Related papers: Inflation Target at Risk: A Time-varying Parameter…

We propose an enhancement to wholesale electricity markets whereby the exposure of consumers to increasingly large and volatile consumer payments arising as a byproduct of volatile real-time net loads -- i.e., loads minus renewable outputs…

We provide new results showing identification of a large class of fixed-T panel models, where the response variable is an unknown, weakly monotone, time-varying transformation of a latent linear index of fixed effects, regressors, and an…

We introduce a method to estimate simultaneously the tail and the threshold parameters of an extreme value regression model. This standard model finds its use in finance to assess the effect of market variables on extreme loss distributions…

We study, both analytically and numerically, an ARCH-like, multiscale model of volatility, which assumes that the volatility is governed by the observed past price changes on different time scales. With a power-law distribution of time…

In large deformations, internally pressurised elastic spherical shells and tubes may undergo a limit-point, or inflation, instability manifested by a rapid transition in which their radii suddenly increase. The possible existence of such an…

With uncertain changes of the economic environment, macroeconomic downturns during recessions and crises can hardly be explained by a Gaussian structural shock. There is evidence that the distribution of macroeconomic variables is skewed…

Inflationary models are usually UV sensitive. Several mechanism have been proposed to protect the necessary features of the potential, and most notably (softly broken) global symmetries as shift-symmetry. We show that, even in presence of…

We study inflation in a random multifield potential, using techniques developed by Marsh et al. The potential is a function of a large number of fields, and we choose parameters so that inflation only occurs in regions where the potential…

Both inflation and unemployment inflict social losses. When a tradeoff exists between the two, what would be the best combination of inflation and unemployment? A well known approach in economics to address this question consists to write…

We study tail risk dynamics in high-frequency financial markets and their connection with trading activity and market uncertainty. We introduce a dynamic extreme value regression model accommodating both stationary and local unit-root…

Weighted empirical risk minimization is a common approach to prediction under distribution drift. This article studies its out-of-sample prediction error under nonstationarity. We provide a general decomposition of the excess risk into a…

In this paper, we implement a stochastic deflator with five economic and financial risk factors: interest rates, market price of risk, stock prices, default intensities, and convenience yields. We examine the deflator with different…

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 recent years research on credit risk modelling has mainly focused on default probabilities. Recovery rates are usually modelled independently, quite often they are even assumed constant. Then, however, the structural connection between…

What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made,…

Time series graphical models have recently received considerable attention for characterizing (conditional) dependence structures in multivariate time series. In many applications, the multivariate series exhibit variable-partitioned…

Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…

This paper proposes a correlated random coefficient linear panel data model, where regressors can be correlated with time-varying and individual-specific random coefficients through both a fixed effect and a time-varying random shock. I…

Macroeconomic factors have a critical impact on banking credit risk, which cannot be directly controlled by banks, and therefore, there is a need for an early credit risk warning system based on the macroeconomy. By comparing different…

The viability of a given model for inflation is determined not only by the form of the inflaton potential, but also by the initial inflaton field configuration. In many models, field configurations which are otherwise well-motivated…