Austin Robinson Building
Cambridge, CB3 9DD
University of Cambridge - Faculty of Economics and Politics
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Beta, Herding, Overconfidence, Sentiment, Market Crises, Cross-sectional asset returns
FX market, Efficiency, Copula, Quantile Regression
limit order book, profitability, high-frequency data
Investor sentiment, Noise trading, Regime switching, Smooth transitions
uncertainty aversion, exchange rate formation, agent-based modeling
Investor sentiment, Asset pricing, Regime-switching, Noise trading
Option-implied distributions, effective exchange rate indices, copula functions, option pricing
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: SSRN-id781205.
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Exchange rates, copulae, option implied pdfs, triangular arbitrage
Knightian uncertainty, market timing, predictability, high-frequency data
Term structure, Interest rates, Multivariate modeling, Hawkes process, Time deformation.
Finance, Financial Econumetrics, Copula, Time Series, Non Linear
Behavioral Finance, Mutual Funds
File name: SSRN-id790644.
Performance measurement, loss-aversion, prospect theory, closed-end-fund puzzle
L-moment, Stein Equation, GMM, Bahadur Effciency, Likelihood Ratio
File name: SSRN-id541084.
Herding, heterogenous beliefs, cross-sectional volatility
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