Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help?
Annals Of Operations Research, 2021, vol.299, no. 1-2, pp.1317-1356
Mildly explosive dynamics in U.S. fixed income markets
European Journal Of Operational Research, 2020, vol.287, no. 2, pp.712-724
Arbitrage risk and a sentiment as causes of persistent mispricing: The European evidence
The Quarterly Review Of Economics And Finance, 2020, vol.76, pp.1-11
Monetary policy after the crisis: A threat to hedge funds' alphas?
Journal Of Asset Management, 2020, vol.21, no. 3, pp.219-238
An empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paid ratings
Journal Of Corporate Finance, 2019, vol.59, pp.88-118
Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach
Journal Of Financial Markets, 2019, vol.45, pp.83-114