monthly frequency. The econometric identification exploits exogenous monthly within-grid-cell variation in weather conditions …

is negative in all countries except Canada (where it is positive) in the case of bond flows. Under the assumption of risk …

Weakening bargaining power of unions and the increasing integration of the world economy may affect the volatility of … builds distribution risk into a real business cycle model, hypotheses on the determinants of the relative volatility of …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

This paper examines the relationship between idiosyncratic risk in labour income and fluctuations in aggregate labour … BHPS sub-sample of Understanding Society for 2010-2014. We measure idiosyncratic risk in labour income by the relevant … idiosyncratic risk increases during contractions in the labour market. Furthermore, we find evidence of insurance, both at the …

lack of compensating differentials for unemployment risk can arise in equilibrium when all workers are identical and firms … risky tail of the distribution of firm-level unemployment risk. Meanwhile, unemployment becomes persistent for low-wage and …

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high …