每日简报

风险之上的屋顶：匈牙利房价风险框架AI 解读

This paper develops a House Price-at-Risk framework to examine how housing subsidies, credit conditions, and supply factors influence the distribution of house price growth in Hungary. Using quantile regression with adaptive LASSO variable selection, we identify variables driving downside versus upside risks across multiple horizons. Financial stress dominates the lower tail at short horizons, while unemployment and affordability constraints become the primary drivers of…

基于 GARCH 条件相关权重的网络模型与石油波动率预测AI 解读

This study addresses the computational challenges of forecasting volatility in high-dimensional commodity markets. Building on the Network log-ARCH framework, we introduce a novel class of network topologies from GARCH-informed correlation weights, obtained from conditional covariance estimates of multivariate GARCH models, rather than relying on the heuristic distance measures commonly used in clustering methods. We evaluate the proposed models forecasting performance…