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Using interpolated implied volatility for analysing exogenous market changes
This paper focuses on market changes due to exogenous effects. The standard implied volatility is shown to be insufficient for a proper detection and...
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Resilience for financial networks under a multivariate GARCH model of stock index returns with multiple regimes
Targeting systemic risk, we propose a two-stage analysis of a large collection of stock markets by considering their interconnections. First, we...
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Investment disputes and their explicit role in option market uncertainty and overall risk instability
We propose a methodological approach for capturing and analyzing the impacts of investment disputes on option markets. A dispute submission typically...
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Likelihood-ratio changepoint features for consumer-behaviour models
Some predictive models for customer value management might benefit from information about certain changes in individual-consumer behaviour. We take...
