Transfer-Entropy- and Hawkes-Process-Driven Dynamic Measurement of Cross-Border Financial Risk Contagion in Directed, Weighted Networks. [PDF]
An L, Dai J.
europepmc +1 more source
Modeling Downside Risks for China's Security Markets: Does Greenness Make Bonds a Safer Haven?
ABSTRACT Motivated by its current defective governance regime and institutional characteristics of green finance, this study models Value‐at‐Risk and Expected Shortfall of security markets for China. We extend Patton et al.'s (2019) models by introducing four exogenous risk factors including China's climate policy uncertainty (CCPU).
Xiao‐Ming Li
wiley +1 more source
Testing for the footprints of stabilization economic policy in forecast errors. [PDF]
Charemza W +4 more
europepmc +1 more source
Abstract Background and Objectives Growth of gram‐negative bacteria in a platelet concentrate (PC) is inevitably accompanied by the accumulation of endotoxin, which is the major component of the outer cell membrane of these organisms. However, less is known about the kinetics of endotoxin accumulation in PC and its biological activity.
Marcel Prax +14 more
wiley +1 more source
The quantile domain volatility shock transmission between carbon emission trading system and European emerging stock markets: Practical implications for portfolio optimization. [PDF]
Aljughaiman AA +3 more
europepmc +1 more source
On the additive image of zeroth persistent homology
Abstract For a category X$X$ and a finite field F$F$, we study the additive image of the functor H0(−;F)∗:rep(X,Top)→rep(X,VectF)$\operatorname{H}_0(-;F)_* \colon \operatorname{rep}(X, \mathbf {Top}) \rightarrow \operatorname{rep}(X, \mathbf {Vect}_F)$, or equivalently, of the free functor rep(X,Set)→rep(X,VectF)$\operatorname{rep}(X, \mathbf {Set ...
Ulrich Bauer +3 more
wiley +1 more source
Prediction, lag and mixture effects of meteorology and pollutants on the incidence of pulmonary tuberculosis in Jining City, China. [PDF]
Cao H, Liu W, Yuan J, Wang W, Hou W.
europepmc +1 more source
Predicting EU Emissions Allowance Prices Using Macroeconomic Indicators and Hybrid AI Models
ABSTRACT Predicting carbon allowance prices has grown more crucial in relation to carbon market regulation, financial strategy, and environmental policy development. This study examines a hybrid forecasting system that combines deep learning with ensemble machine learning models to forecast the price fluctuations of EU Emissions Allowance (EUAs) within
Saptarshi Ganguly +2 more
wiley +1 more source
Forecasting with a Bivariate Hysteretic Time Series Model Incorporating Asymmetric Volatility and Dynamic Correlations. [PDF]
Than HT.
europepmc +1 more source
Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model
ABSTRACT This paper introduces a Threshold Asymmetric Conditional Autoregressive Range (TACARR) model for analyzing the daily price ranges of financial assets. The proposed formulation assumes that the conditional expected range switches between two regimes, representing upward and downward market states, with the disturbance distribution also allowed ...
Isuru Ratnayake, V. A. Samaranayake
wiley +1 more source

