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Power grids are prone to failure. Time series of reliability measures such as total power loss or energy not supplied can give significant account of the underlying dynamical behavior of these systems, specially when the resulting…
The success of public health policies aimed at curtailing the COVID-19 pandemic have relied on large-scale and protracted compliance by the public. A series of studies have recently argued that previous voting patterns are important…
This study investigates the resilience of Environmental, Social, and Governance (ESG) investments during periods of financial instability, comparing them with traditional equity indices across major European markets-Germany, France, and…
Detailed study of the financial empirical correlation matrix of the 30 companies comprised by DAX within the period of the last 11 years, using the time-window of 30 trading days, is presented. This allows to clearly identify a nontrivial…
This paper develops a dynamic factor model that uses euro area (EA) country-specific information on output and inflation to estimate an area-wide measure of the output gap. Our model assumes that output and inflation can be decomposed into…
This paper looks into the analysis of the long-range auto-correlations and cross-correlations in bond market. Based on Detrended Moving Average (DMA) method, empirical results present a clear evidence of long-range persistence that exists…
This paper presents the experimental process and results of SVM, Gradient Boosting, and an Attention-GRU Hybrid model in predicting the Implied Volatility of rolled-over five-year spread contracts of credit default swaps (CDS) on European…
This paper analyzes the bank lending channel and the heterogeneous effects on the euro area, providing evidence that the channel is indeed working. The analysis of the transmission mechanism is based on structural impulse responses to an…
Cross-border equity and long-term debt securities portfolio investment networks are analysed from 2002 to 2012, covering the 2008 global financial crisis. They serve as network-proxies for measuring the robustness of the global financial…
The interconnected European Electricity Markets see considerable cross-border trade between different countries. In conjunction with the structure and technical characteristics of the power grid and its operating rules, the corresponding…
According to theoretical models of valuing risky corporate securities, risk of default is primary component in overall yield spread. However, sizable empirical literature considers it otherwise by giving more importance to non-default risk…
Cascades of events and extreme occurrences have garnered significant attention across diverse domains such as financial markets, seismology, and social physics. Such events can stem either from the internal dynamics inherent to the system…
This paper analyzes the process of long-run co-movements and stock market globalization on the basis of cointegration tests and vector error correction (VEC) models. The cointegration tests used here allow for structural breaks to be…
We measure the Euro Area (EA) output gap and potential output using a non-stationary dynamic factor model estimated on a large dataset of macroeconomic and financial variables. Our results indicate that, between 2012 and 2024, the EA…
The Stock Market is a complex self-interacting system, characterized by an intermittent behaviour. Periods of high activity alternate with periods of relative calm. In the present work we investigate empirically about the possibility that…
Do governments adjust budgetary policy to rising public debt, precluding fiscal unsustainability? Using budget data for 52 industrial and emerging economies since 1990, we apply panel methods accounting for cross-sectional dependence and…
This paper presents two case studies of data sets where the main inferential goal is to characterize time-varying patterns in model structure. Both of these examples are seen to be general cases of the so-called "partition problem," where…
This study investigates how financial market structure reorganizes during the COVID-19 crash using a conditional p-threshold mutual information (MI) based Minimum Spanning Tree (MST) framework. We analyze nonlinear dependencies among the…
We use rank correlations as distance functions to establish the interconnectivity between stock returns, building weighted signed networks for the stocks of seven European countries, the US and Japan. We establish the theoretical…
Arguably the most important problem in quantitative finance is to understand the nature of stochastic processes that underlie market dynamics. One aspect of the solution to this problem involves determining characteristics of the…