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
Retail Trading and Return Predictability in China

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Multi-Factor Polynomial Diffusion Models and Inter-Temporal Futures Dynamics

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Beta regression misspecification tests

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The Deep Promotion Time Cure Model

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Optimal trend-following rules in two-state regime-switching models

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Testing Constant Serial Dynamics in Two-Step Risk Inference for Longitudinal Actuarial Data

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Parametric dependence between random vectors via copula-based divergence measures

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The distribution of the product of independent variance-gamma random variables

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Implied parameter estimation for jump diffusion option pricing models: Pricing accuracy and the role of loss and evaluation functions

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Volatility transmission in the property market during two inflationary periods: The 2008–2009 global financial crisis and the COVID-19 crisis

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近5年高被引文献
Foundations of Modern Probability

book Full Text OpenAlex 2867 FWCI71.4501792

Count (and count-like) data in finance

article Full Text OpenAlex 793 FWCI195.14072528

Machine learning in the Chinese stock market

article Full Text OpenAlex 459 FWCI73.67759498

The Time Variation in Risk Appetite and Uncertainty

article Full Text OpenAlex 370 FWCI55.57643593

The Exponentiated Generalized Class of Distributions

article Full Text OpenAlex 327 FWCI36.84511377

Evaluating epidemic forecasts in an interval format

article Full Text OpenAlex 260 FWCI35.14142412

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

article Full Text OpenAlex 240 FWCI147.02196581

Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets

article Full Text OpenAlex 223 FWCI44.99044813

Model averaging prediction by K-fold cross-validation

article Full Text OpenAlex 198 FWCI82.6532843

Systemic risk spillover across global and country stock markets during the COVID-19 pandemic

article Full Text OpenAlex 195 FWCI37.05095728