Zobrazeno 1 - 10
of 89
pro vyhledávání: '"Gang-Jin Wang"'
Publikováno v:
Journal of Management Science and Engineering, Vol 9, Iss 3, Pp 348-375 (2024)
We construct correlation-based networks linking 86 assets (stock indices, bond indices, foreign exchange rates, commodity futures, and cryptocurrencies) and analyze the impact of asset selection on portfolio optimization using different centrality me
Externí odkaz:
https://doaj.org/article/082331e529604df0b594346176ba4d37
Publikováno v:
Journal of Management Science and Engineering, Vol 7, Iss 2, Pp 303-329 (2022)
This paper adopts the tail-event driven network (TENET) framework to explore the connectedness and systemic risk of the banking industry along the Belt and Road (B&R) based on weekly returns of 377 publicly-listed banks from 2014 to 2019. We conduct
Externí odkaz:
https://doaj.org/article/9a539d344aee437dbdbad3f0c5e5c683
Publikováno v:
Entropy, Vol 15, Iss 5, Pp 1643-1662 (2013)
We investigate the statistical properties of the foreign exchange (FX) network at different time scales by two approaches, namely the methods of detrended cross-correlation coefficient (DCCA coefficient) and minimum spanning tree (MST). The daily FX
Externí odkaz:
https://doaj.org/article/f26dd255987d407e912053d6e7dbd6a2
Publikováno v:
Advances in Mathematical Physics, Vol 2016 (2016)
As an important part of the financial system, interbank market provides banks with liquidity and credit lending and also is the main channel for risk contagion. In this paper, we test the existence of systematic risk contagion within the Chinese inte
Externí odkaz:
https://doaj.org/article/251fd94369574e108c3576bbab87fce0
Publikováno v:
Journal of Applied Mathematics, Vol 2014 (2014)
The Chinese commodity futures markets neglect the existence of the risk hedge and diversification between futures contracts, thus leading to overcharge futures portfolio holders’ maintenance margins. To this end, this paper proposes a new method, n
Externí odkaz:
https://doaj.org/article/d3194275897f4dbe94900eb63ee6eb10
Publikováno v:
Discrete Dynamics in Nature and Society, Vol 2014 (2014)
Based on a time-varying copula approach and the minimum spanning tree (MST) method, we propose a time-varying correlation network-based approach to investigate dynamics of foreign exchange (FX) networks. In piratical terms, we choose the daily FX rat
Externí odkaz:
https://doaj.org/article/45f54897ad51461594eae9e0e35554fa
Publikováno v:
Entropy, Vol 18, Iss 5, p 195 (2016)
We propose a new integrated ensemble machine learning (ML) method, i.e., RS-RAB (Random Subspace-Real AdaBoost), for predicting the credit risk of China’s small and medium-sized enterprise (SME) in supply chain finance (SCF). The sample of empirica
Externí odkaz:
https://doaj.org/article/9d8ee4825b034fe2a19aae6b04413b9e
Publikováno v:
Emerging Markets Review. 55:101020
Publikováno v:
International Review of Financial Analysis. 87:102602
Publikováno v:
International Review of Economics & Finance. 73:325-347
We propose multilayer information spillover networks, including return spillover layer, volatility spillover layer, and extreme risk spillover layer in the variance decomposition framework for comprehensively investigating the information spillovers