Appropriate risk management is crucial to ensure the competitiveness of financial institutions and the stability of the economy. One widely used financial risk measure is Value-at-Risk (VaR). VaR estimates based on linear and parametric models can lead to biased results or even underestimation...

With option-implied volatility indices, we provide a new tool for event studies in a network setting and document systemic risk in the spillover networks across global financial markets. Network linkages are sufficiently asymmetric because the US stock and bond markets play as dominant...

Many Southeast European countries are currently undergoing a process of liberalization of electric power markets. The paper analyses day-ahead price dynamics on some of these new markets and in Germany as a benchmark of a completely decentralized Western European market. To that end, several...

Marketing messages are most effective if they reach the right customers. Deciding which customers to contact is thus an important task in campaign planning. The paper focuses on empirical targeting models. We argue that common practices to develop such models do not account sufficiently for...

Data from social media has created opportunities to understand how and why people move through their urban environment and how this relates to criminal activity. To aid resource allocation decisions in the scope of predictive policing, the paper proposes an approach to predict weekly crime...

This paper presents a new approach to non-parametric cluster analysis called Adaptive Weights Clustering (AWC). The idea is to identify the clustering structure by checking at different points and for dierent scales on departure from local homogeneity. The proposed procedure describes the...

In this paper, we consider a probabilistic setting where the probability measures are considered to be random objects. We propose a procedure of construction non-asymptotic confidence sets for empirical barycenters in 2 -Wasserstein space and develop the idea further to construction of a...

We derive tight non-asymptotic bounds for the Kolmogorov distance between the probabilities of two Gaussian elements to hit a ball in a Hilbert space. The key property of these bounds is that they are dimension-free and depend on the nuclear (Schatten-one) norm of the difference between the...

Let X1; : : : ;Xn be i.i.d. sample in Rp with zero mean and the covariance matrix . The classic principal component analysis esti- mates the projector P J onto the direct sum of some eigenspaces of by its empirical counterpart bPJ . Recent papers [20, 23] investigate the asymptotic distribution...

In the work a characterization of difference of multivariate Gaussian measures is found on the family of centered Eucledian balls. In particular, it helps to derive (xx see paper).