Related papers: How Unlucky is 25-Sigma?
Coalescing compact binary systems consisting of neutron stars and/or black holes should be detectable with upcoming advanced gravitational-wave detectors such as LIGO, Virgo, GEO and {KAGRA}. Gravitational-wave experiments to date have been…
Unplanned power outages cost the US economy over $150 billion annually, partly due to predictive maintenance (PdM) models that overlook spatial, temporal, and causal dependencies in grid failures. This study introduces a multilayer Graph…
Climate change has driven the market to seek new ways of raising funds to mitigate its effects. One such innovation is the emergence of Green Bonds financial assets specifically designed to support sustainable projects. This study explores…
This paper provides an innovative perspective on the role of gold as a hedge and safe haven. We use a quantile-on-quantile regression approach to capture the dependence structure between gold returns and changes in uncertainty under…
Gravity modes in the Sun have been the object of a long and difficult search in recent decades. Thanks to the data accumulated with the last generation of instruments (BiSON, GONG and three helioseismic instruments aboard SoHO), scientists…
Hedge Funds are considered as one of the portfolio management sectors which shows a fastest growing for the past decade. An optimal Hedge Fund management requires an appropriate risk metrics. The classic CAPM theory and its Ratio Sharpe…
Between May 10-12, 2024, Earth saw its largest geomagnetic storm in over 20 years. Since the last major storm in 2003, the population of satellites in low Earth orbit has surged following the commercialization of space services and the…
We compare the five major sources of corporate Credit Default Swap prices: GFI, Fenics, Reuters, CMA, and Markit, using the most liquid single name 5-year CDS in the iTraxx and CDX indexes from 2004 to 2010. Deviations from the common trend…
This paper studies the effects of unexpected changes in US monetary policy on digital asset returns. We use event study regressions and find that monetary policy surprises negatively affect BTC and ETH, the two largest digital assets, but…
In this paper, we employ Credit Default Swaps (CDS) to model the joint and conditional distress probabilities of banks in Europe and the U.S. using factor copulas. We propose multi-factor, structured factor, and factor-vine models where the…
The Gaussian Graphical Model (GGM) is a popular tool for incorporating sparsity into joint multivariate distributions. The G-Wishart distribution, a conjugate prior for precision matrices satisfying general GGM constraints, has now been in…
(abridged) We study the validity of the approximation of a Gaussian cosmic shear likelihood. We estimate the true likelihood for a fiducial cosmological model from a large set of ray-tracing simulations and investigate the impact of…
This paper examines the effect of macroeconomic news announcements (MNA) on the stock market. Stocks exhibit a strong positive response to major MNA: 1 standard deviation of MNA surprise causes 11-25 bps higher returns. This response is…
The credit crisis roiling the world's financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however, demonstrates that the losses in certain…
We study how the climate transition through a low-carbon economy, implemented by carbon pricing, propagates in a credit portfolio and precisely describe how carbon price dynamics affects credit risk measures such as probability of default,…
During strong magnetic storms, the errors of determination of the range, frequency Doppler shift and angles of arrival of transionospheric radio signals exceeds the one for magnetically quiet days by one order of magnitude as a minimum.…
The Nasdaq Composite fell another $\approx 10 %$ on Friday the 14'th of April 2000 signaling the end of a remarkable speculative high-tech bubble starting in spring 1997. The closing of the Nasdaq Composite at 3321 corresponds to a total…
We investigate the relationships of the VIX with US and BRIC markets. In detail, we pick up the analysis from the point left off by (Sarwar, 2012), and we focus on the period: Jan 2007 - Feb 2018, thus capturing the relations before, during…
The LIBOR has served since the 1970s as a fundamental measure for floating term rates across multiple currencies and maturities. However, in 2017 the Financial Conduct Authority announced the discontinuation of LIBOR from the end of 2021…
The CBOE Volatility Index, known by its ticker symbol VIX, is a popular measure of the market's expected volatility on the SP 500 Index, calculated and published by the Chicago Board Options Exchange (CBOE). It is also often referred to as…