30
H index
37
i10 index
4911
Citations
University of California-Irvine | 30 H index 37 i10 index 4911 Citations RESEARCH PRODUCTION: 50 Articles 18 Papers 2 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Philippe Jorion. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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NBER Working Papers / National Bureau of Economic Research, Inc | 7 |
Yale School of Management Working Papers / Yale School of Management | 5 |
Yale School of Management Working Papers / Yale School of Management | 2 |
Year | Title of citing document | |
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2024 | Impact of the total expenditure shocks on food security: VAR model. (2024). Al-Mahish, Mohammed ; Elzaki, Raga M ; Alkunain, Batool. In: Agricultural and Resource Economics: International Scientific E-Journal. RePEc:ags:areint:355971. Full description at Econpapers || Download paper | |
2024 | Analysis of the Sensitivity of the Corporations Market Activity Indicators with a Neutral Approach to the Dividend Policy. (2024). Krylov, Sergey I. In: Journal of Applied Economic Research. RePEc:aiy:jnjaer:v:23:y:2024:i:1:p:180-205. Full description at Econpapers || Download paper | |
2024 | Geometric insights into robust portfolio construction. (2024). Gebbie, Tim ; Dalmeyer, Lara. In: Papers. RePEc:arx:papers:2107.06194. Full description at Econpapers || Download paper | |
2024 | Keep it Tighter -- A Story on Analytical Mean Embeddings. (2024). Szab, Zolt'An ; Chamakh, Linda. In: Papers. RePEc:arx:papers:2110.09516. Full description at Econpapers || Download paper | |
2024 | Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility. (2024). Xu, Wei ; Horst, Ulrich ; Zhang, Rouyi. In: Papers. RePEc:arx:papers:2312.08784. Full description at Econpapers || Download paper | |
2024 | Functional Limit Theorems for Hawkes Processes. (2024). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2401.11495. Full description at Econpapers || Download paper | |
2024 | Covariance Matrix Analysis for Optimal Portfolio Selection. (2024). Shen, Lim Hao. In: Papers. RePEc:arx:papers:2407.08748. Full description at Econpapers || Download paper | |
2024 | Investment strategies based on forecasts are (almost) useless. (2024). Weba, Michael. In: Papers. RePEc:arx:papers:2408.01772. Full description at Econpapers || Download paper | |
2024 | Anatomy of Machines for Markowitz: Decision-Focused Learning for Mean-Variance Portfolio Optimization. (2024). Lee, Yongjae ; Tae, Inwoo. In: Papers. RePEc:arx:papers:2409.09684. Full description at Econpapers || Download paper | |
2024 | Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates. (2024). Meissner, Gunter A ; Ter-Avanesov, Boris. In: Papers. RePEc:arx:papers:2411.16617. Full description at Econpapers || Download paper | |
2024 | Mean--Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study. (2024). Yu, Xun ; Jia, Yanwei ; Huang, Yilie. In: Papers. RePEc:arx:papers:2412.16175. Full description at Econpapers || Download paper | |
2025 | Assessment of Portfolio Credit Risk under Dynamic Default Correlation. (2025). Matveev, Aleksandr. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:84:y:2025:i:1:p:129-142. Full description at Econpapers || Download paper | |
2024 | The market risk premium in Australia: Forward‐looking evidence from the options market. (2024). Svec, Jiri ; Aspris, Angelo ; Flezvias, Ester ; Foley, Sean ; Malloch, Hamish. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:4:p:3951-3972. Full description at Econpapers || Download paper | |
2024 | Is research on hedge fund performance published selectively? A quantitative survey. (2024). Novak, Jiri ; Irsova, Zuzana ; Havranek, Tomas ; Yang, Fan. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:4:p:1085-1131. Full description at Econpapers || Download paper | |
2024 | Currency Management by International Fixed‐Income Mutual Funds. (2024). Sialm, Clemens ; Zhu, Qifei. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:6:p:4037-4081. Full description at Econpapers || Download paper | |
2024 | Corporate cash holdings and industry risk. (2024). Lee, Jinsook. In: Journal of Financial Research. RePEc:bla:jfnres:v:47:y:2024:i:2:p:435-470. Full description at Econpapers || Download paper | |
2024 | Exchange Rates and Sovereign Risk: A Nonlinear Approach Based on Local Gaussian Correlations. (2024). Mahadeo, Scott ; Heinlein, Reinhold ; Legrenzi, Gabriella D. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11019. Full description at Econpapers || Download paper | |
2024 | Living La Vida Loca? Remote Investing in Latin America, 1869-1929. (2024). Grossman, Richard ; Gallagher, Ine ; Campbell, Gareth. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11562. Full description at Econpapers || Download paper | |
2024 | Portfolio management with big data. (2024). Sentana, Enrique ; Pearanda, Francisco. In: Working Papers. RePEc:cmf:wpaper:wp2024_2411. Full description at Econpapers || Download paper | |
2024 | Determinants of Financial Hedging Strategies among Commodity Producer Firms in Latin America. (2024). Giraldo, Iader ; Sanchez, Juan Camilo ; Huertas, Cristian. In: Documentos de trabajo. RePEc:col:000566:021196. Full description at Econpapers || Download paper | |
2024 | Factor investing and asset allocation strategies: a comparison of factor versus sector optimization. (2024). Wolff, Dominik ; Taushanov, Georgi ; Bessler, Wolfgang. In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). RePEc:dar:wpaper:149873. Full description at Econpapers || Download paper | |
2025 | Imports, Exports, and the Currency Composition of Corporate Debt. (2025). Kwon, Ohyun ; Jiao, Yang. In: Working Papers. RePEc:drx:wpaper:202518. Full description at Econpapers || Download paper | |
2024 | Customer concentration and shareholder litigation risk: Evidence from a quasi-natural experiment. (2024). Lee, Sang Mook ; Jiraporn, Pornsit ; Chatjuthamard, Pattanaporn ; Wongsinhirun, Nopparat. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s221463502300076x. Full description at Econpapers || Download paper | |
2024 | Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Diaz, Antonio ; Escribano, Ana. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029. Full description at Econpapers || Download paper | |
2024 | How does currency risk impact firms? New evidence from bank loan contracts. (2024). Bergbrant, Mikael C ; Hunter, Delroy M ; Francis, Bill B. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s092911992400004x. Full description at Econpapers || Download paper | |
2024 | Credit risk contagion in complex companies network–Empirical research based on listed agricultural companies. (2024). Zhang, Wanjuan ; Wang, Jing. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:938-953. Full description at Econpapers || Download paper | |
2024 | Benefits of diversification in EU capital markets: Evidence from stock portfolios. (2024). Gossé, Jean-Baptiste ; Gosse, Jean-Baptiste ; Jehle, Camille. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000816. Full description at Econpapers || Download paper | |
2024 | Copper-to-gold ratio as a leading indicator for the 10-Year Treasury yield. (2024). Parnes, Dror. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001390. Full description at Econpapers || Download paper | |
2024 | Quanto fund protection using partial lookback participation. (2024). Lee, Minha ; Ha, Hongjun ; Kim, Eunchae. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001116. Full description at Econpapers || Download paper | |
2024 | Computational dynamics of information ratios. (2024). Marohn, Marcel ; Auer, Benjamin R. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000946. Full description at Econpapers || Download paper | |
2024 | An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile. (2024). Herrera, Rodrigo ; Candia, Claudio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000239. Full description at Econpapers || Download paper | |
2024 | Time-varying jump intensity and volatility forecasting of crude oil returns. (2024). Chen, Yan ; Zhang, Lei ; Bouri, Elie. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s014098832300734x. Full description at Econpapers || Download paper | |
2024 | The contagion effect of overconfidence in business group. (2024). Niu, Siqian ; Gao, Peng ; Vochozka, Marek. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005057. Full description at Econpapers || Download paper | |
2024 | Sector-specific calendar anomalies in the US equity market. (2024). Valadkhani, Abbas ; O'Mahony, Barry. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002795. Full description at Econpapers || Download paper | |
2024 | A universal exponent governing foreign exchange rate risks. (2024). Grobys, Klaus. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003545. Full description at Econpapers || Download paper | |
2024 | The impact of COVID-19 on global financial markets: A multiscale volatility spillover analysis. (2024). Hong, Yongmiao ; Cheng, Zishu ; Wei, Yunjie ; Wang, Shouyang ; Cui, Ruhong ; Li, Mingchen. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003867. Full description at Econpapers || Download paper | |
2024 | How technological innovation influence operational risk: Evidence from banks in China. (2024). Zhang, Yongjie ; Feng, XU ; Xiong, Xiong ; Hu, Mingya. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924004125. Full description at Econpapers || Download paper | |
2024 | The dark side of well-connected directors: Evidence from private firm acquisitions. (2024). Lin, Chih-Yung ; Tsao, Kuang-Chih ; Chung, Huimin ; Bui, Dien Giau. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s105752192400615x. Full description at Econpapers || Download paper | |
2024 | Social media attention and retail investor behavior: Evidence from r/wallstreetbets. (2024). Warkulat, Sonja ; Pelster, Matthias. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006537. Full description at Econpapers || Download paper | |
2024 | Does peer firms debt default have positive externalities: The investment efficiency perspective. (2024). Song, Yuhang ; Jin, Long ; Pan, Changchun. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011595. Full description at Econpapers || Download paper | |
2024 | Investor traps: Funds launched during booms. (2024). Liu, Xinxin ; Xu, Quanyi ; Qin, Qirui. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000746. Full description at Econpapers || Download paper | |
2024 | Risk transmission, systemic fragility of banks’ interacting customers and credit worthiness assessment. (2024). Storani, Saverio ; Cerqueti, Roy ; Pampurini, Francesca ; Quaranta, Anna Grazia. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000916. Full description at Econpapers || Download paper | |
2024 | Constructing Bayesian tangency portfolios under short-selling restrictions. (2024). Niklasson, Vilhelm ; Bodnar, Taras. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000953. Full description at Econpapers || Download paper | |
2024 | US dollar and oil market uncertainty: New evidence from explainable machine learning. (2024). Kocaarslan, Baris. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004057. Full description at Econpapers || Download paper | |
2024 | Shrinkage and thresholding approaches for expected utility portfolios: An analysis in terms of predictive ability. (2024). Dutta, Sumanjay ; Jain, Shashi. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004562. Full description at Econpapers || Download paper | |
2024 | Geopolitical risk and the dynamics of REITs returns. (2024). Desfleurs, Aurelie ; Coen, Alain. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004677. Full description at Econpapers || Download paper | |
2024 | Over-hedging in the shadow of weaker litigation threat. (2024). Freund, Steven ; Luu, Nguyen H ; Nguyen, Hien T ; Phan, Hieu V. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324011516. Full description at Econpapers || Download paper | |
2024 | The dynamic effects of debtor bankruptcy on unsecured creditors stock liquidity. (2024). Pham, Thu Phuong ; Zurbruegg, Ralf ; Tran, Ngoc Anh ; Nguyen, Dinh Trung. In: Journal of Financial Stability. RePEc:eee:finsta:v:74:y:2024:i:c:s1572308924001074. Full description at Econpapers || Download paper | |
2024 | Stabilizing global foreign exchange markets in the time of COVID-19: The role of vaccinations. (2024). Li, Xiao-Ming ; Thanh, Thao Thac ; Pham, Son Duy. In: Global Finance Journal. RePEc:eee:glofin:v:59:y:2024:i:c:s1044028323001187. Full description at Econpapers || Download paper | |
2024 | Does national culture influence malfeasance in banks around the world?. (2024). Conlon, Thomas ; Huan, Xing ; Muckley, Cal B. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001567. Full description at Econpapers || Download paper | |
2024 | Default dependence in the insurance and banking sectors: A copula approach. (2024). Zhao, Yang ; Zhang, Xuan ; Kim, Minjoo ; Yan, Cheng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001798. Full description at Econpapers || Download paper | |
2024 | Green bond issuance and credit risk: International evidence. (2024). Shen, Long ; Ballester, Laura ; Gonzalez-Urteaga, Ana. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:94:y:2024:i:c:s1042443124000799. Full description at Econpapers || Download paper | |
2024 | International crash risk premium. (2024). Chen, Steven Shu-Hsiu. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:94:y:2024:i:c:s1042443124000805. Full description at Econpapers || Download paper | |
2024 | The Shock of US-China trade war and the job Market: Downstream shrinkage and upstream employment. (2024). Kong, Dongmin ; Ye, Yongwei ; Yang, Wei ; Tao, Yunqing. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:96:y:2024:i:c:s1042443124001239. Full description at Econpapers || Download paper | |
2024 | Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility. (2024). Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1275-1301. Full description at Econpapers || Download paper | |
2024 | Mandatory financial information disclosure and credit ratings. (2024). Balsmeier, Benjamin ; Doherr, Thorsten ; Vanhaverbeke, Steven. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:78:y:2024:i:1:s0165410124000065. Full description at Econpapers || Download paper | |
2024 | Operational loss recoveries and the macroeconomic environment: Evidence from the U.S. banking sector. (2024). Frame, Scott W ; McLemore, Ping ; Lazaryan, Nika ; Mihov, Atanas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:165:y:2024:i:c:s0378426624001377. Full description at Econpapers || Download paper | |
2025 | Customer concentration, firm R&D investment and moderation effects. (2025). Zuo, Wenming ; Ma, Baichao ; He, Xinming ; Zhao, Shan. In: Journal of Business Research. RePEc:eee:jbrese:v:186:y:2025:i:c:s0148296324005137. Full description at Econpapers || Download paper | |
2024 | Managerial structure in the hedge fund industry. (2024). Chen, Yuhao ; Kuang, Huan ; Liang, Bing. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:58:y:2024:i:c:s1042957324000172. Full description at Econpapers || Download paper | |
2024 | RMB exchange rate volatility and the cross-section of Chinese A-share returns. (2024). Ding, Wenjie ; Qiao, Tongshuai ; Han, Liyan ; Li, Donghui. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:142:y:2024:i:c:s0261560624000111. Full description at Econpapers || Download paper | |
2024 | Implied parameter estimation for jump diffusion option pricing models: Pricing accuracy and the role of loss and evaluation functions. (2024). , Julie ; Hilliard, Jitka. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:35:y:2024:i:c:s2405851324000278. Full description at Econpapers || Download paper | |
2024 | The mechanism of enterprise credit guarantee risk contagion considering ESG. (2024). Liu, Xuejuan ; Zhang, Jingyi. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:221:y:2024:i:c:p:503-514. Full description at Econpapers || Download paper | |
2024 | Extrapolation and option-implied kurtosis in volatility forecasting. (2024). Shiu, Yung-Ming ; Wu, Tu-Cheng ; Pan, Ging-Ginq. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:84:y:2024:i:c:s0927538x24000374. Full description at Econpapers || Download paper | |
2024 | Hedging global currency risk: A dynamic machine learning approach. (2024). Pagnottoni, Paolo ; Spelta, Alessandro. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:649:y:2024:i:c:s0378437124004576. Full description at Econpapers || Download paper | |
2024 | Does Islamic investing modify portfolio performance? Time-varying optimization strategies for conventional and Shariah energy-ESG-utilities portfolio. (2024). Rashidi, Muhammad Mahdi ; Asl, Mahdi Ghaemi ; Rezgui, Hichem ; Tavakkoli, Hamid Raza. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:37-57. Full description at Econpapers || Download paper | |
2024 | Customer concentration, managerial risk aversion, and hostile takeover threats. (2024). Lee, Sang Mook ; Jiraporn, Pornsit ; Sarajoti, Pattarake ; Chatjuthamard, Pattanaporn. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:268-279. Full description at Econpapers || Download paper | |
2024 | Transmission process and determinants of sovereign credit contagions: Global evidence. (2024). Lien, Donald ; Chen, Chun-Da. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:552-567. Full description at Econpapers || Download paper | |
2024 | Interdependence and spillovers between big oil companies and regional and global energy equity markets. (2024). Yoon, Seong-Min ; Arreola Hernandez, Jose ; Hanif, Waqas ; Kang, Sang Hoon ; Boako, Gideon. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:451-469. Full description at Econpapers || Download paper | |
2024 | Inter-industry network and credit risk. (2024). Huang, Mu-Nan ; Lee, Han-Hsing. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:598-625. Full description at Econpapers || Download paper | |
2024 | Why risk attitude differs between macro and micro level? A decoherence perspective. (2024). Yi, Zhen ; Zhang, Yuwei ; Zhu, Chao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:978-997. Full description at Econpapers || Download paper | |
2024 | Do hedge funds bet against beta?. (2024). Riley, Timothy B ; Yan, Qing ; Malakhov, Alexey. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:1507-1525. Full description at Econpapers || Download paper | |
2024 | The Federal Reserve’s Quantitative Easing policy and volatility spillovers: Evidence from Australia. (2024). de Mello, Lurion ; Yahyaei, Hamid ; Singh, Abhay. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003897. Full description at Econpapers || Download paper | |
2024 | The term structure of yield curve and connectedness among ESG investments. (2024). Umar, Zaghum ; Jiang, Shaohua ; Iqbal, Najaf ; Ruman, Asif M. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002714. Full description at Econpapers || Download paper | |
2024 | Basel liquidity regulation and credit risk market perception: Evidence from large European banks. (2024). Rigoni, Ugo ; Simion, Giorgia ; Cavezzali, Elisa ; Veller, Andrea. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000205. Full description at Econpapers || Download paper | |
2024 | The Democratization of Wealth Management: Hedged Mutual Fund Blockchain Protocol. (2024). Kashyap, Ravi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002800. Full description at Econpapers || Download paper | |
2024 | Assessing the nexus between currency exchange rate returns, currency risk hedging and international investments: Intelligent network-based analysis. (2024). Pan, Yanchun ; Saleh, Mamdouh Abdulaziz ; Yao, Hongxing ; Naveed, Hafiz Muhammad. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:206:y:2024:i:c:s0040162524003007. Full description at Econpapers || Download paper | |
2024 | Do high-speed railways have an impact on population change? evidence from Japan. (2024). Suzuki, YU ; Terabe, Shintaro ; Wang, Jingyuan ; Yaginuma, Hideki ; Uno, Haruka. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:187:y:2024:i:c:s0965856424002350. Full description at Econpapers || Download paper | |
2024 | Financing a dual capital-constrained supply chain: Profit enhancement and diffusion effect of default risk. (2024). Xu, Xun ; Xie, Xiaofeng ; Chen, Xiangfeng ; Gu, Jing. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:181:y:2024:i:c:s1366554523003769. Full description at Econpapers || Download paper | |
2024 | Memory moves markets. (2024). Charles, Constantin. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:125551. Full description at Econpapers || Download paper | |
2024 | Linear Factor Models and the Estimation of Expected Returns. (2024). Werker, Bas ; Sarisoy, Cisil. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2024-14. Full description at Econpapers || Download paper | |
2024 | Revisiting Stock Market Index for the Helsinki Stock Exchange 1912–1981. (2024). Vaihekoski, Mika. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:3:p:90-:d:1342221. Full description at Econpapers || Download paper | |
2024 | Practical Improvements to Mean-Variance Optimization for Multi-Asset Class Portfolios. (2024). Lolic, Marin. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:5:p:183-:d:1385628. Full description at Econpapers || Download paper | |
2024 | Portfolio Optimization with Sector Return Prediction Models. (2024). Bessler, Wolfgang ; Wolff, Dominik. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:6:p:254-:d:1418899. Full description at Econpapers || Download paper | |
2024 | Quantitative Portfolio Management: Review and Outlook. (2024). Yew, Rand Kwong ; Senescall, Michael. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:18:p:2897-:d:1479653. Full description at Econpapers || Download paper | |
2024 | Energy-Related Uncertainty and Idiosyncratic Return Volatility: Implications for Sustainable Investment Strategies in Chinese Firms. (2024). Kong, Yusheng ; Naz, Salma ; Ali, Hyder ; Siddiqui, Faiza. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:17:p:7423-:d:1465837. Full description at Econpapers || Download paper | |
2024 | Sustainable Development of the Real Economy: Supply Chain Finance and Enterprise Financialization. (2024). Zhang, Qiancheng ; Dong, Jingjing. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:9:p:3574-:d:1381969. Full description at Econpapers || Download paper | |
2024 | Operational Risk Management: Optimal Inspection Policy. (2024). Xu, Yuqian ; Kim, Youngsoo. In: Management Science. RePEc:inm:ormnsc:v:70:y:2024:i:6:p:4087-4104. Full description at Econpapers || Download paper | |
2024 | Optimal Portfolio Choice with Unknown Benchmark Efficiency. (2024). Wang, Xiaolu ; Kan, Raymond. In: Management Science. RePEc:inm:ormnsc:v:70:y:2024:i:9:p:6117-6138. Full description at Econpapers || Download paper | |
2024 | Connectedness between Currency Risk Hedging and Firm Value: A Deep Neural Network-based Evaluation. (2024). Haris, Muhammad ; Mohsin, Muhammad ; Akhtar, Muhammad ; Naveed, Hafiz Muhammad ; Memon, Bilal Ahmed ; Hongxing, Yao ; Ali, Shoaib. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:2:d:10.1007_s10614-022-10353-4. Full description at Econpapers || Download paper | |
2024 | Empirical Performance of an ESG Assets Portfolio from US Market. (2024). SADEFO KAMDEM, Jules ; Benhmad, Franois ; Pokou, Fredy. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:3:d:10.1007_s10614-023-10491-3. Full description at Econpapers || Download paper | |
2025 | Portfolio Optimization with Prediction-Based Return Using Long Short-Term Memory Neural Networks: Testing on Upward and Downward European Markets. (2025). Martnez-Barbero, Xavier ; Cervell-Royo, Roberto ; Ribal, Javier. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10604-6. Full description at Econpapers || Download paper | |
2025 | Volatility Dynamics and Mixed Jump-GARCH Model Based Jump Detection in Financial Markets. (2025). Song, Yuping ; Zhu, Min ; Zheng, Xin. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10633-1. Full description at Econpapers || Download paper | |
2025 | CEO Narcissism and Credit Ratings. (2025). Perotti, Pietro ; Fairchild, Richard ; Hou, Zehan. In: Journal of Business Ethics. RePEc:kap:jbuset:v:197:y:2025:i:1:d:10.1007_s10551-024-05691-2. Full description at Econpapers || Download paper | |
2024 | Structural Drivers of Credit Rating Uncertainty: An Examination of the Changes Imposed by Dodd-Frank. (2024). Duanmu, Jun ; McBrayer, Garrett A. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:65:y:2024:i:2:d:10.1007_s10693-023-00399-2. Full description at Econpapers || Download paper | |
2024 | High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests. (2024). GUPTA, RANGAN ; Aye, Goodness C ; Hassapis, Christis ; Christou, Christina. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:69:y:2024:i:2:d:10.1007_s11146-022-09919-8. Full description at Econpapers || Download paper | |
2024 | How does credit market innovation affect the fiscal policy of state governments?. (2024). Chen, Sheng-Syan. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:62:y:2024:i:2:d:10.1007_s11156-023-01207-7. Full description at Econpapers || Download paper | |
2024 | Macroeconomic uncertainty and earnings management: evidence from commodity firms. (2024). Pierotti, Mariarita ; Greco, Giulio ; Rigamonti, Alessandro Paolo ; Capocchi, Alessandro. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:62:y:2024:i:4:d:10.1007_s11156-024-01246-8. Full description at Econpapers || Download paper | |
2024 | Vertical propagation of default risk along the supply chain. (2024). Yun, Mu-Shu. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:63:y:2024:i:1:d:10.1007_s11156-024-01251-x. Full description at Econpapers || Download paper | |
2024 | The diversification benefits of cryptocurrency factor portfolios: Are they there?. (2024). Newton, David ; Xiao, Libo ; Wu, Haoran ; Platanakis, Emmanouil ; Han, Weihao. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:63:y:2024:i:2:d:10.1007_s11156-024-01260-w. Full description at Econpapers || Download paper | |
2024 | Shedding light on foreign currency cash flow hedges: transparency and the hedging decision. (2024). Marshall, Beverly B ; Jin, Han. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:63:y:2024:i:2:d:10.1007_s11156-024-01263-7. Full description at Econpapers || Download paper | |
2025 | Evolutionary and agent-based computational finance: The new paradigms for asset pricing. (2025). Pastushkov, A. In: Journal of the New Economic Association. RePEc:nea:journl:y:2025:i:66:p:196-222. Full description at Econpapers || Download paper | |
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