Related papers: Momentum Informed Inflation-at-Risk
We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…
We are on the verge of the first precision testing of the inflationary cosmology as a model for the origin of structure in the Universe. I review the key predictions of inflation which can be used as observational tests, in the sense of…
We propose a new model for the joint evolution of the European inflation rate, the European Central Bank official interest rate and the short-term interest rate, in a stochastic, continuous time setting. We derive the valuation equation for…
Inflation of a universe filled by an elastic continuous medium is considered. Elastic inflation, while capable of describing current observations, is qualitatively different from standard inflationary models. The scalar and tensor modes…
Considerable literature has been devoted to developing statistical inferential results for risk measures, especially for those that are of the form of L-functionals. However, practical and theoretical considerations have highlighted quite a…
Recently, the concept of tail dependence has been discussed in financial applications related to market or credit risk. The multivariate extreme value theory is a proper tool to measure and model dependence, for example, of large loss…
We discuss a new test of inflation from the harmonic pattern of peaks in the cosmic microwave background radiation angular power spectrum. By characterizing the features of alternate models and revealing signatures essentially unique to…
We discuss the inflationary paradigm, how it can be tested, and how various models of inflation fare in the light of data from Planck and BICEP2. We introduce inflation and reheating, and discuss temperature and polarisation anisotropies in…
Dynamical models of inflation are given with composite inflatons by means of massive supersymmetric gauge theory. Nearly flat directions and stable massive ones in the potential are identified and slow-roll during inflation is examined.…
We analyse the multifield behaviour in D-brane inflation when contributions from the bulk are taken into account. For this purpose, we study a large number of realisations of the potential; we find the nature of the inflationary trajectory…
In this lecture I will review some recent progress in improving the accuracy of the calculation of density perturbations resulting from inflation.
We review the theory of inflationary perturbations. Perturbations at both linear and nonlinear orders are reviewed. We also review a variety of inflation models, emphasizing their signatures on cosmic perturbations.
In this paper, we investigate risk measures such as value at risk (VaR) and the conditional tail expectation (CTE) of the extreme (maximum and minimum) and the aggregate (total) of two dependent risks. In finance, insurance and the other…
A short introduction to structure formation is given, followed by a discussion of the possible characteristics of the initial perturbations assuming a generic inflationary origin. Observational data related to large-scale structure and the…
Space-based missions studying the cosmic microwave background (CMB) have progressively refined the parameter space in conventional models of inflation shortly ($\sim 10^{-37}$ seconds) after the big bang. While most inflationary scenarios…
We propose a multivariate generative model to capture the complex dependence structure often encountered in business and financial data. Our model features heterogeneous and asymmetric tail dependence between all pairs of individual…
The aim of this paper is to investigate the use of the Factor Analysis in order to identify the role of the relevant macroeconomic variables in driving the inflation. The Macroeconomic predictors that usually affect the inflation are…
Recent years have seen the introduction of various multi-field inflationary scenarios in which the curvature and geodesics of the scalar manifold play a crucial role. We outline a simple description that unifies these different proposals…
This paper investigates the identification, the determinacy and the stability of ad hoc, "quasi-optimal" and optimal policy rules augmented with financial stability indicators (such as asset prices deviations from their fundamental values)…
The stability of the inflation rate is a necessary condition for the proper functioning of any capitalist economy. In an economic environment with volatile inflation, the growth of the economy and its distribution among the agents of…