The increasingly intertwined banking and insurance sectors have lead to calls for stronger regulatory oversight of the insurance industry as potentially systemically risky. Ultimately systemic risk impacts the real economy, and this paper measures the risk via interconnectedness of the banking,...

We propose two classes of semi-parametric estimators for the tail index of a regular varying elliptical random vector. The first one is based on the distance between a tail probability contour and the observations outside this contour. We denote it as the class of separating estimators. The...

Economic and financial crises are characterized by tail events. When they occur, tail correlations emerge, which have linear and non-linear origins. The former are due to the Pearson correlations, while the strength of the latter depends on the heavyness of the tails. We introduce TailCoR, a new...

The asymptotic efficiency of indirect estimation methods, such as Indirect Inference and the Efficient Method of Moments, depends on the choice of the auxiliary model, which is some- how ad hoc and based on an educated guess. We introduce a consistent simulation based Akaike-type class of...

We introduce an inference method based on quantiles matching, which is useful for situations where the density function does not have a closed form - but it is simple to simulate - and/or moments do not exist. Functions of theoretical quantiles, which depend on the parameters of the assumed...

This paper seeks to shed some light on the extent to which infrastructure sub-sectors - energy, telecommunications, water supply, sanitation, and transport - contributed to growth in East Asia during 1985-2004. It also attempts to provide additional insights on whether the relationship between...

We model the conditional distribution of high frequency financial returns by means of a two-component quantile regression model. Using three years of 30-minute returns, we show that the conditional distribution depends on past returns and on the time of the day. Two practical applications...

We study market liquidity via daily close relative spreads and daily traded volumes in a sample of 426 Samp;P500 constituents recorded over the years 2004-2006, a period of quot;normalquot; liquidity conditions. We use recent results on the Generalized Dynamic Factor Model (GDFM) with block...

We estimate the monthly volatility of the US economy from 1959 to 2008 by extending the factor model of Stock and Watson (1991). The volatility of the factor, which we call VOLINX, has three applications.First, it measures the changes in uncertainty in the economy. VOLINX captures the decrease...