Related papers: Momentum Informed Inflation-at-Risk

The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…

We review recent progress in modeling credit risk for correlated assets. We start from the Merton model which default events and losses are derived from the asset values at maturity. To estimate the time development of the asset values, the…

We analyse growth vulnerabilities in the US using quantile partial correlation regression, a selection-based machine-learning method that achieves model selection consistency under time series. We find that downside risk is primarily driven…

In this short review, the predictions of inflation are presented and compared to the most recent measurements of the Cosmic Microwave Background (CMB) anisotropy. It is argued that inflation is compatible with these observations but that…

In this paper, we investigate various inflation models in the context of the no-boundary proposal. We propose that a good inflation model should satisfy three conditions: observational constraints, plausible initial conditions, and…

We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…

In this paper, we study dependence uncertainty and the resulting effects on tail risk measures, which play a fundamental role in modern risk management. We introduce the notion of a regular dependence measure, defined on multi-marginal…

Monetary inflation is a sustained increase in the money supply than can result in price inflation, which is a rise in the general level of prices of goods and services. The objectives of this paper were to develop economic models to (1)…

Empirical evidence suggests that there is little to no correlation between the rate of inflation and the size of price change. Economists have hitherto taken this to mean that monetary shocks do not generate much deviation in relative…

In single field slow-roll inflation, one expects that the spectral index $n_s -1$ is first order in slow-roll parameters. Similarly, its running $\alpha_s = dn_s/d \log k$ and the running of the running $\beta_s = d\alpha_s/d \log k$ are…

Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation. Empirical results using US and UK equity indexes…

Integrated Assessment Models (IAMs) of the climate and economy aim to analyze the impact and efficacy of policies that aim to control climate change, such as carbon taxes and subsidies. A major characteristic of IAMs is that their…

We review the theory of inflation with single and multiple fields paying particular attention to the dynamics of adiabatic and entropy/isocurvature perturbations which provide the primary means of testing inflationary models. We review the…

I propose an approach to quantify attention to inflation in the data and show that the decrease in the volatility and persistence of U.S. inflation after the Great Inflation period was accompanied by a decline in the public's attention to…

Quantifying tail dependence is an important issue in insurance and risk management. The prevalent tail dependence coefficient (TDC), however, is known to underestimate the degree of tail dependence and it does not capture non-exchangeable…

Estimation of tail quantities, such as expected shortfall or Value at Risk, is a difficult problem. We show how the theory of nonlinear expectations, in particular the Data-robust expectation introduced in [5], can assist in the…

We construct a two-stage inflationary model which can accommodate early inflation at a scale $\Lambda_1$ as well as a second stage of inflation at $\Lambda_2$ with a single scalar field $\phi$. We use a symmetric potential, valid in a…

We study the inflationary dynamics in a model of slow-roll inflation in warped throat. Inflation is realized by the motion of a D-brane along the radial direction of the throat, and at later stages instabilities develop in the angular…

We demonstrate both analytically and numerically that the existing methods for measuring tail dependence in copulas may sometimes underestimate the extent of extreme co-movements of dependent risks and, therefore, may not always comply with…

In this work we re-investigate pros and cons of mutated hilltop inflation. Applying Hamilton-Jacobi formalism we solve inflationary dynamics and find that inflation goes on along the ${\cal W}_{-1}$ branch of the Lambert function. Depending…