Public interest, explosive returns, and diversification opportunities gave stimulus to the
adoption of traditional financial tools to crypto-currencies. While the CRIX offered the first …

This paper aims to present the various contributions to the Special Issue of the Journal of
Multivariate Analysis on Functional Data Analysis and some related topics including High …

In this paper, the daily systemic risk measure FRM (Financial Risk Meter) is proposed for
emerging markets (FRM@ EM). The FRM@ EM is applied to capture systemic risk behavior …

Digital finance is going to be heavily affected by the COVID-19 outbreak. We present a
statistical model which can be employed to understand the contagion dynamics of the …

Supply chain finance refers to the financial service model in which banks rely on core
enterprises to manage the capital flow and logistics of upstream and downstream small-and …

Abstract The Financial Risk Meter (FRM) is an established quantitative tool that, based on
conditional Value at Risk (VaR) ideas, yields insight into the dynamics of network risk …

We develop a systemic risk indicator approach using a structural GARCH option-based
default risk framework incorporating volatility clustering, variance risk premiums, along with …

This study extends recently introduced neural networks approach, based on a regularized
distributional multilayer perceptron (DMLP) technique for a multivariate case electricity price …

Cryptocurrencies are gaining momentum in investor attention, are about to become a new
asset class, and may provide a hedging alternative against the risk of devaluation of fiat …

The Financial Risk Meter (FRM) employs Quantile-LASSO regression to identify systemic
financial risk and dependencies among tail events across financial assets. This paper …