Archives for LFIN

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...

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...

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...

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...