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Ajmalud Din, Rozina Gul, Hamayoon Khan, Julian Garcia-Abadillo Velasco, Reyna Persa, Julio Isidro y Sánchez and Diego Jarquin
Chickpea is the second most important legume crop in pulses, and its performance is greatly influenced by environmental factors inducing a change in the response patterns, complicating the selection of the best cultivar(s). The genotype-by-environment (G...
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Dean Fantazzini
In this paper, we analyzed a dataset of over 2000 crypto-assets to assess their credit risk by computing their probability of death using the daily range. Unlike conventional low-frequency volatility models that only utilize close-to-close prices, the da...
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Bayram Veli Salur and Cumhur Ekinci
We examine whether investor sentiment can explain anomalies such as size and book-to-market in the US stock market. Differently from the literature, we test combination portfolios (portfolios formed on more than one factor such as size, book-to-market ra...
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Tebra Triki, Leila Bennani, Faiza Boussora, Samir Tlahig, Sihem Ben Ali, Amel Gasmi, Hedi Yahia, Khaled Belhouchette, Mohamed Loumerem and Ferdaous Guasmi
Pearl millet (Pennisetum glaucum (L.) R. Br., 2n = 2x = 14, Poaceae), is a cross-pollinated, warm-season crop grown worldwide. To select genotypes for breeding pearl millet cultivars that adapt to drought condition in southern Tunisia, we evaluated the g...
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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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Jules Clément Mba, Sutene Mwambetania Mwambi and Edson Pindza
Since its inception in 2009, Bitcoin has increasingly gained main stream attention from the general population to institutional investors. Several models, from GARCH type to jump-diffusion type, have been developed to dynamically capture the price moveme...
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Jules Clément Mba, Kofi Agyarko Ababio and Samuel Kwaku Agyei
This paper investigates the robustness of the conventional mean-variance (MV) optimization model by making two adjustments within the MV formulation. First, the portfolio selection based on a behavioral decision-making theory that encapsulates the MV sta...
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Ali Trabelsi Karoui,Aida Kammoun
Pág. 89 - 106
This paper represents a new approach in the exchange rate determination by using microstructural and macroeconomic variables. We test a combination of fundamentals and microstructure variables in cointegrated relationship of the USD/JPY and USD/GBP curre...
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Marek Kwas and Michal Rubaszek
The random walk, no-change forecast is a customary benchmark in the literature on forecasting commodity prices. We challenge this custom by examining whether alternative models are more suited for this purpose. Based on a literature review and the result...
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Monica Defend, Aleksey Min, Lorenzo Portelli, Franz Ramsauer, Francesco Sandrini and Rudi Zagst
This article considers the estimation of Approximate Dynamic Factor Models with homoscedastic, cross-sectionally correlated errors for incomplete panel data. In contrast to existing estimation approaches, the presented estimation method comprises two exp...
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