Related papers: A Three-Variable Benchmark for Post-GFC Covered In…
We develop a medium-size semi-structural time series model of inflation dynamics that is consistent with the view - often expressed by central banks - that three components are important: a trend anchored by long-run expectations, a…
This paper introduces a new approach for estimating core inflation indicators based on common factors across a broad range of price indices. Specifically, by utilizing procedures for detecting multiple regimes in high-dimensional factor…
The main result of this paper that a martingale evolution can be chosen for Libor such that all the Libor interest rates have a common market measure; the drift is fixed such that each Libor has the martingale property. Libor is described…
The Fisher and GEKS are celebrated as ideal bilateral and multilateral indexes due to their superior axiomatic and econ-theoretic properties. The Fisher index is the main index used for constructing CPI by statistical agencies and the GEKS…
According to theoretical models of valuing risky corporate securities, risk of default is primary component in overall yield spread. However, sizable empirical literature considers it otherwise by giving more importance to non-default risk…
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. The stochastic recovery specification only models the first two moments of the spot…
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…
Despite the popularity of feature importance (FI) measures in interpretable machine learning, the statistical adequacy of these methods is rarely discussed. From a statistical perspective, a major distinction is between analyzing a…
We introduce a dynamic model of the default waterfall of derivatives CCPs and propose a risk sensitive method for sizing the initial margin (IM), and the default fund (DF) and its allocation among clearing members. Using a Markovian…
A two-component model for the evolution of real GDP per capita in the USA is presented and tested. The first component of the GDP growth rate represents an economic trend and is inversely proportional to the attained level of real GDP per…
This paper investigates the relevance of the No-Ponzi game condition for public debt (i.e. the public debt growth rate has to be lower than the real interest rate, a necessary assumption for Ricardian equivalence) and of the transversality…
This short study presents an opportunistic approach to a (more) reliable validation method for prediction uncertainty average calibration. Considering that variance-based calibration metrics (ZMS, NLL, RCE...) are quite sensitive to the…
Mean-reverting portfolios with volatility and sparsity constraints are of prime interest to practitioners in finance since they are both profitable and well-diversified, while also managing risk and minimizing transaction costs. Three main…
Volatilities, in high-dimensional panels of economic time series with a dynamic factor structure on the levels or returns, typically also admit a dynamic factor decomposition. We consider a two-stage dynamic factor model method recovering…
Global fixed income returns span across multiple maturities and economies, that is, they naturally reside on multi-dimensional data structures referred to as tensors. In contrast to standard "flat-view" multivariate models that are agnostic…
Pricing formulae for defaultable corporate bonds with discrete coupons under consideration of the government taxes in the united model of structural and reduced form models are provided. The aim of this paper is to generalize the…
In this work, a statistical analysis of the distribution of daily fluctuations of the IPC, the Mexican Stock Market Index is presented. A sample of the IPC covering the 13-year period 04/19/1990 - 08/21/2003 was analyzed and the cumulative…
We empirically test the effects of unanticipated fiscal policy shocks on the growth rate and the cyclical component of real private output and reveal different types of asymmetries in fiscal policy implementation. The data used are…
Given a geometric Brownian motion wealth process, a log-Normal lower bound is constructed for the returns of a regular investing schedule. The distribution parameters of this bound are computed recursively. For dollar cost averaging (equal…
Accurate performance benchmarking after forward error correction (FEC) decoding is essential for system design in optical fiber communications. Generalized mutual information (GMI) has been shown to be successful at benchmarking the…