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Marcial Messmer and Francesco Audrino
We investigate whether Lasso-type linear methods are able to improve the predictive accuracy of OLS in selecting relevant firm characteristics for forecasting the future cross-section of stock returns. Through extensive Monte Carlo simulations, we show t...
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Arne Vogler and Florian Ziel
The present paper considers the problem of choosing among a collection of competing electricity price forecasting models to address a stochastic decision-making problem. We propose an event-based evaluation framework applicable to any optimization proble...
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Chiara Binelli
Several important questions cannot be answered with the standard toolkit of causal inference since all subjects are treated for a given period and thus there is no control group. One example of this type of questions is the impact of carbon dioxide emiss...
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Ishaq Saidu,Abbas Abdullahi Marafa
Pág. 9 - 17
This paper examines whether financial services (McKinnon conduit) or provision of credit is more effective in reducing poverty in Nigeria using data for the period 1980-2018. It employs Autoregressive and Distributed Lag Model (ARDL) Approach to estimate...
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Constandina Koki, Stefanos Leonardos and Georgios Piliouras
We study the Bitcoin and Ether price series under a financial perspective. Specifically, we use two econometric models to perform a two-layer analysis to study the correlation and prediction of Bitcoin and Ether price series with traditional assets. In t...
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Marcel Ausloos
Many still rightly wonder whether accounting numbers affect business value. Basic questions are ?why?? and ?how?? We aim at promoting an objective choice on how optimizing the most suitable valuation methods under a ?value-based management? framework thr...
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Bodo Herzog and Sufyan Osamah
This paper studies option pricing based on a reverse engineering (RE) approach. We utilize artificial intelligence in order to numerically compute the prices of options. The data consist of more than 5000 call- and put-options from the German stock marke...
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Marwa Zouaoui
This paper empirically compares the market timing, the stock selection and the performance persistence of Islamic and conventional HSBC Saudi mutual funds by using monthly returns from April 2011 to December 2018. The data was grouped into five portfolio...
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Kingsley Nwala
Pág. 26 - 34
This paper examines the determinants of economic growth in North Carolina using Autoregressive Distributed lag (ARDL) model approach, Co-integration, and Bounds tests. The state?s gross domestic product, gross investment, labor force, literac...
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Zouheir Ahmed Mighri,Majid Ibrahim Al Saggaf
Pág. 210 - 219
We investigate the dynamic relationship between the gold and silver prices using the Enders-Siklos threshold cointegration approach. Our data are the weekly prices of the gold and silver from January 1968 to May 2016. We find a, asymmetric threshold coin...
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