Gambling on Momentum

no code implementations • 11 Nov 2022 • Marius Ötting, Christian Deutscher, Carl Singleton, Luca De Angelis

Sports betting markets are proven real-world laboratories to test theories of asset pricing anomalies and risky behaviour.

Time-Varying Poisson Autoregression

no code implementations • 22 Jul 2022 • Giovanni Angelini, Giuseppe Cavaliere, Enzo D'Innocenzo, Luca De Angelis

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 series of counts.

Time Series Time Series Analysis

Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models

no code implementations • 5 Feb 2022 • H. Peter Boswijk, Giuseppe Cavaliere, Luca De Angelis, A. M. Robert Taylor

We show that adaptive information criteria-based approaches can be used to estimate the autoregressive lag order to use in connection with bootstrap adaptive PLR tests, or to jointly determine the co-integration rank and the VAR lag length and that in both cases they are weakly consistent for these parameters in the presence of non-stationary volatility provided standard conditions hold on the penalty term.