We analyse spillovers between the real and financial sides of the US economy allowing for differences in sampling frequency between financial and macroeconomic data. We show that financial markets are typically net transmitters of shocks to the real side of the economy, particularly during...

We define and construct 'integration' for a large sample of 2287 US banks-measured by their level of exposure to common factors-during the period 1993-2019. Integration among US banks shows a steady increase and displays significantly high peaks during episodes of market distress such as the...

We define and measure integration among a sample of 357 US banks over 25 years from 1993 to 2017 and show that the median US bank's integration has increased significantly post-2005. During the great recession and the Eurozone crisis, integration levels among US banks display a significant rise...

This paper explores integration and contagion among US metropolitan housing markets. The analysis applies Federal Housing Finance Agency (FHFA) house price repeat sales indexes from 384 metropolitan areas to estimate a multi-factor model of U.S. housing market integration. It then identifies...

Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from twelve European bourses, this paper presents VaR measures based on their unconditional and conditional distributions for single and multi-period settings. These measures...

Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk-aversion. This paper examines spectral risk measures based on an exponential utility function, and finds that these risk measures have nice intuitive properties....

This paper presents non-parametric estimates of spectral risk measures applied to long and short positions in 5 prominent equity futures contracts. It also compares these to estimates of two popular alternative measures, the Value-at-Risk (VaR) and Expected Shortfall (ES). The spectral risk...

This letter uses the Block Maxima Extreme Value approach to quantify catastrophic risk in international equity markets. Risk measures are generated from a set threshold of the distribution of returns that avoids the pitfall of using absolute returns for markets exhibiting diverging levels of...

This paper examines volatility in REITs using a multivariate GARCH based model. The Multivariate VARGARCH technique documents the return and volatility linkages between REIT sub-sectors and also examines the influence of other US equity series. The motivation is for investors to incorporate...

Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper for alternative risk measures, observed absolute and squared returns for high frequency intraday...