This paper uses simulation-based portfolio optimization to mitigate the left tail risk of the portfolio. The contribution is twofold. (i) We propose the Markov regime-switching GARCH model with multivariate normal tempered stable innovation (MRS-MNTS...
This paper explores the potential diversification benefits of socially responsible investments for conventional stock portfolios by examining the risk spillovers and dynamic correlations between conventional and sustainability stock indexes from a nu...
Dynamic hedging has been adopted by many insurance companies to mitigate the financial risks associated with variable annuity guarantees. To simulate the performance of dynamic hedging for variable annuity products, insurance companies rely on nested...
This article investigates the effectiveness of TAIEX (Taiwan Stock Exchange) futures, Taiwan 50 futures, and nonfinance nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchang...
In the event that the COVID-19 pandemic spreads across various stock markets, this study may be deemed as one of the primary studies to evaluate cross-market interactions. The study examines the spread of contagious effects originating from developed...
The Bolivian inflation process is analyzed utilizing a time-varying univariate and multivariate Markov-switching model (TMS). With monthly data and, beginning in the late 1930s, inflation is accurately described by a univariate TMS. The intercept for...
Long-term investors are often hesitant to invest in assets or strategies prone to significant drawdowns, primarily due to the challenge of predicting these drawdowns. This study presents a multivariate Markov-switching model for small- and large-cap...
Nowadays, the subject of machine diagnostics is gathering growing interest in the research field as switching from a programmed to a preventive maintenance regime based on the real health conditions (i.e., condition-based maintenance) can lead to gre...
The study aims to empirically identify the determinants of the debt crisis that occurred within the framework of 15 core EU member countries (EU-15). Contrary to previous empirical studies that tend to use event-based crisis indicators, our study dev...
The paper aims to analyze the contagion effect coming from the developed stock markets of the US and Germany to the emerging CEE stock markets of Romania, Czech Republic, Hungary, and Poland using daily data for the period April 2005–April 2021. The...
This study explores asymmetric volatility structures within multivariate hysteretic autoregressive (MHAR) models that incorporate conditional correlations, aiming to flexibly capture the dynamic behavior of global financial assets. The proposed frame...
In this paper, a class of fully probabilistic time series models based on Gaussian Vector Mixtures (VMs), i.e., on linear combinations of multivariate Gaussian distributions, is proposed to model electricity Day Ahead Market (DAM) hourly prices and t...
A robust hierarchical model has been demonstrated for monitoring a wide range of neptunium concentrations (0.75–890 mM) and varying temperatures (10–80 °C) using chemometrics and feature selection. The visible–near infrared elec...