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Found 7 papers, 4 papers with code
Cross-ownership as a structural explanation for rising correlations in crisis times
In this paper, we examine the interlinkages among firms through a financial network where cross-holdings on both equity and debt are allowed.
Bayesian Quantile Matching Estimation
Due to increased awareness of data protection and corresponding laws many data, especially involving sensitive personal information, are not publicly accessible.
The sub-fractional CEV model
The sub-fractional Brownian motion (sfBm) is a stochastic process, characterized by non-stationarity in their increments and long-range dependency, considered as an intermediate step between the standard Brownian motion (Bm) and the fractional Brownian motion (fBm).
Systemic Risk: Fire-Walling Financial Systems Using Network-Based Approaches
The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system.
Rotation Invariant Householder Parameterization for Bayesian PCA
We consider probabilistic PCA and related factor models from a Bayesian perspective.
Estimation of Covariance Matrices for Portfolio Optimization using Gaussian Processes
Estimating covariances between financial assets plays an important role in risk management and optimal portfolio allocation.
Computational Engineering, Finance, and Science Portfolio Management
The Information Theory of Individuality
We consider biological individuality in terms of information theoretic and graphical principles.
