Zobrazeno 1 - 10
of 12
pro vyhledávání: '"Mirco Rubin"'
Publikováno v:
SSRN Electronic Journal.
Autor:
Gianpaolo Parise, Mirco Rubin
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
Journal of Financial Econometrics. 18:585-628
This article presents tests for the existence of common factors spanning two large panels/groups of macroeconomic and financial variables, and the estimation of common and group-specific factors. New analytical results are derived regarding (i) the d
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
Journal of Financial Econometrics. 19:650-706
We study positional portfolio management strategies in which the manager maximizes an expected utility function written on the cross-sectional rank (position) of the portfolio return. The objective function reflects the manager’s goal to be well-ra
Autor:
Mirco Rubin, Dario Ruzzi
This paper quantifies the effects of equity tail risk on the US government bond market. We estimate equity tail risk with option-implied stock market volatility that stems from large negative price jumps, and we assess its value in reduced-form predi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bbac4700b5b651628f3c0274d6befa4e
http://arxiv.org/abs/2007.05933
http://arxiv.org/abs/2007.05933
Autor:
Mirco Rubin, Dario Ruzzi
Publikováno v:
SSRN Electronic Journal.
This paper quantifies the effects of equity tail risk on the US government bond market. We estimate equity tail risk as the option-implied stock market volatility that stems from large negative jumps as in Bollerslev, Todorov and Xu (2015), and asses
Publikováno v:
SSRN Electronic Journal.
We propose a new class of large approximate factor models which enable us to study the full spectrum of quarterly Industrial Production (IP) sector data combined with annual non-IP sectors of the economy. We derive the large sample properties of the