GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and US Head of Portfolio Construction Teams:Presentations To: JP Morgan Global Head of Quant...

GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...

Bitcoin blockchain has grown into an active global virtual money network with millions of accounts.We propose a Sparse-Group Network AutoRegressive (SGNAR) model to understand the dynamics of its cross-border transactions. It describes the money flows of virtual funds, with a focus on the...

We study the impact of changes in regulations and policy interventions on systemic risk among European sovereign entities measured as volatility spillovers in respective credit risk markets. Our unique intraday CDS dataset allows for precise measurement of the effectiveness of these events in a...

We study the impact of changes in regulations and policy interventions on systemic risk among European sovereigns measured as volatility spillovers in respective credit risk markets. Our unique intraday CDS dataset allows for precise measurement of the effectiveness of these events in a network...

We study the impact of changes in regulations and policy interventions on systemic risk among European sovereigns measured as volatility spillovers in respective credit risk markets. Our unique intraday CDS dataset allows for precise measurement of the effectiveness of these events in a network...

We examine the cross-section of international equity risk premia with machine learning methods. We identify, classify, and calculate 88 market characteristics and use them to forecast country returns with various machine learning techniques. While all algorithms produce substantial economic...

This study comprehensively examines the economic and financial drivers of volatility changes in terms of a cross-country perspective. We exhaustively review a wide range of studies related to financial volatility forecasting and collect a diverse set of prediction variables. By analyzing them...

This study provides an overview of the model evolution and research trends in the field of financial and risk modelling by applying a bibliometric approach from 2008–2019 and an overall citation network analysis. We present a content analysis of contributing authors, countries, journals, main...

We employ a Boxplot method for detecting and analyzing outlying daily returns of 14 international stock market indices sampled from around the world. The main objective of the paper is to provide an extensive analysis of the main characteristics, features and effects of the detected outlier...