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Interconnectedness risk and active portfolio management : the information-theoretic perspective
Baitinger, Eduard; Papenbrock, Jochen - In: The journal of network theory in finance 3 (2017) 4, pp. 25-47
Persistent link: https://www.econbiz.de/10012005415
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Autocorrelation versus entropy-based autoinformation for measuring dependence in random signal
Chapeau-Blondeau, François - In: Physica A: Statistical Mechanics and its Applications 380 (2007) C, pp. 1-18
This paper studies in conjunction correlation and entropy-based information measures for the characterization of …
Persistent link: https://www.econbiz.de/10010589317
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Network analysis of the Shanghai stock exchange based on partial mutual information
You, Tao; Fiedor, Paweł; Hołda, Artur - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 266-284
representing the Shanghai stock exchange, comparing them to networks based on Pearson’s correlation. Consequently, we discuss the …
Persistent link: https://www.econbiz.de/10011545289
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Essays on the statistics of financial markets
Bleher, Johannes - 2021
Persistent link: https://www.econbiz.de/10013264905
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An investigation of hypothetical variance-covariance matrix stress-testing
Rayer, Quintin - In: Journal of risk management in financial institutions 9 (2016) 3, pp. 264-288
Persistent link: https://www.econbiz.de/10011661846
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Modeling the segment interactions of Ukraine's financial market
Prymostka, Liudmyla; Krasnova, Iryna; Kulish, Ganna; … - In: Investment management and financial innovations 17 (2020) 2, pp. 101-112
Persistent link: https://www.econbiz.de/10012303088
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Volatility and co-movements of the equity markets in Central Europe : evidence from Poland and Hungary
Chmielewska, Anna - In: Economic and environmental studies : a journal for … 18 (2018) 2, pp. 499-513
change was observed both in the correlation and volatility levels for specific market segments, as well as in the market … estimated correlation levels during the post-crisis period. Such findings are consistent with the hypothesis that intermarket …
Persistent link: https://www.econbiz.de/10011874650
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Investigation of the financial stability of S&P 500 using realized volatility and stock returns distribution
Akter, Nahida; Nobi, Ashadun - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-10
correlation among the stocks for 15 years and found that, during the crisis period, the beta-coefficient between the market index … and stock’s prices and correlation among stock’s prices increased remarkably and decreased during the non-crisis period …
Persistent link: https://www.econbiz.de/10011856960
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Submodular risk allocation
Ghamami, Samim; Glasserman, Paul - In: Management science : journal of the Institute for … 65 (2019) 10, pp. 4656-4675
Persistent link: https://www.econbiz.de/10012118107
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Contagion testing in embryonic markets under alternative stressful US market scenarios
Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2019
We consolidate alternative ways for identifying stable and stressful scenarios in the S&P 500 market to construct contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into discrete conditions of: (1) Tranquil versus turbulent...
Persistent link: https://www.econbiz.de/10012156543