Quantitative Methods in Finance using R
Posts by Collection
portfolio
publications
How easy is it to understand consumer finance?
Burke, M., & Fry, J. (2019). How easy is it to understand consumer finance?. Economics Letters, 177, 1-4.
We ask if consumer finance websites are easy enough to understand. Our results show that all consumer finance websites are hard to read.
An options pricing approach to election prediction
Fry, J., & Burke, M. (2020). An options-pricing approach to election prediction. Quantitative Finance, 20(10), 1583-1589.
Election forecasting errors appear chiefly due to the mode of extracting outcomes from the polled share of the vote.
Climate Change and Fiscal Sustainability: Risks and Opportunities
Agarwala, M., Burke, M., Klusak, P., Mohaddes, K., Volz, U., & Zenghelis, D. (2021). CLIMATE CHANGE AND FISCAL SUSTAINABILITY: RISKS AND OPPORTUNITIES. National Institute Economic Review, 258, 28-46.
Both the physical and transition-related impacts of climate change pose substantial macroeconomic risks. Yet, markets still lack credible estimates of how climate change will affect debt sustainability, sovereign creditworthiness and the public finances of major economies. We present a taxonomy for tracing the physical and transition impacts of climate change through to impacts on sovereign risk. We then apply the taxonomy to the UK potential transition to net zero. Meeting internationally agreed climate targets will require an unprecedented structural transformation of the global economy over the next two or three decades. The changing landscape of risks warrants new risk management and hedging strategies to contain climate risk and minimise the impact of asset stranding and asset devaluation. Yet, conditional on action being taken early, the opportunities from managing a net zero transition would substantially outweigh the costs.
Attention to Authority: The behavioural finance of Covid-19
Burke, M., Fry, J., Kemp, S., & Woodhouse, D. (2022). Attention to Authority: The behavioural finance of Covid-19. Finance Research Letters. 103081
In this paper we investigate the predictability of cryptocurrency returns following increases in Covid-19 cases/deaths. We find that the rate of government intervention moderates the impact that Covid-19 cases/deaths have on cryptocurrency returns. We show that in periods of tightening government intervention, increases in Covid-19 cases positively predict cryptocurrency returns. We argue that this is due to investors imputing their expectations of the pandemic through a 'combined' signal.
Nature Loss and Sovereign Credit Ratings
Agarwala, M., Burke, M., Klusak, P., Kraemer, M., & Volz, U. (2022). Nature loss and sovereign credit ratings.
Rising Temperatures, Falling Ratings: The Effect of Climate Change on Sovereign Creditworthiness
Klusak, P., Agarwala, M., Burke, M., Kraemer, M., & Mohaddes, K. (2021). Rising temperatures, falling ratings: The effect of climate change on sovereign creditworthiness. Management Science
talks
Talk 1 on Relevant Topic in Your Field
This is a description of your talk, which is a markdown files that can be all markdown-ified like any other post. Yay markdown!
Conference Proceeding talk 3 on Relevant Topic in Your Field
This is a description of your conference proceedings talk, note the different field in type. You can put anything in this field.
teaching
Teaching experience 1
Undergraduate course, University 1, Department, 2014
This is a description of a teaching experience. You can use markdown like any other post.
Teaching experience 2
Workshop, University 1, Department, 2015
This is a description of a teaching experience. You can use markdown like any other post.