{"id":"https://openalex.org/W7203704633","doi":"https://doi.org/10.1016/j.dajour.2026.100742","title":"A machine learning framework for short-horizon monitoring of systemic financial stress in Europe","display_name":"A machine learning framework for short-horizon monitoring of systemic financial stress in Europe","publication_year":2026,"publication_date":"2026-08-18","ids":{"openalex":"https://openalex.org/W7203704633","doi":"https://doi.org/10.1016/j.dajour.2026.100742"},"language":"en","primary_location":{"id":"doi:10.1016/j.dajour.2026.100742","doi":"https://doi.org/10.1016/j.dajour.2026.100742","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.dajour.2026.100742","pdf_url":null,"source":{"id":"https://openalex.org/S4210184862","display_name":"Decision Analytics Journal","issn_l":"2772-6622","issn":["2772-6622"],"is_oa":true,"is_in_doaj":true,"is_core":true,"listed_in":["cwts-core","doaj","jufo-1","norway-1","poland-20"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Decision Analytics Journal","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://doi.org/10.1016/j.dajour.2026.100742","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5056277135","display_name":"Dmytro Diachkov","orcid":"https://orcid.org/0000-0002-2637-0099","observed_orcids":["https://orcid.org/0000-0002-2637-0099","https://orcid.org/0009-0009-4575-1741"]},"institutions":[{"id":"https://openalex.org/I83558840","display_name":"Universidade Nova de Lisboa","ror":"https://ror.org/02xankh89","country_code":"PT","type":"education","lineage":["https://openalex.org/I83558840"]}],"countries":["PT"],"is_corresponding":true,"raw_author_name":"Dmytro Diachkov","raw_affiliation_strings":["NOVA Information Management School (NOVA IMS), NOVA University Lisbon, Lisbon, Portugal"],"raw_orcid":"https://orcid.org/0009-0009-4575-1741","affiliations":[{"raw_affiliation_string":"NOVA Information Management School (NOVA IMS), NOVA University Lisbon, Lisbon, Portugal","institution_ids":["https://openalex.org/I83558840"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5085237598","display_name":"Afshin Ashofteh","orcid":"https://orcid.org/0000-0001-5075-9822","observed_orcids":["https://orcid.org/0000-0001-5075-9822"]},"institutions":[{"id":"https://openalex.org/I83558840","display_name":"Universidade Nova de Lisboa","ror":"https://ror.org/02xankh89","country_code":"PT","type":"education","lineage":["https://openalex.org/I83558840"]}],"countries":["PT"],"is_corresponding":false,"raw_author_name":"Afshin Ashofteh","raw_affiliation_strings":["NOVA Information Management School (NOVA IMS), NOVA University Lisbon, Lisbon, Portugal"],"raw_orcid":"https://orcid.org/0000-0001-5075-9822","affiliations":[{"raw_affiliation_string":"NOVA Information Management School (NOVA IMS), NOVA University Lisbon, Lisbon, Portugal","institution_ids":["https://openalex.org/I83558840"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5056277135"],"corresponding_institution_ids":["https://openalex.org/I83558840"],"apc_list":{"value":1790,"currency":"USD","value_usd":1790},"apc_paid":{"value":1790,"currency":"USD","value_usd":1790},"fwci":3.7099,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.87311451,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":91,"max":95},"biblio":{"volume":"20","issue":null,"first_page":"100742","last_page":"100742"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.5131999850273132,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.5131999850273132,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.23409999907016754,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.06400000303983688,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/early-warning","display_name":"early warning","score":0.4950000047683716},{"id":"https://openalex.org/keywords/financial-stability-monitoring","display_name":"financial stability monitoring","score":0.7749999761581421},{"id":"https://openalex.org/keywords/short-term-forecasting","display_name":"short-term forecasting","score":0.7940000295639038},{"id":"https://openalex.org/keywords/high-frequency-indicators","display_name":"high-frequency indicators","score":0.6690000295639038},{"id":"https://openalex.org/keywords/rare-event-classification","display_name":"rare event classification","score":0.4699999988079071},{"id":"https://openalex.org/keywords/vix-volatility","display_name":"VIX volatility","score":0.6510000228881836},{"id":"https://openalex.org/keywords/market-sentiment","display_name":"market sentiment","score":0.5370000004768372},{"id":"https://openalex.org/keywords/nonlinear-classifiers","display_name":"nonlinear classifiers","score":0.6290000081062317},{"id":"https://openalex.org/keywords/european-banking-sector","display_name":"European banking","score":0.4959999918937683},{"id":"https://openalex.org/keywords/out-of-sample-validation","display_name":"out-of-sample validation","score":0.7710000276565552}],"concepts":[{"id":"https://openalex.org/C63479239","wikidata":"https://www.wikidata.org/wiki/Q7353546","display_name":"Robustness (evolution)","level":3,"score":0.7422999739646912},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.6564000248908997},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.5979999899864197},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5529999732971191},{"id":"https://openalex.org/C151956035","wikidata":"https://www.wikidata.org/wiki/Q1132755","display_name":"Logistic regression","level":2,"score":0.4666999876499176},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.4571000039577484},{"id":"https://openalex.org/C21036866","wikidata":"https://www.wikidata.org/wiki/Q181767","display_name":"Stress (linguistics)","level":2,"score":0.4348999857902527},{"id":"https://openalex.org/C2776401178","wikidata":"https://www.wikidata.org/wiki/Q12050496","display_name":"Feature (linguistics)","level":2,"score":0.4296000003814697},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.42399999499320984},{"id":"https://openalex.org/C2779201015","wikidata":"https://www.wikidata.org/wiki/Q1308919","display_name":"Stress test","level":2,"score":0.39579999446868896},{"id":"https://openalex.org/C2778827112","wikidata":"https://www.wikidata.org/wiki/Q22245680","display_name":"Feature engineering","level":3,"score":0.38940000534057617},{"id":"https://openalex.org/C7515471","wikidata":"https://www.wikidata.org/wiki/Q1936882","display_name":"Stress testing (software)","level":2,"score":0.37599998712539673},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.367000013589859},{"id":"https://openalex.org/C117222624","wikidata":"https://www.wikidata.org/wiki/Q7575010","display_name":"Specification","level":2,"score":0.365200012922287},{"id":"https://openalex.org/C12267149","wikidata":"https://www.wikidata.org/wiki/Q282453","display_name":"Support vector machine","level":2,"score":0.3603000044822693},{"id":"https://openalex.org/C45804977","wikidata":"https://www.wikidata.org/wiki/Q7239673","display_name":"Predictive modelling","level":2,"score":0.3553999960422516},{"id":"https://openalex.org/C140331021","wikidata":"https://www.wikidata.org/wiki/Q1868104","display_name":"Logit","level":2,"score":0.3490999937057495},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.31709998846054077},{"id":"https://openalex.org/C144587487","wikidata":"https://www.wikidata.org/wiki/Q1369234","display_name":"Systemic risk","level":3,"score":0.31349998712539673},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3098999857902527},{"id":"https://openalex.org/C66905080","wikidata":"https://www.wikidata.org/wiki/Q17005494","display_name":"Binary classification","level":3,"score":0.30230000615119934},{"id":"https://openalex.org/C48372109","wikidata":"https://www.wikidata.org/wiki/Q3913","display_name":"Binary number","level":2,"score":0.3018999993801117},{"id":"https://openalex.org/C151406439","wikidata":"https://www.wikidata.org/wiki/Q186588","display_name":"Time series","level":2,"score":0.3005000054836273},{"id":"https://openalex.org/C60777511","wikidata":"https://www.wikidata.org/wiki/Q3045002","display_name":"Concept drift","level":3,"score":0.29919999837875366},{"id":"https://openalex.org/C99656134","wikidata":"https://www.wikidata.org/wiki/Q2912993","display_name":"Ordinary least squares","level":2,"score":0.2752000093460083},{"id":"https://openalex.org/C16051113","wikidata":"https://www.wikidata.org/wiki/Q828814","display_name":"Market share","level":2,"score":0.2590999901294708},{"id":"https://openalex.org/C169258074","wikidata":"https://www.wikidata.org/wiki/Q245748","display_name":"Random forest","level":2,"score":0.25290000438690186},{"id":"https://openalex.org/C202353208","wikidata":"https://www.wikidata.org/wiki/Q1167393","display_name":"Economic indicator","level":2,"score":0.2524000108242035}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.dajour.2026.100742","doi":"https://doi.org/10.1016/j.dajour.2026.100742","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.dajour.2026.100742","pdf_url":null,"source":{"id":"https://openalex.org/S4210184862","display_name":"Decision Analytics Journal","issn_l":"2772-6622","issn":["2772-6622"],"is_oa":true,"is_in_doaj":true,"is_core":true,"listed_in":["cwts-core","doaj","jufo-1","norway-1","poland-20"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Decision Analytics Journal","raw_type":"journal-article"},{"id":"pmh:oai:run.unl.pt:10362/205618","doi":null,"is_oa":true,"landing_page_url":"http://hdl.handle.net/10362/205618","pdf_url":null,"source":{"id":"https://openalex.org/S4306402433","display_name":"Portuguese National Funding Agency for Science, Research and Technology (RCAAP Project by FCT)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"journal article"}],"best_oa_location":{"id":"doi:10.1016/j.dajour.2026.100742","doi":"https://doi.org/10.1016/j.dajour.2026.100742","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.dajour.2026.100742","pdf_url":null,"source":{"id":"https://openalex.org/S4210184862","display_name":"Decision Analytics Journal","issn_l":"2772-6622","issn":["2772-6622"],"is_oa":true,"is_in_doaj":true,"is_core":true,"listed_in":["cwts-core","doaj","jufo-1","norway-1","poland-20"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Decision Analytics Journal","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G2444725599","display_name":"Centro de Investiga\u00e7\u00e3o em Gest\u00e3o de Informa\u00e7\u00e3o","funder_award_id":"UID/04152/2025","funder_id":"https://openalex.org/F4320334779","funder_display_name":"Funda\u00e7\u00e3o para a Ci\u00eancia e a Tecnologia"}],"funders":[{"id":"https://openalex.org/F4320320300","display_name":"European Commission","ror":"https://ror.org/00k4n6c32"},{"id":"https://openalex.org/F4320334779","display_name":"Funda\u00e7\u00e3o para a Ci\u00eancia e a Tecnologia","ror":"https://ror.org/00snfqn58"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":49,"referenced_works":["https://openalex.org/W29280595","https://openalex.org/W283136338","https://openalex.org/W1595087943","https://openalex.org/W1966716734","https://openalex.org/W2238996003","https://openalex.org/W2465346083","https://openalex.org/W2894475665","https://openalex.org/W2898777543","https://openalex.org/W2945587814","https://openalex.org/W2953021031","https://openalex.org/W2970527275","https://openalex.org/W2979358647","https://openalex.org/W3000526998","https://openalex.org/W3006500846","https://openalex.org/W3024982803","https://openalex.org/W3089990971","https://openalex.org/W3122438891","https://openalex.org/W3123594716","https://openalex.org/W3135241214","https://openalex.org/W3141731295","https://openalex.org/W3160844542","https://openalex.org/W3195604220","https://openalex.org/W3195959912","https://openalex.org/W3202767948","https://openalex.org/W4200178216","https://openalex.org/W4221040930","https://openalex.org/W4225154839","https://openalex.org/W4292603221","https://openalex.org/W4304136791","https://openalex.org/W4307320955","https://openalex.org/W4310733093","https://openalex.org/W4311636697","https://openalex.org/W4312052360","https://openalex.org/W4322615367","https://openalex.org/W4322771065","https://openalex.org/W4362670700","https://openalex.org/W4372231831","https://openalex.org/W4378648695","https://openalex.org/W4387705369","https://openalex.org/W4391022935","https://openalex.org/W4392457913","https://openalex.org/W4392656476","https://openalex.org/W4392850521","https://openalex.org/W4393352963","https://openalex.org/W4394010061","https://openalex.org/W4401284029","https://openalex.org/W4404412545","https://openalex.org/W4407301954","https://openalex.org/W4408140691"],"related_works":["https://openalex.org/W7203833745","https://openalex.org/W7128383059","https://openalex.org/W2203362249","https://openalex.org/W7127644068","https://openalex.org/W2017573490","https://openalex.org/W2945786574","https://openalex.org/W2196198602","https://openalex.org/W3125156549","https://openalex.org/W7204964307","https://openalex.org/W2133529814"],"abstract_inverted_index":{"Early":[0],"detection":[1],"of":[2,34,63],"systemic":[3,35],"financial":[4,36,52],"stress":[5,22,37,53,72,95],"is":[6,54,68,110,131,150,222],"essential":[7],"for":[8,31,230],"financial-stability":[9],"monitoring":[10,33,233],"in":[11,38,186],"environments":[12],"characterized":[13],"by":[14],"rapid":[15],"market":[16,177],"adjustment,":[17],"nonlinear":[18],"transmission,":[19],"and":[20,48,77,94,122,138,157,162,166,211],"rare":[21],"episodes.":[23],"This":[24],"study":[25],"develops":[26],"a":[27,98,151,226,237],"high-frequency":[28,231],"machine-learning":[29],"framework":[30,103,221],"short-horizon":[32,172,206],"Europe":[39],"using":[40,74,112,155],"daily":[41],"financial,":[42],"banking,":[43],"interest-rate,":[44],"exchange-rate,":[45],"commodity,":[46],"volatility,":[47],"sentiment-related":[49],"indicators.":[50],"Systemic":[51,64],"measured":[55],"with":[56,115,160],"the":[57,134,143,194,204,220],"European":[58],"Central":[59],"Bank\u2019s":[60],"Composite":[61],"Indicator":[62],"Stress":[65],"(CISS),":[66],"which":[67],"transformed":[69],"into":[70],"binary":[71],"targets":[73],"fixed,":[75],"rolling-sigma,":[76],"rolling-percentile":[78],"threshold":[79,137],"rules.":[80],"The":[81,125,147],"empirical":[82],"design":[83],"evaluates":[84],"alternative":[85],"model":[86,154],"classes,":[87],"dataset":[88],"specifications,":[89],"feature":[90],"representations,":[91],"forecast":[92,145],"horizons,":[93,141],"definitions":[96],"within":[97],"strictly":[99],"chronological":[100],"out-of-sample":[101],"validation":[102],"that":[104,128,200],"avoids":[105],"look-ahead":[106],"bias.":[107],"Model":[108],"performance":[109,130,210],"assessed":[111],"rare-event":[113],"metrics,":[114],"primary":[116],"emphasis":[117],"on":[118],"precision\u2013recall":[119],"AUC,":[120],"recall,":[121],"F1":[123],"score.":[124],"results":[126],"show":[127,199],"predictive":[129],"strongest":[132],"under":[133],"fixed":[135],"CISS":[136],"at":[139,216],"short":[140],"particularly":[142],"5-business-day":[144],"window.":[146],"preferred":[148],"specification":[149,213],"transparent":[152],"logit":[153],"CISS-":[156],"VIX-based":[158],"predictors":[159],"level":[161],"change":[163],"features.":[164],"Sentiment":[165],"uncertainty-related":[167],"indicators":[168],"also":[169],"provide":[170],"meaningful":[171],"information,":[173],"while":[174],"broader":[175],"standalone":[176],"blocks":[178],"perform":[179],"more":[180],"moderately.":[181],"Nonlinear":[182],"classifiers":[183],"are":[184],"competitive":[185],"several":[187],"settings":[188],"but":[189,208],"do":[190],"not":[191],"materially":[192],"dominate":[193],"linear":[195],"benchmark.":[196],"Robustness":[197],"checks":[198],"rolling":[201],"thresholds":[202],"preserve":[203],"qualitative":[205],"pattern":[207],"reduce":[209],"increase":[212],"instability,":[214],"especially":[215],"longer":[217],"horizons.":[218],"Overall,":[219],"best":[223],"interpreted":[224],"as":[225,236],"disciplined":[227],"decision-analytics":[228],"tool":[229],"systemic-stress":[232],"rather":[234],"than":[235],"threshold-invariant":[238],"long-horizon":[239],"stress-prediction":[240],"model.":[241]},"counts_by_year":[{"year":2026,"cited_by_count":1}],"updated_date":"2026-11-10T11:39:43.021295","created_date":"2026-08-19T00:00:00"}