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Prodotti recenti

Systemic events and diffusion of jumps

We propose two indexes informative of the cross-sectional diffusion of jumps from the analysis of a very large dataset of high-frequency returns that is not common in the literature. The two indexes have important implications in terms of asset pricing, as they capture part of...

Conditional Quantile-Located Value-at-Risk

The Conditional Value-at-Risk (CoVaR) has been proposed by [1] to measure the impact of a company in distress on the Value-at-Risk (VaR) of the financial system. We propose here an extension of the CoVaR, that is, the Conditional Quantile-Located VaR (QL-CoVaR), that better deals&#...

Conditional Quantile-Located VaR

The Conditional Value-at-Risk (CoVaR) has been proposed by Adrian and Brunnermeier (Am Econ Rev 106:1705–1741, 2016) to measure the impact of a company in distress on the Value-at-Risk (VaR) of the financial system. We propose an extension of the CoVaR, that is, the Conditional...

Volatility Forecasting in a Data Rich Environment

Estimation and model-based combination of causality networks among large US banks and insurance companies

Causality is a widely-used concept in theoretical and empirical economics. The recent financial economics literature has used the standard Granger causality to detect for the presence of contemporaneous links among financial institutions, that, in turn, determine a network structure. Subsequent s...