Related papers: Can one hear the shape of a target zone?
Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from twelve European bourses, this paper presents VaR measures based on their unconditional and conditional…
In this paper we aim to improve existing empirical exchange rate models by accounting for uncertainty with respect to the underlying structural representation. Within a flexible Bayesian non-linear time series framework, our modeling…
This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the…
In this paper escape rates and local escape rates for special flows are sudied. In a general context the first result is that the escape rate depends monotonically on the ceiling function and fulfills certain scaling, invariance, and…
We address the problem of optimal evasion in a planar endgame engagement, where a target with bounded lateral acceleration seeks to avoid interception by a missile guided by a linear feedback law. Contrary to existing approaches, that…
We introduce a statistical model for operational losses based on heavy-tailed distributions and bipartite graphs, which captures the event type and business line structure of operational risk data. The model explicitly takes into account…
We analyze a simple macroeconomic model where rational inflation expectations is replaced by a boundedly rational, and genuinely sticky, response to changes in the actual inflation rate. The stickiness is introduced in a novel way using a…
Non-stationary extremal dependence, whereby the relationship between the extremes of multiple variables evolves over time, is commonly observed in many environmental and financial data sets. However, most multivariate extreme value models…
Prepayment risk embedded in fixed-rate mortgages forms a significant fraction of a financial institution's exposure, and it receives particular attention because of the magnitude of the underlying market. The embedded prepayment option…
A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated on the Chinese stock market using mean-variance analysis, fluctuation analysis and their generalizations to…
We prove the existence of a Radner equilibrium in a model with proportional transaction costs on an infinite time horizon and analyze the effect of transaction costs on the endogenously determined interest rate. Two agents receive…
The expOU stochastic volatility model is capable of reproducing fairly well most important statistical properties of financial markets daily data. Among them, the presence of multiple time scales in the volatility autocorrelation is perhaps…
In this paper, we investigate the effectiveness of conventional and unconventional monetary policy measures by the European Central Bank (ECB) conditional on the prevailing level of uncertainty. To obtain exogenous variation in central bank…
Non-trivial inflaton self-interactions can yield calculable signatures of primordial non-Gaussianity that are measurable in cosmic surveys. Surprisingly, we find that the phase transition to slow-roll eternal inflation is often incalculable…
The estimation of loss distributions for dynamic portfolios requires the simulation of scenarios representing realistic joint dynamics of their components. We propose a novel data-driven approach for simulating realistic, high-dimensional…
Reliable calculations of financial risk require that the fat-tailed nature of prices changes is included in risk measures. To this end, a non-Gaussian approach to financial risk management is presented, modeling the power-law tails of the…
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…
We provide non-asymptotic excess risk guarantees for statistical learning in a setting where the population risk with respect to which we evaluate the target parameter depends on an unknown nuisance parameter that must be estimated from…
This paper poses a few fundamental questions regarding the attributes of the volume profile of a Limit Order Books stochastic structure by taking into consideration aspects of intraday and interday statistical features, the impact of…
This paper studies a wireless network consisting of multiple transmitter-receiver pairs where interference is treated as noise. Previously, the throughput region of such networks was characterized for either one time slot or an infinite…