.de/10012846997

Industry Distress and Default Recovery Rates : The Unconditional Quantile Regression Approach

Chuang, Hui-Ching - 2020

In this study, we estimate the effect of industry distress on recovery rates by using the unconditional quantile regression (UQR) proposed in Firpo, Fortin, and Lemieux (2009). The UQR provides better interpretative and thus policy-relevant information on the marginal effect of the covariates...

Persistent link: https://www.econbiz.de/10012847199

Defining Activeness : Active Share, Risk Share & Factor Share

Flint, Emlyn James - 2018

This paper tackles a core question of portfolio management: How ‘active' is an active portfolio? To answer this question holistically, we generalise the idea of Active Share by keeping the same calculation methodology but substituting in different types of portfolio and benchmark ‘weights'....

Persistent link: https://www.econbiz.de/10012931742

Machine Learning for Stock Selection

Rasekhschaffe, Keywan - 2019

Machine learning is an increasingly important and controversial topic in quantitative finance. A lively debate persists as to whether machine learning techniques can be practical investment tools. Although machine learning algorithms can uncover subtle, contextual and non-linear relationships,...

Persistent link: https://www.econbiz.de/10012893316

Measuring the Effectiveness of Volatility Auctions

Castro, Carlos - 2019

We propose a method for event studies based on synthetic portfolios that provides a robust data-driven approach to build a credible counterfactual. The method is used to evaluate the effectiveness of volatility auctions using intraday data from the Colombian Stock Exchange. The results indicate...

Persistent link: https://www.econbiz.de/10012897016

Sentiment Spillover Effects for US and European Companies

Audrino, Francesco - 2017

The fast-growing literature on the news and social media analysis provide empirical evidence that the financial markets are often driven by information rather than facts. However, the direct effects of sentiments on the returns are of main interest. In this paper, we propose to study the...

Persistent link: https://www.econbiz.de/10012957948

Testing for Stock Market Contagion : A Quantile Regression Approach

Park, Sungyong - 2015

Regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile … contagion test allows us to investigate the stock market contagion at various quantiles, not only at the mean. We show that the … quantile contagion test can detect a contagion effect that is possibly ignored by correlation-based tests. A wide range of …

Persistent link: https://www.econbiz.de/10013025474