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Volume 18, Issue 5

Quantitative Finance

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Quantitative Finance, Volume 18, Issue 5 (2018)

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Quantitative Finance, Volume 18, Issue 5 (2018)

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Vol 24, 2024 Vol 23, 2023 Vol 22, 2022 Vol 21, 2021 Vol 20, 2020 Vol 19, 2019 Volume 18, 2018 Vol 17, 2017 Vol 16, 2016 Vol 15, 2015 Vol 14, 2014 Vol 13, 2013 Vol 12, 2012 Vol 11, 2011 Vol 10, 2010 Vol 9, 2009 Vol 8, 2008 Vol 7, 2007 Vol 6, 2006 Vol 5, 2005 Vol 4, 2004 Vol 3, 2003 Vol 2, 2002 Vol 1, 2001

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The 23rd Forecasting Financial Markets Conference

Features

Article

Combining standard and behavioral portfolio theories: a practical and intuitive approach

Alexandre Alles Rodrigues & Sébastien Lleo

Pages: 707-717

Published online: 05 Dec 2017

AbstractforCombining standard and behavioral portfolio theories: a practical and intuitive approach | Full Text | References | PDF (663.3 KB)

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Calendar

Page: 719

Published online: 13 Apr 2018

CitationforCalendar | Full Text | PDF (39.9 KB)

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Foreword

Introduction

Special Issue of Quantitative Finance on the ‘23rd Forecasting Financial Markets Conference’

Jason Laws & Georgios Sermpinis

Pages: 723-724

Published online: 13 Apr 2018

CitationforSpecial Issue of Quantitative Finance on the ‘23rd Forecasting Financial Markets Conference’ | Full Text | PDF (122.1 KB)

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Free Access

Special Issue Papers

Article

Ultra-high-frequency lead–lag relationship and information arrival

Thong Minh Dao, Frank McGroarty & Andrew Urquhart

Pages: 725-735

Published online: 23 Jan 2018

AbstractforUltra-high-frequency lead–lag relationship and information arrival | Full Text | References | PDF (657.6 KB)

611 Views
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Article

Forecasting and trading high frequency volatility on large indices

Fei Liu, Athanasios A. Pantelous & Hans-Jörg von Mettenheim

Pages: 737-748

Published online: 23 Jan 2018

AbstractforForecasting and trading high frequency volatility on large indices | Full Text | References | PDF (570.6 KB)

941 Views
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Article

Point and density prediction of intra-day volume using Bayesian linear ACV models: evidence from the Polish stock market

Roman Huptas

Pages: 749-760

Published online: 23 Jan 2018

AbstractforPoint and density prediction of intra-day volume using Bayesian linear ACV models: evidence from the Polish stock market | Full Text | References | PDF (261.5 KB)

177 Views
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Article

Neural network copula portfolio optimization for exchange traded funds

Yang Zhao, Charalampos Stasinakis, Georgios Sermpinis & Yukun Shi

Pages: 761-775

Published online: 23 Jan 2018

AbstractforNeural network copula portfolio optimization for exchange traded funds | Full Text | References | PDF (540.6 KB) | Supplemental

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Article

Correlation as probability: applications of Sheppard’s formula to financial assets

Javier Giner, Judit Mendoza Aguilar & Sandra Morini-Marrero

Pages: 777-787

Published online: 23 Jan 2018

AbstractforCorrelation as probability: applications of Sheppard’s formula to financial assets | Full Text | References | PDF (1.1 MB)

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Article

Cross-border exchanges and volatility forecasting

Abhinav Goyal, Vasileios Kallinterakis, Dimos Kambouroudis & Jason Laws

Pages: 789-799

Published online: 23 Jan 2018

AbstractforCross-border exchanges and volatility forecasting | Full Text | References | PDF (285.9 KB)

281 Views
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Article

The shifting dependence dynamics between the G7 stock markets

Ahmed BenSaïda, Sabri Boubaker & Duc Khuong Nguyen

Pages: 801-812

Published online: 23 Jan 2018

AbstractforThe shifting dependence dynamics between the G7 stock markets | Full Text | References | PDF (2.2 MB)

402 Views
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Article

Cross-sectional dispersion and expected returns

Thanos Verousis & Nikolaos Voukelatos

Pages: 813-826

Published online: 23 Jan 2018

AbstractforCross-sectional dispersion and expected returns | Full Text | References | PDF (544.5 KB)

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Article

Government bond yields in Germany and Spain—empirical evidence from better days

Tobias Basse, Christoph Wegener & Frederik Kunze

Pages: 827-835

Published online: 23 Jan 2018

AbstractforGovernment bond yields in Germany and Spain—empirical evidence from better days | Full Text | References | PDF (580.1 KB)

338 Views
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Article

Monetary policy and stock valuation: structural VAR identification and size effects

Alexandros Kontonikas & Zivile Zekaite

Pages: 837-848

Published online: 23 Jan 2018

AbstractforMonetary policy and stock valuation: structural VAR identification and size effects | Full Text | References | PDF (677.5 KB) | Supplemental

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Research Papers

Article

A dynamic equilibrium model for U-shaped pricing kernels

Akira Yamazaki

Pages: 851-875

Published online: 20 Nov 2017

AbstractforA dynamic equilibrium model for U-shaped pricing kernels | Full Text | References | PDF (1.8 MB)

211 Views
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Article

Estimating a regime switching pairs trading model

Robert J. Elliott & Reza Bradrania

Pages: 877-883

Published online: 19 Dec 2017

AbstractforEstimating a regime switching pairs trading model | Full Text | References | PDF (208.9 KB)

649 Views
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Errata

Correction

Erratum

Page: ei

Published online: 02 Feb 2018

CitationforErratum | Full Text | PDF (110.3 KB)

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Quantitative Finance (Vol.18, Iss.5, 2018)

The 23rd Forecasting Financial Markets Conference

The 23rd Forecasting Financial Markets Conference

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