In this paper, we propose a new class of regime shift models with exible switching mechanism that relies on a nonparametric probability function of the observed thresh- old variables. The proposed models generally embrace traditional threshold models with contaminated threshold variables or...

In this paper, we propose a new class of regime shift models with flexible switching mechanism that relies on a nonparametric probability function of the observed threshold variables. The proposed models generally embrace traditional threshold models with contaminated threshold variables or...

The Financial Risk Meter (FRM) is an established mechanism that, based on conditional Value at Risk (VaR) ideas, yields insight into the dynamics of network risk. Originally, the FRM has been composed via Lasso based quantile regression, but we here extend it by incorporating the idea of...

K-means clustering is one of the most widely-used partitioning algorithm in cluster analysis due to its simplicity and computational efficiency, but it may not provide ideal clustering results when applying to data with non-spherically shaped clusters. By considering the asymmetrically weighted...

Public interest, explosive returns, and diversification opportunities gave stimulus to the adoption of traditional financial tools to crypto-currencies. While the CRIX index offered the first scientifically-backed proxy to the crypto- market (analogous to S&P 500), the introduction of Bitcoin...

The cryptocurrency market is unique on many levels: Very volatile, frequently changing market structure, emerging and vanishing of cryptocurrencies on a daily level. Following its development became a difficult task with the success of cryptocurrencies (CCs) other than Bitcoin. For fiat currency...