Megan Czasonis

State Street Corporate

1 Lincoln Street

Boston, MA 02111

United States

SCHOLARLY PAPERS

10

DOWNLOADS

1,257

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (10)

1.

Advances in Factor Replication

MIT Sloan Research Paper No. 5174-16
Number of pages: 29 Posted: 14 Aug 2016 Last Revised: 19 Aug 2016
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates
Downloads 382 (108,622)

Abstract:

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Bayesian shrinkage, Elliptical distribution, Factor-replicating portfolio Full-scale optimization, Independent-sample error, Interval error, Kinked utility function, Non-parametric, Power utility function, Resampling, Small-sample error, Stability-adjusted return sample, Symmetrical distribution

2.

The Past as Prologue: A New Approach to Forecasting

MIT Sloan Research Paper No. 6166-20
Number of pages: 26 Posted: 17 Aug 2020 Last Revised: 12 Mar 2021
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates
Downloads 330 (127,685)

Abstract:

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Informativeness, Mahalanobis distance, Partial sample regression, Relevance, Similarity

3.

Event Time

MIT Sloan Research Paper No. 6700-22
Number of pages: 24 Posted: 06 May 2022
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates
Downloads 292 (145,129)

Abstract:

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Calendar time, Co-occurrence, Event intensity, Event time, Information theory, Informativeness, Kullback-Leibler divergence, Kurtosis, Mahalanobis distance, Normal divergence, Pearson correlation, Relative entropy, z-score

4.

The COVID Report Card

MIT Sloan Research Paper 6185-20
Number of pages: 27 Posted: 20 Oct 2020
State Street Corporate, Windham Capital Management, State Street Associates and State Street Associates
Downloads 169 (242,204)

Abstract:

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COVID report card, Cross-sectional regression analysis, Implied deaths, New cases, Reported deaths,

5.

The Relative Importance of Fiscal and Monetary Policy: An Empirical Perspective

MIT Sloan Research Paper No. 6152-20
Number of pages: 20 Posted: 24 Jul 2020
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates
Downloads 84 (399,789)

Abstract:

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Fiscal policy, Mahalanobis distance, Monetary policy, Statistical similarity

6.

Relevance

Czasonis, M., M. Kritzman and D. Turkington. 2022. "Relevance." Journal of Investment Management 20(1).
Posted: 17 Mar 2021 Last Revised: 02 Jun 2022
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates

Abstract:

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Informativeness, Mahalanobis Distance, Partial Sample Regression, Relevance, Similarity

7.

The Stock-Bond Correlation

MIT Sloan Research Paper No. 6108-20
Posted: 12 May 2020
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates

Abstract:

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Autocorrelation, Henriksson-Merton test, Informativeness, Lagged cross-correlation, Mahalanobis distance, Partial sample regression, Relevance, Single period correlation, Statistical similarity

8.

Private Equity and the Leverage Myth

MIT Sloan Research Paper No. 5912-20
Posted: 20 Feb 2020
State Street Corporate, State Street Global Markets, Windham Capital Management and State Street Associates

Abstract:

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Fundamental risk, Leverage multiple, Leverage myth, Mean-variance analysis

9.

Partial Sample Regressions

MIT Sloan Research Paper No. 5894-19
Posted: 20 Nov 2019
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates

Abstract:

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Event-driven observations, Informativeness, Kernel smoothing, Mahalanobis distance, Multivariate similarity, Nadaraya-Watson kernel regression, Ordinary Least Squares, Regression analysis, Relevance, Relevance-weighted average

10.

Enhanced Scenario Analysis

MIT Sloan Research Paper No. 5774-19
Posted: 20 May 2019 Last Revised: 30 Apr 2020
State Street Corporate, Windham Capital Management, State Street Associates and State Street Associates

Abstract:

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Covariance matrix, Economic scenarios, Euclidean distance, Financial turbulence, Gradient descent, Mahalanobis distance, Mean reversion, Mean-variance analysis, Multivariate normal distribution, Persistence, Scale independent, Scenario analysis