Related papers: Mixing it up: Inflation at risk
A reformulation of inflationary model analyses appeared recently, in which inflationary observables are determined by the structure of a pole in the inflaton kinetic term rather than the shape of the inflaton potential. We comprehensively…
Even simple inflationary scenarios have many free parameters. Beyond the variables appearing in the inflationary action, these include dynamical initial conditions, the number of fields, and couplings to other sectors. These quantities are…
The aim of this paper is to identify the determinants of international stock markets integration. Intuitively we selected a great number of factors linked to financial integration. Then, we developed an international asset-pricing model…
We study factor models augmented by observed covariates that have explanatory powers on the unknown factors. In financial factor models, the unknown factors can be reasonably well explained by a few observable proxies, such as the…
The vast majority of market impact studies assess each product individually, and the interactions between the different order flows are disregarded. This strong approximation may lead to an underestimation of trading costs and possible…
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…
Procyclicality of historical risk measure estimation means that one tends to over-estimate future risk when present realized volatility is high and vice versa under-estimate future risk when the realized volatility is low. Out of it…
We model systemic risk using a common factor that accounts for market-wide shocks and a tail dependence factor that accounts for linkages among extreme stock returns. Specifically, our theoretical model allows for firm-specific impacts of…
A non-parametric method for ranking stock indices according to their mutual causal influences is presented. Under the assumption that indices reflect the underlying economy of a country, such a ranking indicates which countries exert the…
This study examines how housing sector volatilities affect real estate investment trust (REIT) equity return in the United States. I argue that unexpected changes in housing variables can be a source of aggregate housing risk, and the first…
The problem of causal inference is to determine if a given probability distribution on observed variables is compatible with some causal structure. The difficult case is when the causal structure includes latent variables. We here introduce…
Recommendation systems rely on user-provided data to learn about item quality and provide personalized recommendations. An implicit assumption when aggregating ratings into item quality is that ratings are strong indicators of item quality.…
Conventional economic analysis of stringent climate change mitigation policy generally concludes various levels of economic slowdown as a result of substantial spending on low carbon technology. Equilibrium economics however could not…
The combination of the network theoretic approach with recently available abundant economic data leads to the development of novel analytic and computational tools for modelling and forecasting key economic indicators. The main idea is to…
Inflationary cosmology has made significant strides in understanding the physics driving the rapid expansion of the early universe. However, many inflation models with diverse potential shapes present analysis, comparison, and…
The money supply is endogenous if the monetary policy strategy is the so called Inflation and Interest Rate Targeting, IRT. With that and perfect credibility, the theory of the price level and inflation only needs the Fisher equation, but…
An important goal of environmental health research is to assess the health risks posed by mixtures of multiple environmental exposures. In these mixtures analyses, flexible models like Bayesian kernel machine regression and multiple index…
We present an analytical model to study the role of expectation feedbacks and overlapping portfolios on systemic stability of financial systems. Building on [Corsi et al., 2016], we model a set of financial institutions having Value at Risk…
We examine a wide class of multi-field inflationary models based on fields that decay or stabilize during inflation in a staggered fashion. The fields driving assisted inflation are on flat, short stretches, before they encounter a sharp…
Several studies have focused on the Realized Range Volatility, an estimator of the quadratic variation of financial prices, taking into account the impact of microstructure noise and jumps. However, none has considered direct modeling and…