Arben Kita

University of Southampton

Assistant Professor of Finance

Highfield Campus

Building 2

Southampton, Hampshire SO17 1BJ

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS

859

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (6)

1.

Investor Attention and FX Market Volatility

Number of pages: 46 Posted: 15 Mar 2012 Last Revised: 07 Jan 2013
Arben Kita and Qingwei Wang
University of Southampton and Cardiff University - Cardiff Business School
Downloads 457 (80,827)
Citation 5

Abstract:

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Investor Attention, FX Volatility, Option Pricing, GARCH

2.

Machine Learning Predictions of Credit and Equity Risk Premia

Number of pages: 37 Posted: 11 Mar 2021
Arben Kita
University of Southampton
Downloads 194 (198,651)

Abstract:

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Stochastic Volatility, Jumps, Latent Arbitrage, Machine Learning, High Frequency Data

3.

Speculate Against Speculative Demand

Number of pages: 39 Posted: 03 Feb 2013 Last Revised: 28 Jul 2013
Owain Ap Gwilym, Arben Kita and Qingwei Wang
Bangor Business School, University of Southampton and Cardiff University - Cardiff Business School
Downloads 76 (394,035)

Abstract:

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Investor Attention, Speculative Demand, Penny Stocks, Market Returns, Trading Strategy, Limits to Arbitrage

4.

Arbitrage in International Sovereign Debt Markets? Evidence from the Inflation Protected Securities of Six Countries

Journal of Money, Credit and Banking, Forthcoming
Number of pages: 46 Posted: 23 Dec 2019
Arben Kita and Daniel L. Tortorice
University of Southampton and College of the Holy Cross -- Department of Economics and Accounting
Downloads 70 (412,236)

Abstract:

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Inflation-Indexed Bonds, Nominal Bonds, Law of One Price, Mispricing, Limits to Arbitrage

5.

Extrapolation and Cognitive Dissonance in the Market for Credit Risk

Number of pages: 62 Posted: 14 Dec 2020
Arben Kita
University of Southampton
Downloads 51 (480,631)

Abstract:

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Extrapolation, Cognitive Dissonance, CDS, Sentiment, Jumps, High Frequency Data

6.

CDS Spreads Explained with Credit Spread Volatility and Jump Risk of Individual Firms

Number of pages: 61 Posted: 26 Aug 2012
Arben Kita
University of Southampton
Downloads 11 (716,633)

Abstract:

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Credit Default Swap Spread, Credit Spread Volatility, Credit Spread Jump