According to IFRS 9, an Entity shall assess – by performing a quantitative assessment – the relevance of the modification of the time value of money element, i.e. the modification of the interest that can be observed, e.g. in all the instruments whose underlying interest rate tenors are...

This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...

By assuming that short-run returns are independent and identically distributed, it is straightforward to extrapolate short-run risks to longer horizons. However, by generalizing the variance-ratio test to include higher co-moments, we establish a significant and sizable intertemporal dependency...

Bitcoin is a decentralised cryptographic virtual currency scheme based on a peer-to-peer network that has attracted substantial number of users in recent years. In this paper, we investigate reasons behind its success and explosive behaviour in its exchange rates in 2013-14. We debate whether...

We provide an entropy approach for measuring asymmetric comovement between the return on a single asset and the market return. This approach yields a model-free test for stock return asymmetry, generalizing the correlation-based test proposed by Hong, Tu, and Zhou (2007). Based on this test, we...

Tail risk refers to the possibility that a rare event would adversely affect the value of a portfolio in a significant manner. It became much more relevant due to recent periods of strong market turbulence.We describe how to quantify such risk, which tail risk protection strategies were...

This study proposes a multivariate test for linear factor asset pricing models when the number of assets, N, is larger than the time dimension of returns, T. We extend the exact test proposed by Gibbons et al. (1989) to obtain a nonsingular covariance matrix with fewer estimation errors in the...

This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...