A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Study uses copulas and DCC-GARCH for multivariate risk analysis of VaR and CVaR.
Two methods are proposed to filter correlations in DCC-GARCH residuals for foreign exchange rates.
We provide conditions for the existence and the unicity of strictly stationary solutions of the usual Dynamic Conditional Correlation GARCH models (DCC-GARCH). The proof is based on Tweedie's (1988) criteria, after having rewritten DCC-GARCH models as nonlinear Markov chains. Moreover, we study the existence of their f…
ETF approval boosts Bitcoin's correlation with equities, stabilizes with gold, and maintains negative correlation with fiat currencies.
In the present work we analyse the dynamics of indirect connections between insurance companies that result from market price channels. In our analysis we assume that the stock quotations of insurance companies reflect market sentiments which constitute a very important systemic risk factor. Interlinkages between insur…
The subject of the present article is the study of correlations between large insurance companies and their contribution to systemic risk in the insurance sector. Our main goal is to analyze the conditional structure of the correlation on the European insurance market and to compare systemic risk in different regimes o…
Liberalization of electricity markets has increasingly created the need for understanding the volatility and correlation structure between electricity and financial markets. This work reveals the existence of structural changes in correlation patterns among these two markets and links the changes to both fundamentals a…
The study analyzes macroeconomic factors affecting copper futures volatility and long-term correlation with S&P 500.
Paper compares econometric models with machine learning for energy forecasting.