Recent years have seen a growing literature on the environmental Kuznets curve (EKC) that resorts in a large part to cointegration techniques. The EKC literature has failed to acknowledge that such regressions involve unit root nonstationary regressors and their integer powers (e.g. GDP and GDP...

This paper presents an analytical and empirical analysis of a parsimonious model framework that accounts for a dependence of bond and bank loan recoveries on systematic risk. We extend the single risk factor model by assuming that the recovery rates also depend on this risk factor and follow a...

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical significance in the data on the single asset level. By...

"Arbitrage CDOs" have recorded an explosive growth during the years before the outbreak of the financial crisis. In the present paper we discuss potential sources of such arbitrage opportunities, in particular arbitrage gains due to mispricing. For this purpose we examine the risk profiles of...

We investigate the determinants of bilateral international equity and bond portfolio reallocation across a large cross section of countries over the 1997 to 2001 period. We first argue that financial integration is not a global phenomenon, as equity and bond home biases declined significantly...

Are natural resources a 'curse' or a 'blessing'? The empirical evidence suggests either outcome is possible. The paper surveys a variety of hypotheses and supporting evidence for why some countries benefit and others lose from the presence of natural resources. These include that a resource...

There is increasing demand for models of time-varying and non-Gaussian dependencies for mul- tivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical...

This paper considers alternative approaches to the analysis of large panel data models in the presence of error cross section dependence. A popular method for modelling such dependence uses a factor error structure. Such models raise new problems for estimation and inference. This paper compares...

Today, reducing CO2 emissions is a global target which nearly all countries in the worldprioritize. Some countries have ratified up to 30 multilateral environmental agreementsregarding the atmosphere up to 2006. This number has been surging since 1989 after theratification of the Montreal...

This paper introduces a new model of structural breaks which assumes that structural breaks are driven by large economic shocks. The model specifies that both the timing and size of breaks are stochastic and it can be used to investigate the impact of large economic shocks on the stability of...