This paper develops a new portfolio optimization framework that considers network spillovers.
problem Modern financial markets' complex interconnections are not fully captured by variance alone.
method Formulates a three-objective optimization problem with a quadratic measure of network spillovers.
result Establishes a three-dimensional efficient surface and a risk-risk frontier.
This study analyzes dynamic connectedness in global supply chain infrastructure portfolios, identifying key risk factors and extreme events.
problem Understanding dynamic connectedness in global supply chain infrastructure portfolios under various risk factors and extreme events.
method Time-varying parameter vector autoregression (TVP-VAR) model to study spillover and interconnectedness of risk factors.
result Risk shocks influence dynamic connectedness between portfolios and risk factors, and extreme events affect investment outcomes.
Study on systemic risk in European insurance sector, showing insurer connections during stress.
problem Understanding systemic risk connectedness in European insurance sector.
method Common connectedness framework applied to returns, volatility, value-at-risk, and expected shortfall.
result Insurers are a significant component of systemic risk connectedness, especially during stress episodes.
A motif-based framework identifies local spillover structures in financial markets.
problem Aggregate risk spillovers obscure local interaction patterns in systemic risk.
method Develops a motif-based framework using multiscale backbones and colored motifs.
result Motif-based portfolios outperform traditional benchmarks on risk-adjusted returns.
Study examines grain futures connectedness during Russia-Ukraine conflict.
problem Quantile return connectedness of grain futures markets during geopolitical instability.
method Dynamic quantile VAR combined with frequency-domain decomposition.
result Heterogeneous spillovers across quantiles, with strong transmitters and persistent receivers.
We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a framework based on the spectral representation of variance decompositions. In an e…
Study reveals risk transmission channels among Chinese sectors.
problem Understanding risk transmission within Chinese economic sectors.
method Volatility spillovers analysis using VAR model and rolling window approach.
result 17 sectors are risk transmitters and 11 are risk takers.
We investigate connectedness within and across two major groups or assets: i) five popular cryptocurrencies, and ii) six major asset classes plus two commonly employed risk factors. Granger-causality tests uncover six direct channels of causality from the elements of the mainstream assets/risk factors group to digital …
New model predicts financial connectedness via COVID-19 spread.
problem Predicting financial connectedness during COVID-19 spread.
method Semiparametric matrix regression model with Bayesian hierarchical mixture prior.
result Model captures heterogeneity in network responses to risk factors.
The paper analyzes risk spillovers between AI ETFs, AI tokens, and green markets.
problem Risk spillovers among AI ETFs, AI tokens, and green markets.
method R2 decomposition method
result AI ETFs and clean energy act as risk transmitters, while AI tokens and green assets act as receivers.
This paper introduces forward-looking measures of the network connectedness of fears in the financial system, arising due to the good and bad beliefs of market participants about uncertainty that spreads unequally across a network of banks. We argue that this asymmetric network structure extracted from call and put tra…
The paper examines spillovers between agriculture, crude oil, carbon, and climate markets.
problem Understanding dynamic spillovers between agriculture, crude oil, carbon emission, and climate markets.
method A novel R2 decomposed connectedness approach. result Overall spillovers are mainly contemporaneous, not lagged; climate change significantly impacts others; agricultural markets have heterogeneous effects; corn is a major risk contributor.
This paper examines cryptocurrency integration with traditional markets, showing how network structure and turbulence influence cross-asset spillovers.
problem Understanding how cryptocurrencies integrate with traditional financial markets and the impact of market stress on cross-asset spillovers.
method Combining rolling correlation networks, community structure, market-specific and system-wide Turbulence Indices, and VAR-based connectedness analysis.
result Cross-asset integration is episodic, with network structure and turbulence playing a role in transmission during stress periods.
Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in financial markets. Yet, the large literature studying information transmission mechanisms ignores the fact that bad and good volatility may spill over at different magnitudes. This paper fills this gap…
Study examines dynamic relationship between BRICS stocks and cryptocurrencies.
problem Understanding the impact of BRICS stock markets on cryptocurrency markets.
method Time-varying parameter vector autoregression model (TVP-VAR).
result Three out of five BRICS stock markets are primary sources of shocks affecting the financial network.
We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007 -- 2017. By employing variance decompositions and their spectral representation in combination with realized semivariances to account for asymmetric and frequency connectednes…
Geodesic connectedness proved for statistical manifolds with divisible cubic forms.
problem Geodesic connectedness of affine connections on statistical manifolds with divisible cubic forms.
method Analogy with Hopf-Rinow theorem in Riemannian geometry, establishing geodesic completeness.
result Geodesic connectedness established for statistical manifolds with divisible cubic forms.
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.
The paper connects curvature positivity to rational connectedness in complex geometry.
problem Establishing a geometric criterion for rational connectedness.
method Uhlenbeck-Yau's continuity method applied to mean curvature positivity.
result Holomorphic tangent bundle mean curvature positivity is equivalent to rational connectedness of compact Kähler manifolds.
We provide an easily verifiable condition for local k-connectedness of an inverse limit of polyhedra.
Study shows connectedness of Bowditch boundary persists in long Dehn fillings.
problem Persistence of Bowditch boundary connectedness in Dehn fillings.
method Analysis of relatively hyperbolic group pairs and peripheral subgroups.
result Connectedness of Bowditch boundary persists in sufficiently long Dehn fillings without needing restrictions.
Connectedness proved for Zd actions on 1D manifolds by C2 diffeomorphisms.
problem Connectedness of Zd actions by C2 diffeomorphisms on 1D manifolds. method Proved connectedness through continuous paths of C1+ac diffeomorphisms. result Connectedness of Zd actions by C2 diffeomorphisms on 1D manifolds. The paper studies complexes of hypersurfaces in homology classes and proves their connectedness and simple connectedness.
problem Investigating complexes of hypersurfaces in homology classes and proving their topological properties.
method Defining and analyzing simplicial complexes S†(M,φ) and T†(M,φ) for properly embedded hypersurfaces in n-manifolds, proving connectedness and simple connectedness. result Proves connectedness and simple connectedness of the complexes S†(M,φ) and T†(M,φ). New conditions ensure geodesic connectedness of affine manifolds.
problem Ensuring geodesic connectedness in affine manifolds.
method New sufficient conditions for geodesic connectedness, weaker than previous work.
result Elementary proof of geodesic connectedness.
Counterfactual post-hoc interpretability approaches have been proven to be useful tools to generate explanations for the predictions of a trained blackbox classifier. However, the assumptions they make about the data and the classifier make them unreliable in many contexts. In this paper, we discuss three desirable pro…
In this paper we prove the path connectedness of the moduli spaces of metrics with positive isotropic curvature on certain compact four-dimensional manifolds.
Clusters on simple manifolds have connected boundaries.
problem Understanding the connectedness of boundaries of isoperimetric clusters.
method Analyzing isoperimetric clusters on simply connected homogeneous Riemannian manifolds.
result Clusters on such manifolds have connected boundaries.
We study the connectedness of the planar self-affine sets T(A,D) generated by an integer expanding matrix A with ∣det(A)∣=3 and a non-collinear digit set D={0,v,kAv} where k∈Z∖{0} and v∈Z2 such that {v,Av} is linearly independent. By chec…
Connectedness of small clusters in Riemannian and Finsler manifolds proven.
problem Understanding connectedness of small clusters in Riemannian and Finsler manifolds.
method Proved connectedness and small diameter properties for clusters of small volume in both manifolds.
result Clusters in Riemannian manifolds are connected and have small diameter; in Finsler manifolds, they are at most m connected components of small diameter.
Work consists of introduction, two chapters, conclusion and four applications. In this work is examined the condition, with which the wave space metrics of Riemann- Cartan is the solution of Einstein equation in the void. Geometric structures were for this purpose studied on the differentiated variety: connectedness, c…
Graph conditions ensure matching arc complexes are connected and hyperbolic.
problem Conditions for connectedness and hyperbolicity of matching arc complexes.
method Conditions on finite simplicial graphs guaranteeing connectedness and hyperbolicity of matching arc complexes.
result Conditions on finite simplicial graphs ensure connectedness and hyperbolicity of matching arc complexes.
Develops a new framework to measure network connectedness across and within markets.
problem Lack of flexible methods to measure network connectedness and its evolution.
method Allows network nodes to be connected in clusters, with shocks orthogonal across clusters and correlated within clusters.
result Demonstrates the effectiveness of the new framework in a detailed empirical analysis of equity markets.
New proof shows path-connectedness of actions on intervals and circles.
problem Path-connectedness of C1+ac actions of Zd. method New proof using C1 diffeomorphisms with absolutely continuous derivative. result Path-connectedness of the space of actions.
A new technique for the study of geodesic connectedness in a class of Lorentzian manifolds is introduced. It is based on arguments of Brouwer's topological degree for the solution of functional equations. It is shown to be very useful for multiwarped spacetimes, which include different types of relativistic spacetimes.
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.
In the paper, we focus on the connectedness of planar self-affine sets T(A,D) generated by an integer expanding matrix A with ∣det(A)∣=3 and a collinear digit set D={0,1,b}v, where b>1 and v∈R2 such that {v,Av} is linearly independent. We discuss the domain of…
This paper explores the relation between convex functions and the geometry of space-times and semi-Riemannian manifolds (an investigation initiated by Gibbons-Ishibashi). Specifically, we study geodesic connectedness. We give geometric-topological proofs of geodesic connectedness for classes of space-times to which kno…
The paper proves rational connectedness for certain Kähler manifolds.
problem Rational connectedness of compact Kähler manifolds.
method Uniform weak RC-positivity of the tangent bundle.
result Compact Kähler manifolds with uniformly weakly RC-positive tangent bundles are projective and rationally connected.
In this note we reduce the problem of geodesic connectedness in a wide class of Gödel type spacetimes to the search of critical points of a functional naturally involved in the study of geodesics in standard static spacetimes. Then, by using some known accurate results on the latter, we improve previous results on the …
We review geometrical properties of a static spacetime (M,g), including geodesic completeness, causality, standard splittings, compact M, closed geodesics and geodesic connectedness. We pay special attention to the critical quadratic behavior at infinity of the coefficients β, β−1 (β=−g(K,K), being K a …
Study examines spillovers between BRICS and U.S. staple grain futures markets.
problem Contemporaneous and lagged spillover effects in BRICS staple grain futures markets and their linkages with U.S. markets.
method Examines contemporaneous and lagged spillover effects using econometric models.
result Contemporaneous spillovers dominate, and net spillovers are driven by lagged connectedness. Systemic risk is lower in intra-BRICS markets compared to those including the U.S.
In this paper we estimate the propagation of liquidity shocks through interbank markets when the information about the underlying credit network is incomplete. We show that techniques such as Maximum Entropy currently used to reconstruct credit networks severely underestimate the risk of contagion by assuming a trivial…
For a boundary-reducible 3-manifold M with ∂M a genus g surface, we show that if M admits a genus g+1 Heegaard surface S, then the disk complex of S is simply connected. Also we consider the connectedness of the complex of reducing spheres. We investigate the intersection of two reducing spheres…
The boundary of hyperbolic groups is locally simply connected.
problem Topology of hyperbolic group boundaries
method Proving local simple connectedness in terms of global topology
result Boundary is locally simply connected if and only if complement of any point is simply connected
Study introduces indecomposability for varifolds, leading to geometric consequences.
problem Understanding the structure of varifolds and their connectedness properties.
method Introducing indecomposability and related concepts for varifolds.
result Substantial geometric consequences derived from the connectedness properties of varifolds.
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…
Homotopy connectedness theorems for complex submanifolds of homogeneous spaces (sometimes referred to as theorems of Barth-Lefshetz type) have been established by a number of authors. Morse Theory on the space of paths lead to an elegant proof of homotopy connectedness theorems for complex submanifolds of Hermitian sym…
Graphs are naturally sparse objects that are used to study many problems involving networks, for example, distributed learning and graph signal processing. In some cases, the graph is not given, but must be learned from the problem and available data. Often it is desirable to learn sparse graphs. However, making a grap…