We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock-bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ a nonlinear Granger causality test with the use of...

Benoit Mandelbrot (1924-2010), a pioneering mathematician, created a new awareness of the chaos of nature - its randomness, irregular shapes, sharp edges, corners, and gaps. He developed the theory of fractals to describe these phenomena, and he also applied his concepts to financial markets....

Economic models are the tools of decision makers in governments and central banks. As such, they affect our everyday lives. But what is the actual track record of these models, and do they really work? Applying them in real time and validating them on a day-by-day basis leads to a clear...

We study the possibility of completing data bases of a sample of governance, diversification and value creation variables by providing a well adapted method to reconstruct the missing parts in order to obtain a complete sample to be applied for testing the ownership-structure / diversification...

The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...

The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...

The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...

This paper presents mathematical formulation for the probability distribution function of asset value difference using canonical ensemble framework. For asset value significantly smaller than the total market value, the distribution is given by exponential function, which depends on market-eta...

We develop a modelling framework for estimating and predicting weighted network data. The edge weights in weighted networks often arise from aggregating some individual relationships between the nodes. Motivated by this, we introduce a modelling framework for weighted networks based on the...

Credit risk measurement and management become more important in all financial institutions in the light of the current financial crisis and the global recession. This particularly applies to most of the complex structured financing forms whose risk cannot be quantified with com-mon rating...