We study the links between financial uncertainty, economic activity, and both conventional and unconventional monetary policies. To disentangle the effects of conventional policies from unconventional ones, we introduce a new identification method that exploits non-Gaussian characteristics of...

We introduce a method to estimate simultaneously the tail and the threshold parameters of an extreme value regression model. This standard model finds its use in finance to assess the effect of market variables on extreme loss distributions of investment vehicles such as hedge funds. However, a...

For numerous applications it is of interest to provide full probabilistic forecasts, which are able to assign probabilities to each predicted outcome. Therefore, attention is shifting constantly from conditional mean models to probabilistic distributional models capturing location, scale, shape...

We study the link between the volatility of exchange rates and interest rate differentials (IRD), motivated by the importance of currency carry trade activities in exchange rate dynamics. We examine this link by means of an extended stochastic volatility model, for which we detail an efficient...

We propose a dynamic measure of extremal connectedness across investment styles of hedge funds. Using multivariate extreme value regression techniques, we estimate this measure conditional on factors reflecting the economic uncertainty and the state of the financial markets, and derive several...

In this paper, we propose an unified econometric strategy to revisit the predictive contentof interest rates for exchange rate returns. The novelty of our approach is to take into account dependencies of higher orders by allowing for a time-varying asymmetry componentin the distribution of...

We introduce a smooth transition Generalized Pareto (GP) regression model to study the link between extreme losses and the economic context. The advantage of our approach consists in specifying a time-varying dependence structure between financial factors and the severity distribution of the...