We construct a sovereign default network by employing high-dimensional vector
autoregressions obtained by analyzing connectedness in sovereign credit default swap …

What we learned from the global financial crisis is that to get information about the
underlying financial risk dynamics, we need to fully understand the complex, nonlinear, time …

We test the usefulness of machine learning (ML) for the valuation and pricing of sovereign
risk in the Euro area along two important dimensions: i) its predictive accuracy compared …

By analysing the relationship between a new experimental daily index based on Twitter data
(the Istat's Social Mood on Economy Index—SMoEI) and the structure of Italian (and …

The economic literature presents a large heterogeneity of results concerning the impact of
fiscal variables on interest rates. Focusing on the Italian economy and considering the …

区域金融风险防控(RFRP) 无论在管理区域传统金融风险(TFR) 还是坚守不发生区域金融系统
风险(FSR) 中都是不可或缺的. 随着大数据规模的持续增长, 金融风险形态变化的不确定性 …

With growing inflation faced by countries around the world impacting the lives of citizens for
each economy, there is a need for a model that can accurately predict inflation for better …

Purpose The literature mostly investigates the business cycle transmission of the United
Kingdom (UK) and France as a part of a wider group (eg European Exchange Rate …

We provide empirical evidence in favour of a widespread non-linear, time-varying
relationship between sovereign credit risk and macroeconomic fundamentals across OECD …

We develop a dynamic sovereign credit risk model using the concept of fiscal fatigue,
according to which stabilizing high debt levels requires unsustainable large surpluses …