The large number of financial crises in emerging markets over the past ten years has left many observers, both from academia and financial institutions, puzzled by an apparent lack of homogenous causal relations between endogenous economic variables and the bursting of large financial shocks....

The asset allocation decision often relies upon correlation estimates arising from short-run data. Short-run correlation estimates may, however, be distorted by frictions. In this paper, we introduce a long-run wavelet-based correlation estimator, distinguishing between long-run common behavior...

We develop measures of certain kinds of liquidity trading risk that is useful for completing the definition of market risk and for predicting liquidity-adjusted VaR (L-VaR) under illiquid market conditions. We argue that asset liquidity risk associated with the uncertainty of liquidating...

Over the past few days, alarm bells have been ringing for the risk of recession in the world’s leading economies (Germany, United Kingdom, Italy, Brazil and Mexico). Deceleration is affecting several regions in the world and might even become more widespread, exacerbating investor mistrust and...

Factorial moments are convenient tools in nuclear physics to characterize the multiplicity distributions when phase-space resolution (Delta) becomes small. For uncorrelated particle production within Delta, Gaussian statistics holds and factorial moments Fq are equal to unity for all orders q....

Asset market liquidity risk is a significant and perplexing subject and though the term market liquidity risk is used quite chronically in academic literature it lacks an unambiguous definition, let alone understanding of the proposed risk measures. To this end, this paper presents a review of...

This paper presents a quantitative model of financial transactions between economic agents on economic space. Risk ratings of economic agents play role of their coordinates. Aggregate amounts of agent's financial variables at point x define macro financial variables as functions of time and...

In this work we present a new method for Quickest Change Detection (QCD) and Quickest Hub Discovery (QHD) in correlation structures that geometrically represents solutions from asymptotic Random Matrix theory (RMT) consistently, and allows to incorporate new distance metrics for both tests. We...

The behavioural present value is usually modelled as fuzzy subset in the real line. In following paper the behavioural present value is applied to explain financial market paradox of simultaneous buying and selling a financial instrument by investors, which occurs despite following the same...

This study aims to measure the relation between corporate governance and reputation management, which has been gradually important for banks. Reputation fact, which may be perceived differently in every sector and business, has a distinctive structure in finance sector, too. Banks, having direct...