Zobrazeno 1 - 10
of 53
pro vyhledávání: '"Cathy Yi-Hsuan Chen"'
The integration of social media characteristics into an econometric framework requires modeling a high dimensional dynamic network with dimensions of parameter typically much larger than the number of observations. To cope with this problem, we intro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fe3984baf04fdb041c5425f76a6c53f5
https://eprints.gla.ac.uk/233352/1/233352.pdf
https://eprints.gla.ac.uk/233352/1/233352.pdf
Autor:
Cathy Yi-Hsuan Chen, Sergey Nasekin
Publikováno v:
The European Journal of Finance. 26:1926-1947
We propose a tail dependence based network approach to study systemic risk in a network of systemically important financial institutions (SIFIs). We utilize a flexible factor copula-based method which allows us to measure the level of extreme risk in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b192eb582538d472886aec622af60994
https://doi.org/10.1080/1351847x.2020.1828961
https://doi.org/10.1080/1351847x.2020.1828961
Publikováno v:
Quantitative Finance. 21:449-460
We propose a generalized risk measure for expectile-based expected shortfall estimation. The generalization is designed with a mixture of Gaussian and Laplace densities. Our plug-in estimator is de...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::98080a76fea4439abe1e1550d77fd8d7
https://doi.org/10.1080/14697688.2020.1786151
https://doi.org/10.1080/14697688.2020.1786151
Autor:
Cathy Yi-Hsuan Chen, Sergey Nasekin
Publikováno v:
Digital Finance. 2:39-67
We study investor sentiment on a non-classical asset such as cryptocurrency using machine learning methods. We account for context-specific information and word similarity using efficient language modeling tools such as construction of featurized wor
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7bcdc00d59ec67329da460827dcf2ccd
https://doi.org/10.1007/s42521-020-00018-y
https://doi.org/10.1007/s42521-020-00018-y
Publikováno v:
Digital Finance. 2:169-187
The JEL classification system is a standard way of assigning key topics to economic articles to make them more easily retrievable in the bulk of nowadays massive literature. Usually the JEL (Journal of Economic Literature) is picked by the author(s)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ede81b1308c39c456f5f7e0f88a1bda8
https://doi.org/10.1007/s42521-020-00017-z
https://doi.org/10.1007/s42521-020-00017-z
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4522d40f139c85db46a7e6911c5f1c1d
https://doi.org/10.2139/ssrn.4204014
https://doi.org/10.2139/ssrn.4204014
We investigate the informational content of a huge assortment of NASDAQ articles about a joint cross-section of S&P 500 stock return data and related single-stock option data. Splitting the articles into a trading-time and an overnight archive, we di
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::32829e5a48587285fe507c5f56aaf35e
https://eprints.gla.ac.uk/261056/1/261056.pdf
https://eprints.gla.ac.uk/261056/1/261056.pdf
Publikováno v:
Studies in Economics and Finance. 37:50-70
Purpose Interdependency among industries is vital for understanding economic structures and managing industrial portfolios. However, it is hard to precisely model the interconnecting structure among industries. One of the reasons is that the interdep
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f1db9c1076fd31d6a8b97d081b20d576
https://doi.org/10.1108/sef-07-2019-0272
https://doi.org/10.1108/sef-07-2019-0272
Publikováno v:
Quantitative Finance. 19:1705-1726
Systemically important banks are connected and their default probabilities have dynamic dependencies. An extraction of default factors from cross-sectional credit default swap (CDS) curves allows u...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bfbaa13de9b89504aa972ddc41e1fb87
https://doi.org/10.1080/14697688.2019.1585560
https://doi.org/10.1080/14697688.2019.1585560
Publikováno v:
SSRN Electronic Journal.
We discover a novel flight-to-safety effect from cryptocurrency markets to stock markets. It occurs after a series of hacking attacks on crypto exchanges as greater uncertainty heightens investors' risk awareness and perception, which, in turn, induc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7c0776143751029db75cf7aa04f4f183
https://doi.org/10.2139/ssrn.3864561
https://doi.org/10.2139/ssrn.3864561