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It is shown that under certain circumstances in particular for small datasets the recently proposed citation impact indicators I3(6PR) and R(6,k) behave inconsistently when additional papers or citations are taken into consideration. Three…
This paper seeks to forecast intraday volatility curves for major foreign exchange (FX) currencies using functional GARCH models. Intraday return curves are observed at a daily frequency, yet preserve the full high-frequency trading…
This paper investigates the time-varying impacts of international macroeconomic uncertainty shocks. We use a global vector autoregressive specification with drifting coefficients and factor stochastic volatility in the errors to model six…
This paper develops a Bayesian Generalised Pareto Regression (GPR) model to forecast extreme losses in Indian equity markets, with a focus on the Nifty 50 index. Extreme negative returns, though rare, can cause significant financial…
We suggest a new single-equation test for Uncovered Interest Parity (UIP) based on a dynamic regression approach. The method provides consistent and asymptotically efficient parameter estimates, and is not dependent on assumptions of strict…
We propose \textbf{Temporal Conformal Prediction (TCP)}, a distribution-free framework for constructing well-calibrated prediction intervals in nonstationary time series. TCP couples a modern quantile forecaster with a rolling…
Given a random sample from a multivariate population, estimating the number of large eigenvalues of the population covariance matrix is an important problem in Statistics with wide applications in many areas. In the context of Principal…
We study the fluctuations, particularly the inequality of fluctuations, in cryptocurrency prices over the last ten years. We calculate the inequality in the price fluctuations through different measures, such as the Gini and Kolkata…
Despite the popularity of sparse factor models, little attention has been given to formally address identifiability of these models beyond standard rotation-based identification such as the positive lower triangular constraint. To fill this…
Among professionals and academics alike, it is well known that active portfolio management is unable to provide additional risk-adjusted returns relative to their benchmarks. For this reason, passive wealth management has emerged in recent…
This paper develops a three-currency Heath-Jarrow-Morton framework in which corporate credit is treated as a separate economy, connected to the nominal and real economies through synthetic inflation and credit exchange rates. The framework…
In this study, we identify the relative standard deviation volatility (RSD volatility) in the individual target time fulfilment of the complete set of comparables (e.g., all individuals in the same organisational structure) as a possible…
Universal features in stock markets and their derivative markets are studied by means of probability distributions in internal rates of return on buy and sell transaction pairs. Unlike the stylized facts in log normalized returns, the…
Journal Impact Factors (IFs) can be considered historically as the first attempt to normalize citation distributions by using averages over two years. However, it has been recognized that citation distributions vary among fields of science…
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 characterizes the probability of a market failure defined as the default of two or more globally systemically important banks (G-SIBs) in a small interval of time. The default probabilities of the G-SIBs are correlated through…
Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Fed Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads…
We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between…
This paper estimates models of high frequency index futures returns using `around the clock' 5-minute returns that incorporate the following key features: multiple persistent stochastic volatility factors, jumps in prices and volatilities,…
A recent analysis of scientific publication and patent citation networks by Park et al. (Nature, 2023) suggests that publications and patents are becoming less disruptive over time. Here we show that the reported decrease in disruptiveness…