We propose an instrumental variable quantile regression (IVQR) estimator for spatial autoregressive (SAR) models. Like the GMM estimators of Lin and Lee (2006) and Kelejian and Prucha (2006), the IVQR estimator is robust against heteroscedasticity. Unlike the GMM estimators, the IVQR estimator...

This paper investigates the nonlinear risk transmission from the oil and natural gas markets to the foreign exchange markets of five energy importers and one major energy exporter. We separate conditional volatility into the transitory (short-term) and permanent (long-term) parts, and then these...

In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter () of a linear quantile lasso regression. The FRM is calculated by taking the average of the penalization parameters over the 100 largest US publicly...

In order to integrate and facilitate the research, calculation and analysis methods around the Financial Risk Meter (FRM) project, the R package RiskAnalytics has been developed. Its main goal is to provide data processing and parallelized quantile lasso regression methods for risk analysis...

We propose an instrumental variable quantile regression (IVQR) estimator for spatial autoregressive (SAR) models. Like the GMM estimators of Lin and Lee (2006) and Kelejian and Prucha (2006), the IVQR estimator is robust against heteroscedasticity. Unlike the GMM estimators, the IVQR estimator...

This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...

This paper examines the idiosyncratic volatility (IV) puzzle in the Indian stock market for the period 1999-2014. Univariate and bivariate sorting, as well as cross-section regressions, suggest a positive relation between idiosyncratic volatility and future stock returns. However, this relation...

This paper examines the idiosyncratic volatility (IV) puzzle in the Indian stock market for the period 1999–2014. Univariate and bivariate sorting, as well as cross-section regressions, suggest a positive relation between idiosyncratic volatility and future stock returns. However, this...

In this paper, we investigate what has been leading investors to ask for higher yields on sovereign debt from certain Euro countries. We dismiss Granger Causality as a basis to define speculation. Instead, we assume that speculative behavior would only exist if market assessments were unrelated...

The paper investigates whether the financial crisis did affect risk perceptions, and, hence, change structural parameters. By decomposing credit spreads of US corporate bonds into the contributions by credit, equity, and liquidity risk factors as well as structural change, the relative...