Items where Division is "Systemic Risk Centre" and Year is 2018

A

Ahnert, Toni, Anand, Kartik, Gai, Prasanna and Chapman, James (2018) Asset encumbrance, bank funding and fragility. Systemic Risk Centre Discussion Papers (83). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Alla, Zineddine, Espinoza, Raphael, Li, Helen and Segoviano, Miguel (2018) Macroprudential stress tests: a reduced-form approach to quantifying systemic risk losses. Systemic Risk Centre Discussion Papers (79). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Ames, Matthew, Bagnarosa, Guillaume, Peters, Gareth W. and Shevchenko, Pavel V. (2018) Understanding the interplay between covariance forecasting factor models and risk-based portfolio allocations in currency carry trades. Journal of Forecasting, 37 (8). pp. 805-831. ISSN 0277-6693

B

Bremus, Franziska and Neugebauer, Katja (2018) Reduced cross-border lending and financing costs of SMEs. Journal of International Money and Finance, 80. pp. 35-58. ISSN 0261-5606

C

Cortes, Fabio, Lindner, Peter, Malik, Sheheryar and Segoviano, Miguel (2018) A comprehensive multi-sector tool for analysis of Systemic Risk and Interconnectedness (SyRIN). Systemic Risk Centre Discussion Papers (80). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

D

Danielsson, Jon, Panayi, Efstathios, Peters, Gareth and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2018) Market resilience. Systemic Risk Centre Discussion Papers (78). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

L

Lleo, Sebastien and Ziemba, William (2018) A tale of two indexes: predicting equity market downturns in China. Systemic Risk Centre Discussion Papers (82). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

M

Michaelides, Panayotis G., Tsionas, Efthymios G. and Konstantakis, Konstantinos N. (2018) Debt dynamics in Europe: a network general equilibrium GVAR approach. Journal of Economic Dynamics and Control, 93. pp. 175-202. ISSN 0165-1889

N

Nava, Noemi, Di Matteo, T. and Aste, Tomaso (2018) Dynamic correlations at different time-scales with empirical mode decomposition. Physica A: Statistical Mechanics and Its Applications, 502. pp. 534-544. ISSN 0378-4371

Nava, Noemi, Di Matteo, Tiziana and Aste, Tomaso (2018) Financial time series forecasting using empirical mode decomposition and support vector regression. Risks, 6 (1). ISSN 2227-9091

P

Phelan, Carolyn E., Marazzina, Daniele, Fusai, Gianluca and Germano, Guido (2018) Fluctuation identities with continuous monitoring and their application to price barrier options. European Journal of Operational Research, 271 (1). pp. 210-223. ISSN 0377-2217

Phelan, Carolyn E., Marazzina, Daniele, Fusai, Gianluca and Germano, Guido (2018) Hilbert transform, spectral filters and option pricing. Annals of Operations Research. pp. 1-26. ISSN 0254-5330

T

Toczydlowska, Dorota and Peters, Gareth W. (2018) Financial big data solutions for state space panel regression in interest rate dynamics. Econometrics, 6 (3).

Tungsong, S., Caccioli, F. and Aste, T. (2018) Relation between regional uncertainty spillovers in the global banking system. Journal of Network Theory in Finance, 4 (2). pp. 1-23. ISSN 2055-7795

Z

Zloteanu, Mircea, Harvey, Nigel, Tuckett, David and Livan, Giacomo (2018) Digital identity: the effect of trust and reputation information on user judgement in the sharing economy. PLOS ONE, 13 (12). ISSN 1932-6203