This Paper characterizes the term structure of risk measures such as Value at Risk (VaR) and expected shortfall under different econometric approaches including multivariate regime switching, GARCH-in-mean models with student-t errors, two-component GARCH models and a non-parametric bootstrap....

Since the mid-1990s, the national income and product accounts personal saving rate for the United States has been trending down, dropping into negative territory for three months during the past two years. This paper examines measurement problems surrounding two of the standard definitions of...

Abbigail J. Chiodo, Massimo Guidolin, Michael T. Owyang, and Makoto Shimoji Real-life decisionmakers are often forced to estimate the likelihood of uncertain future events. Usually, economists assume that these agents behave in a fully rational manner, employing statistical rules to assess...

A growing body of empirical evidence suggests that investors’ behavior is not well described by the traditional paradigm of (subjective) expected utility maximization under rational expectations. A literature has arisen that models agents whose choices are consistent with models that are less...

We use a simple partial adjustment econometric framework to investigate the effects of the crisis on the dynamic properties of a number of yield spreads. We find that the crisis has caused substantial disruptions revealed by changes in the persistence of the shocks to spreads as much as by in...

This article studies the effects of conflict onset on asset markets applying the event study methodology. The authors consider a sample of 101 internal and inter-state conflicts during the period 1974-2004 and find that a sizeable fraction of them has had a significant impact on stock market...

Intro; Title page; Table of Contents; Copyright; List of Figures; List of Tables; Preface; Chapter 1. Linear Regression Model; Abstract; 1.1 Inference in Linear Regression Models; 1.2 Testing for Violations of the Linear Regression Framework; 1.3 Specifying the Regressors; 1.4 Issues With...