Financial Risk and Volatility Modeling

Study reveals geopolitical risk impacts stock returns asymmetrically: negatively in bullish markets, positively in downturns. Emerging markets may hedge geopolitical shocks.

Asymptotic theory for integrated autoregressive conditional duration models reveals infinite-mean trading intervals in cryptocurrency ETFs, requiring new inference methods.

New approach to Heath–Jarrow–Morton framework using unweighted function spaces and functional PCA, enabling better yield curve modeling with support for negative interest rates.

Detailed mathematical reconstruction of the Tennessee-Eastman benchmark process model with previously unavailable parameters and explicit documentation of assumptions.

Quantile VAR analysis reveals how sports tokens transmit and receive systemic shocks, with implications for portfolio construction and downside risk mitigation during market stress.

Study analyzes geopolitical risk's negative impact on stock returns in Vietnam's emerging market, finding that firms sensitive to political uncertainty demand higher expected returns.

Event study analysis shows stock splits boost returns on Indonesian exchanges while reverse splits trigger negative reactions, reflecting divergent investor signals in emerging markets.

Score-driven time-varying parameter model using spline-based densities without parametric assumptions, with applications to inflation and volatility filtering.