Zobrazeno 1 - 10 of 22 pro vyhledávání: '"Dimitrios Stafylas"'
1
The diversification benefits of cryptocurrency asset categories and estimation risk: pre and post Covid-19
Autor: David Newton, Charles Sutcliffe, Weihao Han, Dimitrios Stafylas, Xinyu Huang, Emmanouil Platanakis
Publikováno v: The European Journal of Finance. :1-26
We examine the diversification benefits of cryptocurrency asset categories. To mitigate the effects of estimation risk, we employ the Bayes-Stein model with no short-selling and variance-based constraints. We estimate the inputs using lasso regressio
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cf39016eb0c0ffd60b6f705daec31b52
https://doi.org/10.1080/1351847x.2022.2033806
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6
Hedge fund strategies, performance & diversification: A portfolio theory & stochastic discount factor approach
Autor: Dimitrios Stafylas, Emmanouil Platanakis, Xiaoxia Ye, David Newton, Charles Sutcliffe
Publikováno v: Newton, D, Platanakis, E, Stafylas, D, Sutcliffe, C & Ye, X 2021, ' Hedge fund strategies, performance & diversification: A portfolio theory & stochastic discount factor approach ', British Accounting Review, vol. 53, no. 5, 101000 . https://doi.org/10.1016/j.bar.2021.101000
The British Accounting Review
For 5,500 North American hedge funds following 11 different strategies, we analyse the stand-alone performance of these strategies using a stochastic discount factor approach. Employing the same data, we then consider the diversification benefits of
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::68a41dc6adad4cd91c54ae3d915f5a6e
https://purehost.bath.ac.uk/ws/files/221052006/Hedge_Funds_Stategies_paper_final_paper.pdf
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7
A conceptual alternative forecasting model for alternative investments
Autor: Konstantina Mari, Dimitrios Stafylas
Publikováno v: The Journal of Prediction Markets. 12:1-25
In this article we present a conceptual model for forecasting purposes that can be used from fund managers or investors. Our conceptual model is a hybrid model and borrows concepts from machine learning; more specifically, from artificial neural netw
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::6dc51b290daa2509fb6216d7cab9c65a
https://doi.org/10.5750/jpm.v12i2.1541
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8
Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods
Autor: Athanasios Andrikopoulos, Dimitrios Stafylas
We analyse the drivers of hedge fund performance, focusing simultaneously on fund size, age, lockup period, fund strategies, business cycles and different market conditions, dealing with the omitted variable bias. We use exogenous break points and a
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::096140dec5e559eb572305e76cb2e7b0
https://publications.aston.ac.uk/id/eprint/40874/1/good_and_bad_economic.pdf
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9
Dependences and volatility spillovers between the oil and stock markets : New evidence from the copula and VAR-BEKK-GARCH models
Autor: Kaijian He, Lean Yu, Dimitrios Stafylas, Rui Zha, Jia Liu
Publikováno v: Yu, L, Zha, R, Stafylas, D, He, K & Liu, J 2020, ' Dependences and volatility spillovers between the oil and stock markets: new evidence from the copula and VAR-BEKK-GARCH models ', International Review of Financial Analysis, vol. 68, 101280 . https://doi.org/10.1016/j.irfa.2018.11.007
This paper examines the dynamic relationship between the oil market and stock markets from\ud two perspectives: dependence between the crude oil market (WTI) and stock markets of the\ud US and China, and volatility spillovers between them during 1991
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9957ad8f2a2e7d231e657b961b8cba39
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10
Future directions in international financial integration research - A crowdsourced perspective
Autor: Nebojsa Dimic, Charles James Larkin, Simon Wolfe, Laura Ballester, Larisa Yarovaya, Brian M. Lucey, Richard McGee, Viviana Fernandez, Frank McGroarty, Leonidas G. Barbopoulos, Conor Neville, Anh N. Vu, Vanja Piljak, Pia Helbing, Fearghal Kearney, Roald J. Versteeg, Igor Loncarski, Aleksandar Šević, Andrea Zaghini, Samuel A. Vigne, Annika Lindblad, Riste Ichev, Janusz Brzeszczyński, Fabian Gogolin, Martha O'Hagan-Luff, Dimitrios Stafylas, Ana González-Urteaga, Matej Marinč, Andrew Urquhart, Elaine Laing, Xin Sheng, Kim Cuong Ly, Oscar Carchano, John W. Goodell
Publikováno v: Lucey, B M, Vigne, S, Ballester, L, Barbopoulos, L, Brzeszczynski, J, Carchano, O, Dimic, N, Fernandez, V, Gogolin, F, González-Urteaga, A, Goodell, J W, Helbing, P, Ichev, R, Kearney, F, Laing, E, Larkin, C J, Lindblad, A, Loncarski, I, Ly, K C, Marinc, M, McGee, R J, McGroarty, F, Neville, C, O’Hagan-Luff, M, Piljak, V, Sevic, A, Sheng, X, Stafylas, D, Urquhart, A, Versteeg, R, Vu, A N, Wolfe, S, Yarovaya, L & Zaghini, A 2018, ' Future directions in International Financial Integration Research-A Crowdsourced Perspective ', International Review of Financial Analysis, vol. 55, pp. 35-49 . https://doi.org/10.1016/j.irfa.2017.10.008
Academica-e: Repositorio Institucional de la Universidad Pública de Navarra
Universidad Pública de Navarra
Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
instname
This paper is the result of a crowdsourced effort to surface perspectives on the present and future direction of international finance. The authors are researchers in financial economics who attended the INFINITI 2017 conference in the University of
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::14e5bbe451f5f1b859c2e4f5ecb55d33
https://doi.org/10.1016/j.irfa.2017.10.008
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