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.

168,657 papers · 148 categories

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4 results for “FEVD”

Dependency Network-Based Portfolio Design with Forecasting and VaR Constraintsq-fin.PM

Study optimizes stock portfolios using network analysis and forecasting.

problem Optimizing stock portfolios with network analysis and forecasting.

method Constructs dependency networks using VAR and FEVD, applies MST algorithm, and incorporates ARIMA and NNAR forecasts.

result MST-based strategies outperform buy-and-hold benchmarks, achieving higher returns.

portfolio optimization dependency networks VAR FEVD MST

2025-07-26abs ↗pdf ↗

Relation between regional uncertainty spillovers in the global banking systemq-fin.ST

We report on time-varying network connectedness within three banking systems: North America, the EU, and ASEAN. The original method by Diebold and Yilmaz is improved by using exponentially weighted daily returns and ridge regularization on vector autoregression (VAR) and forecast error variance decomposition (FEVD). We…

2017-02-20abs ↗pdf ↗

Bayesian Spillover Graphs for Dynamic Networksstat.ME

BSG learns dynamic network spillovers and uncertainty quantification.

problem Identifying indirect spillovers and systemic risk in dynamic networks.

method Bayesian Spillover Graphs using FEVD and Bayesian time series models.

result Significant performance gains over baselines in identifying source and sink nodes.

Bayesian Networks Dynamic Networks Systemic Risk Forecast Error Variance Decompositions Spillover Effects

2022-03-03abs ↗pdf ↗

Corporate Fundamentals and Stock Price Co-Movementq-fin.ST

Framework analyzes stock price co-movement with fundamentals using big data.

problem Understanding complex relationships between stock price co-movements and fundamental characteristics.

method Advanced big data techniques, four regression models.

result Identifies leading co-movement stocks and their influencing factors.

stock price co-movement fundamentals big data regression models Chinese banking sector

2024-11-06abs ↗pdf ↗