such insurance lines, securitizationis rapidly emerging as an alternative form of risk transfer. The ultimatesuccess of … separate components, one of which is atype of systemic risk that is highly correlated amongst insureds. Such acorrelated …, which illustrate ourmethodology in several types of insurance markets subject to systemic risk. …

applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance … of taking care of serial correlation. We find that the conventional variances are too conservative to account for the …

We consider a mean-variance general equilibrium economy where the expected returns for controlling and non … is poor, asset return correlation affects ownership structure in a positive way. Higher return correlation lowers the … countries where stock return correlation is higher, and that the magnitude of this effect is larger in countries where investor …

current correlation being the best single predictor of the future stock market correlation (2) positive impact of the market …

degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …

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 …

variable as well as the correlation of the covariates in the active set are allowed to vary over time, without committing to …

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … Pesaran (2015) and demonstrates that the extension to the estimation of dynamic quantile regression models is feasible under … new quantile regression estimator. Monte Carlo studies are carried out to study the small sample behavior of the proposed …