Modeling conditional distributions in time series has attracted increasing attention in economics and finance. We develop a new class of generalized Cramer–von Mises (GCM) specification tests for time series conditional distribution models using a novel approach, which embeds the empirical...

In this paper we develop a business cycle measure that can be shown to have excellent ex-ante forecasting properties for GDP growth. For identifying business cycle movements, we use a semantic approach. We infer nine different states of the economy directly from firms' responses in business...

Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....

To ensure that central counterparties (“CCPs”) are safe in all market conditions the European Union (EU) has adopted legislation, commonly known as the European Market Infrastructure Regulation (“EMIR”) that deals with their organisational requirements, including prudential requirements...

The COVID-19 pandemic has underscored the need for better tracking and monitoring domestic and international investments in health, including on pandemic preparedness. The total official support for sustainable development (TOSSD) framework can help, as it captures both cross‑border flows to...

The increasing importance of services trade in the global economy contrasts with the lack of timely data to monitor recent developments. The nowcasting models developed in this paper are aimed at providing insights into current changes in total services trade, as recorded in monthly statistics...

This Working Paper presents the perspective of Indonesia on the concept of total official support for sustainable development (TOSSD), the extent of TOSSD resources provided by Indonesia and the capacity of the government to report on these resources. Indonesia broadly supported TOSSD as a...

Total official support for sustainable development (TOSSD) is a new international statistical measure that provides a complete picture of all official resources and private finance mobilised by official interventions in support of sustainable development and the SDGs. It consists of two pillars:...

Investors have long relied on scenario analysis as an alternative to mean-variance analysis to help them construct portfolios. Even though mean-variance analysis accounts for all potential scenarios, many investors find it difficult to implement because it requires them to specify statistical...