相关论文: Total, asymmetric and frequency connectedness betw…
Cross-sectional signatures of market panic were recently discussed on daily time scales in [1], extended here to a study of cross-sectional properties of stocks on intra-day time scales. We confirm specific intra-day patterns of dispersion…
We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We…
Asymmetric relationship between price and volatility is a prominent feature of the financial market time series. This paper explores the price-volatility nexus in cryptocurrency markets and investigates the presence of asymmetric volatility…
Commodity futures constitute an attractive asset class for portfolio managers. Propelled by their low correlation with other assets, commodities begin gaining popularity among investors, as they allow to capture diversification benefits.…
Flash crashes in financial markets have become increasingly important attracting attention from financial regulators, market makers as well as from the media and the broader audience. Systemic risk and propagation of shocks in financial…
This paper analyzes nonlinearities in the international transmission of financial shocks originating in the US. To do so, we develop a flexible nonlinear multi-country model. Our framework is capable of producing asymmetries in the…
We build an agent-based model to study how the interplay between low- and high-frequency trading affects asset price dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash…
The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility. The study uses high-frequency panel data from 2020 to 2022 to examine the relationship…
We propose a novel approach to estimate high-dimensional global bank network connectedness in both the time and frequency domains. By employing a factor model with sparse VAR idiosyncratic components, we decompose system-wide connectedness…
This paper introduces a global stock market volatility forecasting model that enhances forecasting accuracy and practical utility in real-world financial decision-making by integrating dynamic graph structures and encompassing all active…
Recent developments in the global liberalization of equity and currency markets, coupled to advances in trading technologies, are making markets increasingly interdependent. This increased fluidity raises questions about the stability of…
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 investigate the extreme return connectedness between the food, fossil energy, and clean energy markets using the quantile connectedness approach, which combines the traditional spillover index with quantile regression. Our results show…
To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…
Using a modified damped harmonic oscillator model equivalent to a model of market dynamics with price expectations, we analyze the reaction of financial markets to shocks. In order to do this, we gather data from indices of a variety of…
In this paper we exploit the wavelet analysis approach to investigate oil-food price correlation and its determinants in the domains of time and frequency. Wavelet analysis is able to differentiate high frequency from low frequency…
Oil price data have a complicated multi-scale structure that may vary with time. We use time-frequency analysis to identify the main features of these variations and, in particular, the regime shifts. The analysis is based on a…
To ensure reliable operation of power grids, their frequency shall stay within strict bounds. Multiple sources of disturbances cause fluctuations of the grid frequency, ranging from changing demand over volatile feed-in to energy trading.…
We point out a stunning time asymmetry in the short time cross correlations between intra-day and overnight volatilities (absolute values of log-returns of stock prices). While overnight volatility is significantly (and positively)…
Financial spillovers in interconnected systems, such as global banking networks, require tools that capture temporal and frequency dynamics, while incorporating the underlying network topology. While current network time series models are…