54 citations · 150 across the 9 of their papers we have counts for
3 papers · 1 filter
Gambling on Momentum
Marius Ötting, Christian Deutscher, Carl Singleton +1
Sports betting markets are proven real-world laboratories to test theories of asset pricing anomalies and risky behaviour. Using a high-frequency dataset provided directly by a maj…
Time-Varying Poisson Autoregression
Giovanni Angelini, Giuseppe Cavaliere, Enzo D'Innocenzo +1
In this paper we propose a new time-varying econometric model, called Time-Varying Poisson AutoRegressive with eXogenous covariates (TV-PARX), suited to model and forecast time ser…
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
H. Peter Boswijk, Giuseppe Cavaliere, Luca De Angelis +1
Standard methods, such as sequential procedures based on Johansen's (pseudo-)likelihood ratio (PLR) test, for determining the co-integration rank of a vector autoregressive (VAR) s…