Related papers: How Unlucky is 25-Sigma?
Taking the European Central Bank unconventional policies as a reference, we suggest a class of Multiplicative Error Models (MEM) taylored to analyze the impact such policies have on stock market volatility. The new set of models, called MEM…
Share prices of financial companies from the S&P 500 list have been modeled by a linear function of consumer price indices in the USA. The Johansen and Engle-Granger tests for cointegration both demonstrated the presence of an equilibrium…
This paper studies the transmission of US monetary policy shocks into Emerging Markets emphasizing the role of investment and financial heterogeneity. First, we use a panel SVAR model to show that a US interest tightening leads to a…
Solar flares presumably have an impact on the deepest layers of the solar atmosphere and yet the observational evidence for such an impact is scarce. Using ten years of measurements of the Na D$_{1}$ and Na D$_2$ Fraunhofer lines, measured…
How, and to what extent, does an interconnected financial system endogenously amplify external shocks? This paper attempts to reconcile some apparently different views emerged after the 2008 crisis regarding the nature and the relevance of…
The beginning of 2021 saw a surge in volatility for certain stocks such as GameStop company stock (Ticker GME under NYSE). GameStop stock increased around 10 fold from its decade-long average to its peak at \$485. In this paper, we…
The volatility of financial instruments is rarely constant, and usually varies over time. This creates a phenomenon called volatility clustering, where large price movements on one day are followed by similarly large movements on successive…
The recent detection of the binary-neutron-star merger associated with GW170817 by both LIGO-Virgo and the network of electromagnetic-spectrum observing facilities around the world has made the multi-messenger detection of…
Lead/lag relationships are an important stylized fact at high frequency. Some assets follow the path of others with a small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric…
A glitch of a pulsar is known as a sudden increase in the spin frequency and spin-down rate (frequency time derivative), and it can be caused by a sudden rel\ ease of the stress built up in the solid crust of the star or pinned vortices in…
Earnings announcements (EADs) are corporate events that provide investors with fundamentally important information. The prospect of stock price rises may also contribute to EADs increased volatility. Using data on extremely short term…
The Sloan Digital Sky Survey has identified a total of 212 cataclysmic variables, most of which are fainter than 18th magnitude. This is the deepest and most populous homogeneous sample of cataclysmic variables to date, and we are…
A major part of the balance sheets of the largest US banks consists of credit card portfolios. Hence, managing the charge-off rates is a vital task for the profitability of the credit card industry. Different macroeconomic conditions affect…
The critical point for a Higgs sector can be a point of interest in the potential for a modulus field such as the radion of an extra dimensional construction, or the dilaton of spontaneously broken approximate conformal invariance. In part…
The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised payments. Given the large number of credit contracts, this…
We investigate the recently introduced variety of a set of stock returns traded in a financial market. This investigation is done by considering daily and intraday time horizons in a 15-day time period centered at the August 31st, 1998…
We study dynamic visual representations as a proxy for investor sentiment about the stock market. Our sentiment index, GIFsentiment, is constructed from millions of posts in the Graphics Interchange Format (GIF) on a leading investment…
We explore the realized alpha-performance heterogeneity in green and brown stocks' universes using the peer performance ratios of Ardia and Boudt (2018). Focusing on S&P 500 index firms over 2014-2020 and defining peer groups in terms of…
The solar magnetic activity cycle causes changes in the Sun on timescales that are relevant to human lifetimes. The minimum in solar activity that preceded the current solar cycle (cycle 24) was deeper and quieter than any other recent…
Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Fed Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads…