Items where Division is "Systemic Risk Centre" and Year is

  • University Structure (97937)
  • Systemic Risk Centre (296)
    Number of items: 288.
    Article
  • Understanding the interplay between covariance forecasting factor models and risk-based portfolio allocations in currency carry trades. Ames, Matthew and Bagnarosa, Guillaume and Peters, Gareth W. and Shevchenko, Pavel V.
  • Stress testing and macroprudential regulation: a transatlantic assessment. Anderson, Ronald W.
  • Topological regularization with information filtering networks. Aste, Tomaso picture_as_pdf
  • Sparse causality network retrieval from short time series. Aste, Tomaso and Di Matteo, T.
  • Taming the Basel leverage cycle. Aymanns, Christoph and Caccioli, Fabio and Farmer, J. Doyne and Tan, Vincent W.C.
  • The effect of heterogeneity on financial contagion due to overlapping portfolios. Banwo, Opeoluwa and Caccioli, Fabio and Harrald, Paul and Medda, Francesca
  • Pathways towards instability in financial networks. Bardoscia, Marco and Battiston, Stefano and Caccioli, Fabio and Caldarelli, Guido
  • Parsimonious modeling with information filtering networks. Barfuss, Wolfram and Massara, Guido Previde and Di Matteo, T. and Aste, Tomaso
  • Correlation between upstreamness and downstreamness in random global value chains. Bartolucci, Silvia and Caccioli, Fabio and Caravelli, Francesco and Vivo, Pierpaolo picture_as_pdf
  • Distribution of centrality measures on undirected random networks via the cavity method. Bartolucci, Silvia and Caccioli, Fabio and Caravelli, Francesco and Vivo, Pierpaolo picture_as_pdf
  • Ranking influential nodes in networks from aggregate local information. Bartolucci, Silvia and Caccioli, Fabio and Caravelli, Francesco and Vivo, Pierpaolo picture_as_pdf
  • Upstreamness and downstreamness in input-output analysis from local and aggregate information. Bartolucci, Silvia and Caccioli, Fabio and Caravelli, Francesco and Vivo, Pierpaolo picture_as_pdf
  • A percolation model for the emergence of the Bitcoin Lightning Network. Bartolucci, Silvia and Caccioli, Fabio and Vivo, Pierpaolo picture_as_pdf
  • Dynamic industry uncertainty networks and the business cycle. Baruník, Jozef and Bevilacqua, Mattia and Faff, Robert
  • Asymmetric network connectedness of fears. Baruník, Jozef and Bevilacqua, Mattia and Tunaru, Radu picture_as_pdf
  • Determinants of soft budget constraints:how public debt affects hospital performance in Austria. Berger, Michael and Sommersguter-Reichmann, Margit and Czypionka, Thomas picture_as_pdf
  • Striking the implied volatility of US drone companies. Bevilacqua, Mattia and Morelli, David and Uzan, Paola Sultana Renée
  • Options-based systemic risk, financial distress, and macroeconomic downturns. Bevilacqua, Mattia and Tunaru, Radu and Vioto, Davide picture_as_pdf
  • The SKEW index:extracting what has been left. Bevilacqua, Mattia and Tunaru, Radu picture_as_pdf
  • Shocks at large banks and banking sector distress: the banking granular residual. Blank, Sven and Buch, Claudia M. and Neugebauer, Katja
  • Reduced cross-border lending and financing costs of SMEs. Bremus, Franziska and Neugebauer, Katja
  • Dependency structures in cryptocurrency market from high to low frequency. Briola, Antonio and Aste, Tomaso picture_as_pdf
  • Topological feature selection. Briola, Antonio and Aste, Tomaso picture_as_pdf
  • HLOB–Information persistence and structure in limit order books. Briola, Antonio and Bartolucci, Silvia and Aste, Tomaso picture_as_pdf
  • Anatomy of a stablecoin's failure:the Terra-Luna case. Briola, Antonio and Vidal-Tomás, David and Wang, Yuanrong and Aste, Tomaso
  • Bank-specific shocks and the real economy. Buch, Claudia M. and Neugebauer, Katja
  • Diversification of banks' International portfolios: evidence and policy lessons. Buch, Claudia M. and Neugebauer, Katja
  • Modelling fire sale contagion across banks and non-banks. Caccioli, Fabio and Ferrara, Gerardo and Ramadiah, Amanah
  • Emergence of giant strongly connected components in continuum disk-spin percolation. Caravelli, Francesco and Bardoscia, Marco and Caccioli, Fabio
  • Averting financial crisis. Chwieroth, Jeffrey and Danielsson, Jon
  • Political challenges of the macroprudential agenda. Chwieroth, Jeffrey and Danielsson, Jon
  • Default and political survival in networked democracies since 1870. Chwieroth, Jeffrey and Simpson, Cohen R. and Walter, Andrew
  • Financial transaction taxes and the informational efficiency of financial markets:a structural estimation. Cipriani, Marco and Guarino, Antonio and Uthemann, Andreas picture_as_pdf
  • Why it doesn't make sense to hold bonds. Csullag, Balazs and Danielsson, Jon and Macrae, Robert
  • Full and fast calibration of the Heston stochastic volatility model. Cui, Yiran and del Baño Rollin, Sebastian and Germano, Guido
  • Iceland, Greece and political hectoring. Danielsson, Jon
  • Iceland’s post-Crisis economy: A myth or a miracle? Danielsson, Jon
  • Post-crisis banking regulation:evolution of economic thinking as it happened on Vox. Danielsson, Jon
  • What the Swiss FX shock says about risk models. Danielsson, Jon
  • The new market-risk regulations. Danielsson, Jon
  • Cyber risk as systemic risk. Danielsson, Jon and Fouché, Morgane and Macrae, Robert
  • The macro-micro conflict. Danielsson, Jon and Fouché, Morgane and Macrae, Robert
  • Can we prove a bank guilty of creating systemic risk? A minority report. Danielsson, Jon and James, Kevin R. and Valenzuela, Marcela and Zer, Ilknur
  • Model risk and the implications for risk management, macroprudential policy, and financial regulations. Danielsson, Jon and James, Kevin R. and Valenzuela, Marcela and Zer, Ilknur
  • Model risk of risk models. Danielsson, Jon and James, Kevin R. and Valenzuela, Marcela and Zer, Ilknur
  • Solvency II: three principles to respect. Danielsson, Jon and Koijen, Ralph S.J. and Laeven, Roger and Perotti, Enrico
  • Why Iceland can now remove capital controls. Danielsson, Jon and Kristjánsdóttir, Ásdís
  • The fatal flaw in macropru: it ignores political risk. Danielsson, Jon and Macrae, Robert
  • Brexit and systemic risk. Danielsson, Jon and Macrae, Robert and Micheler, Eva
  • Why macropru can end up being procyclical. Danielsson, Jon and Macrae, Robert and Tsomocos, Dimitrios P. and Zigrand, Jean-Pierre
  • Artificial intelligence and systemic risk. Danielsson, Jon and Macrae, Robert and Uthemann, Andreas picture_as_pdf
  • On the financial market consequences of Brexit. Danielsson, Jon and Macrae, Robert and Zigrand, Jean-Pierre
  • Europe’s proposed capital markets union: disruption will drive investment and innovation. Danielsson, Jon and Micheler, Eva and Neugebauer, Katja and Uthemann, Andreas and Zigrand, Jean-Pierre
  • The impact of risk regulation on price dynamics. Danielsson, Jon and Shin, Hyun Song and Zigrand, Jean-Pierre
  • Everybody right, everybody wrong: plural rationalities in macroprudential regulation. Danielsson, Jon and Tsanakas, Andreas
  • Volatility, financial crises and Minsky's hypothesis. Danielsson, Jon and Valenzuela, Marcela and Zer, Ilknur
  • The impact of risk cycles on business cycles:a historical view. Danielsson, Jon and Valenzuela, Marcela and Zer, Ilknur picture_as_pdf
  • Why risk is hard to measure. Danielsson, Jon and Zhou, Chen
  • Are asset managers systemically important? Danielsson, Jon and Zigrand, Jean-Pierre
  • A proposed research and policy agenda for systemic risk. Danielsson, Jon and Zigrand, Jean-Pierre
  • Imitation versus serendipity in ranking dynamics. De Domenico, Federica and Caccioli, Fabio and Livan, Giacomo and Montagna, Guido and Nicrosini, Oreste picture_as_pdf
  • External financial dependence and firms' crisis performance across Europe. Eppinger, Peter S. and Neugebauer, Katja picture_as_pdf
  • Extreme downside risk in the cross-section of asset returns. Ergun, Lerby M.
  • Discussion of professor Borch's paper 'the theory of risk'. Foldes, Lucien
  • Military budgeting and financial control. Foldes, Lucien
  • Quarterly returns to investment in ordinary shares, 1919-1970. Foldes, Lucien and Watson, Pauline
  • Generalists and specialists in the credit market. Fricke, Daniel and Roukny, Tarik
  • Layered networks, equilibrium dynamics, and stable coalitions. Fu, Jing and Page, Frank and Zigrand, Jean-Pierre picture_as_pdf
  • A fixed point theorem for measurable selection valued correspondences induced by upper Caratheodory correspondences. Fu, Jing and Page, Frank picture_as_pdf
  • Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options. Fusai, Gianluca and Germano, Guido and Marazzina, Daniele
  • Large scale simulation of synthetic markets. Gerardo-Giorda, Luca and Germano, Guido and Scalas, Enrico
  • A case study of using blockchain technology in regulatory technology. Gozman, Daniel and Liebenau, Jonathan and Aste, Tomaso picture_as_pdf
  • Reverse stress testing interbank networks. Grigat, Daniel and Caccioli, Fabio
  • Quantifying preferential trading in the e-MID interbank market. Hatzopoulos, Vasilis and Iori, Giulia and Mantegna, Rosario N. and Miccichè, Salvatore and Tumminello, Michele
  • More heat than light:Investor attention and bitcoin price discovery. Ibikunle, Gbenga and McGroarty, Frank and Rzayev, Khaladdin
  • Banks' strategies and cost of money: effects of the financial crisis on the European electronic overnight interbank market. Iori, Giulia and Politi, Mauro and Germano, Guido and Gabbi, Giampaolo
  • The efficient IPO market hypothesis:theory and evidence. James, Kevin R. and Valenzuela, Marcela picture_as_pdf
  • Market microstructure, banks' behaviour and interbank spreads:evidence after the crisis. Kapar, Burcu and Iori, Giulia and Gabbi, Giampaolo and Germano, Guido picture_as_pdf
  • Sentiment trading with large language models. Kirtac, Kemal and Germano, Guido picture_as_pdf
  • Offline biases in online platforms:a study of diversity and homophily in Airbnb. Koh, Victoria and Li, Weihua and Livan, Giacomo and Capra, Licia picture_as_pdf
  • Detecting anomalous citation groups in journal networks. Kojaku, Sadamori and Livan, Giacomo and Masuda, Naoki
  • Does technology cause business cycles in the USA? A Schumpeter-inspired approach. Konstantakis, Konstantinos N. and Michaelides, Panayotis G.
  • Business cycles in Greek maritime transport: an econometric exploration (1998–2015). Konstantakis, Konstantinos N. and Papageorgiou, Theofanis and Christopoulos, Apostolos G. and Dokas, Ioannis G. and Michaelides, Panayotis G.
  • Modeling the dynamic response of automobile sales in troubled times: a real-time Vector Autoregressive analysis with causality testing for Greece. Konstantakis, Konstantinos N. and Milioti, Christina and Michaelides, Panayotis G.
  • Tourism expenditures and crisis transmission: a general equilibrium GVAR analysis with network theory. Konstantakis, Konstantinos N. and Soklis, George and Michaelides, Panayotis G.
  • Generative-discriminative machine learning models for high-frequency financial regime classification. Koukorinis, Andreas and Peters, Gareth W. and Germano, Guido picture_as_pdf
  • Excess reciprocity distorts reputation in online social networks. Livan, Giacomo and Caccioli, Fabio and Aste, Tomaso
  • Quantifying the relationship between specialisation and reputation in an online platform. Livan, Giacomo and Pappalardo, Giuseppe and Mantegna, Rosario N. picture_as_pdf
  • Optimal capital growth with convex shortfall penalties. MacLean, Leonard C. and Zhao, Yonggan and Ziemba, William T.
  • Maximum entropy approach to multivariate time series randomization. Marcaccioli, Riccardo and Livan, Giacomo picture_as_pdf
  • A Pólya urn approach to information filtering in complex networks. Marcaccioli, Riccardo and Livan, Giacomo picture_as_pdf
  • A non-linear Keynesian Goodwin-type endogenous model of the cycle:Bayesian evidence for the USA. Mariolis, Theodore and Konstantakis, Konstantinos N. and Michaelides, Panayotis G. and Tsionas, Efthymios G. picture_as_pdf
  • Nonstandard errors. Menkveld, Albert J. and Dreber, Anna and Holzmeister, Felix and Huber, Juergen and Johannesson, Magnus and Kirchler, Michael and Neusüß, Sebastian and Razen, Michael and Weitzel, Utz and Abad-Díaz, David and Abudy, Menachem and Adrian, Tobias and Ait-Sahalia, Yacine and Akmansoy, Olivier and Alcock, Jamie T. and Alexeev, Vitali and Aloosh, Arash and Amato, Livia and Amaya, Diego and Angel, James J. and Avetikian, Alejandro T. and Bach, Amadeus and Baidoo, Edwin and Bakalli, Gaetan and Bao, Li and Barbon, Andrea and Bashchenko, Oksana and Bindra, Parampreet C. and Bjønnes, Geir H. and Black, Jeffrey R. and Black, Bernard S. and Bogoev, Dimitar and Correa, Santiago Bohorquez and Bondarenko, Oleg and Bos, Charles S. and Bosch-Rosa, Ciril and Bouri, Elie and Brownlees, Christian and Calamia, Anna and Cao, Viet Nga and Capelle-Blancard, Gunther and Romero, Laura M.Capera and Caporin, Massimiliano and Carrion, Allen and Caskurlu, Tolga and Chakrabarty, Bidisha and Chen, Jian and Chernov, Mikhail and Cheung, William and Chincarini, Ludwig B. and Chordia, Tarun and Chow, Sheung Chi and Clapham, Benjamin and Colliard, Jean Edouard and Comerton-Forde, Carole and Curran, Edward and Dao, Thong and Dare, Wale and Davies, Ryan J. and Blasis, Riccardo De and Nard, Gianluca F.De and Declerck, Fany and Deev, Oleg and Degryse, Hans and Deku, Solomon Y. and Desagre, Christophe and Dijk, Mathijs A.Van and Dim, Chukwuma and Dimpfl, Thomas and Dong, Yun Jiang and Drummond, Philip A. and Dudda, Tom and Duevski, Teodor and Dumitrescu, Ariadna and Dyakov, Teodor and Dyhrberg, Anne Haubo and Dzieliński, Michał and Eksi, Asli and Kalak, Izidin El and Ellen, Saskia Ter and Eugster, Nicolas and Evans, Martin D.D. and Farrell, Michael and Felez-Vinas, Ester and Ferrara, Gerardo and Ferrouhi, El Mehdi and Flori, Andrea and Fluharty-Jaidee, Jonathan T. and Foley, Sean D.V. and Fong, Kingsley Y.L. and Foucault, Thierry and Franus, Tatiana and Franzoni, Francesco and Frijns, Bart and Frömmel, Michael and Fu, Servanna M. and Füllbrunn, Sascha C. and Gan, Baoqing and Gao, Ge and Gehrig, Thomas P. and Gemayel, Roland and Gerritsen, Dirk and Gil-Bazo, Javier and Gilder, Dudley and Glosten, Lawrence R. and Gomez, Thomas and Gorbenko, Arseny and Grammig, Joachim and Grégoire, Vincent and Güçbilmez, Ufuk and Hagströmer, Björn and Hambuckers, Julien and Hapnes, Erik and Harris, Jeffrey H. and Harris, Lawrence and Hartmann, Simon and Hasse, Jean Baptiste and Hautsch, Nikolaus and He, Xue Zhong and Heath, Davidson and Hediger, Simon and Hendershott, Terrence and Hibbert, Ann Marie and Hjalmarsson, Erik and Hoelscher, Seth A. and Hoffmann, Peter and Holden, Craig W. and Horenstein, Alex R. and Huang, Wenqian and Huang, Da and Hurlin, Christophe and Ilczuk, Konrad and Ivashchenko, Alexey and Iyer, Subramanian R. and Jahanshahloo, Hossein and Jalkh, Naji and Jones, Charles M. and Jurkatis, Simon and Jylhä, Petri and Kaeck, Andreas T. and Kaiser, Gabriel and Karam, Arzé and Karmaziene, Egle and Kassner, Bernhard and Kaustia, Markku and Kazak, Ekaterina and Kearney, Fearghal and Kervel, Vincent Van and Khan, Saad A. and Khomyn, Marta K. and Klein, Tony and Klein, Olga and Klos, Alexander and Koetter, Michael and Kolokolov, Aleksey and Korajczyk, Robert A. and Kozhan, Roman and Krahnen, Jan P. and Kuhle, Paul and Kwan, Amy and Lajaunie, Quentin and Lam, F. Y.Eric C. and Lambert, Marie and Langlois, Hugues and Lausen, Jens and Lauter, Tobias and Leippold, Markus and Levin, Vladimir and Li, Yijie and Li, Hui and Liew, Chee Yoong and Lindner, Thomas and Linton, Oliver and Liu, Jiacheng and Liu, Anqi and Llorente, Guillermo and Lof, Matthijs and Lohr, Ariel and Longstaff, Francis and Lopez-Lira, Alejandro and Mankad, Shawn and Mano, Nicola and Marchal, Alexis and Martineau, Charles and Mazzola, Francesco and Meloso, Debrah and Mi, Michael G. and Mihet, Roxana and Mohan, Vijay and Moinas, Sophie and Moore, David and Mu, Liangyi and Muravyev, Dmitriy and Murphy, Dermot and Neszveda, Gabor and Neumeier, Christian and Nielsson, Ulf and Nimalendran, Mahendrarajah and Nolte, Sven and Norden, Lars L. and O'neill, Peter and Obaid, Khaled and Ødegaard, Bernt A. and Östberg, Per and Pagnotta, Emiliano and Painter, Marcus and Palan, Stefan and Palit, Imon J. and Park, Andreas and Pascual, Roberto and Pasquariello, Paolo and Pastor, Lubos and Patel, Vinay and Patton, Andrew J. and Pearson, Neil D. and Pelizzon, Loriana and Pelli, Michele and Pelster, Matthias and Pérignon, Christophe and Pfiffer, Cameron and Philip, Richard and Plíhal, Tomáš and Prakash, Puneet and Press, Oliver Alexander and Prodromou, Tina and Prokopczuk, Marcel and Putnins, Talis and Qian, Ya and Raizada, Gaurav and Rakowski, David and Ranaldo, Angelo and Regis, Luca and Reitz, Stefan and Renault, Thomas and Renjie, Rex W. and Reno, Roberto and Riddiough, Steven J. and Rinne, Kalle and Rintamäki, Paul and Riordan, Ryan and Rittmannsberger, Thomas and Longarela, Iñaki Rodríguez and Roesch, Dominik and Rognone, Lavinia and Roseman, Brian and Roşu, Ioanid and Roy, Saurabh and Rudolf, Nicolas and Rush, Stephen R. and Rzayev, Khaladdin and Rzeźnik, Aleksandra A. and Sanford, Anthony and Sankaran, Harikumar and Sarkar, Asani and Sarno, Lucio and Scaillet, Olivier and Scharnowski, Stefan and Schenk-Hoppé, Klaus R. and Schertler, Andrea and Schneider, Michael and Schroeder, Florian and Schürhoff, Norman and Schuster, Philipp and Schwarz, Marco A. and Seasholes, Mark S. and Seeger, Norman J. and Shachar, Or and Shkilko, Andriy and Shui, Jessica and Sikic, Mario and Simion, Giorgia and Smales, Lee A. and Söderlind, Paul and Sojli, Elvira and Sokolov, Konstantin and Sönksen, Jantje and Spokeviciute, Laima and Stefanova, Denitsa and Subrahmanyam, Marti G. and Szaszi, Barnabas and Talavera, Oleksandr and Tang, Yuehua and Taylor, Nick and Tham, Wing Wah and Theissen, Erik and Thimme, Julian and Tonks, Ian and Tran, Hai and Trapin, Luca and Trolle, Anders B. and Vaduva, M. Andreea and Valente, Giorgio and Ness, Robert A.Van and Vasquez, Aurelio and Verousis, Thanos and Verwijmeren, Patrick and Vilhelmsson, Anders and Vilkov, Grigory and Vladimirov, Vladimir and Vogel, Sebastian and Voigt, Stefan and Wagner, Wolf and Walther, Thomas and Weiss, Patrick and Wel, Michel Van Der and Werner, Ingrid M. and Westerholm, P. Joakim and Westheide, Christian and Wika, Hans C. and Wipplinger, Evert and Wolf, Michael and Wolff, Christian C.P. and Wolk, Leonard and Wong, Wing Keung and Wrampelmeyer, Jan and Wu, Zhen Xing and Xia, Shuo and Xiu, Dacheng and Xu, Ke and Xu, Caihong and Yadav, Pradeep K. and Yagüe, José and Yan, Cheng and Yang, Antti and Yoo, Woongsun and Yu, Wenjia and Yu, Yihe and Yu, Shihao and Yueshen, Bart Z. and Yuferova, Darya and Zamojski, Marcin and Zareei, Abalfazl and Zeisberger, Stefan M. and Zhang, Lu and Zhang, S. Sarah and Zhang, Xiaoyu and Zhao, Lu and Zhong, Zhuo and Zhou, Z. Ivy and Zhou, Chen and Zhu, Xingyu S. and Zoican, Marius and Zwinkels, Remco picture_as_pdf
  • Debt dynamics in Europe: a network general equilibrium GVAR approach. Michaelides, Panayotis G. and Tsionas, Efthymios G. and Konstantakis, Konstantinos N.
  • The multiplex dependency structure of financial markets. Musmeci, Nicoló and Nicosia, Vincenzo and Aste, Tomaso and Di Matteo, Tiziana and Latora, Vito
  • Financial time series forecasting using empirical mode decomposition and support vector regression. Nava, Noemi and Di Matteo, Tiziana and Aste, Tomaso picture_as_pdf
  • Time-dependent scaling patterns in high frequency financial data. Nava, Noemi and Di Matteo, Tiziana and Aste, Tomaso
  • Dynamic correlations at different time-scales with empirical mode decomposition. Nava, Noemi and Di Matteo, T. and Aste, Tomaso
  • Information network modeling for U.S. banking systemic risk. Nicola, Giancarlo and Cerchiello, Paola and Aste, Tomaso picture_as_pdf
  • ESG reputation risk matters:an event study based on social media data. Nicolas, Maxime L.D. and Desroziers, Adrien and Caccioli, Fabio and Aste, Tomaso
  • High-frequency trading in the stock market and the costs of options market making. Nimalendran, Mahendrarajah and Rzayev, Khaladdin and Sagade, Satchit picture_as_pdf
  • Financial fire sales as continuous-state complex contagion. Onaga, Tomokatsu and Caccioli, Fabio and Kobayashi, Teruyoshi picture_as_pdf
  • Bias-variance trade-off in portfolio optimization under expected shortfall with ℓ 2 regularization. Papp, Gábor and Caccioli, Fabio and Kondor, Imre picture_as_pdf
  • Optimizing expected shortfall under an ℓ1 constraint—an analytic approach. Papp, Gábor and Kondor, Imre and Caccioli, Fabio picture_as_pdf
  • Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities. Phelan, C. E. and Marazzina, D. and Germano, G. picture_as_pdf
  • Hilbert transform, spectral filters and option pricing. Phelan, Carolyn E. and Marazzina, Daniele and Fusai, Gianluca and Germano, Guido
  • Fluctuation identities with continuous monitoring and their application to price barrier options. Phelan, Carolyn E. and Marazzina, Daniele and Fusai, Gianluca and Germano, Guido
  • Quantification of systemic risk from overlapping portfolios in the financial system. Poledna, Sebastian and Martínez-Jaramillo, Serafín and Caccioli, Fabio and Thurner, Stefan picture_as_pdf
  • Distress propagation in complex networks: the case of non-linear DebtRank. Preis, Tobias and Bardoscia, Marco and Caccioli, Fabio and Perotti, Juan Ignacio and Vivaldo, Gianna and Caldarelli, Guido
  • Portfolio optimization with sparse multivariate modeling. Procacci, Pier Francesco and Aste, Tomaso
  • Order aggressiveness and flash crashes. Rzayev, Khaladdin and Ibikunle, Gbenga
  • The market quality implications of speed in cross-platform trading:evidence from Frankfurt-London microwave. Rzayev, Khaladdin and Ibikunle, Gbenga and Steffen, Tom picture_as_pdf
  • An adoption model of cryptocurrencies. Rzayev, Khaladdin and Sakkas, Athanasios and Urquhart, Andrew picture_as_pdf
  • Bayesian regularized artificial neural networks for the estimation of the probability of default. Sariev, Eduard and Germano, Guido picture_as_pdf
  • Velocity and energy distributions in microcanonical ensembles of hard spheres. Scalas, Enrico and Gabriel, Adrian T. and Martin, Edgar and Germano, Guido
  • Information theoretic causality detection between financial and sentiment data. Scaramozzino, Roberta and Cerchiello, Paola and Aste, Tomaso picture_as_pdf
  • Structural importance and evolution:an application to financial transaction networks. Seabrook, Isobel and Barucca, Paolo and Caccioli, Fabio picture_as_pdf
  • Quantifying impact and response in markets using information filtering networks. Seabrook, Isobel and Caccioli, Fabio and Aste, Tomaso picture_as_pdf
  • Evaluating structural edge importance in temporal networks. Seabrook, Isobel E. and Barucca, Paolo and Caccioli, Fabio picture_as_pdf
  • A minimalistic model of bias, polarization and misinformation in social networks. Sikder, Orowa and Smith, Robert E. and Vivo, Pierpaolo and Livan, Giacomo picture_as_pdf
  • The impact of noise and topology on opinion dynamics in social networks. Stern, Samuel and Livan, Giacomo picture_as_pdf
  • A network perspective on intermedia agenda-setting. Stern, Samuel and Livan, Giacomo and Smith, Robert E. picture_as_pdf
  • The academic Great Gatsby Curve. Sun, Ye and Caccioli, Fabio and Li, Xiancheng and Livan, Giacomo picture_as_pdf
  • Ranking mobility and impact inequality in early academic careers. Sun, Ye and Caccioli, Fabio and Livan, Giacomo
  • Interdisciplinary researchers attain better long-term funding performance. Sun, Ye and Livan, Giacomo and Ma, Athen and Latora, Vito
  • Insurance and systemic risk: no easy conclusions. Thimann, Christian
  • Macroeconomic forecasting through news, emotions and narrative. Tilly, Sonja and Ebner, Markus and Livan, Giacomo
  • Macroeconomic forecasting with statistically validated knowledge graphs. Tilly, Sonja and Livan, Giacomo
  • Financial big data solutions for state space panel regression in interest rate dynamics. Toczydlowska, Dorota and Peters, Gareth W.
  • Quantify the quantitative easing:impact on bonds and corporate debt issuance. Todorov, Karamfil picture_as_pdf
  • Bayesian inference in threshold stochastic frontier models. Tsionas, Efthymios G. and Tran, Kien C. and Michaelides, Panayotis G.
  • Neglected chaos in international stock markets: Bayesian analysis of the joint return–volatility dynamical system. Tsionas, Mike G. and Michaelides, Panayotis G.
  • Relation between regional uncertainty spillovers in the global banking system. Tungsong, S. and Caccioli, F. and Aste, T.
  • Peer-to-peer loan acceptance and default prediction with artificial intelligence:P2P Default Prediction with AI. Turiel, J. D. and Aste, T. picture_as_pdf
  • Heterogeneous criticality in high frequency finance:a phase transition in flash crashes. Turiel, Jeremy D. and Aste, Tomaso picture_as_pdf
  • Replica approach to mean-variance portfolio optimization. Varga-Haszonits, Istvan and Caccioli, Fabio and Kondor, Imre
  • FTX's downfall and Binance's consolidation:the fragility of centralised digital finance. Vidal-Tomás, David and Briola, Antonio and Aste, Tomaso picture_as_pdf
  • Causal coupling between European and UK markets triggered by announcements of monetary policy decisions. Volta, Vittoria and Aste, Tomaso picture_as_pdf
  • Dynamic portfolio optimization with inverse covariance clustering. Wang, Yuanrong and Aste, Tomaso picture_as_pdf
  • Homological neural networks:a sparse architecture for multivariate complexity. Wang, Yuanrong and Briola, Antonio and Aste, Tomaso
  • Measures of causality in complex datasets with application to financial data. Zaremba, Anna and Aste, Tomaso
  • Less disagreement, better forecasts:adjusted risk measures in the energy futures market. Zhang, Ning and Gong, Yujing and Xue, Xiaohan picture_as_pdf
  • Pari-mutuel betting markets:racetracks and lotteries revisited. Ziemba, William T. picture_as_pdf
  • Digital identity: the effect of trust and reputation information on user judgement in the sharing economy. Zloteanu, Mircea and Harvey, Nigel and Tuckett, David and Livan, Giacomo picture_as_pdf
  • Judgments in the sharing economy:the effect of user-generated trust and reputation information on decision-making accuracy and bias. Zloteanu, Mircea and Harvey, Nigel and Tuckett, David and Livan, Giacomo picture_as_pdf
    • Book
  • Stress testing and macroprudential regulation: a transatlantic assessment. Anderson, Ronald W.
  • Post-crisis banking regulation: evolution of economic thinking as it happened on Vox. Danielsson, Jon and Bair, Sheila and Shin, Hyun Song and Borio, Claudio and Ratnovski, Lev and Boot, Arnoud and Goodhart, Charles and Zamil, Raihan and Hagendorff, Jens and Vallascas, Francesco and Gersbach, Hans and Calomiris, Charles W. and Persaud, Avinash and Atkinson, Paul E. and Blundell-Wignall, Adrian and Schmitz, Stefan W. and Laeven, Luc and Levine, Ross and Hoshi, Takeo and Bremus, Franziska and Buch, Claudia M. and Russ, Katheryn and Schnitzer, Monika and Cabellero, Ricardo and Claessens, Stijn and Pozsar, Zoltan and Singh, Manmohan and Čihák, Martin and Nier, Erlend W. and Igan, Deniz and Mishra, Prachi and Tressel, Thierry and Perotti, Enrico and Spagnolo, Giancarlo
  • Rethinking central banking:committee on international economic policy and reform. Eichengreen, Barry and El-Erian, Mohamed and Fraga, Arminio and Ito, Takatoshi and Pisani-Ferry, Jean and Prasad, Eswar and Rajan, Raghuram and Ramos, Maria and Reinhart, Carmen M. and Rey, Hélène and Rodrik, Dani and Rogoff, Kenneth S. and Shin, Hyun Song and Velasco, Andres and di Mauro, Beatrice Weder and Yu, Yongding picture_as_pdf
    • Chapter
  • Notes on revisiting Klappholz and Agassi’s “Methodological Prescriptions in Economics”. Foldes, Lucien picture_as_pdf
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  • Exotic betting at the racetrack. Ziemba, William T.
    • Report
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  • The concept of systemic risk. Smaga, Pawel
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  • How to lose money in derivatives: examples from hedge funds and bank trading departments. Ziemba, Bill and Lleo, Sebastien
  • Systems and systemic risk in finance and economics. Zigrand, Jean-Pierre
    • Working paper
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  • The Internationalization of the Renminbi. Anderson, Ronald W.
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  • Options-based systemic risk, financial distress, and macroeconomic downturns. Bevilacqua, Mattia and Tunaru, Radu and Vioto, Davide picture_as_pdf
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  • Can we prove a bank guilty of creating systemic risk? A minority report. Danielsson, Jon and James, Kevin R. and Valenzuela, Marcela and Zer, Ilknur
  • Can we prove a bank guilty of creating systemic risk? A minority report. Danielsson, Jon and James, Kevin R. and Valenzuela, Marcela and Zer, Ilknur picture_as_pdf
  • Model risk of risk models. Danielsson, Jon and James, Kevin R. and Valenzuela, Marcela and Zer, Ilknur
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  • Resaleable debt and systemic risk. Donaldson, Jason and Micheler, Eva
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  • Econometric modeling of systemic risk:going beyond pairwise comparison and allowing for nonlinearity. Etesami, Jalal and Habibnia, Ali and Kiyavash, Negar
  • Certainty equivalence in the continuous-time portfolio-cum-saving model. Foldes, Lucien picture_as_pdf
  • Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments. Foldes, Lucien picture_as_pdf
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  • Optimal accumulation of capital:a continuous-time martingale theory. Part I: optimal saving with risk. Foldes, Lucien
  • Optimal accumulation of capital:a continuous-time martingale theory. Part II: the portfolio-cum-saving model. Foldes, Lucien
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  • The optimal consumption function in a Brownian model of accumulation part B:existence of solutions of boundary value problems. Foldes, Lucien
  • The optimal consumption function in a Brownian model of accumulation. Part C:a dynamical system formulation. Foldes, Lucien
  • A survey of monopoly legislation. Foldes, Lucien and Hood, J. M.
  • Quarterly returns to Treasury Bills: UK and US, 1926-75. Foldes, Lucien and Watson, Pauline picture_as_pdf
  • Time series analysis of UK and US equity portfolios 1926-1970. Foldes, Lucien and Watson, Pauline picture_as_pdf
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  • Parameterized state-contingent games, 3M minimal Nash correspondences, and connectedness. Fu, Jing and Page, Frank picture_as_pdf
  • A fixed point theorem for measurable selection valued correspondences induced by upper Caratheodory correspondences. Fu, Jing and Page, Frank picture_as_pdf
  • Capital structure and investment dynamics with fire sales. Gale, Douglas and Gottardi, Piero
  • Capital structure, investment, and fire sales. Gale, Douglas and Gottardi, Piero
  • Interaction between monetary policy and bank regulation: theory and European practice. Gerba, Eddie and Macchiarelli, Corrado
  • Incentive compatible networks and the delegated networking principle. Gong, Rui and He, Jieshuang and Page, Frank
  • Shadow banks and systemic risks. Gong, Rui and Page, Frank picture_as_pdf
  • Systemic risk and the dynamics of temporary financial networks. Gong, Rui and Page, Frank
  • Endogenous correlated network dynamics. Gong, Rui and Page, Frank and Wooders, Myrna
  • Brave new world? Macro prudential policy and the new political economy of The Federal Reserve. Goodhart, Lucy
  • Credit risk spillovers, systemic importance and vulnerability in financial networks. Grinis, Inna
  • The STEM requirements of "non-STEM" jobs:evidence from UK online vacancy postings and implications for skills & knowledge shortages. Grinis, Inna
  • Skills diversity in unity. Grinis, Inna
  • Trend growth durations & shifts. Grinis, Inna
  • The dynamics of financially constrained arbitrage. Gromb, Denis and Vayanos, Dimitri
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  • The efficient IPO market hypothesis:theory and evidence. James, Kevin R. and Valenzuela, Marcela picture_as_pdf
  • All you need is trade: on the in(ter)dependence of trade and asset holdings in gravity equations. Kleinert, Jörn and Neugebauer, Katja
  • Using a mean changing stochastic processes exit-entry model for stock market long-short prediction. Lleo, Sebastien and Zhitlukhin, Mikhail and Ziemba, William picture_as_pdf
  • Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world. Lleo, Sebastien and Ziemba, Bill
  • A tale of two indexes:predicting equity market downturns in China. Lleo, Sebastien and Ziemba, William picture_as_pdf
  • A tale of two indexes:predicting equity market downturns in China. Lleo, Sebastien and Ziemba, William picture_as_pdf
  • Does the bond-stock earning yield differential model predict equity market corrections better than high P/E models? Lleo, Sebastien and Ziemba, William T.
  • Optimal capital growth with convex shortfall penalties. MacLean, Leonard C. and Zhao, Yonggan and Ziemba, William T.
  • News shocks and asset prices. Malkhozov, Aytek and Tamoni, Andrea
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  • Does it pay to buy the pot in the Canadian 6/49 Lotto:implications for lottery design. Moffitt, Steven D. and Ziemba, William T.
  • The determinants of systemic importance. Moore, Kyle and Zhou, Chen
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  • Exchange rates and monetary policy uncertainty. Mueller, Philippe and Tahbaz-Salehi, Alireza and Vedolin, Andrea
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  • Borrowing locally, operating globally? financing and trading patterns of firms during the economic crisis. Neugebauer, Katja and Spies, Julia
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  • On K-Class discounted stochastic games. Page, Frank
  • Parameterized games, minimal Nash correspondences, and connectedness. Page, Frank
  • Stationary Markov equilibria for K-class discounted stochastic games. Page, Frank
  • Stationary Markov equilibria for approximable discounted stochastic games. Page, Frank
  • A fixed point theorem for measurable-selection-valued correspondences arising in game theory. Page, Frank
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  • Consistent measures of systemic risk. Segoviano, Miguel and Espinoza, Raphael picture_as_pdf
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