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How does exogenous shock change the structure of interbank network? : evidence from China under Covid-19

Wang, Tongyu; Zhao, Shangmei; Wang, Wentao; Yang, Haijun - In: Emerging markets, finance & trade : a journal of the … 59 (2023) 4, pp. 937-958

Persistent link: https://www.econbiz.de/10014288308

A machine learning-based early warning system for systemic banking crises

Wang, Tongyu; Zhao, Shangmei; Zhu, Guangxiang; Zheng, Haitao - In: Applied economics 53 (2021) 26, pp. 2974-2992

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Determinants of deposit insurance coverage

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Individual analysts, stock return synchronicity and information efficiency

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Option hedging using LSTM-RNN : an empirical analysis

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Vulnerability of scale-free cryptocurrency networks to double-spending attacks

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Modelling High-Frequency Oil Market Volatility and Investor Sentiment Using Hawkes and Contact Processes

Wen, Jiaqi; Zhang, Junhuan - 2022

We introduce the jump intensity and investor sentiment from the Hawkes and Contact processes to forecast Realized Range-based Volatility using high frequency intraday data. Investor sentiment factor is added to the benchmark models, which are Heterogeneous Auto-Regressive with Continuous...

Persistent link: https://www.econbiz.de/10014238664

Modelling High-Frequency Oil Market Volatility and Investor Sentiment Using Hawkes and Contact Processes

Wen, Jiaqi; Zhang, Junhuan - 2022

Persistent link: https://www.econbiz.de/10014238832