An EGARCH model in which the conditional distribution is heavy-tailed and skewed is
proposed. The properties of the model, including unconditional moments, autocorrelations …

We propose an empirical framework to assess the likelihood of joint and conditional
sovereign default from observed CDS prices. Our model is based on a dynamic skewed-t …

We propose a novel observation-driven finite mixture model for the study of banking data.
The model accommodates time-varying component means and covariance matrices, normal …

We characterize the dynamic properties of generalized autoregressive score models by
identifying the regions of the parameter space that imply stationarity and ergodicity of the …

We estimate the CAPM model on European stock market data, allowing for asymmetric and
fat-tailed return distributions using independent and identically asymmetric power distributed …

We develop a novel high‐dimensional non‐Gaussian modeling framework to infer
measures of conditional and joint default risk for numerous financial sector firms. The model …

The flexibility, generality and feasibility of score-driven models have contributed much to the
impact of score-driven models in both research and policy. Score-driven models provide a …

Multivariate stochastic volatility models with skew distributions are proposed. Exploiting
Cholesky stochastic volatility modeling, univariate stochastic volatility processes with …

To what extent can a central bank influence its own balance sheet credit risks during a
financial crisis through unconventional monetary policy operations? To study this question …

We propose a novel empirical framework to assess the likelihood of joint and conditional
failure for Euro area sovereigns. Our model is based on a dynamic skewed-t copulawhich …