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
General Ω Template — A Minimal Cross-Domain Framework for Testing Structural Concentration in High-Ω States

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Wavelet Denoising and Model Parsimony in High-Frequency Momentum Strategies: Evidence from China’s ChiNext Market

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Out-of-Distribution Generalization in Time Series: A Survey

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Geopolitical Risks and Global Stock Market Dynamics: A Quantile-Based Approach

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Quantile connectedness between Russia’s MOEX, geopolitical risks, US–China tensions, and oil prices

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String corrected scalar field inflation compatible with the ACT data

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Tension across the tail: The cross-country effects of geopolitical risk on macroeconomic tail risk

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Modeling Financial Contagion Between Türkiye and Indonesia: A Multivariate GARCH Approach

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Causal analysis of extreme risk in a network of industry portfolios

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Northbound capital flows and A-share returns: Time-varying dependence and feedback effects

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

article Full Text OpenAlex 915 FWCI158.7639

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

article Full Text OpenAlex 287 FWCI161.0894

Model averaging prediction by K-fold cross-validation

article Full Text OpenAlex 249 FWCI52.0201

Targeting predictors in random forest regression

article Full Text OpenAlex 175 FWCI38.0336

Factor Models, Machine Learning, and Asset Pricing

article Full Text OpenAlex 174 FWCI30.9509

Practical Portfolio Performance Measurement and Attribution

book Full Text OpenAlex 163 FWCI11.2351

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

article Full Text OpenAlex 138 FWCI36.4438

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

article Full Text OpenAlex 134 FWCI32.8038

What makes firms vulnerable to the Russia–Ukraine crisis?

article Full Text OpenAlex 132 FWCI35.3014

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

article Full Text OpenAlex 128 FWCI30.5769