Related papers: On the Asymmetric Volatility Connectedness
Using machine learning and alternative data for the prediction of financial markets has been a popular topic in recent years. Many financial variables such as stock price, historical volatility and trade volume have already been through…
The study examines the return connectedness between climate policy uncertainty (CPU), clean energy, fossil energy, and food markets. Using the time-domain method of Diebold and Yilmaz (2012) and frequency-domain methods of Barun{\'{i}}k and…
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…
In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of dependence is natural for economic time series but remains…
It is argued that topological disorder in amorphous solids can be described by local strains related to local reference crystals and local rotations. An intuitive localization criterion is formulated from this point of view. The Inverse…
Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…
We study spreading processes in temporal graphs, i. e., graphs whose connections change over time. These processes naturally model real-world phenomena such as infectious diseases or information flows. More precisely, we investigate how…
We consider the pricing of derivatives written on the discretely sampled realized variance of an underlying security. In the literature, the realized variance is usually approximated by its continuous-time limit, the quadratic variation of…
While many centrality measures for complex networks have been proposed, relatively few have been developed specifically for weighted, directed (WD) networks. Here we propose a centrality measure for spread (of information, pathogens, etc.)…
A new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010) On a…
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to test the hypothesis that one time series has no directional predictability to another time series. We establish the…
We study a new measure of codependency in the second moment of a continuous-time multivariate asset price process, which we name the realized copula of volatility. The statistic is based on local volatility estimates constructed from…
Nestedness is a property of interaction networks widely observed in natural mutualistic communities. Despite a widespread interest on this pattern, no general consensus exists on how to measure it. Instead, several metrics aiming at…
We provide a framework for detecting relevant insurance companies in a systemic risk perspective. Among the alternative methodologies for measuring systemic risk, we propose a complex network approach where insurers are linked to form a…
Implied volatilities form a well-known structure of smile or surface which accommodates the Bachelier model and observed market prices of interest rate options. For the swaptions that we study, three parameters are taken into account for…
This paper re-introduces the network reliability polynomial - introduced by Moore and Shannon in 1956 -- for studying the effect of network structure on the spread of diseases. We exhibit a representation of the polynomial that is…
Extracted event data from information systems often contain a variety of process executions making the data complex and difficult to comprehend. Unlike current research which only identifies the variability over time, we focus on other…
Direct numerical simulation has been carried out on one attached and two separated boundary layer flows (involving small and large separation) under the influence of an adverse pressure gradient. A unified picture of the pre-transitional…
In this paper we consider a variety of procedures for numerical statistical inference in the family of univariate and multivariate stable distributions. In connection with univariate distributions (i) we provide approximations by finite…
This paper examines how shocks to currency volatilities predict exchange rates. Using option-implied volatilities, we construct a dynamic, directed network of volatility connections. Currencies that transmit more volatility shocks, which…