Statistical methods
- Documentation of the File Drawer Problem at Finance Conferences: A Follow-Up StudyManoela N. Morais and Matthew R. MoreyThe Journal of Investing August 2020, joi.2020.1.143; DOI: https://doi.org/10.3905/joi.2020.1.143
- Correlation and Regression Analysis of the Relation between Ethereum Price and Both Its Volume and Bitcoin PriceNurkhodzha Akbulaev, Ilkin Mammadov and Mehbube HemdullayevaThe Journal of Structured Finance July 2020, 26 (2) 46-56; DOI: https://doi.org/10.3905/jsf.2020.1.099
- Machine Trading: Theory, Advances, and ApplicationsDilip B. Madan and Yazid M. SharaihaThe Journal of Financial Data Science July 2020, 2 (3) 8-24; DOI: https://doi.org/10.3905/jfds.2020.1.039
- A Modified Hierarchical Risk Parity Framework for Portfolio ManagementMarat MolybogaThe Journal of Financial Data Science July 2020, 2 (3) 128-139; DOI: https://doi.org/10.3905/jfds.2020.1.038
- Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility FeaturesPeter Nystrup, Petter N. Kolm and Erik LindströmThe Journal of Financial Data Science July 2020, 2 (3) 25-39; DOI: https://doi.org/10.3905/jfds.2020.2.3.025
- Semi-Closed Form Prices of Barrier Options in the Time-Dependent CEV and CIR ModelsPeter Carr, Andrey Itkin and Dmitry MuraveyThe Journal of Derivatives July 2020, jod.2020.1.113; DOI: https://doi.org/10.3905/jod.2020.1.113
- Predicting Future Yields and Risk Premia: The Blue-Dot Affine ModelRiccardo Rebonato and Riccardo RonzaniThe Journal of Fixed Income June 2020, jfi.2020.1.099; DOI: https://doi.org/10.3905/jfi.2020.1.099
- Risk-Parity Optimality Even with Negative Sharpe Ratio AssetsBrian Jacobsen and Wai LeeThe Journal of Portfolio Management May 2020, 46 (6) 110-119; DOI: https://doi.org/10.3905/jpm.2020.1.151
- Market Timing with the Backward SADF TestWeilong Guo and Jacqueline GlymanThe Journal of Investing May 2020, 29 (4) 32-42; DOI: https://doi.org/10.3905/joi.2020.1.129
- PCA for Implied Volatility SurfacesMarco Avellaneda, Brian Healy, Andrew Papanicolaou and George PapanicolaouThe Journal of Financial Data Science April 2020, 2 (2) 85-109; DOI: https://doi.org/10.3905/jfds.2020.1.032
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