Hidden Markov graphical models with state‐dependent generalized hyperbolic distributions
Canadian Journal of Statistics, EarlyView.Abstract In this article, we develop a novel hidden Markov graphical model to investigate time‐varying interconnectedness between different financial markets. To identify conditional correlation structures under varying market conditions and accommodate shape features embedded in financial time series, we rely upon the generalized hyperbolic family of ...
Beatrice Foroni +2 more
wiley +1 more source
Asymptotic independence in more than two dimensions and its implications on risk management
Canadian Journal of Statistics, EarlyView.Abstract In extreme value theory, the presence of asymptotic independence signifies that joint extreme events across multiple variables are unlikely. Although well understood in a bivariate context, the concept remains relatively unexplored when addressing the nuances of simultaneous occurrence of extremes in higher dimensions.
Bikramjit Das, Vicky Fasen‐Hartmann
wiley +1 more source
Portfolio Optimization: A Neurodynamic Approach Based on Spiking Neural Networks. [PDF]
Biomimetics (Basel)Khan AH, Mohammed AM, Li S.
europepmc +1 more source
Canadian Journal of Statistics, EarlyView.Abstract We analyze the effect of regulatory capital constraints on financial stability in a large homogeneous banking system using a mean‐field game (MFG) model. Each bank holds cash and a tradable risky asset. Banks choose absolutely continuous trading rates in order to maximize expected terminal equity, with trades subject to transaction costs ...
Rüdiger Frey, Theresa Traxler
wiley +1 more source
A Markov approach to credit rating migration conditional on economic states
Canadian Journal of Statistics, EarlyView.Abstract We develop a model for credit rating migration that accounts for the impact of economic state fluctuations on default probabilities. The joint process for the economic state and the rating is modelled as a time‐homogeneous Markov chain. While the rating process itself possesses the Markov property only under restrictive conditions, methods ...
Michael Kalkbrener, Natalie Packham
wiley +1 more source
Translating Cardiovascular Clinical Practice Guidelines on Nutrition Therapy: Validation of the Portfolio Diet Toolkit for Healthcare Providers. [PDF]
CJC OpenViscardi G +12 more
europepmc +1 more source
Automatic Card Shufflers and Antitrust Litigation: An Arbitration Perspective
Conflict Resolution Quarterly, EarlyView.ABSTRACT This paper examines an American Arbitration Association (AAA) class action proceeding in which Mohawk Gaming Enterprises LLC alleges that Light & Wonder Inc. and L&W Gaming Inc. fraudulently obtained and enforced patents, thereby monopolizing the market for automatic card shufflers and violating Sections 2 and 3 of the Sherman Act.
Tariq K. Alhasan
wiley +1 more source
Large Language Models in equity markets: applications, techniques, and insights. [PDF]
Front Artif IntellJadhav A, Mirza V.
europepmc +1 more source
Corporate Social Responsibility and Environmental Management, EarlyView.ABSTRACT Motivated by the growing attention and concerns surrounding climate change and the potential role of institutional investors' ownership concentration (OC) in reducing corporations' greenhouse gas (GHG) emissions, this article explores the relationship between various forms of institutional ownership and firms' GHG emission intensity. To do so,
Daniele Giordino +3 more
wiley +1 more source
Mapping sponsorship portfolios in esports: implied strategic continuity and diversification in the league of legends pro league. [PDF]
Front Sports Act LivingZhu P, Agudamu, Zhao S, Zhang Y.
europepmc +1 more source