专题:Financial Risk and Volatility Modeling

This cluster of papers focuses on modeling and forecasting financial volatility, including topics such as GARCH models, copula modeling, stochastic volatility, contagion, dependence, realized volatility, and risk management in the context of market integration.
最新文献
The conventional reference interval model: a historical framework?

article Full Text OpenAlex

Robust Statistical Methods for Detecting Outliers, Anomalies, and Structural Instability in Econometric Data

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On differentiability and mass distributions of multivariate Archimedean copulas

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Sports tokens and sports equities: A downside tail risk analysis with portfolio implications

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Uncertainty measures and concomitants of generalized order statistics in the Sarmanov family

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Geopolitical Risk and Stock Returns: Evidence from an Emerging Market

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IGNIS: a robust neural network framework for constrained parameter estimation in Archimedean copulas

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Forecasting Financial Risk With Minute‐Level Transaction Data and Economic Policy Uncertainty: A New Mixed‐Frequency Time‐Varying Forecasting Framework

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Second-order fractional mean-field SDEs with singular kernels and measure initial data

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Is It a Case of Safe Haven? Analyzing Stablecoin Returns Considering Cryptocurrency Dynamics

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近5年高被引文献
Count (and count-like) data in finance

article Full Text OpenAlex 878 FWCI154.2348

The impact of the Russian-Ukrainian war on global financial markets

article Full Text OpenAlex 271 FWCI155.4984

Model averaging prediction by K-fold cross-validation

article Full Text OpenAlex 232 FWCI52.0522

Factor Models, Machine Learning, and Asset Pricing

article Full Text OpenAlex 171 FWCI30.2337

Targeting predictors in random forest regression

article Full Text OpenAlex 163 FWCI38.2305

Practical Portfolio Performance Measurement and Attribution

book Full Text OpenAlex 162 FWCI11.57

Hedging Geopolitical Risks with Different Asset Classes: A Focus on the Russian Invasion of Ukraine

article Full Text OpenAlex 137 FWCI35.1436

What makes firms vulnerable to the Russia–Ukraine crisis?

article Full Text OpenAlex 130 FWCI33.5499

Geopolitical risk and stock market volatility in emerging markets: A GARCH – MIDAS approach

article Full Text OpenAlex 127 FWCI31.6853

The 2008 global financial crisis and COVID-19 pandemic: How safe are the safe haven assets?

article Full Text OpenAlex 121 FWCI29.5372