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Examining the asymmetric information flow between pairs of gold, silver, and oil: a transfer entropy approach
The present study examines the asymmetric information flow between bivariate pairs of gold, silver, and oil daily returns for the period: 1 September...
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Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
Conditional value-at-risk (CVaR) and value-at-risk, also called the superquantile and quantile, are frequently used to characterize the tails of...
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Cryptocurrency market microstructure: a systematic literature review
This study contributes to the unconsolidated cryptocurrency literature, with a systematic literature review focused on cryptocurrency market...
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Systemic risk contagion of green and Islamic markets with conventional markets
Financial markets are exposed to extreme uncertain circumstances escalating their tail risk. Sustainable, religious, and conventional markets...
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Navigating the Energy Transition: How R&D Investment and Governance Quality Drive Clean Energy in the MENA Region
This study explores the impact of R&D investment and governance quality on renewable energy (REN) adoption in the Middle East and North Africa (MENA)...
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Explore the environmental benefits of new energy vehicles: evidence from China
New energy vehicles (NEVs) are considered to ease energy and environmental pressures. China actively formulates the implementation of NEVs...
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A welcome to the jungle of continuous-time multivariate non-Gaussian models based on Lévy processes applied to finance
In this paper we review the large and growing literature on continuous-time multivariate non-Gaussian models based on Lévy processes applied to...
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Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation
In this paper, we study large losses arising from defaults of a credit portfolio. We assume that the portfolio dependence structure is modelled by...
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Confidence Intervals
The most straightforward way of forming a sample is to select it randomly from the population. Such a sample is referred to as a simple random sample...
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Mode mixture of unimodal distributions for insurance loss data
Insurance loss data have peculiar features that can rarely be accounted for by simple parametric distributions. Thus, in this manuscript, we first...
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The Long Tail
About one-third of the sales of Amazon comes from books that are low in demand and not easily available through ordinary bookstores. These books make...
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Parameter analysis for sigmoid and hyperbolic transfer functions of fuzzy cognitive maps
Fuzzy cognitive maps (FCM) have recently gained ground in many engineering applications, mainly because they allow stakeholder engagement in...
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A New Lindley Extension: Estimation, Risk Assessment and Analysis Under Bimodal Right Skewed Precipitation Data
The objectives of this study are to propose a new two-parameter lifespan distribution and explain some of the most essential properties of that...
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Financial time series
There are several characteristics different financial assets share that have been identified through empirical observations over time. These are...
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Wasserstein barycenter regression for estimating the joint dynamics of renewable and fossil fuel energy indices
In order to characterize non-linear system dynamics and to generate term structures of joint distributions, we propose a flexible and...
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Stress testing for IInd pillar life-cycle pension funds using hidden Markov model
This paper presents a stress testing technique based on a hidden Markov regime switching model and scenario generations. Firstly, we assume that...
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Weather Patterns and Machine Learning
In this chapter, the effects of climate change and changing temperatures on agricultural commodities are introduced. As part of the chapter, two use...
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Analysing exchange rate volatility in India using GARCH family models
Volatility in foreign exchange market is an important issue of concern for market participants and policy makers as higher the volatility the more...
