Giovanni Gabriele Vecchio

Queen Mary University of London

School of Economics and Finance - Queen Mary, Uni

327 Mile End Road

London, E1 4NS

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

36

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Ideas:
“  Asset pricing, financial econometrics, frequency domain models.  ”

Scholarly Papers (2)

1.

The Policy Risk Premium in Equity Derivatives

Number of pages: 31 Posted: 28 May 2019
Giovanni Gabriele Vecchio
Queen Mary University of London
Downloads 30 (503,713)

Abstract:

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political risk, options, equity derivatives, unscented kalman filter, asset pricing, equity risk premium, kalman filter

2.

Business Cycle Risk in Equities, Fixed Income and Credit Markets

Number of pages: 53 Posted: 13 Jun 2019
Giovanni Gabriele Vecchio
Queen Mary University of London
Downloads 6 (656,181)

Abstract:

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asset pricing, factors, smart beta, wavelets, capm, fama, french, value, size, momentum