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Durham Business School
Mutual Funds, Convex Flows, Bonuses, Transaction Costs, Liquidity Premia
Regime Shifts, Incomplete Information, Transaction Costs, Liquidity Premia
Carbon futures price prediction; Quantile group Lasso; Quantile group SCAD; Variable selection
spatial panel quantile model, retail fuel price, carbon futures price, oil market, cross-market integration
Carbon futures price; Energy futures prices; EU ETS; Quantile-on-Quantile; Causality-in-quantiles
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alpha, bootstrapping, Fama–French model, Monte Carlo simulation, performance evaluation
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