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Application of the moving Lyapunov exponent to the S&P 500 index to predict major declines 移动李雅普诺夫指数在标准普尔500指数重大跌幅预测中的应用
IF 0.7 4区 经济学 Q4 BUSINESS, FINANCE
Journal of Risk
Pub Date : 2022-01-01 DOI: 10.21314/jor.2022.033
Stefanos Tsakonas, M. Hanias, L. Magafas, L. Zachilas
Predicting major downturns in financial markets is a popular topic among re-searchers. Improving the models used for this could benefit individuals, investment banks and financial institutions. The latest developments in econophysics provide additional forecasting tools that may aid this endeavor. This paper introduces an innovative method to identify early warnings for major declines in the Standard & Poor’s 500 (S&P 500) index. This method performs a nonlinear analysis of the log-arithmic returns of the index and then uses the moving Lyapunov exponent as a dynamic indicator of stability. The results show that the fluctuating behavior of the moving Lyapunov exponent forms spikes, which may act as warning signals since they precede all significant events that have caused major drops in the S&P 500 index over the past 20 years, including the dot-com bubble, the Great Recession and the Covid-19 pandemic. © 2022 Infopro Digital Risk (IP) Limited.
预测金融市场的重大衰退是研究人员的热门话题。改进用于此的模型可能使个人、投资银行和金融机构受益。经济物理学的最新发展提供了额外的预测工具，可能有助于这一努力。本文介绍了一种识别标准普尔500指数(S&P 500)重大下跌预警的创新方法。该方法对指标的对数回报进行非线性分析，然后使用移动Lyapunov指数作为稳定性的动态指标。结果表明，移动李雅普诺夫指数的波动行为形成了峰值，这可能是一种警告信号，因为它们发生在过去20年里导致标准普尔500指数大幅下跌的所有重大事件之前，包括互联网泡沫、大衰退和Covid-19大流行。©2022 Infopro Digital Risk (IP) Limited。
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引用次数: 1
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model 一个双分量实现的指数广义自回归条件异方差模型
IF 0.7 4区 经济学 Q4 BUSINESS, FINANCE
Journal of Risk
Pub Date : 2022-01-01 DOI: 10.21314/jor.2022.036
Xinyu Wu, Michelle Xia, Huanming Zhang
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引用次数: 1
The statistics of capture ratios 捕获率的统计
IF 0.7 4区 经济学 Q4 BUSINESS, FINANCE
Journal of Risk
Pub Date : 2022-01-01 DOI: 10.21314/jor.2022.039
Rui-jun Jiang, D. Saunders, Chengguo Weng
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引用次数: 0
Nonparametric estimation of systemic risk via conditional value-at-risk 基于条件风险值的系统风险非参数估计
IF 0.7 4区 经济学 Q4 BUSINESS, FINANCE
Journal of Risk
Pub Date : 2022-01-01 DOI: 10.21314/jor.2022.041
Ahmed Belhad, D. Lauria, A. Trindade
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引用次数: 0
Forecasting the European Monetary Union equity risk premium with regression trees 用回归树预测欧洲货币联盟股票风险溢价
IF 0.7 4区 经济学 Q4 BUSINESS, FINANCE
Journal of Risk
Pub Date : 2022-01-01 DOI: 10.21314/jor.2022.035
David Cortés, P. Soriano
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引用次数: 0
High-frequency movements of the term structure of US interest rates: the role of oil market uncertainty 美国利率期限结构的高频波动:石油市场不确定性的作用
IF 0.7 4区 经济学 Q4 BUSINESS, FINANCE
Journal of Risk
Pub Date : 2022-01-01 DOI: 10.21314/jor.2022.030
Elie Bouri, Rangan Gupta, C. Kyei, S. Subramaniam
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引用次数: 1
Future portfolio returns and the VIX term structure 未来投资组合回报和波动率指数期限结构
IF 0.7 4区 经济学 Q4 BUSINESS, FINANCE
Journal of Risk
Pub Date : 2022-01-01 DOI: 10.21314/jor.2022.031
D. Y. Aharon, T. Dimpfl
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引用次数: 0
Detecting prudence and temperance in risk exposure: the hybrid variance framework 风险暴露中的谨慎与节制:混合方差框架
IF 0.7 4区 经济学 Q4 BUSINESS, FINANCE
Journal of Risk
Pub Date : 2022-01-01 DOI: 10.21314/jor.2022.034
Zhan Wang, Jun Gao, Xiaoli Liu, Xia Gao
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引用次数: 1
Forecasting the realized volatility of stock markets with financial stress 预测金融压力下股票市场的实际波动
IF 0.7 4区 经济学 Q4 BUSINESS, FINANCE
Journal of Risk
Pub Date : 2022-01-01 DOI: 10.21314/jor.2022.042
Chuan Guo, Yiyun Feng
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引用次数: 0
Modeling the exit cashflows of private equity fund investments 对私募股权基金投资退出现金流进行建模
IF 0.7 4区 经济学 Q4 BUSINESS, FINANCE
Journal of Risk
Pub Date : 2022-01-01 DOI: 10.21314/jor.2022.029
Christian Tausch, Axel Buchner, G. Schlüchtermann
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引用次数: 0
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