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Systemic risk in banking, fire sales, and macroeconomic disasters

Bougheas, Spiros P.; Harvey, David I.; Kirman, Alan P.; … - 2024

We develop a dynamic computational network model of the banking system where fire sales provide the amplification mechanism of financial shocks. Each period a finite number of banks offers a large, but finite, number of loans to households. Banks with excess liquidity also offer loans to other...

Persistent link: https://www.econbiz.de/10014490902

Portfolio optimization based on stochastic dominance and empirical likelihood

Post, Thierry; Karabati, Selcuk; Arvanitis, Stelios - In: Journal of econometrics 206 (2018) 1, pp. 167-186

Persistent link: https://www.econbiz.de/10012110374

Structural vector autoregressions with Markov switching : combining conventional with statistical identification of shocks

Herwartz, Helmut; Lütkepohl, Helmut - In: Journal of econometrics 183 (2014) 1, pp. 104-116

Persistent link: https://www.econbiz.de/10010506080

Large Bayesian VARMAs

Chan, Joshua; Eisenstat, Eric; Koop, Gary - In: Journal of econometrics 192 (2016) 2, pp. 374-390

Persistent link: https://www.econbiz.de/10011704723

Testing for prospect and Markowitz stochastic dominance efficiency

Arvanitis, Stelios; Topaloglou, Nikolas - In: Journal of econometrics 198 (2017) 2, pp. 253-270

Persistent link: https://www.econbiz.de/10011818790

Quantile regression for dynamic panel data with fixed effects

Galvão Júnior, Antônio Fialho - In: Journal of econometrics 164 (2011) 1, pp. 142-157

Persistent link: https://www.econbiz.de/10009270393

Comparing stochastic volatility specifications for large Bayesian VARs

Chan, Joshua - In: Journal of econometrics 235 (2023) 2, pp. 1419-1446

Persistent link: https://www.econbiz.de/10014471398

High-dimensional conditionally Gaussian state space models with missing data

Chan, Joshua; Poon, Aubrey; Zhu, Dan - In: Journal of econometrics 236 (2023) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10014332310

Unit root quantile autoregression testing using covariates

Galvão Júnior, Antônio Fialho - In: Journal of econometrics 152 (2009) 2, pp. 165-178

Persistent link: https://www.econbiz.de/10003892736

Bayesian nonparametric sparse VAR models

Billio, Monica; Casarin, Roberto; Rossini, Luca - In: Journal of econometrics 212 (2019) 1, pp. 97-115

Persistent link: https://www.econbiz.de/10012303895