Lancaster, Lancashire LA1 4YX
United Kingdom
Lancaster University Management School
SSRN RANKINGS
in Total Papers Downloads
Customer Dataset, Order Flow, Price Changes, Foreign Exchange Market
Return Predictability, Factor Portfolios, Dimension Reduction, Factor Timing, Anomalies
Trading Activity Dataset, Order Flow, Foreign Exchange Market, Monitoring Effect
Regime Switch, Intensity Modelling, Invariance, Stock Return Volatility.
Crude Oil Price, Safe Haven, International Crises, Wars
High-Frequency Volatility Estimation, Market Microstructure Variables, ACD Model, Best Subset Regression.
social distance, online word of mouth, heuristic processing, hotel bookings
SMEs, Expected Return on Equity, Entrepreneur
Expectations, Tendency Survey, Forecasting Errors, Misclassification, GLARMA
Retail Investors, Trading Activity Dataset, Information Processing, Order Flow, Foreign Exchange Market
multiplicative error-in-variables, SIMEX, disclosure limitation
Errors-in-variables in nonlinear models, disclosure limitation methods, multiplicative error
High-Frequency Volatility Estimation, Realized Volatility, Renewal Theory
Portfolio optimization, Implementation Shortfall, Time-series models.
Contingent valuation, willingness-to-pay, binary-choice, anchoring effect
Sell-side Analysts, News Flows, Career Concerns, Financial Crisis
high-frequency data, jump test, market microstructure noise, stochastic sampling scheme, first exit time, price staleness
portfolio allocation, high-frequency finance, realized measures, forecasting
disclosure limitation technique, error-in-variables, blanking, SIMEX, IPW
Disclosure limitation technique, Multiplicative measurement error, Blanking, Simulation-Extrapolation, Inverse Probability Weighting
Macro Factors, Factor Investing, Diversification, Factor Completion
data masking, errors-in-variables, SIMEX, local polynomial regression
disclosure limitation, blanking, semi-parametric selection models, errors in variables in nonlinear models
