This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first...

This article assesses the communication of the European Central Bank (ECB) using Natural Language Processing (NLP) techniques.

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions.

This paper tries to forecast exchange rates by comparing forecasting methods that take into account cointegration and methods that do not.

When it comes to individual stock option pricing, most applications consider a univariate framework.

We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from...