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
Testing mean stationarity of intraday volatility curves

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Inference in a stationary/nonstationary autoregressive time‐varying‐parameter model

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Is it difficult to predict the price movements of high-volatility assets

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Cross-asset contagion and risk transmission in global financial networks

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Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector

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Positively decreasing and related distributions under dependence

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Kernel Learning for Mean-Variance Trading Strategies

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Model uncertainty in the cross-section of stock returns

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An interval version of Black–Scholes European option pricing model and its numerical solution

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Application of regularized covariance matrices in logistic regression and portfolio optimization

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近5年高被引文献
Foundations of Modern Probability

book Full Text OpenAlex 3173 FWCI22.72

Count (and count-like) data in finance

article Full Text OpenAlex 615 FWCI113.366

Common Risk Factors in Cryptocurrency

article Full Text OpenAlex 414 FWCI80.913

Machine learning in the Chinese stock market

article Full Text OpenAlex 380 FWCI58.101

The Time Variation in Risk Appetite and Uncertainty

article Full Text OpenAlex 323 FWCI42.174

Local Projection Inference Is Simpler and More Robust Than You Think

article Full Text OpenAlex 300 FWCI98.739

The Exponentiated Generalized Class of Distributions

article Full Text OpenAlex 264 FWCI18.342

Evaluating epidemic forecasts in an interval format

article Full Text OpenAlex 213 FWCI28.189

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

article Full Text OpenAlex 201 FWCI33.112

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

article Full Text OpenAlex 197 FWCI55.791