Forecast combinations, also known as ensemble models, routinely require practitioners to select a model from a massive number of potential candidates. Ten explanatory variables can be grouped into 21078 forecast combinations, and the number of possibilities increases further to 21078+21078 if we...

The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...

This survey reviews the large and growing literature on the use of pair-copula constructions (PCCs) in financial applications. Using a PCC, multivariate data that exhibit complex patterns of dependence can be modeled using bivariate copulae as simple building blocks. Hence, this model represents...

The paper describes the influx of mathematical statistics in economics. It focuses on an approach to macroeconometric modelling which is based on fundamental statistical concepts like the joint distribution function of all observable variables for the whole sample period. The methodology relies...

This paper outlines a strategic plan for the development of the fourth generation of Bank of Canada projection and policy analysis models. The plan features a new Canadian workhorse macroeconomic model as well as a suite of alternative models to better support a risk management approach to...

The credit business is an essential part of each banks' activities. With regard to the increasing regulatory obligations, the risk management and the associated minimum capital requirements gain in importance. Banks have got the possibility to determine their credit risk by an internal rating...

This paper analyzes the market impact of limit order books (LOB) taking crossstock effects into account. Based on penalized vector autoregressive approach, we aim to identify significance and magnitude of the directed network channels within and between LOBs by bootstrapped impulse response...

This paper provides statistical learning techniques for determining the full own-price market impact and the relevance and effect of cross-price and cross-asset spillover channels from intraday transactions data. The novel tools allow extracting comprehensive information contained in the limit...

The paper lists salient characteristics of the certainty theory of consumer choice and discusses the import of prominent empirical analyses of the theory. All of them reject the theory's empirical relevance which suggests that the theory is unfit to analyze consumer choice in an uncertain world....