Zobrazeno 1 - 10
of 76
pro vyhledávání: '"Asger Lunde"'
Publikováno v:
Research Handbook on Private Enforcement of Competition Law in the EU ISBN: 9781800377523
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bfad1782bc58dfef5f9e938377a85752
https://doi.org/10.4337/9781800377523.00008
https://doi.org/10.4337/9781800377523.00008
Autor:
Simon Bodilsen, Asger Lunde
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::aff337a4d7fad98587f2ca5773d1c0b1
https://doi.org/10.2139/ssrn.4401032
https://doi.org/10.2139/ssrn.4401032
Publikováno v:
Maier, N, Jørgensen, J R, Lunde, A & Toivanen, O 2021, ' Ex-post Analysis of the TeliaSonera-Chess 2005 Merger ', Economist (Netherlands), vol. 169, no. 2, pp. 141-178 . https://doi.org/10.1007/s10645-020-09381-y
We provide an ex-post analysis of the 2005 TeliaSonera-Chess merger in the Norwegian mobile telecommunication market. Applying a difference-in-difference approach and a synthetic control group method we find little evidence of price increase in the N
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4d21ddb924600e17898b106cbb18307e
https://doi.org/10.1007/s10645-020-09381-y
https://doi.org/10.1007/s10645-020-09381-y
Publikováno v:
Journal of Financial Econometrics. 19:1-38
Motivated by the recent availability of extensive electronic news databases and advent of new empirical methods, there has been renewed interest in investigating the impact of financial news on market outcomes for individual stocks. We develop the in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8b47f3af63a7139f7f9f1fae72f8f518
https://doi.org/10.1093/jjfinec/nbaa038
https://doi.org/10.1093/jjfinec/nbaa038
Autor:
Wei Wei, Asger Lunde
Risk premia are difficult to identify in nonstorable commodities such as electricity. In this article, we propose a modified Fama–French regression framework and show that when the spot prices do not follow a martingale—a common assumption in the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b940647134fc935ebcfba7a5314ecc7e
Publikováno v:
Grønborg, N S, Lunde, A, Timmermann, A & Wermers, R 2021, ' Picking Funds with Confidence ', Journal of Financial Economics, vol. 139, no. 1, pp. 1-28 . https://doi.org/10.1016/j.jfineco.2020.07.003
We present a new approach to selecting actively managed mutual funds that uses both portfolio holdings and fund return information to eliminate funds with predicted inferior performance through a sequence of pairwise fund comparisons. Our methodology
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9c3d721759dae8fcaa748c3f253165bd
https://pure.au.dk/portal/da/publications/picking-funds-with-confidence(e4c6c8ee-0504-4493-979c-eb9127389740).html
https://pure.au.dk/portal/da/publications/picking-funds-with-confidence(e4c6c8ee-0504-4493-979c-eb9127389740).html
Autor:
Miha Torkar, Asger Lunde
Publikováno v:
Lunde, A & Torkar, M 2020, ' Including news data in forecasting macro economic performance of China ', Computational Management Science, vol. 17, no. 4, pp. 585-611 . https://doi.org/10.1007/s10287-020-00382-5
In this work we predict changes in the Gross Domestic Product (GDP) of China using dynamic factor models. We report results of 3- and 6-months ahead forecasts, where we use $$124$$ predictors from various sources and dates ranging from 2000 through 2
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::73484b7aaaafaaf8ffd3b6c20fbfd995
https://pure.au.dk/portal/da/publications/including-news-data-in-forecasting-macro-economic-performance-of-china(31b10f43-30f9-462b-b9fe-66f552d8a03b).html
https://pure.au.dk/portal/da/publications/including-news-data-in-forecasting-macro-economic-performance-of-china(31b10f43-30f9-462b-b9fe-66f552d8a03b).html
Publikováno v:
Christoffersen, P, Lunde, A & Olesen, K V 2019, ' Factor structure in commodity futures return and volatility ', Journal of Financial and Quantitative Analysis, vol. 54, no. 3, pp. 1083-1115 . https://doi.org/10.1017/S0022109018000765
Using data on more than 750 million futures trades during 2004-2013, we analyze eight stylized facts of commodity price and volatility dynamics in the post financialization period. We pay particular attention to the factor structure in returns and vo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e89261f7370fa8bb969e420d20c3d42f
https://doi.org/10.1017/s0022109018000765
https://doi.org/10.1017/s0022109018000765
Autor:
Niels S. Grønborg, Asger Lunde
Publikováno v:
Journal of Futures Markets. 36:153-173
The dynamic Nelson–Siegel model is used to model the term structure of futures contracts on oil and obtain forecasts of prices of these contracts. Three factors are extracted and modelled in a very flexible framework. The outcome of this exercise i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0c4b4b7cedcbcb75844c68b7bf2418b3
https://doi.org/10.1002/fut.21713
https://doi.org/10.1002/fut.21713
Publikováno v:
Grønborg, N S, Lunde, A, Olesen, K V & Elst, H V 2022, ' Realizing Correlations Across Asset Classes ', Journal of Financial Markets, vol. 59, no. Part A, 100729 . https://doi.org/10.1016/j.finmar.2022.100729
We introduce a simple and intuitive approach of modeling and forecasting correlations for use in portfolio optimization. The model is composite in nature and consists of elements based on a bivariate realized volatility model. Importantly, our framew
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ead0be7d14478ff83fc5c04e66d126da
https://doi.org/10.2139/ssrn.3301322
https://doi.org/10.2139/ssrn.3301322