Risk spillovers and interconnectedness between systemically important institutions
status: published
Environmental and energy performance assessment of hybrid ground source heat pump coupled with TABS emission system in t...
Hybrid Ground Source Heat Pump (GSHP) coupled with radiant emission system is a storage-integrated renewable HVAC technology. Previous attempts that assessed the potential of such a system either employed steady-state estimates or were limited to a few cases. However, incorporating system and building dynamics is crucial to accurately estimate the ...
The crisis alpha of managed futures : myth or reality?
We examine whether commodity trading advisors (CTAs), or managed futures, provide investors with diversification benefits in times of crises, along with looking into the source of such a “crisis alpha”. We developed a systematic crisis identification methodology that takes into account both, the magnitude and the speed of price deterioration and ap...
Price impact on term structure
We introduce a rst theory of price impact in presence of an interest-rates term structure. We explain how one can formulate instantaneous and transient price impact on zero-coupon bonds with di erent maturities, including a cross price impact that is endogenous to the term structure. We connect the introduced impact to classic noarbitrage theory fo...
Performance Analysis of Hybrid MTS/MTO Systems with Stochastic Demand and Production
We present a comprehensive numerical approach with reasonably light complexity in terms of implementation and computation for assessing the performance of hybrid make-to-stock (MTS)/make-to-order (MTO) systems. In such hybrid systems, semi-finished products are produced up front and stored in a decoupling inventory. When an order arrives, the produ...
Cobalt in end-of-life products in the EU, where does it end up? - The MaTrace approach.
Published in Resources, conservation, and recycling
The use of cobalt has experienced a strong growth in the last decades. Due to its high economic importance and high supply risk, it has been classified as a critical raw material for the EU and other economies. Part of the EU's strategy is intended to secure its availability, through fostering its efficient use and recycling. The latter is affected...
Flights to safety
We identify flight-to-safety (FTS) days for twenty-three countries using only stock and bond returns and a model averaging approach. FTS days comprise less than 2% of the sample and are associated with a 2.7% average bond-equity return differential and significant flows out of equity funds and into government bond and money market funds. FTS repres...
Political connections and informed trading: Evidence from TARP
We study insider trading behavior surrounding the largest bank bailout in history: Troubled Asset Relief Program (TARP). In politically connected banks, insider buying during the pre-TARP period is associated with increases in abnormal returns around bank-specific TARP announcement; for unconnected banks, trading and returns are uncorrelated. Resul...
FEAR, ANGER, AND CREDIT. ON BANK ROBBERIES AND LOAN CONDITIONS
status: published
The response of multinationals' foreign exchange rate exposure to macroeconomic news
© 2019 Elsevier Ltd We use intraday data to estimate the daily foreign exchange exposure of U.S. multinationals and show that macroeconomic news affects these firms’ foreign exchange exposure. News creates a substantial shift in the joint distribution of stock and exchange rate returns that has both a transitory and a persistent component. For exam...
