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André Souza (ESADE Business School.) “How to Bet on Winners “
Finance & Financial Econometrics : Time: 10.00 am Date: 30th of January 2025 Room 3001 André SOUZA (ESADE Business School.) "How to Bet on Winners " Abstract :We study the construction of long-short portfolios on the basis of cross-sectional stock return predictions. We derive optimal portfolio construction procedures for a number of loss functions. The […]
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Mawuli SEGNON (Universität Münster) “Strict stationarity and Long memory of MIDAS volatility models”
Finance & Financial Econometrics : Time: 11.00 am Date: 30th of January 2025 Room 3001 Mawuli SEGNON (Universität Münster) "Strict stationarity and Long memory of MIDAS volatility models" Abstract :This paper establishes the necessary and sufficient conditions for the weak and strict stationarity of MIDAS volatility models. Furthermore, we also provide conditions for the existence […]
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