The determination of leading indicators of stock market returns is of interest to both practitioners and academics. This paper analyses the validity of the recent macroeconomic factors indicated in the literature as providing a reliable indication of Australian stock market returns and concludes...

This paper uses a systems-based analysis across 137 countries over the period 2002~2017 to identify if there are macroeconomic characteristics that discern low, middle- and high-income countries and countries ranked by GDP per capita quartiles. The analysis identifies defining characteristics...

This article compares two asymmetric Gaussian likelihood models and their corresponding estimators. Recently, there has been confusion in the literature regarding these models and: (1) whether they are the same, or (2) whether both of them can be used to estimate expectiles. After the...

We prove that the assertion of Genest (2020) is incorrect and irrelevant. First, there is no claim (in the paper he is referring to) regarding the dependence of the non-arbitrary constant. That paper did not make any claim that would justify the emergence of Genest (2020). Furthermore, these are...

The Treasury lock is a common pre-hedging derivative strategy the Street offers to their corporate clients. We provide a justification of the common practice of booking a short position in the Treasury lock as a forward contract on the underlying benchmark and a short position in the...

This paper provides an empirical overview of the largely unexplored public blockchain ecosystem. Our overview highlights that only a few blockchains dominate the ecosystem although no single blockchain, not even Bitcoin, dominates uniformly. We explain our empirical findings with a simple...

We show that, in practice, the standard unit root tests, cointegration tests, and similar tests are unreliable. This conclusion is more generally applicable to other regression-based tests. In particular, these tests attempt to solve a problem by creating another problem

We introduce a three-factor model of electricity spot prices, consisting of a deterministic seasonality and trend function as well as short- and long-term stochastic components, and derive a formula for futures prices. The long-term component is modelled as a Lévy process with increments...

The entry into force of the Solvency II regulatory regime is pushing insurance companies in engaging into market consistence evaluation of their balance sheet, including the financial options and guarantees embedded in life with-profit funds. The robustness of these valuations is crucial for...

This paper extends Jiang, et al. (2010), Guo, et al. (2017), and others by investigating the impact of background risk on an investor's portfolio choice in the mean-VaR, mean-CVaR and mean-variance framework, and analyzes the characterizations of the mean-variance boundary and mean-VaR efficient...