Spatio-temporal modeling of financial maps from a joint multidimensional scaling-geostatistical perspective

Fernández‐Avilés, Gema; Lorenzo, José María Montero

doi:10.1016/j.eswa.2016.05.008

Cited by 24 publications

(6 citation statements)

References 68 publications

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“…They propose an expected shortfall-multidimensional scaling approach and find no clear risk co-movement patterns, nor spillover effects. Fernàndez-Avilés and Montero [ 14 ] study the relationships between international stock markets during a number of extreme episodes. They construct financial maps by means of the multidimensional scaling technique and use spatio-temporal geostatistics to model the dependencies in stock market returns.…”

Section: Literature On (Causal) Interactions Between the Gold Oil And Equity Marketmentioning

confidence: 99%

Is this time really different? Flight-to-safety and the COVID-19 crisis

2021

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During periods of market stress, risk-averse investors reallocate their investments from stocks to gold in a bid to hedge risks. Market participants interpret the induced gold price increase as an indication of safe-haven purchases and a signal of increased uncertainty in the general economic and financial conditions, thereby causing higher gold price volatility. The aim of this paper is to analyze whether this flight to safety effect can be observed during the COVID-19 crisis, which is considered to be a one-of-a-kind crisis and obviously of different origin compared to previous (financial) crises. By examining the interactions between the (option-implied) volatilities of the stock market (VIX) and of the gold (GVZ) and oil (OVX) markets, the main findings indicate that there is a granger causality in general between the equity market and the gold as well as the oil market. During the COVID-19 crisis, a stronger influence of the equity market on the oil market can be observed. Based on symmetric causality tests that are typically employed in the literature, this cannot be observed for the gold market. However, once we control for asymmetric causal interactions, we find that positive shocks in VIX cause positive shocks in GVZ. Hence, the typical flight to safety effect, similar to the one observed during other (financial) crises can also be identified for the COVID-19 crisis. The causality between the equity and oil market is triggered by political factors as well as the economic impact of the crisis which induces a sharp drop in demand for oil.

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Section: Literature On (Causal) Interactions Between the Gold Oil And Equity Marketmentioning

confidence: 99%

Is this time really different? Flight-to-safety and the COVID-19 crisis

2021

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“…There are several methods of the Index Access Paths ( Index Unique Scan , Index Range Scan , Index Skip Scan introduced in Oracle 9i, Index Full Scan , Index Fast Full Scan , etc), which are described in detail in the works of Fernández‐Avilés and Montero and Aibin and Walkowiak . Usability and index effectivity analysis can be found in other works …”

Section: Indexmentioning

confidence: 99%

“…However, it does not apply in the complex systems. First of all, data are updated in a various manner, based on the object, attribute, or synchronization groups . Many times, it is inevitable to perform data corrections, to rewrite provided data, which are, however, now, non‐reliable and later corrected.…”

Section: Own Solution ‐ Flower Index Approachmentioning

confidence: 99%

“…First of all, data are updated in a various manner, based on the object, attribute, or synchronization groups. 17 Many times, it is inevitable to perform data corrections, to rewrite provided data, which are, however, now, non-reliable and later corrected. Moreover, size of the object can be extended consequencing in reallocation, whereas original block size is not sufficient.…”

Section: Own Solution -Flower Index Approachmentioning

confidence: 99%

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Locating and accessing large datasets using Flower Index Approach

Kvet

Kršák

2019

Concurrency and Computation

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Summary Information system core part is just the data stored in the database. Over the decades, the number and structure of the data have been changed. Nowadays, data must reflect not only current valid data but also historical and future images as well. Each data tuple is therefore delimited by the validity timeframe forming a temporal paradigm. Several temporal models have been developed with an emphasis on the data structure, the frequency of changes, and synchronization processes. Although the system stores time delimited data during the object lifecycle, it is not efficient, even useful to store data in the main system indefinitely. Reliability is another significant aspect of the processing covered by the purging processes. Query processing is based on the accessing data in the memory buffer cache of the database instance preceded by the loading process from the physical database. This paper proposes a Flower Index Approach as the main contribution. It removes the impact of the High Water Mark, removes useless block loading with no relevant data, and provides effective data access stream using a specific index. Full Table Scan is then not used and data are accessed directly using index ROWID locators.

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“…In other words, geostatistics deals with regionalized phenomena, which are those that extend across space and present an organization or structure. By space it is understood that we are referring to geographical space; however, in recent research, economic, social, and other more sophisticated types of space are considered (for example, in Fernández-Avilés et al, 2012, andMontero, 2016, economic and financial spaces have been constructed).…”

Section: The Univariate Case: Krigingmentioning

confidence: 99%

Geostatistics: Unde venis et quo vadis?

Lorenzo¹

2019

SAE

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Los datos espaciales o espacio-temporales no son nuevos. Han estado siempre ahí. Sin embargo, hasta hace pocos años no se ha desarrollado la teoría y la tecnología para que la comunidad científica pueda trabajar con ellos y sacar provecho de las dependencias espaciales o espacio-temporales que presentan un buen número de fenómenos de la realidad a la hora de llevar a cabo tareas de estimación, predicción, mapeo, diseño experimental, etc. Este artículo pone de manifiesto, primeramente, las perversas consecuencias que se derivan de ignorar tales dependencias. A continuación, recorre el camino seguido por la geostadística desde sus inicios hasta el presente, proporcionando al lector los rudimentos básicos del kriging, la técnica que usa la geoestadística para llevar a cabo labores inferenciales. Sin embargo, este artículo no es sólo una visión panorámica de la evolución de la geoestadística hasta nuestros días. También plantea un buen número de críticas, alternativas, cuestiones que todavía permanecen abiertas y futuras líneas de investigación en cada uno de los estadios de la disciplina: espacial, espacio-temporal y funcional. Nacida en el ámbito de las ciencias de la Tierra y aplicada en muchas de las ciencias de la naturaleza, en la actualidad la geoestadística ha encaminado sus pasos hacia las ciencias sociales, y en particular hacia la economía aplicada.

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Spatio-temporal modeling of financial maps from a joint multidimensional scaling-geostatistical perspective

Cited by 24 publications

References 68 publications

Is this time really different? Flight-to-safety and the COVID-19 crisis

Is this time really different? Flight-to-safety and the COVID-19 crisis

Locating and accessing large datasets using Flower Index Approach

Geostatistics: Unde venis et quo vadis?

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