Zobrazeno 1 - 10
of 162
pro vyhledávání: '"SERGIO M. FOCARDI"'
Publikováno v:
The Journal of Portfolio Management. 47:141-158
Environmental issues including mitigating climate change, reducing pollution, and halting exhaustion of natural resources are no longer marginal cultural issues but have become parts of serious government plans with substantial funding in both the Un
Publikováno v:
Decisions in Economics and Finance. 44:863-882
In this paper, we apply dynamic factor analysis to model the joint behaviour of Bitcoin, Ethereum, Litecoin and Monero, as a representative basket of the cryptocurrencies asset class. The empirical results suggest that the basket price is suitably de
Publikováno v:
The Journal of Derivatives. 28:79-98
In this article, the authors discuss the use of quantum probability, that is, the probability theory of quantum mechanics, for option pricing and for finance in general. The authors discuss the motivations for applying quantum probability to finance.
Autor:
Frank J. Fabozzi, Sergio M. Focardi
Publikováno v:
The Journal of Portfolio Management. 46:95-107
In this article, the authors explain how asset owners and asset managers should behave to cope with new regulations and risks related to climate change. By optimizing portfolios with constraints on the global portfolio carbon footprint, it is possibl
Autor:
Marco Patacca, Sergio M. Focardi
In this paper we analyze the existence of cointegrating relationships between Bitcoin, S&P 500, and the quantity of money M2. We perform our analysis with and without applying time warping pre-processing. In all cases we find strong evidence that, in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9157832bc134fac8de3f1c95daf48780
https://hdl.handle.net/2108/309524
https://hdl.handle.net/2108/309524
In this paper we test for regime changes and possible regime commonalities in the price dynamics of Bitcoin, Ethereum, Litecoin and Monero, as representatives of the cryptocurrencies asset class. Several parametric models are considered for the joint
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::42741d9b8bd891ef7b491cc42a5499eb
https://hdl.handle.net/2108/309522
https://hdl.handle.net/2108/309522
Autor:
Frank J. Fabozzi, Michele Leonardo Bianchi, Stoyan V. Stoyanov, Sergio M. Focardi, Gian Luca Tassinari
Publikováno v:
World Scientific Handbook in Financial Economics Series ISBN: 9789813274914
World Scientific Handbook in Financial Economics Series
World Scientific Handbook in Financial Economics Series
The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their sta
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c07d14f80dc5502c200b37cf5f00e385
https://doi.org/10.1142/11118
https://doi.org/10.1142/11118
Publikováno v:
SSRN Electronic Journal.
In this paper we test for regime changes in the price dynamics of Bitcoin, Ethereum, Litecoin and Monero, as representatives of the cryptocurrencies asset class. Data are observed daily from January, 1, 2016 to October, 15, 2019. Best specifications
Publikováno v:
The Journal of Portfolio Management. 42:94-106
In this article, the authors provide a nontechnical discussion of a number of practical and theoretical issues associated with implementing factor models used to explain or forecast equity returns. The first issue is determining the number of factors
Publikováno v:
Journal of Banking & Finance. 65:134-155
Statistical arbitrage strategies are typically based on models of returns. We introduce a new statistical arbitrage strategy based on dynamic factor models of prices. Our objective in this paper is to exploit the mean-reverting properties of prices r