Archives for LFIN
January 19, 2024
LFIN Seminar
Vasyl GOLOSNOY
(Ruhr Universitat Bochum)
will give a presentation on:
A Simple Powerful Test for Global Minimum Variance Portfolio Weights
Realized global minimum variance portfolio (GMVP) weights are computed from inverted realized covariance matrices. Conventional statistical tests...
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December 15, 2023
Event
LFIN Seminar
Alex Shestopaloff, Queen Mary University of London & Memorial University of Newfoundland
will give a presentation on
Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models
Abstract:
In multivariate time series systems, key insights can be obtained by discovering...
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December 01, 2023
Event
LFIN Seminar Raffaella Calabrese
Raffaella Calabrese, Edinburgh Business School
will give a presentation on
Climate stress-testing for mortgage default probability
Abstract:
Extreme natural disasters like tropical cyclones have a low probability of materialising but a high social and economic impact, including...
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November 24, 2023
Event
LFIN Seminar Bert Willems
Bert Willems, CORE
will give a presentation on
Electricity Forward Premium: Renewable Integration and Skewness Preference
Abstract:
This paper presents new components that explain the risk premium priced in electricity forward and futures contracts. These components relate...
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November 17, 2023
Event
LFIN Seminar Vasyl Golosnoy
Vasyl Golosnoy, Ruhr Universitat Bochum
will give a presentation on
A Simple Powerful Test for Global Minimum Variance Portfolio Weights
Abstract:
Realized global minimum variance portfolio (GMVP) weights are computed from inverted realized covariance matrices. Conventional...
Click to know more