Research
02
Research
Papers, preprints, and longer write-ups. Each entry links to the full text.
- Asset Allocation of Sovereign Wealth Funds Why sovereign wealth funds hold what they hold: a case-study comparison of strategic and stabilizing commodity-backed funds — PIF, Samruk Kazyna, Alaska Permanent Fund and SOFAZ — showing that asset allocation follows fund type, and that the widely cited home bias disappears once type is accounted for.
- Combining direction and volatility forecasts of stock market returns A regime-switching GARCH-MIDAS model in which the market state is predicted from macroeconomic variables, with non-linear duration dependence and a new rule for identifying bull and bear regimes.