Lancaster, Lancashire LA1 4YX
United Kingdom
Lancaster University - Department of Accounting and Finance
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
Long horizon, stock return predictability, induced autocorrelation
Factor Investing, Portfolio Construction, Portfolio Weights, Power Sorting
Return Predictability, Factor Portfolios, Dimension Reduction, Factor Timing, Anomalies
Options Data, High Frequency Data, Market Microstructure
high-frequency data, downside risk, asset allocation, realized moments, volatility forecasting
Panel Survival Models, Trading Activity Dataset, Foreign Exchange Market, Behavioral Finance, Disposition Effect
Price durations; Volatility estimation; High-frequency data; Market microstructure noise; Forecasting
Customer Dataset, Order Flow, Price Changes, Foreign Exchange Market
Regime Switch, Intensity Modelling, Invariance, Stock Return Volatility.
Trading Activity Datasets, Panel Intensity Models, Latent Factors, Efficient Importance Sampling, Behavioral Finance
Multivariate Density Forecasting, Liquidity, Financial Econometrics
Tail Risk Protection, CPPI, DPPI, Risk Modelling, Value-at-Risk, Expected Shortfall, Forecast Combination, Return Synchronization
social distance, online word of mouth, heuristic processing, hotel bookings
Disagreement, Uncertainty, Predictive Density, Forecast Combination
Trading Activity Dataset, Order Flow, Foreign Exchange Market, Monitoring Effect
High frequency data, Realized volatility and covariance, Market microstructure
High-Frequency Data, Integrated Variance, Range-Based Volatility Estimation, Drift Burst, Extreme Price Movements
High-Frequency Volatility Estimation, Market Microstructure Variables, ACD Model, Best Subset Regression.
Forecasting Quality, Qualitative Survey Data, Quantification Methods, Linear Time Series Models, Turning Points
Expectations, Tendency Survey, Forecasting Errors, Misclassification, GLARMA
Liquidity, Copula Functions, Trading Process, Decimalization, Metropolized-Independence Sampler
Multivariate Discrete Distributions, Conditional Inflation, Copula Functions, Truncations, Metropolized-Independence Sampler
Realized Volatility, Microstructure Noise, Pre-Averaged Estimators, Semi-variances, Semicovariances, Volatility Forecasting.
Market Microstructure Noise, Realized Volatility, Realized Covariation, High Frequency Data, Subsampling, Market Microstructure, Asset Allocation
Portfolio optimization, Implementation Shortfall, Time-series models. JEL Classification: C01, C32, C51, C52, C61, G11, G12
High frequency data, Subsampling, Realized volatility, Market microstructure
Transaction data, discrete price changes, integer count hurdle model, fractionally integrated autoregressive conditional duration models
Market Transparency, Asset Allocation, Broker Heterogeneity, Customer Order Flow
risk-neutral density, parametric modelling, mixture-of-distribution method
Integer Count Hurdle, Copula Functions, Discrete Multivariate Distributions, Foreign Exchange Market
high frequency data, jumps, asset allocation, volatility forecasting, realized volatility
High-Frequency Data, Jump Test, Market Microstructure Noise, Stochastic Sampling Scheme, First Exit Time
Retail Investors, Trading Activity Dataset, Information Processing, Order Flow, Foreign Exchange Market
risk management, cross hedging, basis risk, prudence, jet fuel, crude oil futures, vector error correction model
Price Durations, Covariance Estimation, High-Frequency Data, Market Microstructure Noise, Minimum Variance Portfolio
Foreign Exchange, Carry Trade, Momentum, Volatility, Jump-Diffusion,Short-Run Long-Run Volatility
High-Frequency Volatility Estimation, Realized Volatility, Renewal Theory
High-Frequency Data, Volatility Estimation, Price Durations, ACD model
portfolio allocation, high-frequency finance, realized measures, forecasting
Misleading Communication, Environmental Social and Governance (ESG), ESG incidents, Greenwashing, Event Studies
Adjustment costs, investment-cash flow sensitivity, financing constraints
Common Jumps, Directional Common Jumps, Realized Covariances, Forecasting, Asset Allocation, Portfolio Construction
Sell-side Analysts, News Flows, Career Concerns, Financial Crisis
Market Microstructure Noise, Realized Volatility, Realized Covariation,Weighted Least Squares, Volatility Forecasting, Asset Allocation
copula functions, discrete price changes, fractionally integrated autoregressive conditional duration models, integer count hurdle model, market microstructure, transaction data
financial transaction prices, autoregressive conditional multinomial model, GLARMA, count data, market microstructure effects
