Jan Novotny

Centre for Econometric Analysis, Faculty of Finance, Cass Business School, London, UK

  • Centre for Econometric Analysis, Faculty of Finance, Cass Business School, London, UK

SCHOLARLY PAPERS

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Scholarly Papers (4)

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1.

A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets

Downloads 114 (284,690)
Citation 1

A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets

Journal of Financial Econometrics, 2020
Number of pages: 54 Posted: 30 Nov 2020
Simona Boffelli, Jan Novotny and Giovanni Urga
Centre for Econometric Analysis, Faculty of Finance, Cass Business School, London, UK, Centre for Econometric Analysis, Faculty of Finance, Cass Business School, London, UK and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 114 (399,388)

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Co-arrivals, Co-jumps, European Government Yields, Macro-factors, Macro-announcements, Auctions, Unconventional Monetary Policy Announcements

2.

The Dynamics of Value Across Global Equity Markets: The Risk Contagion

Number of pages: 27 Posted: 03 Apr 2015 Last Revised: 07 Apr 2015
Jan Novotny and Mayank Gupta
Centre for Econometric Analysis, Faculty of Finance, Cass Business School, London, UK and Cass Business School City University London
Downloads 140 (340,814)
Citation 2

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CAPE, Portfolio Diversification, Price-Earning Ratio, Value Portfolio, Asset Mispricing, Spillover Risk

3.

The Dynamics of Value Comovement Across Global Equity Markets

CERGE-EI Working Paper Series No. 560
Number of pages: 36 Posted: 27 Apr 2016
Mayank Gupta and Jan Novotny
Cass Business School City University London and Centre for Econometric Analysis, Faculty of Finance, Cass Business School, London, UK
Downloads 90 (466,987)

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Asset Pricing, PE Ratio, CAPE, Price-Earning Ratio, Financial crisis, Value Portfolio, Equity Markets, DCC-GARCH Models

4.

Maximum Non-Extensive Entropy Block Bootstrap for Non-Stationary Processes

Number of pages: 28 Posted: 03 Apr 2015
Michele Bergamelli, Jan Novotny and Giovanni Urga
City University London - The Business School, Centre for Econometric Analysis, Faculty of Finance, Cass Business School, London, UK and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 61 (580,554)

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Maximum Entropy, Bootstrap, Monte Carlo Simulations