The Efficiency vs. Pricing Accuracy Trade-Offin GMM Estimation of Multifactor Linear Asset Pricing Models
Journal of Business & Economic Statistics, 2026 Abstract Even though a multifactor linear asset pricing model can be written equivalently in Beta or Stochastic Discount Factor (SDF) form, the two representations need not deliver the same inferential properties when estimated by the generalized method of moments (GMM). Using a multifactor linear asset pricing model, we combine bootstrapped simulations with analytical approximations to compare the sampling variances of GMM esti
Informativeness of the federal reserve chair communication’s sentiment on the monetary policy uncertainty
Annals of Operations Research, 2024 ( https://doi.org/10.1007/s10479-024-06414-6 ) Abstract Can a single personal communication have a...
Equity Risk Premium Predictability from Cross-Sectoral Downturns
(Accepted for publication in "Review of Asset Pricing Studies") Abstract We illustrate the role of left tail dependence variables – left...
The Implications of Dependence, Tail Dependence, and Bounds’ Measures for Counterparty Credit Risk
(Accepted for publication in "Journal of Financial Stability") Abstract This paper investigates the counterparty credit risk of interest...
On quadratic forms in multivariate generalized hyperbolic random vectors (Biometrika - Accepted)
Abstract Exact and approximate expressions for tail probabilities and partial moments of quadratic forms in multivariate generalized...
Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network
Abstract In this study the tail systemic risk of the Brazilian banking system is examined, using the conditional quantile as the risk...
Multivariate Elliptical Truncated Moments (Journal of Multivariate Analysis - Vol 157, pp.29-44)
Abstract In this study, we derive analytic expressions for the elliptical truncated moment generating function (MGF), the zeroth-,...
A Moment-based Analytic Approximation of the Risk-Neutral Density of American Options (AMF - Vol 23)
Abstract The price of a European option can be computed as the expected value of the payoff function under the risk-neutral measure. For ...
The profitability of moving average trading rules in BRICS and emerging stock markets
Abstract Technical analysis and trading systems have been widely used by practitioners in financial markets. Since some academic studies...
Validation of default probability models: A stress testing approach (Int. Rev. Fin. Ana. - Vol 47)
Abstract This study aims to evaluate the techniques used for the validation of default probability (DP) models. By generating simulated...