The study is focused on probabilistic forecasts of day-ahead electricity prices. The Bayesian
approach allows for conducting statistical inference about model parameters, latent volatility …

This paper introduces a stochastic volatility model with an independent self-exciting jump
structure model (SE-SVIJ) to capture the jump dynamics of cryptocurrency daily returns. The …

Time-varying behavioral features and non-linear dependence are widely observed in big
data and challenge the operating systems and processes of risk management in financial …

Price limits are widely implemented in stock markets worldwide; however, they are rarely
considered in financial models. In this study, we propose a model specifically designed for …

Abstract We propose a Degree-Corrected Block Model with Dependent Multivariate Poisson
edges (DCBM-DMP) to study stock co-jump dependence. To estimate the community …

This study derives an optimal pairs trading strategy based on a Lévy-driven Ornstein–
Uhlenbeck process and applies it to high-frequency data of the S&P 500 constituents from …

This paper investigates co-jumps in the Chinese stock market before, during and after the
COVID-19 pandemic from a network perspective. The higher co-jump intensity and the …

Although the nation was experiencing an economic downturn due to the COVID-19
pandemic outbreak, we nonetheless observed an increase in household equity share value …

We model contingent capital with market trigger under dual jump–diffusion processes in
asset values and equity prices. Under the dual jump–diffusions, we show that the conversion …

Robotic process automation (RPA) financial robot provides a modern and intelligent tool for
financial management, and financial business processing. Currently, more than 32% of …