相关论文: Time and Frequency Structure of Causal Correlation…

In the present paper, an empirical study of LIBOR (London Interbank Offered Rate) data is presented. In particular, a data set of interest rates from 1997 to 1999, for two different currencies and various maturities, is analyzed. It turns…

Whether or not stocks are predictable has been a topic of concern for decades.The efficient market hypothesis (EMH) says that it is difficult for investors to make extra profits by predicting stock prices, but this may not be true,…

This paper takes the development of China's Central bank digital currencies as a perspective, theoretically analyses the impact mechanism of the issuance and circulation of Central bank digital currencies on China's monetary policy and…

The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented through a self-exciting…

Contagion is an extremely important topic in finance. Contagion is at the core of most major financial crises, in particular the 2008 financial crisis. Although various approaches to quantifying contagion have been proposed, many of them…

In order to protect brokers from customer defaults in a volatile market, an active margin system is proposed for the transactions of margin lending in China. The probability of negative return under the condition that collaterals are…

In the LIBOR market model, forward interest rates are log-normal under their respective forward measures. This note shows that their distributions under the other forward measures of the tenor structure have approximately log-normal tails.

The stock market is heavily influenced by investor sentiment, which can drive buying or selling behavior. Sentiment analysis helps in gauging the overall sentiment of market participants towards a particular stock or the market as a whole.…

In the post-crisis era, financial regulators and policymakers are increasingly interested in data-driven tools to measure systemic risk and to identify systemically important firms. Granger Causality (GC) based techniques to build networks…

Interbank contagion can theoretically exacerbate losses in a financial system and lead to additional cascade defaults during downturn. In this paper we produce default analysis using both regression and neural network models to verify…

Over the last two decades, financial systems have been studied and analysed from the perspective of complex networks, where the nodes and edges in the network represent the various financial components and the strengths of correlations…

The global network of scientific cooperation has undergone major restructuring over the past two decades, with important implications for geopolitics and science policy. China's integration into this network has redistributed positions of…

The manipulation of LIBOR by a group of banks became one of the major blows to the remaining confidence in financial industry. Yet, despite an enormous amount of popular literature on the subject, rigorous time-series studies are few. In my…

Granger-causality in the frequency domain is an emerging tool to analyze the causal relationship between two time series. We propose a bootstrap test on unconditional and conditional Granger-causality spectra, as well as on their…

We propose a novel two-stage framework to detect lead-lag relationships in the Chinese A-share market. First, long-term coupling between stocks is measured via daily data using correlation, dynamic time warping, and rank-based metrics.…

This study replicates the findings of Wang et al. (2017) on reference-dependent preferences and their impact on the risk-return trade-off in the Chinese stock market, a unique context characterized by high retail investor participation,…

This study evaluates the scale-dependent informational efficiency of stock markets using the Financial Chaos Index, a tensor-eigenvalue-based measure of realized volatility. Incorporating Granger causality and network-theoretic analysis…

Identifying risk spillovers in financial markets is of great importance for assessing systemic risk and portfolio management. Granger causality in tail (or in risk) tests whether past extreme events of a time series help predicting future…

We investigate the spatial and temporal structures of four financial markets in Greater China. In particular, we uncover different characteristics of the four markets by analyzing the sector and subsector structures which are detected…

This paper examines the impact of increasing minimum wages, focusing primarily on their effect on employment. Our research involved analyzing the statistics of panel data, testing fixed effects and stationary, conducting linear regression,…