Archives for LFIN

You are kindly invited to attend an Financial Research Seminar co-organised by the National Bank of Belgium and the Belgian universities (KU Leuven, UA, UCL, UGent, ULB, ULg, UMons, UNamur, USaint-Louis, Vlerick and VUB). by Stefan Nagel (University of Chicago, NBER, CEPR, and CESifo) on...

Name : Raymond Kan Affiliation : Rotman School of Management, University of Toronto Title : In-sample and Out-of-sample Sharpe Ratios of Multi-factor Asset Pricing Models Abstract : For many multi-factor asset pricing models proposed in the recent literature, their implied tangency...

Realized SemiCovariances: Looking for Signs of Direction Inside the Covariance Matrix Tim Bollerslev, Duke University   We propose a new decomposition of the realized covariance matrix into four “realized semicovariance” components based on the signs of the underlying high-frequency...

TBA Janet Gao, Kelley School of Business