We analyse the behaviour of a non-linear model of coupled stock and bond prices exhibiting periodically collapsing bubbles. By using the formalism of dynamical system theory, we explain what drives the bubbles and how foreshocks or aftershocks are generated. A dynamical phase space...

The evaluation of scientific research is crucial for both the academic community and society as a whole. Numerous bibliometric indices have been proposed for the ranking of research performance, mainly on an ad hoc basis. We now introduce the novel class of Scientific Research Measures (SRMs) to...

Since 2009, stock markets have resided in a long bull market regime. Passive investment strategies have succeeded during this low-volatility growth period. From 2018 on, however, there was a transition into a more volatile market environment interspersed by corrections increasing in amplitude...

We develop a methodology to measure the capital shortfall of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the banks' market-sensitive assets. We...

The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk is along the lines of the approach taken in [BRSW04], [Ro08], [BMK09], [BP10], and [LV19]. In particular, we believe that quantifying market risk by strictly relying on...

Using a novel and comprehensive dataset, we provide the first systematic study of liquidity in the foreign exchange (FX) market. Contrary to common perceptions, we find significant variation in liquidity across exchange rates, substantial costs due to FX illiquidity, and strong commonality in...

Using data for six metropolitan housing markets in three countries, this paper provides a comparison of methods used to measure house price bubbles. We use an asset pricing approach to identify bubble periods retrospectively and then compare those results with results produced by six other...

We develop a novel approach to jointly examine skill, scale, and value added across individual funds. We find that the value added is (i) positive for the vast majority of funds, and (ii) close to its optimal level after an adjustment period possibly due to investors' learning. We also show that...

Abreu and Brunnermeier (2003) have argued that bubbles are not suppressed by arbitrageurs because they fail to synchronise on the uncertain beginning of the bubble. We propose an indirect quantitative test of this hypothesis and confront it with the alternative according to which bubbles persist...