We propose a parsimonious semiparametric method for macroeconomic forecasting during episodes of sudden changes. Based …

the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks … models for forecasting financial market meltdowns. Then we set forth a framework capable of forecasting both extreme events … over prevailing models for evaluating stock market risk exposure during distressed market periods. -- ARMA-GARCH model ; α …

We operationalize the definition of systemic risk provided by the IMF, BIS, and FSB and derive testable hypotheses to … identify indicators of systemic risk. We map these hypotheses into a two-stage hierarchical testing framework, combining … insights from the early-warning literature on financial crises with recent advances on growth-at-risk. Applying this framework …