... distribution Generalised autoregressive score G15 G16 C32 Hence, we contribute to the existing literature by providing an effective way to choose time-varying parameters with the introduction of a score function as a driving mechanism. This approach enables us to capture not only the first...

... Structural equations System-wide connectedness Systemic risk C32 C51 C58 E44 F31 G15 Funding: The authors received no specific funding for this work. The seminal work of King and Wadhwani (1990) argues that shocks transmit in stock markets because rational agents infer...

... 2025 Emerald Publishing Limited Licensed re-use rights only Higher-order financial network Chinese stock sectors Collective risk resonance Sectoral resilience G15 C32 National Social Science Fund of China 23BTJ043 http://dx.doi.org/10.13039/501100012456 Postgraduate...

... flexibility in capturing non-linear dependencies relative to correlations. Non-fungible tokens Quantile Financial markets connectedness Extreme risk spillover C32 C58 G15 Despite the growing literature on NFT markets, significant gaps persist in our understanding of their internal...

... DCC ADCC Black-Litterman (BL) C32 C53 G11 Black and Litterman (1990, 1992) establish the Black-Litterman (BL) methodology to mitigate the input-sensitive nature of the standard mean-variance portfolio optimization approach (Best and Grauer, 1985) by incorporating the investors...

... Publishing Limited 2018 Emerald Publishing Limited Licensed re-use rights only Housing market Stock market Frequency domain Time domain Wavelet analysis C32 E44 G11 (1) W x ( τ , s ) = ∫ − ∞ + ∞ x ( t ) ψ τ , s * ( t ) d t...

... Publishing Limited Licensed re-use rights only Figure 1 Proportion of FDI from Hong Kong, Taiwan and Macao Foreign direct investment Exports Lateral direct investment Time-varying causality Vertical direct investment C32 F14 G15 Generally, the VAR...