This paper builds a general test of contagion in financial markets based on bivariate correlation analysis - a test that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in the data generating process of rates of return. Using a...

In this paper we propose a new bootstrap, or Monte-Carlo, approach to such problems. Traditional bootstrap methods in this context are based on fitting a process chosen from a wide but relatively conventional range of discrete time series models, including autoregressions, moving averages,...

This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications, the inference methods, and the main areas of application of these models in financial econometrics

This paper proposes a threshold stochastic conditional duration (SCD) model for financial data at the transaction level. In addition to assuming that the innovations of the duration process follow a threshold distribution with positive support, we also assume that the latent first-order...

This paper develops an asymptotic expansion technique in momentum space for stochastic filtering. It is shown that Fourier transformation combined with a polynomial-function approximation of the nonlinear terms gives a closed recursive system of ordinary differential equations (ODEs) for the...

One innovation defined in the new market risk rules by the Fundamental Review of the Trading Book (FRTB) is the Non-Modellable Risk Factor (NMRF) framework. This new concept introduces a methodology to differentiate between modellable and non-modellable risk factors in the Internal Models...

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 proposes an approach to measure the extent of nonlinearity of the exposure of a financial asset to a given risk factor. The proposed measure exploits the decomposition of a conditional expectation into its linear and nonlinear components. We illustrate the method with the measurement...

This paper builds a general test of contagion in financial markets based on bivariate correlation analysis - a test that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in the data generating process of rates of return. Using a...