A key challenge for Bitcoin cryptocurrency holders, such as startups using ICOs to raise funding, is managing their FX risk. Specifically, a misinformed decision to convert Bitcoin to fiat currency could, by itself, cost USD millions. In contrast to financial exchanges, blockchain based...

In this chapter we propose a dynamic model, it brings together the major macroeconomic variables, which impact the price index of the Mexican Stock Exchange (IPC). The daily variations of this index are an indicator of how private agents perceive the economic environment. The relevance of the...

Empirical research on the benefits of investing in inflation-linked bonds usually relies on a limited number of observations due to the relatively recent introduction of these assets. We estimate models for the break-even inflation rate and use these to create hypothetical inflation-linked bond...

Investors take for granted that returns are recorded in units of time, such as days, months, or years. Yet some time periods include unusual events that reasonably cause asset prices to change, whereas other periods are relatively free of unusual events, in which case returns mostly reflect...

The present study investigates the integration of environmental, social, and gover-nance (ESG) scores constructed from company misconduct and incident data intothe systematic investment process for equities. These ESG scores are used to set upvarious ESG investment strategies: From best-in-class...

A long criticism on the usefulness of the traditional CAPM model has been raised in the vast literature of arbitrage pricing models that propose several risk factors on firm fundamentals or investigate the stochastic properties of stock returns' distributions, (Fama and French (2004)). However,...

The Black Litterman (BL) model for portfolio optimization combines investors' expectations with the Markowitz framework. The BL model is designed for investors with private information or with knowledge of market behavior. In this paper I propose a method where investors' expectations are based...

Assessing dependence within extreme co-movements of financial instruments has been of much interest in risk management. Typically, indices of tail dependence are used to quantify the strength of such dependence, although many of the indices that we find in the literature underreport the strength...

This paper provides a simple way to obtain an option-implied asset volatility surface. The proposed estimation technique allows to estimate the unobservable asset volatility surface in the same fashion of what is done when equity volatility is extracted from options. Given a sample of 66 US...

The R package for maximum entropy bootstrap (meboot) is widely used for numerous applications involving statistical inference for time series data without having to do differencing or de-trending. We report some simulations confirming its effectiveness. It has been used for simulating time...