Over the past few days, alarm bells have been ringing for the risk of recession in the world’s leading economies (Germany, United Kingdom, Italy, Brazil and Mexico). Deceleration is affecting several regions in the world and might even become more widespread, exacerbating investor mistrust and...

We develop a network-based vector autoregressive approach to uncover the interactions amongfinancial assets by integrating multiple realized measures based on high-frequency data. Undera restricted parameter structure, our approach allows the capture of cross-sectional and time ependencies...

This paper introduces a new class of stochastic volatility models which allows for stochastic volatility of volatility (SVV): Volatility modulated non-Gaussian Ornstein-Uhlenbeck (VMOU) processes. Various probabilistic properties of (integrated) VMOU processes are presented. Further we study the...

The family of Generalized Empirical Likelihood (GEL) estimators provide a number of potential advantages relative to Generalized Method of Moments (GMM) estimators. While it is well known these estimators share an asymptotic distribution, the GEL estimators may perform better in finite sample,...

In this paper, we show that conditions derived under the CAPM ensure only weak exogeneity in a linear regression setting. Since strong exogeneity is not guaranteed, the OLS estimator of CAPM beta is only consistent but not necessarily unbiased. We provide empirical evidence that individual daily...

This article introduces the R package ExtremeBounds to perform extreme bounds analysis (EBA), a sensitivity test that examines how robustly the dependent variable of a regression model is related to a variety of possible determinants. ExtremeBounds supports Leamer's EBA that focuses on the upper...

A factor-augmented vector auto-regressive (FAVAR) model is defined by a VAR equation that captures lead-lag correlations among a set of observed variables X and latent factors F, and a calibration equation that relates another set of observed variables Y with F and X. The latter equation is used...

We propose an approach to modeling and estimating discrete choice demand that allows for a large number of zero sale observations, rich unobserved heterogeneity, and endogenous prices. We do so by modeling small market sizes through Poisson arrivals. Each of these arriving consumers then solves...

Recreational services are demanded because they generate benefits. The recreational benefits connected with a destination can be valued based on visitor preferences, which can aid in the formulation of an appropriate Natural Resource Management policy. Environmental and natural resource...

This paper presents a framework to undertake likelihood-based inference in nonlinear dynamic equilibrium economies. We develop a Sequential Monte Carlo algorithm that delivers an estimate of the likelihood function of the model using simulation methods. This likelihood can be used for parameter...