An Algorithm Exploiting Episodes of Inefficient Asset Pricing to Derive a Macro-Foundation Scaled Metric for Systemic Risk: A Time-Series Martingale Representation
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More about this item
Keywords
systemic risk; time series; optimization; financial crises; asset pricing.;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G01 - Financial Economics - - General - - - Financial Crises
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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