The generalized asymmetric Laplace (GAL) distribution, also known as the variance/mean-gamma model, is a popular flexible class of distributions that can account for peakedness, skewness, and heavier than normal tails, often observed in financial or other empirical data. We consider extensions...

• It is not widely emphasized in the literature that derivatives are complex random quantities which should, by custom, be characterized by their probability density functions. • It is understood that Black-Scholes style of derivatives pricing represents an expected value, i.e. the...

We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the JSE. Under the assumption of general...

When searching the Finnish Liiga website for statistics, I discovered an interesting statistic called Corsi%-C. It is defined as “...when the score is within a goal in the first two periods and tied in the third period”. (liiga, 2021) Essentially, this is an enhanced version of Corsi for...

We use a unique dataset of bond downgrades from a niche rating company that has been found to be reacting faster to publicly available information than its competitors. Using regime-switching models we propose risk measures to quantify stock return disturbances (distress costs) associated with...

Like any new product, private label entry increases competition within a category leading to downward pressure on both wholesale and retail prices. But, given the higher margins for private labels and potential bargaining benefits for retailers, they have incentives to help private labels gain...

This study compares a broad range of risk models for managing multi-asset portfolios. The investment universe is extended to a range of systematic strategies with varying risk and return profiles. Focusing on risk parity portfolios, it is shown that considering tail risks can successfully reduce...

Evaluating goalie performance in hockey is a difficult and time consuming pro- cess. However, with the introduction of advanced statistics, this process has become clear. This report combines advanced hockey analytics and statistical analysis to predict the Goals Above Replacement and Support...

This study attempts to discover and analyze the predictive power of stock messages, posting on financial message boards, on future stock price directional movements. We construct a set of robust models based on sentiment analysis and data mining algorithms. Our dataset consist of 447,393...