From the 1 of 3 linked papers with an AI index.
3 papers
q-fin.ST2026
Statistical Properties and Power Analysis of Divergence Measures for Credit Risk Model Monitoring
Abdullah Karasan, Alper HekimoÄlu
The paper derives chi‑square based statistical properties for Jensen‑Shannon and Kullback‑Leibler divergences and evaluates their power for detecting shifts in credit default proba…
q-fin.RM2025
Signal from Noise Signal from Noise: A Neural Network-Based Denoising Approach for Measuring Global Financial Spillovers
Abdullah Karasan, Ãzge Sezgin Alp
Filtering signal from noise is fundamental to accurately assessing spillover effects in financial markets. This study investigates denoised return and volatility spillovers across…
q-fin.CP2025
Machine learning approach to stock price crash risk
Abdullah Karasan, Ozge Sezgin Alp, Gerhard-Wilhelm Weber
In this study, we propose a novel machine-learning-based measure for stock price crash risk, utilizing the minimum covariance determinant methodology. Employing this newly introduc…