Understanding the transmission of volatility across markets is essential for managing risk
and financial stability, especially under crisis periods during which an extreme event …

The observation that price declines usually lead to volatility increases is known as the
asymmetric volatility effect and has become a stylized fact about the financial markets. We …

Considering the heterogeneity of China's different sectoral stock markets, this paper adopts
the time‐domain spillover index model, extreme spillover index model, and frequency …

We construct a complete network of directional tail risk connectedness for 32 countries
within a Least Absolute Shrinkage and Selection Operator (LASSO) Quantile Regression …

In Basel III, the credit valuation adjustment (CVA) was given, and it was discussed that a
bank covers mark-to-market losses for expected counterparty risk with a CVA capital charge …

This paper investigates whether leverage effects and structural changes have positive
effects on the volatility prediction of crude oil futures. On the basis of existing HAR models …

Abstract We use the Least Absolute Shrinkage and Selection Operator (LASSO) quantile
regression technique to construct and analyse the complete tail risk connectedness network …

This paper explores the role of heterogeneity and leverage effect on the predictability of the
AddRS volatility estimator (Kumar & Maheswaran, 2014a) using daily, weekly and monthly …

The internet financial model is booming in the era of big data, and gradually penetrates into
all aspects of people's lives. With the continuous development of network technology, under …