发布求助
文献互助 智能选刊 最新文献

Journal of Risk最新文献

筛选
英文 中文
Application of the moving Lyapunov exponent to the S&P 500 index to predict major declines 移动李雅普诺夫指数在标准普尔500指数重大跌幅预测中的应用
IF 0.7 4区 经济学
Journal of Risk Pub Date : 2022-01-01 DOI: 10.21314/jor.2022.033
Stefanos Tsakonas, M. Hanias, L. Magafas, L. Zachilas
{"title":"Application of the moving Lyapunov exponent to the S&P 500 index to predict major declines","authors":"Stefanos Tsakonas, M. Hanias, L. Magafas, L. Zachilas","doi":"10.21314/jor.2022.033","DOIUrl":"https://doi.org/10.21314/jor.2022.033","url":null,"abstract":"Predicting major downturns in financial markets is a popular topic among re-searchers. Improving the models used for this could benefit individuals, investment banks and financial institutions. The latest developments in econophysics provide additional forecasting tools that may aid this endeavor. This paper introduces an innovative method to identify early warnings for major declines in the Standard & Poor’s 500 (S&P 500) index. This method performs a nonlinear analysis of the log-arithmic returns of the index and then uses the moving Lyapunov exponent as a dynamic indicator of stability. The results show that the fluctuating behavior of the moving Lyapunov exponent forms spikes, which may act as warning signals since they precede all significant events that have caused major drops in the S&P 500 index over the past 20 years, including the dot-com bubble, the Great Recession and the Covid-19 pandemic. © 2022 Infopro Digital Risk (IP) Limited.","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67718553","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model 一个双分量实现的指数广义自回归条件异方差模型
IF 0.7 4区 经济学
Journal of Risk Pub Date : 2022-01-01 DOI: 10.21314/jor.2022.036
Xinyu Wu, Michelle Xia, Huanming Zhang
{"title":"A two-component realized exponential generalized autoregressive conditional heteroscedasticity model","authors":"Xinyu Wu, Michelle Xia, Huanming Zhang","doi":"10.21314/jor.2022.036","DOIUrl":"https://doi.org/10.21314/jor.2022.036","url":null,"abstract":"","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67719216","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The statistics of capture ratios 捕获率的统计
IF 0.7 4区 经济学
Journal of Risk Pub Date : 2022-01-01 DOI: 10.21314/jor.2022.039
Rui-jun Jiang, D. Saunders, Chengguo Weng
{"title":"The statistics of capture ratios","authors":"Rui-jun Jiang, D. Saunders, Chengguo Weng","doi":"10.21314/jor.2022.039","DOIUrl":"https://doi.org/10.21314/jor.2022.039","url":null,"abstract":"","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67718780","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Nonparametric estimation of systemic risk via conditional value-at-risk 基于条件风险值的系统风险非参数估计
IF 0.7 4区 经济学
Journal of Risk Pub Date : 2022-01-01 DOI: 10.21314/jor.2022.041
Ahmed Belhad, D. Lauria, A. Trindade
{"title":"Nonparametric estimation of systemic risk via conditional value-at-risk","authors":"Ahmed Belhad, D. Lauria, A. Trindade","doi":"10.21314/jor.2022.041","DOIUrl":"https://doi.org/10.21314/jor.2022.041","url":null,"abstract":"","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67718840","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Forecasting the European Monetary Union equity risk premium with regression trees 用回归树预测欧洲货币联盟股票风险溢价
IF 0.7 4区 经济学
Journal of Risk Pub Date : 2022-01-01 DOI: 10.21314/jor.2022.035
David Cortés, P. Soriano
{"title":"Forecasting the European Monetary Union equity risk premium with regression trees","authors":"David Cortés, P. Soriano","doi":"10.21314/jor.2022.035","DOIUrl":"https://doi.org/10.21314/jor.2022.035","url":null,"abstract":"","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67719146","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
High-frequency movements of the term structure of US interest rates: the role of oil market uncertainty 美国利率期限结构的高频波动:石油市场不确定性的作用
IF 0.7 4区 经济学
Journal of Risk Pub Date : 2022-01-01 DOI: 10.21314/jor.2022.030
Elie Bouri, Rangan Gupta, C. Kyei, S. Subramaniam
{"title":"High-frequency movements of the term structure of US interest rates: the role of oil market uncertainty","authors":"Elie Bouri, Rangan Gupta, C. Kyei, S. Subramaniam","doi":"10.21314/jor.2022.030","DOIUrl":"https://doi.org/10.21314/jor.2022.030","url":null,"abstract":"","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67718466","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Future portfolio returns and the VIX term structure 未来投资组合回报和波动率指数期限结构
IF 0.7 4区 经济学
Journal of Risk Pub Date : 2022-01-01 DOI: 10.21314/jor.2022.031
D. Y. Aharon, T. Dimpfl
{"title":"Future portfolio returns and the VIX term structure","authors":"D. Y. Aharon, T. Dimpfl","doi":"10.21314/jor.2022.031","DOIUrl":"https://doi.org/10.21314/jor.2022.031","url":null,"abstract":"","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67718669","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Detecting prudence and temperance in risk exposure: the hybrid variance framework 风险暴露中的谨慎与节制:混合方差框架
IF 0.7 4区 经济学
Journal of Risk Pub Date : 2022-01-01 DOI: 10.21314/jor.2022.034
Zhan Wang, Jun Gao, Xiaoli Liu, Xia Gao
{"title":"Detecting prudence and temperance in risk exposure: the hybrid variance framework","authors":"Zhan Wang, Jun Gao, Xiaoli Liu, Xia Gao","doi":"10.21314/jor.2022.034","DOIUrl":"https://doi.org/10.21314/jor.2022.034","url":null,"abstract":"","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67719030","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Forecasting the realized volatility of stock markets with financial stress 预测金融压力下股票市场的实际波动
IF 0.7 4区 经济学
Journal of Risk Pub Date : 2022-01-01 DOI: 10.21314/jor.2022.042
Chuan Guo, Yiyun Feng
{"title":"Forecasting the realized volatility of stock markets with financial stress","authors":"Chuan Guo, Yiyun Feng","doi":"10.21314/jor.2022.042","DOIUrl":"https://doi.org/10.21314/jor.2022.042","url":null,"abstract":"","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67719274","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Modeling the exit cashflows of private equity fund investments 对私募股权基金投资退出现金流进行建模
IF 0.7 4区 经济学
Journal of Risk Pub Date : 2022-01-01 DOI: 10.21314/jor.2022.029
Christian Tausch, Axel Buchner, G. Schlüchtermann
{"title":"Modeling the exit cashflows of private equity fund investments","authors":"Christian Tausch, Axel Buchner, G. Schlüchtermann","doi":"10.21314/jor.2022.029","DOIUrl":"https://doi.org/10.21314/jor.2022.029","url":null,"abstract":"","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67718395","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信