This paper assesses the relationship between the macroeconomic system and the banking sector by estimating two separate non-linear Vector Autoregressive models (VAR) for the US and Switzerland. The model specification includes the output gap, the interest rate, the in ation rate and a banking...

In this paper we develop a general framework to analyze state space models with timevarying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...

This paper studies the joint dynamics of U.S. inflation and a term structure of average inflation predictions taken from the Survey of Professional Forecasters (SPF). We estimate these joint dynamics by combining an unobserved components (UC) model of inflation and a sticky‐information...

We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....

This paper has been accepted for publication in the 'Review of Economics and Statistics'.We propose a dynamic factor model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range of families of parametric distributions, may be...

This article studies the risk forecasting properties of three realized volatility models for three Chinese individual stocks, and reveals the important role that jumps can play in risk prediction. I firstly investigate dynamic pattern of jumps in three Chinese stocks, and find that relative to...

We consider the basic problem of refi tting a time series over a finite period of time and formulate it as a stochastic dynamic program. By changing the underlying Markov decision process we are able to obtain a model that at optimality considers historical data as well as forecasts of future...

A new framework for the joint estimation and forecasting of dynamic Value-at-Risk (VaR) and Expected Shortfall (ES) is proposed by incorporating intraday information into a generalized autoregressive score (GAS) model, introduced by Patton, Ziegel, and Chen (2019) to estimate risk measures in a...

Beyond their importance from the regulatory policy point of view, Value-at-Risk (VaR) and Expected Shortfall (ES) play an important role in risk management, portfolio allocation, capital level requirements, trading systems, and hedging strategies. Unfortunately, due to the curse of...

This paper proposes a robust framework for disentangling undiversifiable common jumps within the realized covariance matrix. Simultaneous jumps detected in our empirical study are strongly related to major financial and economic news, and their occurrence raises correlation and persistence among...