an unambiguous test of shift contagion. Applications to bivariate returns in currency markets of developed countries and …

In this paper, we define a financial institution’s contribution to financial systemic risk as the increase in financial … systemic risk conditional on the crash of the financial institution. The higher the contribution is, the more systemically … important is the institution for the system. Based on relevant but different measurements of systemic risk, we propose a set of …

This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices … is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the … realized variance may improve volatility forecasting if the noise variance is related to the true return volatility. The …

term, and demonstrates how the quoted depth may be used in the construction of refined realized volatility measures under …

noise and remove it from observed returns before estimating their variance. The returns adjusted for the estimated liquidity …-frequency returns – which would be inconsistent for return variance when based on observed returns – becomes a consistent variance … estimator when based on adjusted returns. This novel estimator achieves the maximum possible rate of convergence. However, if …

corn, soybeans, wheat and rice received by U.S. farmers have been more substantial and can be linked in part to increases … evidence that corn ethanol mandates have created a tight link between oil and agricultural markets. Rather, increases in food …

-ask spreads, trading volumes, and realized volatility in the markets but there remains much unexplained. …

from our models and firm-specific variables related to default risk, such as credit ratings, equity volatility, and … premia. In addition, we demonstrate a linkage between the default barrier, jump intensity, and barrier volatility estimated …

Understanding the nature of credit risk has important implications for financial stability. Since authorities … difficulty lies in finding reliable measures of aggregate credit risk in the economy, as opposed to firmlevel credit risk. In … the type of risk priced in corporate bonds (i.e., credit or liquidity risk). However, although the two models provide …