Year 2024

• Dot-com and AI bubbles: Can data from the past be helpful to match the price bubble euphoria phase using dynamic time warping?

  Publication

  • M. Potrykus

  - Finance Research Letters - Year 2024

  The article investigates the existence of a price bubble in the artificial intelligence market, employing the Generalised Supremum Augmented Dickey-Fuller test and dynamic time warping methodology. It proposes a method to detect the end of the price bubble euphoria phase, generating an average profit of close to 7% over 5 days and over 10.5% over 20 days, with almost 90% effectiveness. The study found that the AI market experienced...

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Year 2023

• Factor seasonalities: International and further evidence

  Publication

  • A. Mercik
  • D. Cupriak
  • A. Zaremba

  - Finance Research Letters - Year 2023

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Year 2022

• Is geopolitical risk priced in the cross-section of cryptocurrency returns?

  Publication

  • H. Long
  • E. Demir
  • B. Będowska-Sójka
  • A. Zaremba
  • S. Shahzad

  - Finance Research Letters - Year 2022

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• Is tail risk priced in the cross-section of Chinese mutual fund returns?

  Publication

  • L. Yang
  • Y. Long
  • H. Long
  • A. Zaremba
  • W. Zhou

  - Finance Research Letters - Year 2022

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• Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets

  Publication

  • A. Zaremba
  • R. Kizys
  • D. Aharon
  • Z. Umar

  - Finance Research Letters - Year 2022

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• The Return and Volatility Connectedness of NFT Segments and Media Coverage: Fresh Evidence Based on News About the COVID-19 Pandemic

  Publication

  • Z. Umar
  • A. Abrar
  • A. Zaremba
  • T. Teplova
  • X. Vo

  - Finance Research Letters - Year 2022

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Year 2021

• Patterns of Spillover in Energy, Agricultural, and Metal Markets: A Connectedness Analysis for Years 1780-2020

  Publication

  • Z. Umar
  • Y. Riaz
  • A. Zaremba

  - Finance Research Letters - Year 2021

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• Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic

  Publication

  • A. Zaremba
  • R. Kizys
  • D. Aharon

  - Finance Research Letters - Year 2021

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Year 2018

• Idiosyncratic volatility, returns, and mispricing: No real anomaly in sight

  Publication

  • A. Zaremba
  • A. Czapkiewicz
  • B. Będowska-Sójka

  - Finance Research Letters - Year 2018

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Year 2017

• Performance persistence of government bond factor premia

  Publication

  • A. Zaremba

  - Finance Research Letters - Year 2017

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Year 2016

• Risk-based explanation for the country-level size and value effects

  Publication

  • A. Zaremba

  - Finance Research Letters - Year 2016

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