Klaus Grobys

Assistant Professor

Ph.D.
Faculty of Business Studies, Accounting and Finance
E-mail: firstname.lastname@uva.fi
Address: Wolffintie 34, 65200 Vaasa
Office: Tervahovi D319 

Publications and scientific activities:

» Research Database SoleCRIS

Research

Refereed Publications:

Grobys, K., 2018, Risk-managed 52-week high industry momentum, momentum crashes, and hedging macroeconomic risk, Quantitative Finance, forthcoming.

Grobys, K., Ruotsalainen, J., Äijö, J., 2018, Risk-managed industry momentum and momentum crashes, Quantitative Finance, forthcoming.

Grobys, K., & Heinonen, J.-P., 2017, Option-implied volatility spillover indices for FX risk factors, Economics Letters, forthcoming.

Grobys, K., & Haga, J., 2017, Are momentum crashes pervasive regardless of strategy? Evidence from the foreign exchange market, Applied Economics Letters, forthcoming.

Grobys, K., & Heinonen, J.-P., 2016, Does option-implied cross-sectional return dispersion forecast realized cross-sectional return dispersion? Evidence from the G10 currencies, Journal of Futures Markets, forthcoming.

Grobys, K., 2016, Momentum crash, credit risk and optionality effects in bear markets and crisis periods: Evidence from the US stock market, Applied Economics Letters, forthcoming.

Grobys, K. & Heinonen, J.-P., 2016, Is there a credit risk anomaly in FX markets? Finance Research Letters 18, 1-6.

Grobys, K. & Haga, J., 2016, Identifying portfolio-based risk factors in equity markets, Finance Research Letters, forthcoming.

Grobys, K., 2015, Another look at momentum crashes: Momentum in the European Monetary Union, accepted paper, Applied Economics.

Grobys, K., 2015, Is the asset growth anomaly driven by macroeconomic states? Applied Economics Letters (forthcoming).

Grobys, K. & Haga, J., 2015, The market price of credit risk and economic states, Empirical Economics 50, 1111-1134.

Grobys, K., 2015, Are volatility spillovers between currency and equity market driven by economic states? Evidence from the US economy, Economics Letters 127, 72-75.

Grobys, K., 2014, Momentum in global equity markets in times of troubles: Does the economic state matter? Economics Letters 123, 100-103.

Grobys, K., 2014, Idiosyncratic volatility and global equity markets, Applied Economics Letters 22, 402-405.

Grobys, K., 2014, Size distortions of the wild bootstrapped HCCME based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity, Empirical Economics (forthcoming).

Grobys, K., 2014, Momentum, sovereign credit ratings, and global equity markets, Applied Economics Letters 21, 1288-1292.

Grobys, K., 2013, An empirical analysis of changes of the impact of federal budget deficits on stock market returns, Applied Economics Letters 20, 921-924.

 

Teachings:

Quantitative Financial Data Analysis in Matlab (Master level course)

Research in Financial Markets (Master level course)