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Hedonic Models of Real Estate Prices: GAM and Environmental Factors
We consider the use of P-spline generalized additive hedonic models for real estate prices in large U. S. cities, contrasting their predictive efficiency against linear and polynomial based generalized linear models.
ESG-Valued Portfolio Optimization and Dynamic Asset Pricing
ESG ratings provide a quantitative measure for socially responsible investment.
Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes
The first combines NDIG option pricing with the Cboe VIX model to compute an implied volatility; the second uses the volatility of the unit time increment of the NDIG model.
Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation
Out-of-sample tests show that the optimal portfolios with tail measures outperform the optimal portfolio with standard deviation measure and the equally weighted portfolio in various performance measures.
Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as anomalies the theory of rational finance cannot explain: Predictability of asset returns, The Equity Premium, (The Volatility Puzzle.
