95 citations · 168 across the 22 of their papers we have counts for
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q-fin.ST2024
What events matter for exchange rate volatility ?
Igor Martins, Hedibert Freitas Lopes
This paper expands on stochastic volatility models by proposing a data-driven method to select the macroeconomic events most likely to impact volatility. The paper identifies and q…
q-fin.ST2021★ 1 cited
Trend-Following Strategies via Dynamic Momentum Learning
Bruno P. C. Levy, Hedibert F. Lopes
Time series momentum strategies are widely applied in the quantitative financial industry and its academic research has grown rapidly since the work of Moskowitz, Ooi and Pedersen…
q-fin.ST2021★ 1 cited
Dynamic Portfolio Allocation in High Dimensions using Sparse Risk Factors
Bruno P. C. Levy, Hedibert F. Lopes
We propose a fast and flexible method to scale multivariate return volatility predictions up to high-dimensions using a dynamic risk factor model. Our approach increases parsimony…