Related papers: Long-range dependence in Interest Rates and Moneta…
Financial decisions are the decisions that managers take with regard to the finances of a company. This article aims to examine and explain the effect of interest rates on economic and financial decisions such as investment, funding, and…
We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible…
The paper analyzes the mathematics of the relationship between the default risk and yield-to-maturity of a coupon bond. It is shown that the yield-to-maturity is driven not only by the default probability and recovery rate of the bond but…
We study how the general public perceives the link between monetary policy and housing markets. Using a large-scale, cross-country survey experiment in Austria, Germany, Italy, Sweden, and the United Kingdom, we examine households'…
Considering the interactions of two arbitrary particles, we obtain an internal energy expression of the complex system having long-range interactions. Based on the postulate of "equal-probability principle" for all microstates, the…
We present cross and time series analysis of price fluctuations in the U.S. Treasury fixed income market. By means of techniques borrowed from statistical physics we show that the correlation among bonds depends strongly on the maturity and…
This paper introduces a novel multi-moment connectedness network approach for analyzing the interconnectedness of green financial market. Focusing on the impact of monetary policy shocks, our study reveals that connectedness within the…
We study the market selection hypothesis in complete financial markets, populated by heterogeneous agents. We allow for a rich structure of heterogeneity: individuals may differ in their beliefs concerning the economy, information and…
As a crucial problem in statistics is to decide whether additional variables are needed in a regression model. We propose a new multivariate test to investigate the conditional mean independence of Y given X conditioning on some known…
Quantification of historical sociological processes have recently gained attention among theoreticians in the effort of providing a solid theoretical understanding of the behaviors and regularities present in sociopolitical dynamics. Here…
Extreme values modeling has attracting the attention of researchers in diverse areas such as the environment, engineering, or finance. Multivariate extreme value distributions are particularly suitable to model the tails of multidimensional…
We present a relativistic and model-independent method to derive structure-dependent electromagnetic finite-size effects. This is a systematic procedure, particularly well-suited for automatization, which works at arbitrarily high orders in…
A theory which describes the share price evolution at financial markets as a continuous-time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density…
This paper considers the problem of learning, from samples, the dependency structure of a system of linear stochastic differential equations, when some of the variables are latent. In particular, we observe the time evolution of some…
To monitor risk in temporal financial networks, we need to understand how individual behaviours affect the global evolution of networks. Here we define a structural importance metric - which we denote as $l_e$ - for the edges of a network.…
Playing an important role in Model-Based Reinforcement Learning (MBRL), environment models aim to predict future states based on the past. Existing works usually ignore instantaneous dependence in the state, that is, assuming that the…
Since the beginning of this century the Colombian monetary authority has conducted monetary policy under a strategy based on setting targets for interest rate and inflation, while allowing the exchange rate of the U.S. dollar in domestic…
Information theory provides ideas for conceptualising information and measuring relationships between objects. It has found wide application in the sciences, but economics and finance have made surprisingly little use of it. We show that…
We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework in Pallavicini et al (2011), and the related collateralized…
Discrimination between non-stationarity and long-range dependency is a difficult and long-standing issue in modelling financial time series. This paper uses an adaptive spectral technique which jointly models the non-stationarity and…