Related papers: Interdependence between Green Financial Instrument…
The minimum spanning tree is used to study the process of market integration for a large group of national stock market indices. We show how the asset tree evolves over time and describe the dynamics of its normalized length, mean…
Financial networks are typically estimated by applying standard time series analyses to price-based economic variables collected at low-frequency (e.g., daily or monthly stock returns or realized volatility). These networks are used for…
We develop a financial market model in which a large population of firms chooses dynamic emission strategies under climate transition risk, interacting with both environmentally concerned and neutral investors. Firms face a trade-off…
Policies to mitigate climate change and biodiversity loss often assume that protecting carbon-rich forests provides co-benefits in terms of biodiversity, due to the spatial congruence of carbon stocks and biodiversity at biogeographic…
Wavelet Transforms are a widely used technique for decomposing a signal into coefficient vectors that correspond to distinct frequency/scale bands while retaining time localization. This property enables an adaptive analysis of signals at…
We propose a model that forecasts market correlation structure from link- and node-based financial network features using machine learning. For such, market structure is modeled as a dynamic asset network by quantifying time-dependent…
Green technology is viewed as a means of creating a sustainable society and a catalyst for sustainable development by the global community. It is responsible for both the potential reduction of production waste and the reduction of carbon…
Carbon credits are a key component of most national and organizational climate strategies. Financing and delivering carbon credits from forest-related activities faces multiple risks at the project and asset levels. Financial mechanisms are…
Climate physical risks pose an increasing threat to urban infrastructure, necessitating urgent climate adaptation measures to protect lives and assets. Implementing such measures, including the development of resilient infrastructure and…
We analyze the stability of financial investment networks, where financial institutions hold overlapping portfolios of assets. We consider the effect of portfolio diversification and heterogeneous investments using a random matrix dynamical…
Abstract: The rising global temperatures caused by climate change significantly impact energy consumption and electricity generation. Fluctuating temperatures and frequent extreme weather events disrupt energy production and consumption…
Studies report that firms do not invest in cost-effective green technologies. While economic barriers can explain parts of the gap, behavioural aspects cause further under-valuation. This could be partly due to systematic deviations of…
Market expectations about AI's economic impact may influence interest rates. Previous work has shown that US bond yields decline around the release of a sample of mostly proprietary AI models (Andrews and Farboodi 2025). I extend this…
The global financial system has become highly connected and complex. Has been proven in practice that existing models, measures and reports of financial risk fail to capture some important systemic dimensions. Only lately, advisory boards…
We review recent progress in modeling credit risk for correlated assets. We start from the Merton model which default events and losses are derived from the asset values at maturity. To estimate the time development of the asset values, the…
We consider a banking network represented by a system of stochastic differential equations coupled by their drift. We assume a core-periphery structure, and that the banks in the core hold a bubbly asset. The banks in the periphery have not…
We measure bond and stock conditional return volatility as a function of changes in sentiment, proxied by six indicators from the Tel Aviv Stock Exchange. We find that changes in sentiment affect conditional volatilities at different…
Machine learning continues to emerge as an important tool to be utilised within structural engineering and structural health monitoring, due to its ability to accurately and quickly perform both regression and classification tasks. However,…
Foundation models (e.g. ChatGPT, StableDiffusion) pervasively influence society, warranting immediate social attention. While the models themselves garner much attention, to accurately characterize their impact, we must consider the broader…
Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial innovation like CDS could heighten…