The article is devoted to the estimation of volatility spillovers occurred on the oil and gas market taking into account cross-sectional dependence. The latter is implemented via spatial specifications of the BEKK multivariate volatility model. We also use DCC, GO-GARCH and ADCC models as a...

We introduce a new asset pricing model to account for risk asymmetrically in a very natural way. Assuming asymmetric investor behavior we develop a utility function similar to a quadratic utility but include a colog measure for capturing risk attitude. Asymmetry in investor preferences follows...

This paper presents a method and computational technology for forecasting ambulance trips. We used statistical information about the number of the trips in 2009-2013, the meteorological archive, and the corresponding archive of the meteorological forecasts for the same period. We take into...

The article proposes a methodology for using macro-level stress testing based on the results of business tendency surveys to study possible scenarios for the development of crisis dynamics triggered by external unforeseen supply and demand shocks, as in the case of the COVID-19 pandemic, as well...

This article suggests and compares the properties of some nonlinear Markov-switching filters. Two of them are sigma point filters: the Markov switching central difference Kalman filter (MSCDKF) and MSCDKFA. Two of them are Gaussian assumed filters: Markov switching quadratic Kalman filter...

We study financial returns on alternative collectible investment assets – toys - using LEGO sets as an example. Such iconic toys with diminishing over time supply and high collectable values appear to yield high returns on the secondary market. We find that LEGO investments outperform large...

I look at the cryptocurrency market through the prism of standard multifactor asset-pricing models with particular attention to the downside market risk. The analysis for 1,700 coins reveals that there is a significant heterogeneity in the exposure to the downside market risk, and that a higher...

I provide a novel risk-based explanation for the profitability of momentum strategies. I show that the past winners and the past losers are differently exposed to the upside and downside market risks. Winners systematically have higher relative downside market betas and lower relative upside...