相关论文: Institutional Learning and Volatility Transmission…

This study examines how institutional differences and external crises shape volatility dynamics in emerging Asian stock markets. Using daily stock index returns for Indonesia, Malaysia, and the Philippines from 2010 to 2024, we estimate…

This study investigates the relationship between the market volatility of the iShares Asia 50 ETF (AIA) and economic and market sentiment indicators from the United States, China, and globally during periods of economic uncertainty.…

This paper investigates how institutional rigidities shape inflation persistence in transition economies, focusing on labor market institutions and exchange rate regimes. Using a large panel of transition countries over the period…

This paper investigates the structural dynamics of stock market volatility through the Financial Chaos Index, a tensor- and eigenvalue-based measure designed to capture realized volatility via mutual fluctuations among asset prices.…

In the aftermath of the financial crisis, the growing literature on financial networks has widely documented the predictive power of topological characteristics (e.g. degree centrality measures) to explain the systemic impact or systemic…

In the last years efforts in econophysics have been shifted to study how network theory can facilitate understanding of complex financial markets. Main part of these efforts is the study of correlation-based hierarchical networks. This is…

We discovered that past changes in the market correlation structure are significantly related with future changes in the market volatility. By using correlation-based information filtering networks we device a new tool for forecasting the…

We identify volatility spillovers across commodities, equities, and treasuries using a hybrid HAR-ElasticNet framework on daily realized volatility for six futures markets over 2002--2025. Our two step procedure estimates own-volatility…

We investigate the concept of network momentum, a novel trading signal derived from momentum spillover across assets. Initially observed within the confines of pairwise economic and fundamental ties, such as the stock-bond connection of the…

This study constructs a fully data-driven and reproducible Southeast Asia Influence Index (SAII v3) to reduce bias from expert scoring and subjective weighting while mapping hierarchical power structures across the eleven ASEAN nations. We…

To support N-1 pre-fault transient stability assessment, this paper introduces a new data collection method in a data-driven algorithm incorporating the knowledge of power system dynamics. The domain knowledge on how the disturbance effect…

Standard supervised learning breaks down under data distribution shift. However, the principle of independent causal mechanisms (ICM, Peters et al. (2017)) can turn this weakness into an opportunity: one can take advantage of distribution…

The 2023 U.S. banking crisis propagated not through direct financial linkages but through a high-frequency, information-based contagion channel. This paper moves beyond exploration analysis to test the "too-similar-to-fail" hypothesis,…

We report on time-varying network connectedness within three banking systems: North America, the EU, and ASEAN. The original method by Diebold and Yilmaz is improved by using exponentially weighted daily returns and ridge regularization on…

Understanding market participants' channel choices is important to policy makers because it yields information on which channels are effective in transmitting information. These channel choices are the result of a recursive process of…

Connectedness measures quantify aggregate risk spillovers but obscure the local interaction patterns that generate systemic risk. We develop a motif-based framework that first extracts multiscale backbones from quantile connectedness…

How do inter-organizational networks emerge? Accounting for interdependence among ties while studying tie formation is one of the key challenges in this area of research. We address this challenge using an equilibrium framework where firms'…

Recent developments in financial time series focus on modeling volatility across multiple assets or indices in a multivariate framework, accounting for potential interactions such as spillover effects. Furthermore, the increasing…

Predicting the impact of research institutions is an important tool for decision makers, such as resource allocation for funding bodies. Despite significant effort of adopting quantitative indicators to measure the impact of research…

We explore the international transmission of monetary policy and central bank information shocks originating from the United States and the euro area. Employing a panel vector autoregression, we use macroeconomic and financial variables…