Related papers: On the Asymmetric Volatility Connectedness
A simple method is proposed to estimate the instantaneous correlations between state variables in a hybrid system from the empirical correlations between observable market quantities such as spot rate, stock price and implied volatility.…
Understanding how information flows through the financial networks is important, especially during times of market turbulence. Unlike traditional assumptions where information travels along the shortest paths, real-world diffusion processes…
The recent empirical work of Amaya et al. (2015) has pointed out that the realized skewness, which is the sample skewness of intraday high-frequency returns of a financial asset, serves as forecasting future returns in the cross-section.…
Nonlinear Markov Chains (nMC) are regarded as the original (linear) Markov Chains with nonlinear small perturbations. It fits real-world data better, but its associated properties are difficult to describe. A new approach is proposed to…
The value of a social network is generally determined by its size and the connectivity of its nodes. But since some of the nodes may be fake ones and others that are dormant, the question of validating the node counts by statistical tests…
This paper introduces a Bayesian vector autoregression (BVAR) with stochastic volatility-in-mean and time-varying skewness. Unlike previous approaches, the proposed model allows both volatility and skewness to directly affect macroeconomic…
In this paper, we are concerned with nonparametric inference on the volatility of volatility process in stochastic volatility models. We construct several estimators for its integrated version in a high-frequency setting, all based on…
The Varentropy is a measure of the variability of the information content of random vector and it is invariant under affine transformations. We introduce the statistical estimate of varentropy of random vector based on the nearest neighbor…
The 2023 U.S. banking crisis propagated not through direct financial linkages but through a high-frequency, information-based contagion channel. This paper moves beyond exploration analysis to test the "too-similar-to-fail" hypothesis,…
We investigate the joint dynamics of spot and implied volatility from an empirical perspective. We focus on the equity market with the SPX Index our underlying of choice. Using only observable quantities, we extract the instantaneous…
An appropriate calibration and forecasting of volatility and market risk are some of the main challenges faced by companies that have to manage the uncertainty inherent to their investments or funding operations such as banks, pension funds…
This paper proposes a flexible framework for inferring large-scale time-varying and time-lagged correlation networks from multivariate or high-dimensional non-stationary time series with piecewise smooth trends. Built on a novel and unified…
Most networks encountered in nature, society, and technology have weighted edges, representing the strength of the interaction/association between their vertices. Randomizing the structure of a network is a classic procedure used to…
Some techniques for the study of intermittency by means of wavelet transforms, are presented on an example of synthetic turbulent signal. Several features of the turbulent field, that cannot be probed looking at standard structure function…
In reliability theory and survival analysis, observed data are often weakly dependent and subject to additive measurement errors. Such contamination arises when the underlying data are neither independent nor strongly mixed but instead…
The way in which different types of dynamics unfold in complex networks is intrinsically related to the propagation of activation along nodes, which is strongly affected by the network connectivity. In this work we investigate to which…
We propose model-free (nonparametric) estimators of the volatility of volatility and leverage effect using high-frequency observations of short-dated options. At each point in time, we integrate available options into estimates of the…
The association between visit-to-visit systolic blood pressure variability and cardiovascular events has recently received a lot of attention in the cardiovascular literature. But blood pressure variability is usually estimated on a…
A one dimensional diffusion process $X=\{X_t, 0\leq t \leq T\}$, with drift $b(x)$ and diffusion coefficient $\sigma(\theta, x)=\sqrt{\theta} \sigma(x)$ known up to $\theta>0$, is supposed to switch volatility regime at some point $t^*\in…
The investor is interested in the expected return and he is also concerned about the risk and the uncertainty assumed by the investment. One of the most popular concepts used to measure the risk and the uncertainty is the variance and/or…