We develop a model to account for the long memory property in a bivariate count data framework. We propose a bivariate integer-valued fractional integrated (BINFIMA) model and apply the model to high frequency stock transaction data. The BINFIMA model allows for both positive and negative...

In this paper, we propose a model based on multivariate decomposition of multiplicative—absolute values and signs—components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional...

We propose an adjustment of standard regression-based factor attribution to address a common issue: implementation constraints often mean that investors cannot realize the full potential of a factor strategy, but standard attribution analysis assumes that they can – leaving part of the...

Asset pricing tests often replace ex ante return expectation with ex post realization. The large deviation between the two drastically weakens the power of these tests. This paper proposes to use analysts consensus price target for a stock as the market expectation of the stock's future price to...

This paper details efforts at developing and estimating a Vector Autoregressive (VAR) econometric model representative of the financial statements of a firm. Although the model can be generalized to represent the financial statements of any firm, this work was carried out as a case study, where...

Using filtering techniques, spectral analysis, and Markov chain models, I document trends and cycles of factors have significantly changed over the period to December 2000 compared to the period post-January 2001. The recent weaker performance of value in the 21st century, including the value...

The paper describes the specification, estimation, and testing of an unrestricted structural econometric model design to explain and forecast individual returns of securities listed on the Brazilian stock market. The model's explanatory variables include macroeconomic, fundamental and...

GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and US Head of Portfolio Construction Teams:Presentations To: JP Morgan Global Head of Quant...

GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...

We present a data-driven proof of concept model capable of reproducing expected counterparty credit exposures from market and trade data. The model has its greatest advantages in quick single-contract exposure evaluations that could be used in front office xVA solutions. The data was generated...