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In Change point detection task Likelihood Ratio Test (LRT) is sequentially applied in a sliding window procedure. Its high values indicate changes of parametric distribution in the data sequence. Correspondingly LRT values require…
A dynamical system is said to undergo rate-induced tipping when it fails to track its quasi-equilibrium state due to an above-critical-rate change of system parameters. We study a prototypical model for rate-induced tipping, the saddle-node…
This working paper uses a Dynamic Factor Model ('the model') to identify underlying factors contributing to the debt-induced economic crisis in the People's Democratic Republic of Laos ('Laos'). The analysis aims to use the latent…
Threats on the stability of a financial system may severely affect the functioning of the entire economy, and thus considerable emphasis is placed on the analyzing the cause and effect of such threats. The financial crisis in the current…
The recent financial crisis has stressed the need to understand financial systems as networks of interdependent countries, where cross-border financial linkages play the fundamental role. It has also been emphasized that the relevance of…
We study macroeconomic fluctuations in the United Kingdom over seven centuries (1271--2022) using a time-varying VAR with stochastic volatility. We identify business cycle shocks as innovations explaining the largest share of future output…
Energy is a critical driver of modern economic systems. Accurate energy price forecasting plays an important role in supporting decision-making at various levels, from operational purchasing decisions at individual business organizations to…
We amend and extend the Chiarella model of financial markets to deal with arbitrary long-term value drifts in a consistent way. This allows us to improve upon existing calibration schemes, opening the possibility of calibrating individual…
We propose a formulation to construct new classes of financial price processes based on the insight that the key variable driving prices $P$ is the earning-over-price ratio $\gamma \simeq 1/P$, which we refer to as the earning yield and is…
We study the cluster dynamics of multichannel (multivariate) time series by representing their correlations as time-dependent networks and investigating the evolution of network communities. We employ a node-centric approach that allows us…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
Economic and financial models -- such as vector autoregressions, local projections, and multivariate volatility models -- feature complex dynamic interactions and spillovers across many time series. These models can be integrated into a…
We propose Monte Carlo calibration algorithms for three models: local volatility with stochastic interest rates, stochastic local volatility with deterministic interest rates, and finally stochastic local volatility with stochastic interest…
Basic peculiarities of market price fluctuations are known to be well described by a recently developed random walk model in a temporally deforming quadric potential force whose center is given by a moving average of past price traces…
We explore the international transmission of monetary policy and central bank information shocks originating from the United States and the euro area. Employing a panel vector autoregression, we use macroeconomic and financial variables…
We propose a novel time discretization for the log-normal SABR model which is a popular stochastic volatility model that is widely used in financial practice. Our time discretization is a variant of the Euler-Maruyama scheme. We study its…
Empirical data reveals that the liquidity flow into the order book (depositions, cancellations andmarket orders) is influenced by past price changes. In particular, we show that liquidity tends todecrease with the amplitude of past…
The classifications of inflationary regimes proposed in the literature have mostly been based on arbitrary characterizations, subject to value judgments by researchers. The objective of this study is to propose a new methodological approach…
Critical transitions, ubiquitous in nature and technology, necessitate anticipation to avert adverse outcomes. While many studies focus on bifurcation-induced tipping, where a control parameter change leads to destabilization, alternative…
Commodity futures constitute an attractive asset class for portfolio managers. Propelled by their low correlation with other assets, commodities begin gaining popularity among investors, as they allow to capture diversification benefits.…