On-device research index

arXiv research

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.

168,695 papers · 148 categories

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4 results for “Diebold-Yilmaz”

On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectednessecon.EM

Retrospective and prospective analysis of Diebold-Yilmaz connectedness research.

problem Assessing the Diebold-Yilmaz approach to dynamic network connectedness.

method Retrospective and prospective analysis of Diebold-Yilmaz (2014) and personal recollections.

result Personal insights and retrospective analysis of Diebold-Yilmaz connectedness research.

Diebold-Yilmaz connectedness retrospective prospective network

2022-11-08abs ↗pdf ↗

ASRI: An Aggregated Systemic Risk Index for Cryptocurrency Marketsq-fin.RM

ASRI index detects crypto market risks with high precision and lead time.

problem Detecting systemic risks in cryptocurrency markets.

method Four weighted sub-indices (Stablecoin, DeFi, Contagion, Regulatory) validated against historical crises.

result ASRI detects significant abnormal signals with high statistical significance and lead time.

cryptocurrency systemic risk DeFi contagion regulatory opacity

2026-02-01abs ↗pdf ↗

Uncertainty and financial market resilience: Evidence from Chinaq-fin.RM

This paper measures financial market resilience in China and identifies key uncertainties.

problem Measuring financial market resilience in China.

method Quantitative analysis of total financial market and sub-markets, Diebold-Yilmaz connectedness approach.

result Financial market resilience in China is event-driven and influenced by geopolitical risks, economic and trade policy uncertainty, and U.S.-China tensions.

financial market resilience China resilience measurement uncertainty spillovers

2024-09-27abs ↗pdf ↗

Analyzing selected cryptocurrencies spillover effects on global financial indices: Comparing risk measures using conventional and eGARCH-EVT-Copula approachesq-fin.RM

Study examines cryptocurrency impacts on financial indices using advanced risk models.

problem Interdependence between cryptocurrencies and financial indices, focusing on risk spillover.

method Hybrid approach integrating GARCH, EVT, and copula functions for risk measures.

result eGARCH-EVT-Copula model outperforms conventional methods in risk estimation.

cryptocurrencies financial indices risk spillover GARCH EVT

2024-07-22abs ↗pdf ↗