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Calibration of Local Volatility Surfaces from Observed Market Call and Put Option Prices Changwoo YooSoobin KwakJunseok Kim OriginalPaper 05 April 2024
Determining Drivers of Private Equity Return with Computational Approaches Prosper Lamothe-FernándezEduardo García-ArgüellesOmar Hassani-Zerrouk OriginalPaper Open access 03 April 2024
A Smooth Transition Autoregressive Model for Matrix-Variate Time Series Andrea Bucci OriginalPaper 02 April 2024
Stochastic Exchange Rate Dynamics, Intervention Dynamics and the Market Efficiency Hypothesis Emmanouil DrakonakisStelios Kotsios OriginalPaper Open access 02 April 2024
Risk Forecasting Comparisons in Decentralized Finance: An Approach in Constant Product Market Makers Lucas Mussoi AlmeidaFernanda Maria MüllerMarcelo Scherer Perlin OriginalPaper 01 April 2024
Trade Friction in Two-Country HANK with Financial Friction Chenxin ZhangYujie YangWenwen Hou OriginalPaper 30 March 2024
A Redefined Variance Inflation Factor: Overcoming the Limitations of the Variance Inflation Factor Román Salmerón-GómezCatalina B. García-GarcíaJosé García-Pérez OriginalPaper 30 March 2024
Identifying Safe Haven Assets: Evidence from Fractal Market Hypothesis P. S. Niveditha OriginalPaper 30 March 2024
A Consolidated MCDM Framework for Overall Performance Assessment of Listed Insurance Companies Based on Ranking Strategies Özcan IşıkAhmet ÇalıkMohsin Shabir OriginalPaper Open access 29 March 2024
Design of Neuro-Stochastic Bayesian Networks for Nonlinear Chaotic Differential Systems in Financial Mathematics Farwah Ali SyedKwo-Ting FangMuhammad Asif Zahoor Raja OriginalPaper 28 March 2024
Multi-Scale Event Detection in Financial Time Series Diego Silva de SallesCristiane GeaEduardo Ogasawara OriginalPaper 28 March 2024
Tales of Turbulence: BERT-based Multimodal Analysis of FED Communication Dynamics Amidst COVID-19 Through FOMC Minutes Bilal TaskinFuat Akal OriginalPaper Open access 28 March 2024
Designing Ensemble-Based Models Using Neural Networks and Temporal Financial Profiles to Forecast Firms’ Financial Failure Philippe du Jardin OriginalPaper 28 March 2024
Using Decision Trees to Predict Insolvency in Spanish SMEs: Is Early Warning Possible? Andrés Navarro-GaleraJuan Lara-RubioCarlos A. Cruz Corona OriginalPaper 27 March 2024
Standard Errors for Regression-Based Causal Effect Estimates in Economics Using Numerical Derivatives Joseph V. Terza OriginalPaper 25 March 2024
A New Look at Cross-Country Aggregation in the Global VAR Approach: Theory and Monte Carlo Simulation Halil Ibrahim GunduzFurkan EmirmahmutogluM. Eray Yucel OriginalPaper Open access 24 March 2024
On Using Proportional Representation Methods as Alternatives to Pro-rata Based Order Matching Algorithms in Stock Exchanges Sanjay BhattacherjeePalash Sarkar OriginalPaper 21 March 2024
Portfolio Optimization Using Novel EW-MV Method in Conjunction with Asset Preselection Priya SinghManoj Jha OriginalPaper 19 March 2024
A General and Efficient Method for Solving Regime-Switching DSGE Models Julien AlbertiniStéphane Moyen OriginalPaper 17 March 2024
Debt Stabilisation and Dynamic Interaction Between Monetary Authority and National Fiscal Authorities Luca GoriFrancesco PurificatoMauro Sodini OriginalPaper Open access 16 March 2024
Evaluating Density Forecasts Using Weighted Multivariate Scores in a Risk Management Context Jie Cheng OriginalPaper Open access 16 March 2024
Estimation of Models for Stock Returns Saralees NadarajahThomas Hitchen BriefCommunication 15 March 2024
Robust Prediction Intervals for Valuation of Large Portfolios of Variable Annuities: A Comparative Study of Five Models Tingting SunHaoyuan WangDonglin Wang OriginalPaper 15 March 2024
Long-Run Linkages Between us Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis Guglielmo Maria CaporaleJosé Javier de Dios MazariegosLuis A. Gil-Alana OriginalPaper Open access 13 March 2024
Exploring the Dynamics of Equity and Cryptocurrency Markets: Fresh Evidence from the Russia–Ukraine War Foued HamoudaImran YousafMuhammad Abubakr Naeem OriginalPaper 13 March 2024
Monetary Policy and the Evolution of Wealth Disparity: An Assessment Using US Survey of Consumer Finance Data Damien Nicholas ParkerWilli Semmler OriginalPaper 11 March 2024
Improving Quantile Forecasts via Realized Double Hysteretic GARCH Model in Stock Markets Cathy W. S. ChenCindy T. H. Chien OriginalPaper 05 March 2024
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Developing Hybrid Deep Learning Models for Stock Price Prediction Using Enhanced Twitter Sentiment Score and Technical Indicators Nabanita DasBikash SadhukhanSatyajit Chakrabarti OriginalPaper 04 March 2024
Forecasting House Prices through Credit Conditions: A Bayesian Approach Rosa van der DriftJan de HaanPeter Boelhouwer OriginalPaper Open access 04 March 2024
Operator Splitting Method to Solve the Linear Complementarity Problem for Pricing American Option: An Approximation of Error Deepak Kumar YadavAkanksha BhardwajAlpesh Kumar OriginalPaper 02 March 2024
Market Ecology: Trading Strategies and Market Volatility Kun XingHonggang Li OriginalPaper 02 March 2024
Engineering Optimal Cooperation Levels with Prosocial Autonomous Agents in Hybrid Human-Agent Populations: An Agent-Based Modeling Approach Tian GuoZhixue HeJun Tanimoto OriginalPaper 29 February 2024
Asymptotic Dynamics in a Multi-market Delayed Cobweb Model Akio MatsumotoFerenc Szidarovszky OriginalPaper 28 February 2024
Role of Economic Policy Uncertainty in Energy Commodities Prices Forecasting: Evidence from a Hybrid Deep Learning Approach Amar RaoMarco TedeschiUmer Shahzad OriginalPaper 27 February 2024
Prediction of Precious Metal Index Based on Ensemble Learning and SHAP Interpretable Method Yanbo ZhangMengkun LiangHaiying Ou OriginalPaper 21 February 2024
Upward and Downward Multifractality and Efficiency of Chinese and Hong Kong Stock Markets Walid MensiXuan Vinh VoSang Hoon Kang OriginalPaper 21 February 2024
Forecasting Bank Failure in the U.S.: A Cost-Sensitive Approach Aykut EkinciSafa Sen OriginalPaper Open access 19 February 2024
Sieve Bootstrap for Fixed-b Phillips–Perron Unit Root Test Zhenxin WangShaoping WangYayi Yan OriginalPaper 19 February 2024
Option Pricing and Local Volatility Surface by Physics-Informed Neural Network Hyeong-Ohk BaeSeunggu KangMuhyun Lee OriginalPaper 17 February 2024
Scoring Six Detrending Methods on Timing, Lead-Lag Relations, and Cycle Periods: An Empirical Study of US and UK Recessions 1977–2020 Knut Lehre SeipDan Zhang OriginalPaper Open access 16 February 2024
Constructing Optimal Portfolio Rebalancing Strategies with a Two-Stage Multiresolution-Grid Model Tian-Shyr DaiBo-Jen ChenMu-En Wu OriginalPaper Open access 16 February 2024
Which User-Friendly Model is the Best for BASEL-III? An Emerging Market Study Sharif MozumderMohammad Zoynul AbedinAmjad Hossain OriginalPaper 14 February 2024
Explaining the Stylized Facts of Foreign Exchange Markets with a Simple Agent-based Version of Paul de Grauwe’s Chaotic Exchange Rate Model Sarah MignotFrank Westerhoff OriginalPaper Open access 13 February 2024
Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization Eric LuxenbergPhilipp SchieleStephen Boyd OriginalPaper 12 February 2024
Machine Learning-Based Approach for Predicting the Altcoins Price Direction Change from a High-Frequency Data of Seven Years Based on Socio-Economic Factors, Bitcoin Prices, Twitter and News Sentiments Anamika GuptaGaurav PandeyShreyan Sarkar OriginalPaper 07 February 2024
Vine Copula Approach to Understand the Financial Dependence of the Istanbul Stock Exchange Index Ozan Evkayaİsmail GürGülden Poyraz OriginalPaper Open access 06 February 2024
The Effects of Economic Uncertainty and Trade Policy Uncertainty on Industry-Specific Stock Markets Equity Ijaz YounisHimani GuptaXuan Tang OriginalPaper 04 February 2024