Search Results - "Paseka, Alexander"

Currency carry trade: The decline in performance after the 2008 Global Financial Crisis by Fan, Zhenzhen, Paseka, Alexander, Qi, Zhen, Zhang, Qi

“…This paper investigates the decline in performance of the carry strategy after the Global Financial Crisis (GFC) from a risk-based asset pricing perspective…”
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Asset pricing with an imprecise information set by Jacoby, Gady, Lee, Gemma, Paseka, Alexander, Wang, Yan

“…We provide a novel theoretical platform for pricing imprecise accounting information through a separate market risk premium, three distinct information-quality…”
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A Generalized Earnings‐Based Stock Valuation Model with Learning by Jacoby, Gady, Paseka, Alexander, Wang, Yan

“…We present a stock valuation model in an incomplete‐information environment in which the unobservable mean of earnings growth rate (MEGR) is learned and price…”
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Bond valuation for generalized Langevin processes with integrated Lévy noise by Paseka, Alex, Thavaneswaran, Aerambamoorthy

“…Purpose Recently, Stein et al. (2016) studied theoretical properties and parameter estimation of continuous time processes derived as solutions of a…”
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Fuzzy Option Pricing with Data-Driven Volatility using Novel Monte-Carlo Approach by Liang, You, Thavaneswaran, A., Paseka, Alexander, Bhanushali, Janakumar

“…Fuzzy numbers play an important part in the advanced theory of computational finance, which is undergoing a revolution aided by the powerful simulation and…”
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Portfolio Optimization Using a Novel Data-Driven EWMA Covariance Model with Big Data by Zhu, Zimo, Thavaneswaran, Aerambamoorthy, Paseka, Alexander, Frank, Julieta, Thulasiram, Ruppa

“…Recently there has been a growing interest in using machine learning methods with empirical variance covariance matrix of returns to study Markovitz portfolio…”
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A Novel Dynamic Data-Driven Algorithmic Trading Strategy Using Joint Forecasts of Volatility and Stock Price by Liang, You, Thavaneswaran, Aerambamoorthy, Paseka, Alexander, Zhu, Zimo, Thulasiram, Ruppa K.

“…Volatility forecasts and stock price forecasts play major roles in algorithmic trading. In this paper, joint forecasts of volatility and stock price are first…”
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Portfolio Optimization Using Novel Intelligent Probabilistic Forecasts of Risk Measures by Liang, You, Thavaneswaran, Aerambamoorthy, Paseka, Alexander, Thulasiram, Ruppa K., Johnson-Skinner, Ethan

“…There has been a growing interest in studying risk forecasting using data-driven exponential weighted moving average (DD-EWMA) volatility models as well as…”
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Debt valuation with endogenous default and Chapter 11 reorganization by Paseka, Alexander Ivanovich

“…We examine a continuous-time structural model of debt valuation with the possibility of default and Chapter 11 bankruptcy. In doing so, we derive Chapter 11…”
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Debt valuation with endogenous default and Chapter 11 reorganization by Paseka, Alexander Ivanovich

“…We examine a continuous-time structural model of debt valuation with the possibility of default and Chapter 11 bankruptcy. In doing so, we derive Chapter 11…”
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