Quantifying risk is pivotal for every financial institution. In the conventional framework, time is the key aspect for all the well-established risk measures. However, extracting and analyzing the frequency information conveyed by financial data, could yield improved insights about the inherent...

The asymmetry in the tail dependence between U.S. equity portfolios and the aggregate U.S. market is a well-established property. Given the limited number of observations in the tails of a joint distribution, standard non-parametric measures of tail dependence have poor finite-sample properties...

The hidden nature of causality is a puzzling, yet critical notion for effective decision-making. Financial markets are characterized by fluctuating interdependencies which seldom give rise to emergent phenomena such as bubbles or crashes. In this paper, we propose a method based on symbolic...

In this study, we present a combinatory chaos analysis of daily wavelet-filtered (denoised) S&P 500 returns (2000–2020) compared with respective surrogate datasets, Brownian motion returns and a Lorenz system realisation. We show that the dynamics of the S&P 500 return series consist of an...

Sudden and rapid changes in the economy leads to an increase in volatility. The fact that high volatility in financial markets brings along an increase in risk made it necessary to model it. Modeling volatility, which is accepted as a measure of risk, will benefit investors in their attitudes...

We ask whether empirical finance market data (Financial Stress Index, swap and equity, emerging and developed, corporate and government, short and long maturity), with their recently observed alternations between calm periods and financial turmoil, could be described by a low-dimensional...

Beta has been a controversial measure of risk ever since it was proposed almost half a century ago, and we do not pretend to settle with this article what decades of research has not. We do, however, take advantage of the recent trend of investing in countries and industries through index funds...