Search Results - subject_exact:"Covariance"

Estimating the hurst parameter from the zero vanna implied volatility and its dual

Alòs, Elisa; Rolloos, Frido; Shiraya, Kenichiro - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015558769

Guaranteed annuity option under correlated and regime-switching risks

Grozen, Jude Martin B.; Mamon, Rogemar S. - 2026

Guaranteed annuity options (GAOs) allow policyholders to convert accumulated funds into life annuities at maturity at a guaranteed minimum rate. Thus, insurers are exposed to both investment and longevity risks. Accurate valuation of these long-term, survival-contingent contracts is essential...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015615258

Asymptotic theory under network stationarity

Vainora, Julius - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015470368

From proximity to correlation : how different measures of distance shape U.S. emerging market stock market co-movements

Bonga-Bonga, Lumengo; Ncube, Lavie - 2026

This paper extends the gravity model to financial markets by examining how distance and bilateral linkages influence stock market correlations between the United States and selected emerging economies. To this end, the Poisson Pseudo Maximum Likelihood (PPML) estimator is used to account for...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015625849

A structure-conduct-performance approach to language complexity trade-offs

Coloma, Germán - 2026

In this paper, we present an approach to relate typological measures of language complexity (based on the grammars of different languages) with empirical measures of that complexity (based on actual texts). It is known as the "structure-conduct-performance paradigm", and we have taken it from...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015608780

Do uncertainty and action shocks affect G7 stock market synchronisation? : DCC-GARCH evidence from the 2024 U.S. election and the reciprocal tariffs announcement

Czech, Katarzyna; Wielechowski, Michał - 2026

Exogenous shocks can affect equity markets by changing volatility and cross-market co-movement. This study examines how two U.S.-centred events, treated as different shock types, influence time-varying conditional correlations between the U.S. stock market and other G7 markets. The uncertainty...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015639142

Dynamic modelling of heavy-tailed cylindrical time series

Fotso, Chris Toumping; Özer, Yeliz; Palumbo, Dario; … - 2026

A dynamic modelling for heavy-tailed cylindrical time series is developed by combining score-driven models with a generalised Pareto-type cylindrical distribution. The proposed specification extends existing cylindrical models by allowing location, scale, concentration, and crucially, the tail...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015612419

Do financial technology and clean bonds reshape risk spillovers in sectoral equity markets? : A quantile-based assessment using the US case

Hossain, Mohammad Razib; Doğan, Buhari; Tiwari, Aviral … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015644723

Considering the interaction between carbon allowances and cryptocurrencies across time and frequencies : potential risk-return and environmental benefits

Esparcia, Carlos; Jareño, Francisco; Escribano, Ana - 2026

This study examines the interdependencies between European Union Allowances (EUAs) on carbon emissions and traditional cryptocurrencies (Bitcoin, Ethereum, Binance Coin, Ripple and Bitcoin Cash) and green cryptocurrencies (Cardano, Stellar, EOS, TRON and IOTA) from January 2018 to February 2022....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015651725

Structural drivers of growth at risk : insights from a VAR-quantile regression approach

Carboni, Giacomo; Fonseca, Luís; Fornari, Fabio; … - 2026

We investigate the impact of structural shocks on the joint distribution of future real GDP growth and inflation in the euro area. We model the conditional mean of these variables, along with selected financial indicators, using a VAR and perform quantile regressions on the VAR residuals to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015592539

Testing IV validity and LATE interpretation using flexible covariate specifications

Krumme, Anna; Westphal, Matthias - 2026

Building on the testable implications for IV validity underlying local average treatment effect (LATE) estimation, we (i) propose a simple testing procedure that may accommodate high-dimensional covariates and (ii) demonstrate that it can also detect biases arising from misspecified IV...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638105

Flannery, Timothy - 2026

Randomized response is a widely used survey technique for measuring stigmatized populations, but it may provide limited information in small samples. This paper introduces a method of elicitation through perfectly correlated questions, showing that correlation can substantially improve...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015636949

Demand disagreement

Heyerdahl-Larsen, Christian; Illeditsch, Philipp - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015573684

Systematic backtesting of probability of default models with regulatory data : methodological advances and empirical insights from European regulatory data

Casellina, Simone; Chionsini, Gaetano; Kopp, Raphael M.; … - 2026

Internal ratings-based models play a central role in bank risk management and regulatory capital determination, yet their validation remains methodologically challenging and operationally resourceintensive. In this paper, we contribute to the quantitative validation of probability of default...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638710

Impact of climate transition and physical risks on clean-dirty stock connectedness across market conditions

Ben Hamida, Hela; Hammoudeh, Shawkat - 2026

This study examines the role of climate transition and climate physical risk in explaining the time-varying correlation between clean and dirty stocks under different market conditions. We employ three complementary and supportive frameworks: the multivariate Glosten, Jagannathan and Runkle...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668547

Estimation of high-dimensional volatility matrices with dynamic conditional correlation-embedded mixed factor structures

Dai, Runyu; Matsuda, Yasumasa - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015641735

Comparison of two types of topological networks for the foreign exchange market : one based on correlation coefficients and the other on the concept of causality

Landmesser-Rusek, Joanna - 2026

Topological networks make it possible to recognize structural properties of the currency market. Such networks can be constructed on the basis of the values of correlation coefficients between currency pairs, and the popular minimum spanning tree (MST) algorithm allows an understanding of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015667604

Continuous-time impulse response functions with functional approaches and mixed-frequency data

Doz, Catherine; Ferrara, Laurent; Simoni, Anna - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015644073

Looking for risk : volatility bounds in macro

Jung, Jiyong; Marin, Emile A. - 2026

We characterize the gap between the equity risk premium (ERP) and its SVIX-implied lower bound as an equilibrium object, increasing in the correlation of valuations and returns, their relative volatility, and risk aversion. Higher risk premia need not be reflected in options-implied volatility....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015644373

The dynamic impact of oil price volatility on China's green bond market : an empirical analysis during economic shocks

Zhao, Xin; Shu, Xin; Zong, Xiaolei; Gatto, Andrea; Lee, … - 2026

The progressive financialization of oil, in tandem with the advancement of economic globalization, has led to a sharp increase in oil prices. The growing volatility in the global economic and financial landscape has had some impact on the green bond market. Emerging markets, such as China, are...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015672099

Nonlinear dependence and dynamic interactions between LAK per USD and LAK per THB exchange rates : a wavelet and quantile cross-spectral analysis

Bouavanheuang, Linthone; Phouphet Kyophilavong; … - 2026

This study analyzes the intricate linkages and dynamic interactions between the Lao Kip (LAK), U.S. Dollar (USD), and Thai Baht (THB) exchange rates from January 1990 to February 2024, utilizing wavelet coherence and quantile cross-spectral analysis. This research identifies significant...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015675754

Inference for high-dimensional local projection

Gao, Jiti; Liu, Fei; Peng, Bin - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015650641

Pricing of pseudo-swaps based on pseudo-statistics

Franco, Sebastian; Sviščuk, Anatolij - 2023

The main problem in pricing variance, volatility, and correlation swaps is how to determine the evolution of the stochastic processes for the underlying assets and their volatilities. Thus, sometimes it is simpler to consider pricing of swaps by so-called pseudo-statistics, namely, the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014370400

Exploring choice errors in children

Caliari, Daniele; Dardanoni, Valentino; Guerriero, Carla; … - 2026 - This version: February 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015633016

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Exploring choice errors in children

Caliari, Daniele; Dardanoni, Valentino; Guerriero, Carla; … - 2024

Book / Working Paper

Using Bell violations as an indicator for financial market crisis

Zarifian, Arefeh; Gallus, Christoph; Overbeck, Ludger; … - 2025

The failure to identify and measure financial risk carries significant social and economic consequences. This paper introduces a novel framework for analyzing financial stress and crises, based on the Bell inequalities, a foundational framework in causal analysis, originally developed in quantum...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654804

Multivariate perceptions of post-purchase EV ownership issues

Pellegrini, Andrea; Cherchi, Elisabetta; Rose, John M. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015671519

Deciphering digital assets exchange-traded funds : correlations, contradictions, and systematic influences

Malhotra, Davinder Kumar - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015485845

The history of correlation

Zorich, John Nicholas - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015202677

Inflation synchronization and shock transmission between the eurozone and the non-euro CEE Economies : a wavelet quantile VAR approach

Alqaralleh, Huthaifa; Canepa, Alessandra; Muchova, Eva - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015371761

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Inflation synchronization and shock transmission between the eurozone and the non-Euro CEE economies : a wavelet quantile var approach

Alqaralleh, Huthaifa; Canepa, Alessandra; Muchova, Eva - 2024

Book / Working Paper

Does the VIX act as the main transmitter of mispricing in index futures markets? : insights from European and American regions

Samarakoon, S. M. R. K.; Pradhan, Rudra Prakash; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015371777

The conditional autoregressive F-riesz model for realized covariance matrices

Opschoor, Anne; Lucas, André; Rossini, Luca - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015271649

OLS with heterogeneous coefficients

Mittag, Nikolas - 2025

Regressors often have heterogeneous effects in the social sciences, implying unit-specific slopes. OLS is frequently applied to these correlated coefficient models. I first show that without restrictions on the relation between slopes and regressors, OLS estimates can take any value including...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015374146

"Good" inflation, "bad" inflation : implications for risky asset prices

Bonelli, Diego; Palazzo, Berardino; Yamarthy, Ram S. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015271346

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Good inflation, bad inflation : implications for risky asset prices

Bonelli, Diego; Palazzo, Berardino; Yamarthy, Ram - 2025

Book / Working Paper

Bitcoin is not the new gold

Kriwoluzky, Alexander; Schneider, Christoph - 2025

The price of cryptocurrency Bitcoin has risen sharply over the past ten years, with many investors adding Bitcoin to their portfolios, benefitting from price increases and diversifying their investments. But is Bitcoin suitable for this purpose? This Weekly Report examines the extent to which...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015330553

Efficient positive semidefinite matrix approximation by iterative optimisations and gradient descent method

Asimit, Vali; Wang, Runshi; Zhou, Feng; Rui, Zhu - 2025

We devise two algorithms for approximating solutions of PSDisation, a problem in actuarial science and finance, to find the nearest valid correlation matrix that is positive semidefinite (PSD). The first method converts the PSDisation problem with a positive semidefinite constraint and other...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015333751

Incomplete markets as correlated distortions

Armangue-Jubert, Tristany; Pietrobon, Davide; Ruggieri, … - 2025

We argue that capital misallocation arises endogenously due to incomplete consumption insurance. We model risk-averse entrepreneurs with heterogeneous productivity who face idiosyncratic output shocks and choose how much capital to rent before uncertainty unfolds. We show that incomplete markets...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015272991

The implications of non-synchronous trading in G-7 financial markets

Dimitriou, Dimitrios; Kenourgios, Dimitris; Simos, Theodore - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015337909

On the correlations in linearized multivariate stochastic volatility models

Moussa, Karim - 2025

In the analysis of multivariate stochastic volatility models, many estimation procedures begin by transforming the data, taking the logarithm of the squared returns to obtain a linear state space model. A well-known series representation links the correlations between elements of the observation...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015333113

A sparse approximate factor model for high-dimensional covariance matrix estimation and portfolio selection

Daniele, Maurizio; Pohlmeier, Winfried; Zagidullina, Aygul - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015339161

Graph-based methods for forecasting realized covariances

Zhang, Chao; Pu, Xingyue; Cucuringu, Mihai; Dong, Xiaowen - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015339744

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Graph-based Methods for Forecasting Realized Covariances

Zhang, Chao; Pu, Xingyue (Stacy); Cucuringu, Mihai; … - 2022

Book / Working Paper

Bootstrap inference for group factor models

Gonçalves, Sílvia; Koh, Julia; Perron, Benoit - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015339830

Improving minimum-variance portfolio through shrinkage of large covariance matrices

Shi, Fangquan; Shu, Lianjie; He, Fangyi; Huang, Wenpo - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015193796

Estimating interaction effects with panel data

Muris, Chris; Wacker, Konstantin - 2025

This paper analyzes how interaction effects can be consistently estimated under economically plausible assumptions in linear panel models with a fixed Tdimension. We advocate for a correlated interaction term estimator (CITE) and show that it is consistent under conditions that are not...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015357219