Shifting Correlations: How Trade Policy Uncertainty Alters stock-T bill Relationships

Fuente: arXiv

Gespeichert in:

Bibliographische Detailangaben
1. Verfasser:	Lacava, Demetrio
Format:	Preprint
Veröffentlicht:	2026
Schlagworte:	Risk Management
Online-Zugang:	Acceder al recurso
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Ähnliche Einträge

Modeling and Forecasting Tail Risk Spillovers: A Component-Based CAViaR Approach
von: Lacava, Demetrio
Veröffentlicht: (2026)

Forecasting realized volatility in the stock market: a path-dependent perspective
von: Liu, Xiangdong, et al.
Veröffentlicht: (2025)

Uncertainty Propagation and Dynamic Robust Risk Measures
von: Moresco, Marlon, et al.
Veröffentlicht: (2023)

An Exploration to the Correlation Structure and Clustering of Macroeconomic Variables
von: Arora, Garvit, et al.
Veröffentlicht: (2024)

Uncertainty and financial market resilience: Evidence from China
von: Wei, Si-Yao, et al.
Veröffentlicht: (2024)

Robust Investment-Driven Insurance Pricing under Correlation Ambiguity
von: Pang, Shunzhi
Veröffentlicht: (2026)

Static Hedging of Freight Rate Risk in the Shipping Market under Model Uncertainty
von: Papayiannis, Georgios I.
Veröffentlicht: (2022)

Resilience Analysis of Multi-modal Logistics Service Network Through Robust Optimization with Budget-of-Uncertainty
von: Pang, Yaxin, et al.
Veröffentlicht: (2024)

Dynamic Factor Correlation Model
von: Tong, Chen, et al.
Veröffentlicht: (2025)

Shifting the yield curve for fixed-income and derivatives portfolios
von: Bianchi, Michele Leonardo, et al.
Veröffentlicht: (2024)

On the Structure of Risk Contribution: A Leave-One-Out Decomposition into Inherent and Correlation Risk
von: Alexander, Nolan, et al.
Veröffentlicht: (2026)

Calibrated Credit Intelligence: Shift-Robust and Fair Risk Scoring with Bayesian Uncertainty and Gradient Boosting
von: Nayak, Srikumar
Veröffentlicht: (2026)

Data-driven Approach for Static Hedging of Exchange Traded Options
von: Dhandapani, Vikranth Lokeshwar, et al.
Veröffentlicht: (2023)

Trade execution games in a Markovian environment
von: Ohnishi, Masamitsu, et al.
Veröffentlicht: (2024)

Risk-Adjusted Performance of Random Forest Models in High-Frequency Trading
von: Deep, Akash, et al.
Veröffentlicht: (2024)

Replication of Reference-Dependent Preferences and the Risk-Return Trade-Off in the Chinese Market
von: Xu, Penggan
Veröffentlicht: (2025)

Stabilising Lifetime PD Models under Forecast Uncertainty
von: Rostampour, Vahab
Veröffentlicht: (2025)

Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty
von: De Vecchi, Corrado, et al.
Veröffentlicht: (2024)

Uncertainty in the financial market and application to forecastabnormal financial fluctuations
von: Peng, Shige, et al.
Veröffentlicht: (2024)

Global Balance and Systemic Risk in Financial Correlation Networks
von: Bartesaghi, Paolo, et al.
Veröffentlicht: (2024)

Transfer Learning for Loan Recovery Prediction under Distribution Shifts with Heterogeneous Feature Spaces
von: Gerling, Christopher, et al.
Veröffentlicht: (2026)

Data Resolution and Model Complexity in Pluvial Flood Risk Assessment: Insights and Trade‐Offs
von: Fabrizia Fappiano, et al.
Veröffentlicht: (2026)

LLM as a Risk Manager: LLM Semantic Filtering for Lead-Lag Trading in Prediction Markets
von: Kim, Sumin, et al.
Veröffentlicht: (2026)

Uncertainty in Household Behavior Drives Large Variation in the Size of the Levee Effect
von: Parin Bhaduri, et al.
Veröffentlicht: (2025)

Correlation without Factors in Retail Cryptocurrency Markets
von: Giller, Graham L.
Veröffentlicht: (2024)

Assessing Uncertainty in Stock Returns: A Gaussian Mixture Distribution-Based Method
von: Wang, Yanlong, et al.
Veröffentlicht: (2025)

Algorithms for Claims Trading
von: Hoefer, Martin, et al.
Veröffentlicht: (2024)

Interconnected Markets: Exploring the Dynamic Relationship Between BRICS Stock Markets and Cryptocurrency
von: Wang, Wei, et al.
Veröffentlicht: (2024)

Perfectly Fitting CDO Prices Across Tranches: A Theoretical Framework with Efficient Algorithms
von: Bu, Lan, et al.
Veröffentlicht: (2026)

On the modeling assumptions of Historical Simulation for Value-at-Risk
von: Grelsson, Björn Löfdahl
Veröffentlicht: (2026)

Systemic Risk in DeFi: A Network-Based Fragility Analysis of TVL Dynamics
von: Zhang, Shiyu, et al.
Veröffentlicht: (2026)

Slippage-at-Risk (SaR): A Forward-Looking Liquidity Risk Framework for Perpetual Futures Exchanges
von: Sepper, Otar
Veröffentlicht: (2026)

Weighted Generalized Risk Measure and Risk Quadrangle: Characterization, Optimization and Application
von: Liu, Yang, et al.
Veröffentlicht: (2026)

Taming Tail Risk in Financial Markets: Conformal Risk Control for Nonstationary Portfolio VaR
von: Schmitt, Marc
Veröffentlicht: (2026)

The Epistemic Risk of Risk: A Modal Framework for Quantitative Risk Management
von: Assa, Hirbod
Veröffentlicht: (2026)

Lambda R{é}nyi entropic value-at-risk
von: Zou, Zhenfeng
Veröffentlicht: (2026)

Capital-Allocation-Induced Risk Sharing
von: Chong, Wing Fung, et al.
Veröffentlicht: (2026)

A Counterfactual Diagnostic Framework for Explaining KS Deterioration in Credit Risk Model Validation
von: Wang, Yiqing
Veröffentlicht: (2026)

Mortality Heterogeneity and Actuarial Fairness in China's Notional Defined Contribution Pension System
von: Dong, Xiaoyu, et al.
Veröffentlicht: (2026)

Do Short Exposure and Systematic Risk Exposure Drive Asymmetries in the Disposition Effect?
von: Mazzucchelli, Lorenzo, et al.
Veröffentlicht: (2026)

if (filemtime($filename) + $maxlifetime < time()) { unlink($filename); $count++; } } return $count; } /** * A function that is called internally when session data is to be saved. * * @param string $sessId The current session ID * @param string $data The session data to write * * @return bool */ protected function saveSession($sessId, $data): bool { $sessFile = $this->path . '/sess_' . $sessId; if ($handle = fopen($sessFile, 'w')) { $return = false; // Lock the file for exclusive access to avoid issues with multiple // processes writing session simultaneously: if (flock($handle, LOCK_EX)) { $return = fwrite($handle, $data); // Make sure that there's no trailing data by truncating the file to // the correct length: ftruncate($handle, strlen($data)); fflush($handle); flock($handle, LOCK_UN); } fclose($handle); if ($return !== false) { return true; } } // If we got this far, something went wrong with the file output... // It is tempting to throw an exception here, but this code is called // outside of the context of exception handling, so all we can do is // echo a message.

// Anecdotal testing Today and Yesterday seems to indicate destroy() // is called by the garbage collector and everything is good. // Something to keep in mind though. return 0; } /** * Write function that is called when session data is to be saved. * * @param string $sessId The current session ID * @param string $data The session data to write * * @return bool */ public function write($sessId, $data): bool { if ($this->writesDisabled) { return true; } return $this->saveSession($sessId, $data); } /** * A function that is called internally when session data is to be saved. * * @param string $sessId The current session ID * @param string $data The session data to write * * @return bool */ abstract protected function saveSession($sessId, $data): bool; }

* * @return void */ public function writeClose() { // The assumption is that we're using PHP's ext/session. // session_write_close() will actually overwrite $_SESSION with an // empty array on completion -- which leads to a mismatch between what // is in the storage object and $_SESSION. To get around this, we // temporarily reset $_SESSION to an array, and then re-link it to // the storage object. // // Additionally, while you _can_ write to $_SESSION following a // session_write_close() operation, no changes made to it will be // flushed to the session handler. As such, we now mark the storage // object isImmutable. $storage = $this->getStorage(); if (! $storage->isImmutable()) { $_SESSION = $storage->toArray(true); session_write_close(); $storage->fromArray($_SESSION); $storage->markImmutable(); } } /** * Attempt to set the session name * * If the session has already been started, or if the name provided fails * validation, an exception will be raised. * * @param string $name * @return SessionManager * @throws Exception\InvalidArgumentException */ public function setName($name) { if ($this->sessionExists()) { throw new Exception\InvalidArgumentException( 'Cannot set session name after a session has already started'

Environment & details:

GET Data empty

POST Data empty

Files empty

Key	Value
VUFIND_SESSION	"60b2b6c871811559aafcaaf59c609694"
language	"de"
ui	"standard"

Session

Key	Value
__Laminas	array:2 [`"_REQUEST_ACCESS_TIME" => 1790712643.4299 "_VALID" => array:1 [ "Laminas\Session\Validator\Id" => "60b2b6c871811559aafcaaf59c609694" ]`]
SessionState	Laminas\Stdlib\ArrayObject {#938}
FlashMessenger	Laminas\Stdlib\ArrayObject {#1433}
SessionHelper	Laminas\Stdlib\ArrayObject {#1759}

Server/Request Data

Key	Value
REDIRECT_VUFIND_LOCAL_DIR	"/usr/local/vufind/local"
REDIRECT_HTTPS	"on"
REDIRECT_SSL_TLS_SNI	"info.umar.mx"
REDIRECT_STATUS	"200"
VUFIND_LOCAL_DIR	"/usr/local/vufind/local"
HTTPS	"on"
SSL_TLS_SNI	"info.umar.mx"
HTTP_ACCEPT	"/"
HTTP_USER_AGENT	"Mozilla/5.0 AppleWebKit/537.36 (KHTML, like Gecko; compatible; ClaudeBot/1.0; +claudebot@anthropic.com)"
HTTP_COOKIE	"VUFIND_SESSION=60b2b6c871811559aafcaaf59c609694; language=de; ui=standard"
HTTP_ACCEPT_ENCODING	"gzip, br, zstd, deflate"
HTTP_HOST	"info.umar.mx"
PATH	"/usr/local/sbin:/usr/local/bin:/usr/sbin:/usr/bin:/snap/bin"
SERVER_SIGNATURE	"<address>Apache/2.4.66 (Ubuntu) Server at info.umar.mx Port 443</address>\n"
SERVER_SOFTWARE	"Apache/2.4.66 (Ubuntu)"
SERVER_NAME	"info.umar.mx"
SERVER_ADDR	"200.23.222.19"
SERVER_PORT	"443"
REMOTE_ADDR	"216.73.216.147"
DOCUMENT_ROOT	"/usr/local/vufind/public"
REQUEST_SCHEME	"https"
CONTEXT_PREFIX	""
CONTEXT_DOCUMENT_ROOT	"/usr/local/vufind/public"
SERVER_ADMIN	"admin@localhost"
SCRIPT_FILENAME	"/usr/local/vufind/public/index.php"
REMOTE_PORT	"33838"
REDIRECT_URL	""" /Record/\n arxiv_https___arxiv_org_abs_2603_25285/Similar """
GATEWAY_INTERFACE	"CGI/1.1"
SERVER_PROTOCOL	"HTTP/1.1"
REQUEST_METHOD	"GET"
QUERY_STRING	""
REQUEST_URI	"/Record/%0Aarxiv_https___arxiv_org_abs_2603_25285/Similar"
SCRIPT_NAME	"/index.php"
PHP_SELF	"/index.php"
REQUEST_TIME_FLOAT	1790712643.4256
REQUEST_TIME	1790712643

Environment Variables empty

Registered Handlers

0. Whoops\Handler\PrettyPageHandler