relations. In contrast, resorting only to commonly used sign restrictions bears a higher risk of failing to recover these …

We analyze spectral risk measures with respect to comparative risk aversion following Arrow (1965) and Pratt (1964) on … widely-applied spectral Arrow-Pratt-measure is not a consistent measure of Arrow-Pratt-risk aversion. A decision maker with a … decision maker with a smaller spectral Arrow-Pratt-measure. We further show how a proper measure of Arrow-Pratt-risk aversion …

riskiness to continuous random variables. For many continuous random variables, the risk measure is equal to the worst-case risk … measure, i.e. the maximal possible loss incurred by that gamble. We also extend the Foster-Hart risk measure to dynamic …

of unexpected uncertainty increase, plants reduce their employment size in order to decrease the default risk that arises …

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the … conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a … foreign volatility innovation on a conditional variance is even more persistent than an own innovation unless this effect is …

In the academic literature, the economic interpretation of stock market volatility is inherently ambivalent, being … volatility-dependent cross-market spillovers. If higher volatility in one market leads to higher (lower) reactions in another … market, volatility reflects information (uncertainty). We introduce a simultaneous time-varying coefficient model, where …

, macroeconomic imbalance, economic growth, economic integration, financial risk, volatility and trade effects. The main aims of this … Volatility Spillover In Time Of Crisis: Evidence From A Smooth Transition Regression Application -- 5. Bank Lending … the Literature -- 12. How Accurate Are Risk Models During COVID-19 Pandemic Period? -- 13. What Does Matter The Climate …