相关论文: Interdependence between Green Financial Instrument…
Growing awareness of the impact of business activity on the environment increases the pressure on governing bodies to address this issue. One possibility is to encourage or force the market into green behaviours. However, it is often hard…
Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock…
This article evaluates the types of typical renewable energy technologies separately. Switching from fossil-fuel-based technology to green energies is time-consuming and requires a high investment cost. In addition, the production of energy…
The rapid growth of sustainable investing, now exceeding 35 trillion USD globally, has transformed financial markets, yet the implications for monetary policy transmission remain underexplored. While existing literature documents…
Factor models characterize the joint behavior of large sets of financial assets through a smaller number of underlying drivers. We develop a network-based framework in which factors emerge naturally from the structure of interactions among…
This study aims to compare multiple deep learning-based forecasters for the task of predicting volatility using multivariate data. The paper evaluates a range of models, starting from simpler and shallower ones and progressing to deeper and…
Climate adaptation could yield significant benefits. However, the uncertainty of which future climate scenarios will occur decreases the feasibility of proactively adapting. Climate adaptation projects could be underwritten by benefits paid…
The instability of historical risk factor correlations renders their use in estimating portfolio risk extremely questionable. In periods of market stress correlations of risk factors have a tendency to quickly go well beyond estimated…
The purpose of this study is to estimate the correlation structure between multiple assets using financial text analysis. In recent years, as the background of elevating inflation in the global economy and monetary policy tightening by…
We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This…
Despite impressive results, deep learning-based technologies also raise severe privacy and environmental concerns induced by the training procedure often conducted in data centers. In response, alternatives to centralized training such as…
The global balance index is used in the network literature to quantify how balanced a signed network is. In this paper we show that the global balance index of financial correlation networks can be used as a systemic risk measure. We define…
Financial networks help firms manage risk but also enable financial shocks to spread. Despite their importance, existing models of financial networks have several limitations. Prior works often consider a static network with a simple…
Venture capital investments in startups have come to represent an important driver of technological innovation, in parallel to corporate- and government-directed efforts. Part of the future of artificial intelligence, medicine and quantum…
Green patents are a key indicator to track technological efforts aimed at fighting climate change. Using an original dataset that merges different Patstat releases, we identify three mechanisms that may bias green patent statistics,…
Bipartite networks provide an insightful representation of many systems, ranging from mutualistic networks of species interactions to investment networks in finance. The analysis of their topological structures has revealed the ubiquitous…
Predicting stock returns remains a central challenge in quantitative finance, transitioning from traditional statistical methods to contemporary deep learning techniques. However, many current models struggle with effectively capturing…
The advent of the web has led to a paradigm shift in the financial relations, with the real-time dissemination of news, social discourse, and financial filings contributing significantly to the reshaping of financial forecasting. The…
Sustainability reporting enables investors to make informed decisions and is hoped to facilitate the transition to a green economy. The European Union's taxonomy regulation enacts rules to discern sustainable activities and determine the…
Using one of the key property of copulas that they remain invariant under an arbitrary monotonous change of variable, we investigate the null hypothesis that the dependence between financial assets can be modeled by the Gaussian copula. We…