Zobrazeno 1 - 10
of 28
pro vyhledávání: '"Babiak, Mykola"'
Autor:
Babiak, Mykola1 (AUTHOR) m.babiak@lancaster.ac.uk
Publikováno v:
Journal of Financial & Quantitative Analysis. Jun2024, Vol. 59 Issue 4, p1796-1820. 25p.
Autor:
Babiak, Mykola
Generalized Disappointment Aversion and the Variance Term Structure Contrary to leading asset pricing theories, recent empirical evidence indicates that financial markets compensate short-term equity volatility risk. An equilibrium model with general
Externí odkaz:
http://www.nusl.cz/ntk/nusl-410380
Autor:
Babiak, Mykola, Barunik, Jozef
This paper identifies new currency risk stemming from a network of idiosyncratic option-based currency volatilities and shows how such network risk is priced in the cross-section of currency returns. A portfolio that buys net-receivers and sells net-
Externí odkaz:
http://arxiv.org/abs/2101.09738
Autor:
Babiak, Mykola, Barunik, Jozef
We study dynamic portfolio choice of a long-horizon investor who uses deep learning methods to predict equity returns when forming optimal portfolios. Our results show statistically and economically significant benefits from using deep learning to fo
Externí odkaz:
http://arxiv.org/abs/2009.03394