Working paper

Author(s) : Carlos Eduardo Fucci
This paper aims at predicting the volatility term structure of a given asset. The model is based on the GARCH modelling of the asset's volatility,...
2016
Author(s) : Hilary Till
This paper provides an introduction to U.S. commodity futures markets, which is especially relevant for individuals in developing markets who are...
2016
Author(s) : Michel Brocard
We discuss in particular the case of U.S. domestic hedge funds set up as a limited partnership as well as the case of offshore funds based in the...
2016
Author(s) : Francois-Serge Lhabitant
We discuss in particular the case of U.S. domestic hedge funds set up as a limited partnership as well as the case of offshore funds based in the...
2016
Author(s) : Marie Lambert
This paper investigates the role that hedge funds, a proxy for sophisticated investors, play in the price discovery process between stock and option...
2016
Author(s) : Nicolas Papageorgiou
This paper investigates the role that hedge funds, a proxy for sophisticated investors, play in the price discovery process between stock and option...
2016
Author(s) : Federico Platania
This paper investigates the role that hedge funds, a proxy for sophisticated investors, play in the price discovery process between stock and option...
2016
Author(s) : Juha Joenvaara
Instead we find a positive log-linear relation between the number of constituent funds in a fund of hedge fund (n) and the respective assets under...
2016
Author(s) : Bernd Scherer, PhD
Instead we find a positive log-linear relation between the number of constituent funds in a fund of hedge fund (n) and the respective assets under...
2016
Author(s) : Noel Amenc
They also claim that similar results are obtained by any random portfolio strategy, including the inverse of such strategies. We analyse these claims...
2015
Author(s) : Felix Goltz
They also claim that similar results are obtained by any random portfolio strategy, including the inverse of such strategies. We analyse these claims...
2015
Author(s) : Ashish Lodh
They also claim that similar results are obtained by any random portfolio strategy, including the inverse of such strategies. We analyse these claims...
2015
Author(s) : Hilary Till
In answering this question, this paper will cover the following three considerations: (1) the case for structural positions in crude oil futures...
2015
Author(s) : Adrian Fernandez-Perez
As a result, equities with positive skews tend to be overpriced and thus offer low expected returns, while equities with negative skews tend to be...
2015
Author(s) : Bart Frijns
As a result, equities with positive skews tend to be overpriced and thus offer low expected returns, while equities with negative skews tend to be...
2015
Author(s) : Ana-Maria Fuertes
As a result, equities with positive skews tend to be overpriced and thus offer low expected returns, while equities with negative skews tend to be...
2015
Author(s) : Joelle Miffre
As a result, equities with positive skews tend to be overpriced and thus offer low expected returns, while equities with negative skews tend to be...
2015
Author(s) : Hilary Till
This article will argue the answer is yes, and we will discuss the circumstances when this has been the case in the past.
2015
Author(s) : Hilary Till
The paper specifically covers (a) the long-term return sources for both managed futures programs and for commodity indices; (b) the investor...
2015
Author(s) : Noel Amenc
While there is a consensus on the factors that are rewarded over the long term, it must be acknowledged that the implementation of factor investing,...
2015

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