We propose the systemic risk beta as a measure for financial companies' contribution to systemic risk given network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we define the...

We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we...

We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable selection technique in a time series setting in the context of a...

In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter () of a linear quantile lasso regression. The FRM is calculated by taking the average of the penalization parameters over the 100 largest US publicly...

In order to integrate and facilitate the research, calculation and analysis methods around the Financial Risk Meter (FRM) project, the R package RiskAnalytics has been developed. Its main goal is to provide data processing and parallelized quantile lasso regression methods for risk analysis...

With the recent availability of high-frequency nancial data the longrange dependence of volatility regained researchers' interest and has leadto the consideration of long memory models for realized volatility. Thelong range diagnosis of volatility, however, is usually stated for long...

In klassischen Wahlmodellen wird davon ausgegangen, dass sich ein beobachtetes Verhalten durch einen nicht näher spezifizierbaren Evaluationsprozess des beobachteten Individuums ergibt. Ist die Aufdeckung dieses Prozesses von Interesse, stoßen reine Wahlmodelle schnell an ihre methodischen...

This paper shows how to identify the structural shocks of a Vector Autoregression(VAR) while at the same time estimating a dynamic stochastic generalequilibrium (DSGE) model that is not assumed to replicate the data generatingprocess. It proposes a framework to estimate the parameters of the VAR...

Context effects can have a major influence on brand choice behavior after the introduction ofa new product. Based on behavioral literature, several hypotheses about the effects of a newbrand on perception, preferences and choice behavior can be derived, but studies with realchoice data are still...

Context effects can have a major influence on brand choice behavior after the introduction ofa new product. Based on behavioral literature, several hypotheses about the effects of a newbrand on perception, preferences and choice behavior can be derived, but studies with realchoice data are still...