PGP for portfolio optimization: application to ESG index family
The conventional portfolio design approach assumes Gaussian return distributions, but this is not accurate in practice. Asymmetric and heavy-tailed return distributions necessitate consideration of higher-order moments such as skewness and kurtosis, in addition to mean and variance.
The inflation loop is not a myth
This paper is part of the current debate around the wage-price spiral as inflation surges rapidly, and it assesses empirically whether the prevalence of wage indexation arrangements and the balance of bargaining power between workers and firms can explain cross-country differences in the dynamics
Time–frequency dependence and connectedness between financial technology and green assets
This paper provides new evidence on the dynamic dependence and connectedness between investments in Financial Technology (FinTech) and green assets across different market conditions and investment horizons.
Too big to be ignored: How energy poverty undermines productive efficiency
Productive efficiency has far-reaching implications on the direction of economic growth and welfare. While this has led to an expansive literature on the drivers of productive efficiency, this literature has proceeded without considering the role of energy poverty.
Analyzing Commodity Futures and Stock Market Indices: Hedging Strategies using Asymmetric Dynamic Conditional Correlation Models
The focus of this paper is on analyzing the behavior of commodity futures indices and stock market indices in terms of price volatility and hedging.