We present a detailed bubble analysis of the Bitcoin to US Dollar price dynamics from January 2012 to February 2018. We introduce a robust automatic peak detection method that classifies price time series into periods of uninterrupted market growth (drawups) and regimes of uninterrupted market...

A persistent increase in the unemployment rate ignites speculations about whether the changes to unemployment are structural or cyclical. The New Zealand economy has been through major restructuring since the mid-1980s. The labour market's institutional changes were the last in the sequence of...

This paper evaluates the data from the recent financial crisis to examine the risk spillover effects of financial markets value at risk (VaR), which captures the extreme behavior of an asset, is considered a measure of risk in an asset or in a market. We hypothesize that an extreme downside...

This paper develops a means of visualising the vulnerability of complex systems of financial interactions resulting from the changing risk tolerance of investors. The investors' risk behavior contributes to the buildup of vulnerability in crisis and in calm periods. We show how both time-varying...

Differentiating between `good' and `bad' spillovers we disentangle sources of potential crisis from the intricately complex web of connections across international equity markets. In particular, we analyze the behaviour of 30 global equity markets and compute multiple spillover measures, which...

A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...

Creditors, banks and bank regulators should evaluate whether a borrower is likely to default. I apply several techniques in the extensive mathematical literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on both the asset...

A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...

This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...

Banks should evaluate whether a borrower is likely to default. The author applies several techniques in the extensive mathematical literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on both the asset and liabilities...