Cover Image

Multiscale Causal Analysis of Market Efficiency via News Uncertainty Networks and the Financial Chaos Index

Fuente: arXiv

Saved in:

Bibliographic Details
Main Author:	Ataei, Masoud
Format:	Preprint
Published:	2025
Subjects:	Statistical Finance Econometrics
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Modeling Regime Structure and Informational Drivers of Stock Market Volatility via the Financial Chaos Index
by: Ataei, Masoud
Published: (2025)

Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets
by: Jha, Ayush, et al.
Published: (2024)

Enhancing Causal Discovery in Financial Networks with Piecewise Quantile Regression
by: Cornell, Cameron, et al.
Published: (2024)

Clustered Network Connectedness: A New Measurement Framework with Application to Global Equity Markets
by: Buchwalter, Bastien, et al.
Published: (2025)

Efficient Asymmetric Causality Tests
by: Hatemi-J, Abdulnasser
Published: (2024)

Are there Dragon Kings in the Stock Market?
by: Liu, Jiong, et al.
Published: (2023)

Do News and Social Media Tell the Same Story? Constructing and Comparing Sentiment Spillover Networks
by: Wu, Fan, et al.
Published: (2026)

Adaptive Market Intelligence: A Mixture of Experts Framework for Volatility-Sensitive Stock Forecasting
by: Vallarino, Diego
Published: (2025)

Holistic Multi-Scale Inference of the Leverage Effect: Efficiency under Dependent Microstructure Noise
by: Xiong, Ziyang, et al.
Published: (2025)

Dynamically Consistent Analysis of Realized Covariations in Term Structure Models
by: Schroers, Dennis
Published: (2024)

Multivariate Simulation-based Forecasting for Intraday Power Markets: Modelling Cross-Product Price Effects
by: Hirsch, Simon, et al.
Published: (2023)

Efficient Integrated Volatility Estimation in the Presence of Infinite Variation Jumps via Debiased Truncated Realized Variations
by: Boniece, B. Cooper, et al.
Published: (2022)

A Dynamic Spatiotemporal and Network ARCH Model with Common Factors
by: Doğan, Osman, et al.
Published: (2024)

Bayesian Analysis of High Dimensional Vector Error Correction Model
by: Yang, Parley R, et al.
Published: (2023)

Stealing Accuracy: Predicting Day-ahead Electricity Prices with Temporal Hierarchy Forecasting (THieF)
by: Lipiecki, Arkadiusz, et al.
Published: (2025)

A Nonlinear Target-Factor Model with Attention Mechanism for Mixed-Frequency Data
by: Brini, Alessio, et al.
Published: (2026)

What events matter for exchange rate volatility ?
by: Martins, Igor, et al.
Published: (2024)

The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots
by: Zhou, Wei-Xing, et al.
Published: (2023)

Method of Moments Estimation for Affine Stochastic Volatility Models
by: Wu, Yan-Feng, et al.
Published: (2024)

iCOS: Option-Implied COS Method
by: Vladimirov, Evgenii
Published: (2023)

Assets Forecasting with Feature Engineering and Transformation Methods for LightGBM
by: Bisdoulis, Konstantinos-Leonidas
Published: (2024)

Dynamic Latent-Factor Model with High-Dimensional Asset Characteristics
by: Baybutt, Adam
Published: (2024)

MarketGANs: Multivariate financial time-series data augmentation using generative adversarial networks
by: Huh, Jeonggyu, et al.
Published: (2026)

Liquidity Jump, Liquidity Diffusion, and Treatment on Wash Trading of Crypto Assets
by: Deng, Qi, et al.
Published: (2024)

HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning
by: Audrino, Francesco, et al.
Published: (2024)

Do t-Statistic Hurdles Need to be Raised?
by: Chen, Andrew Y.
Published: (2022)

Volatility of Volatility and Leverage Effect from Options
by: Chong, Carsten H., et al.
Published: (2023)

Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations
by: Cavaliere, Giuseppe, et al.
Published: (2025)

The Payment Heterogeneity Index: An Integrated Unsupervised Framework for High-Volume Procurement Oversight and Decision Support
by: Christodoulides, Kyriakos
Published: (2026)

A Note on the Asymptotic Properties of the GLS Estimator in Multivariate Regression with Heteroskedastic and Autocorrelated Errors
by: Moriya, Koichiro, et al.
Published: (2025)

Multi-regime Markov-switching models with time-varying transition probabilities: An application to U.S. Treasury yields
by: Modée, Samuel, et al.
Published: (2026)

A Nontrivial Upper Bound on the Out-of-Sample $R^2$ in Return Forecasting
by: Zhang, Cheng
Published: (2026)

Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
by: Huber, Florian, et al.
Published: (2018)

Kernel Three Pass Regression Filter
by: Jat, Rajveer, et al.
Published: (2024)

Supervised Dynamic PCA: Linear Dynamic Forecasting with Many Predictors
by: Gao, Zhaoxing, et al.
Published: (2023)

High-Throughput Asset Pricing
by: Chen, Andrew Y., et al.
Published: (2023)

A nonparametric test for rough volatility
by: Chong, Carsten H., et al.
Published: (2024)

Sparse spanning portfolios and under-diversification with second-order stochastic dominance
by: Arvanitis, Stelios, et al.
Published: (2024)

Reinforcement Learning for Monetary Policy Under Macroeconomic Uncertainty: Analyzing Tabular and Function Approximation Methods
by: Wang, Tony, et al.
Published: (2025)

Transforming Japan Real Estate
by: Haque, Diabul
Published: (2024)