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We propose a heterogeneous autoregressive (HAR) model with time-varying parameters in the form of a local linear random forest. In contrast to conventional random forests that approximate the volatility nonparametrically using local averaging, the building blocks of our forest are HAR panel...
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Balance-sheet indicators may reflect, to a great extent, bank fragility. This inherent relationship is the object of theoretical models testing for balance-sheet vulnerabilities. In this sense, we aim to analyze whether systemic risk for a sample of US banks can be explained by a series of...
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life of these relatively new financial assets, the COVID-19 pandemic. Uncertainty was evaluated using Shannon’s symbolic …, the analyzed cryptocurrencies’ returns exhibited similar patterns of uncertainty and risk. Levels of uncertainty were … close to the maximum values, but high uncertainty is not always associated with high risk. During the pandemic crisis …
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Model risk is investigated from a commercial banking viewpoint. We firstly analyze model misspecification. Then, the focus shifts towards model sensitivity. Finally, interactions among various models are scrutinized. Our overarching goal is to derive a distribution of indicators for summarizing...
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This study examined how uncertainty and global risk affect financial markets in emerging economies, focusing on foreign … structural vector autoregression (VAR) models, the research found that increases in Economic Policy Uncertainty (EPU … spreads influence exchange rates, causing currency depreciation. The findings highlight the interconnectedness of uncertainty …
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