An influential observation has the potential to render a model unsuitable for estimation with an OLS regression. This is well known in the statistics literature. However, the use of standard measures for detecting and managing influential observations is not common practice in empirical finance....

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...

A Self-Exciting Threshold AutoRegressive (SETAR) model is applied to the Italian stock market volatility, to obtain volatility forecasts and Value-at-Risk (VaR) estimates. There is almost nothing dealing with Italian markets in the literature of Threshold models, which have never been used for...

The method previously devised to harvest most of the potential gain in bull markets while avoiding most of the pain in bear markets is improved to provide greater accuracy and minimize whipsaw trading that can occur in some cases. The basic method focuses on a buy-the-market and hold strategy...

We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

This thesis consists of four self-contained papers related to banking, credit markets and financial stability. Paper [I] presents a credit market model and finds, using an agent based modeling approach, that credit crunches have a tendency to occur; even when credit markets are almost entirely...

A global survey of 203 E-commerce auditors was conducted to investigate the perceived determinants of expertise in E-commerce audits. We hypothesize and find evidence indicating that information technology and communication expertise are positively related to expertise in E-commerce audit...

This paper explores the sensitivity of plug-in based subset tests to instrument exclusion in linear IV regression. Recently, identification-robust statistics based on plug-in principle have been developed for testing hypotheses specified on subsets of the structural parameters. However, their...