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A global economic policy uncertainty index from principal component analysis
Dai, Peng-Fei; Xiong, Xiong; Zhou, Wei-Xing - In: Finance research letters 40 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10012819228
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Risk diversification : a study of persistence with a filtered correlation-network approach
Musmeci, Nicoló; Aste, Tomaso; Di Matteo, Tiziana - In: The journal of network theory in finance 1 (2015) 1, pp. 77-98
Persistent link: https://www.econbiz.de/10011374578
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Information-theoretic approach to quantifying currency risk
Fiedor, Pawel; Holda, Artur - In: Journal of risk finance : the convergence of financial … 17 (2016) 1, pp. 93-109
Persistent link: https://www.econbiz.de/10011537513
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Baryonic Beta Dynamics : An Econophysical Model of Systematic Risk
Chen, James Ming - 2018
volatility and correlation, as well as cash-flow and discount-rate effects. Splitting the atom of systematic risk answers some of … the most troubling anomalies and puzzles in finance, including abnormal returns on small-cap and value stocks, the low-volatility …
Persistent link: https://www.econbiz.de/10012932305
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A quantum derivation of a reputational risk premium
Piñeiro Chousa, Juan Ramón; Vizcaíno-González, Marcos - In: International review of financial analysis 47 (2016), pp. 304-309
Persistent link: https://www.econbiz.de/10011624199
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Baryonic beta dynamics : an econophysical model of systematic risk
Chen, Jim - In: Estudios de economía aplicada : revista promovida por … 36 (2018) 1, pp. 263-276
Persistent link: https://www.econbiz.de/10011972736
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A probabilistic choice model based on Tsallis’ statistics
Takahashi, Taiki - In: Physica A: Statistical Mechanics and its Applications 386 (2007) 1, pp. 335-338
Decision under risk and uncertainty (probabilistic choice) has been attracting attention in econophysics and … directions in the application of the model to studies in econophysics, neurofinance, neuroeconomics, and social physics are …
Persistent link: https://www.econbiz.de/10010588706
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Modeling electricity spot and futures price dependence: A multifrequency approach
Malo, Pekka - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 22, pp. 4763-4779
separately model the dependence structure, while enabling use of multifractal stochastic volatility models to characterize … fluctuations in marginal returns. An empirical experiment is carried out using data from Nord Pool. A study of volatility …
Persistent link: https://www.econbiz.de/10010589721
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Information-theoretic approach to quantifying currency risk
Fiedor, Paweł; Hołda, Artur - In: The Journal of Risk Finance 17 (2016) 1, pp. 93-109
Purpose – This paper aims to present a framework enriching currency risk analyses based on information theory. Design/methodology/approach – Information-theoretic measures of predictability (entropy rate) and co-dependence (mutual information) are used to enhance existing methods of...
Persistent link: https://www.econbiz.de/10014901895
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Measuring volatility persistence and risk in Southern and East African stock markets
Coffie, William - In: International journal of economics and business research 9 (2015) 1, pp. 23-36
Persistent link: https://www.econbiz.de/10011332918