We use a factor model and elastic net shrinkage to model a high-dimensional network of European CDS spreads. Our empirical approach allows us to assess the joint transmission of bank and sovereign risk to the non-financial corporate sector. Our findings identify a sectoral clustering in the CDS...

This paper revisits the credit spread puzzle for banks from the perspective of information contagion. The puzzle consists of two stylized facts: Structural determinants of credit risk not only have low explanatory power but also fail to capture common factors in the residuals. We reproduce the...

This paper revisits the credit spread puzzle for banks from the perspective of information contagion. The puzzle consists of two stylized facts: Structural determinants of credit risk not only have low explanatory power but also fail to capture common factors in the residuals. We reproduce the...

This paper revisits the credit spread puzzle in bank CDS spreads from the perspective of information contagion. The puzzle, first detected in corporate bonds, consists of two stylized facts: Structural determinants of credit risk not only have low explanatory power but also fail to capture...

This paper focuses on the relationship between sovereign credit default swaps (SCDS) referencing a group of selected developed and emerging economies during the recent sovereign debt crisis. Interdependence and contagion are found on the market dominated by a small number of big international...

This article evaluates a large collection of systemic risk measures based on their ability to predict macroeconomic downturns. We evaluate 19 measures of systemic risk in the US and Europe spanning several decades. We propose dimension reduction estimators for constructing systemic risk indexes...

This paper investigates the behaviour of volatilities and correlations in the U.S. stock market before, during and after the Global Financial Crisis of 2007-08. We study their nature using the DJIA index and its components for the period 21/11/2005-23/9/2012 by plotting the trajectories and...

In this paper, I have investigated the out of sample forecast performance for a case study on the determination of the nominal exchange rate for USD vis-à-vis IN¬R under VEC, VAR (in first difference) and Bayesian VAR specification with the help of set of economic theories. The forecast...

We examine the long-term relationship between signals derived from nine years of unstructured social media microblog text data and financial market developments in five major economic regions. Employing statistical language modeling techniques we construct directional sentiment metrics and link...

Nonlinear classification models can predict future earnings surprises with a high accuracy by using pricing and earnings input data. Surprises of 15% or more can be predicted with 71% accuracy. These predictions can be used to form profitable trading strategies. Additional variables have been...