Forecasting has always been at the forefront of decision making and planning. The
uncertainty that surrounds the future is both exciting and challenging, with individuals and …

We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK
measures the capital shortfall of a firm conditional on a severe market decline, and is a …

We assess the yield impact of asset purchases within the European Central Bank׳ s (ECB)
Securities Markets Programme (SMP) in five euro area sovereign bond markets from 2010 …

This article proposes a new class of copula-based dynamic models for high-dimensional
conditional distributions, facilitating the estimation of a wide variety of measures of systemic …

Credit default swaps (CDS) have been growing in importance in the global financial
markets. However, their role has been hotly debated, in industry and academia, particularly …

This paper analyzes sovereign risk shift-contagion, ie positive and significant changes in the
propagation mechanisms, using bond yield spreads for the major eurozone countries. By …

This paper studies the behavior of cryptocurrencies' financial time series, of which Bitcoin is
the most prominent example. The dynamics of these series are quite complex, displaying …

We extend the well-known static spatial Durbin model by introducing a time-varying spatial
dependence parameter. The updating steps for this model are functions of past data and …

The paper analyzes the integration of euro area sovereign bond markets during the
European sovereign debt crisis. It tests for contagion (ie, an intensification in the …

We provide a synthesis of the empirical evidence on market liquidity. The liquidity
measurement literature has established standard measures of liquidity that apply to broad …