Related papers: Momentum Informed Inflation-at-Risk
Changes in collateralization have been implicated in significant default (or near-default) events during the financial crisis, most notably with AIG. We have developed a framework for quantifying this effect based on moving between…
We generalize Quasi-Linear Means by restricting to the tail of the risk distribution and show that this can be a useful quantity in risk management since it comprises in its general form the Value at Risk, the Tail Value at Risk and the…
Predicting the economy's short-term dynamics -- a vital input to economic agents' decision-making process -- often uses lagged indicators in linear models. This is typically sufficient during normal times but could prove inadequate during…
This paper considers forecasts of the growth and inflation distributions of the United Kingdom with factor-augmented quantile autoregressions under a model averaging framework. We investigate model combinations across models using weights…
A detection of primordial B-modes has been heralded not only as a smoking gun for the existence of inflation, but also as a way to establish the scale at which inflation took place. In this paper we critically reinvestigate the connection…
Inflationary solutions are constructed in a specific five-dimensional model with boundaries motivated by heterotic M-theory. We concentrate on the case where the vacuum energy is provided by potentials on those boundaries. It is pointed out…
This paper analyzes the diagnostic of near multicollinearity in a multiple linear regression from auxiliary centered regressions (with intercept) and non-centered (without intercept). From these auxiliary regression, the centered and…
Value-at-risk is one of the important subjects that extensively used by researchers and practitioners for measuring and managing uncertainty in financial markets. Although value-at-risk is a common risk control instrument, but there are…
Growth-at-Risk is vital for empirical macroeconomics but is often suspect to quantile crossing due to data limitations. While existing literature addresses this through post-processing of the fitted quantiles, these methods do not correct…
The scale at which supersymmetry is broken and the mechanism by which supersymmetry breaking is fed down to the observable sector has rich implications on the way Nature may have chosen to accomplish inflation. We discuss a simple model for…
There is an observational indication of extragalactic magnetic fields. No known astrophysical process can explain the origin of such large scale magnetic fields, which motivates us to look for their origin in primordial inflation. By…
Markov switching models are often used to analyze financial returns because of their ability to capture frequently observed stylized facts. In this paper we consider a multivariate Student-t version of the model as a viable alternative to…
This note examines the influence of covariance inflation on the distance between the measured observation and the simulated (or predicted) observation with respect to the state estimate. In order for the aforementioned distance to be…
The relationship between price volatilty and a market extremum is examined using a fundamental economics model of supply and demand. By examining randomness through a microeconomic setting, we obtain the implications of randomness in the…
We consider cosmological perturbations caused by modulated inflaton velocity. During inflation, the inflaton motion is damped and the velocity is determined by the parameters such as couplings or masses that may depend on light…
We examine an inflationary model in $R + R^2$ gravity with torsion, where $R^2$ denotes five independent quadratic curvature invariants; it turns out that only two free parameters remain in this model. We show that the behavior of the scale…
The scalar perturbations in inflationary models, based on a two-component diagonal non-linear sigma model, are considered. For inhomogeneities generated at an inflationary stage, the law of motion of the comoving curvature ${\cal R}$ is…
A new scenario of hybrid-like inflation is considered without using hybrid-type potential. Radiation raised continuously by a dissipating inflaton field keeps symmetry restoration in a remote sector, and the false-vacuum energy of the…
We solve time-reversed stochastic inflation in the semi-infinite flat potential with a constant drift term and derive an exact expression for the probability distribution of the curvature fluctuations. It exhibits exponential decaying tails…
In this work, we revisit the Witten-O'Raifeartaigh model of inflation, in which the potential takes a $\operatorname{log}^2(\phi/M)$ form, when the scalar field is non-minimally coupled to gravity. We investigate the impact of the coupling…