Trading decisions are based on market conditions with changing volatility levels. Periods with low volatility induce positively autocorrelated returns and autocorrelations turn negative during periods of high volatility. The Brexit referendum serves as a suitable event in order to depict...

Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisispolicy-frameworks of financial-sectors around the world. MaPSTs can offer quantitative,forward-looking assessments of the resilience of financial systems as a whole, to particularlyadverse shocks. Therefore,...

This paper examines the propagation of volatility and liquidity shocks across major sovereign bond markets during the euro area sovereign debt crisis. Spillovers are measured via a forecast error variance decomposition of a vector autoregressive model, which captures jointly the dynamics of...

Statistical inferences for weights of the global minimum variance portfolio (GMVP) are of both theoretical and practical relevance for mean-variance portfolio selection. Daily realized GMVP weights depend only on realized covariance matrix computed from intraday highfrequency returns. In this...

This study examines volatility spillover dynamics among the S&P 500 index, the US 10-year Treasury yield, the US dollar index futures and the commodity price index. The focus of the study is to analyze effects of Fed's unconventional monetary policy on the US financial markets. We use realized...

We provide a methodology to estimate a global credit risk factor from CDS spreads that can be very useful for risk management. The global risk factor (GRF) reproduces quite well the different episodes that have affected the market over the sample period. It has high correlation with standard...

We consider a nonparametric time series regression model. Our framework allows precise estimation of betas without the usual assumption of betas being piecewise constant. This property makes our framework particularly suitable to study individual stocks. We provide an inference framework for all...

We employ averaging over statistical ensemble of assets to derive an index characterizing the level of correlations in a financial market – the eCORR index. This index does not require lengthy historical data and reacts immediately to any changes in correlations. Study of statistical...

One of main consequences of the Global Financial Crisis is stricter banking regulation. In fact, the black and white of the regulators' output misleads people to believe that there will be no more bailouts in the future. But history teaches us that this statement should not be taken too...

We propose a number of volatility measures that are based on ensemble averaging instead of time averaging. These measures allow fast measurement of current volatility without relying on series of past data (realized volatility) of future expectations (implied volatility). The introduced...