no code implementations • 24 Jan 2021 • Mykola Babiak, Jozef Barunik
This paper identifies new currency risk stemming from a network of idiosyncratic option-based currency volatilities and shows how such network risk is priced in the cross-section of currency returns.
no code implementations • 7 Sep 2020 • Mykola Babiak, Jozef Barunik
We study dynamic portfolio choice of a long-horizon investor who uses deep learning methods to predict equity returns when forming optimal portfolios.