| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Cross-Sectional Performance Measure for Portfolio Management |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
| A Cross-Sectional Performance Measure for Portfolio Management |
0 |
0 |
0 |
22 |
0 |
0 |
1 |
59 |
| A Cross-Sectional Performance Measure for Portfolio Management |
0 |
0 |
1 |
43 |
0 |
0 |
1 |
134 |
| A Cross-Sectional Score for the Relative Performance of an Allocation |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
46 |
| A Cross-Sectional Score for the Relative Performance of an Allocation |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
8 |
| A Cross-Sectional Score for the Relative Performance of an Allocation |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
| A New Modelling Test: The Univariate MT-STAR Model |
0 |
0 |
0 |
21 |
0 |
0 |
3 |
113 |
| A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
| A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios |
0 |
0 |
0 |
26 |
0 |
2 |
4 |
99 |
| A Rank-based Approach to Cross-Sectional Analysis |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
69 |
| A Rank-based Approach to Cross-Sectional Analysis |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
11 |
| A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation |
0 |
0 |
1 |
211 |
0 |
2 |
5 |
587 |
| A meta-measure of performance related to both investors and investments characteristics |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
6 |
| A meta-measure of performance related to both investors and investments characteristics |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
34 |
| A performance measure of Zero-dollar Long/Short equally weighted portfolios |
1 |
1 |
1 |
61 |
1 |
1 |
2 |
289 |
| A test for a new modelling: The Univariate MT-STAR Model |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
14 |
| A test for a new modelling: The Univariate MT-STAR Model |
0 |
0 |
1 |
68 |
0 |
0 |
2 |
211 |
| A test for a new modelling: The Univariate MT-STAR Model |
0 |
0 |
0 |
44 |
0 |
0 |
2 |
190 |
| A turning point chronology for the Euro-zone |
0 |
0 |
0 |
137 |
0 |
0 |
6 |
353 |
| Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
16 |
| Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach |
0 |
0 |
0 |
103 |
0 |
0 |
1 |
331 |
| Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach |
0 |
0 |
0 |
35 |
1 |
1 |
1 |
95 |
| An entropy-based early warning indicator for systemic risk |
0 |
0 |
1 |
86 |
2 |
3 |
6 |
227 |
| Backward/forward optimal combination of performance measures for equity screening |
0 |
0 |
0 |
30 |
0 |
0 |
1 |
153 |
| Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index |
0 |
0 |
0 |
45 |
0 |
0 |
0 |
149 |
| Bayesian Dynamic Tensor Regression |
0 |
1 |
1 |
90 |
1 |
4 |
6 |
216 |
| Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis |
0 |
0 |
1 |
126 |
0 |
0 |
2 |
242 |
| Bayesian Graphical Models for Structural Vector Autoregressive Processes |
0 |
0 |
1 |
159 |
0 |
0 |
2 |
428 |
| Bayesian Inference on Dynamic Models with Latent Factors |
0 |
0 |
0 |
123 |
0 |
0 |
0 |
322 |
| Bayesian Markov Switching Tensor Regression for Time-varying Networks |
0 |
0 |
2 |
60 |
0 |
0 |
5 |
98 |
| Bayesian Outlier Detection for Matrix-variate Models |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Bayesian nonparametric sparse VAR models |
0 |
0 |
0 |
37 |
0 |
0 |
1 |
100 |
| Bayesian nonparametric sparse seemingly unrelated regression model (SUR) |
0 |
0 |
2 |
46 |
0 |
0 |
6 |
167 |
| Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case |
0 |
0 |
1 |
38 |
0 |
1 |
3 |
114 |
| Buildings' energy efficiency and the probability of mortgage default: The Dutch case |
0 |
0 |
0 |
49 |
0 |
1 |
1 |
43 |
| Business Cycle Analysis with Multivariate Markov Switching Models |
0 |
0 |
1 |
476 |
1 |
2 |
10 |
1,050 |
| CDS Industrial Sector Indices, credit and liquidity risk |
0 |
0 |
0 |
66 |
0 |
1 |
1 |
224 |
| COVID-19 spreading in financial networks: A semiparametric matrix regression model |
0 |
0 |
0 |
18 |
0 |
1 |
1 |
45 |
| COVID-19 spreading in financial networks: A semiparametric matrix regression model |
0 |
0 |
0 |
78 |
0 |
1 |
1 |
150 |
| Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone |
0 |
0 |
0 |
55 |
0 |
0 |
0 |
10 |
| Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone |
0 |
0 |
0 |
27 |
0 |
0 |
0 |
41 |
| Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone |
0 |
0 |
0 |
28 |
0 |
0 |
0 |
77 |
| Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone |
0 |
0 |
0 |
28 |
0 |
0 |
0 |
39 |
| Combination Schemes for Turning Point Predictions |
0 |
0 |
0 |
67 |
0 |
0 |
0 |
146 |
| Combination schemes for turning point predictions |
0 |
0 |
0 |
19 |
0 |
0 |
2 |
130 |
| Combination schemes for turning point predictions |
0 |
0 |
1 |
58 |
0 |
1 |
2 |
117 |
| Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data |
0 |
0 |
0 |
41 |
1 |
1 |
1 |
88 |
| Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data |
0 |
0 |
0 |
16 |
0 |
1 |
1 |
69 |
| Combining predictive densities using Bayesian filtering with applications to US economic data |
0 |
0 |
0 |
55 |
0 |
0 |
0 |
167 |
| Combining predictive densities using Bayesian filtering with applications to US economics data |
0 |
0 |
0 |
67 |
0 |
0 |
0 |
113 |
| Credit scoring in SME asset-backed securities: An Italian case study |
0 |
0 |
0 |
35 |
0 |
0 |
4 |
56 |
| Creditworthiness and buildings' energy efficiency in the Italian mortgage market |
0 |
0 |
1 |
11 |
2 |
3 |
12 |
33 |
| Crises and Hedge Fund Risk |
0 |
0 |
0 |
2 |
0 |
1 |
4 |
11 |
| Crisis and Hedge Fund Risk |
0 |
0 |
0 |
459 |
0 |
0 |
0 |
1,127 |
| Cross-Sectional Analysis through Rank-based Dynamic |
0 |
0 |
0 |
42 |
0 |
0 |
1 |
187 |
| Cross-Sectional Analysis through Rank-based Dynamic Portfolios |
0 |
0 |
0 |
18 |
0 |
0 |
1 |
85 |
| Cross-Sectional Analysis through Rank-based Dynamic Portfolios |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
11 |
| Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI |
0 |
0 |
1 |
83 |
0 |
0 |
1 |
415 |
| Dynamic Risk Exposure in Hedge Funds |
0 |
0 |
0 |
290 |
0 |
0 |
0 |
900 |
| Dynamical Interaction Between Financial and Business Cycles |
0 |
0 |
1 |
77 |
0 |
1 |
6 |
143 |
| Dynamical Interaction between Financial and Business Cycles |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
36 |
| Dynamical Interaction between Financial and Business Cycles |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
17 |
| Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors |
0 |
2 |
2 |
379 |
2 |
4 |
17 |
927 |
| Econometric Measures of Systemic Risk in the Finance and Insurance Sectors |
0 |
1 |
4 |
386 |
0 |
1 |
8 |
1,064 |
| Efficient Gibbs Sampling for Markov Switching GARCH Models |
0 |
0 |
1 |
108 |
0 |
1 |
4 |
331 |
| Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro |
0 |
0 |
0 |
113 |
0 |
1 |
2 |
244 |
| Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
| Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area |
0 |
0 |
0 |
68 |
0 |
0 |
0 |
120 |
| Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
47 |
| Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
| Functional Indirect Inference |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
54 |
| Global realignment in financial market dynamics: Evidence from ETF networks |
0 |
0 |
1 |
54 |
1 |
2 |
10 |
89 |
| Granger-causality in Markov Switching Models |
0 |
1 |
2 |
152 |
0 |
2 |
3 |
439 |
| Growth-cycle phases in China�s provinces: A panel Markov-switching approach |
0 |
0 |
2 |
97 |
0 |
1 |
6 |
215 |
| Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix |
0 |
0 |
4 |
69 |
0 |
0 |
5 |
145 |
| High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization |
0 |
0 |
0 |
13 |
0 |
1 |
1 |
5 |
| High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
7 |
| Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods |
0 |
0 |
0 |
114 |
0 |
0 |
0 |
374 |
| Inside the ESG Ratings: (Dis)agreement and performance |
0 |
1 |
5 |
228 |
1 |
3 |
22 |
838 |
| Inside the ESG ratings: (Dis)agreement and performance |
0 |
0 |
2 |
70 |
0 |
2 |
13 |
225 |
| Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model |
0 |
1 |
1 |
28 |
0 |
2 |
3 |
110 |
| Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model |
0 |
0 |
0 |
62 |
0 |
0 |
0 |
194 |
| Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model |
0 |
0 |
0 |
47 |
1 |
2 |
2 |
172 |
| Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model |
0 |
0 |
0 |
69 |
0 |
1 |
5 |
202 |
| Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode |
0 |
0 |
1 |
96 |
0 |
1 |
3 |
122 |
| Learning from experts: Energy efficiency in residential buildings |
0 |
0 |
2 |
24 |
0 |
9 |
13 |
23 |
| Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion |
0 |
0 |
0 |
140 |
0 |
0 |
0 |
406 |
| Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets |
1 |
1 |
1 |
91 |
1 |
1 |
3 |
221 |
| Markov Switching Panel with Endogenous Synchronization Effects |
0 |
0 |
3 |
93 |
0 |
0 |
13 |
207 |
| Markov Switching Panel with Network Interaction Effects |
0 |
0 |
0 |
72 |
0 |
0 |
2 |
185 |
| Measuring Financial Integration: Lessons from the Correlation |
0 |
1 |
1 |
61 |
0 |
1 |
2 |
184 |
| Modeling Systemic Risk with Markov Switching Graphical SUR Models |
0 |
1 |
3 |
145 |
0 |
1 |
9 |
229 |
| Modeling Turning Points In Global Equity Market |
0 |
0 |
0 |
39 |
0 |
1 |
3 |
43 |
| Multivariate Reflection Symmetry of Copula Functions |
0 |
0 |
0 |
1 |
0 |
1 |
1 |
19 |
| Multivariate Reflection Symmetry of Copula Functions |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
11 |
| Multivariate Reflection Symmetry of Copula Functions |
0 |
0 |
0 |
6 |
0 |
0 |
1 |
54 |
| Networks in risk spillovers: A multivariate GARCH perspective |
0 |
0 |
1 |
45 |
0 |
1 |
3 |
66 |
| Networks in risk spillovers: A multivariate GARCH perspective |
0 |
0 |
0 |
41 |
0 |
0 |
0 |
117 |
| Networks in risk spillovers: a multivariate GARCH perspective |
0 |
0 |
0 |
109 |
0 |
0 |
1 |
298 |
| Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data |
0 |
0 |
1 |
171 |
0 |
1 |
2 |
366 |
| Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis |
0 |
0 |
0 |
25 |
0 |
0 |
0 |
14 |
| Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis |
0 |
0 |
1 |
100 |
0 |
0 |
5 |
258 |
| Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis |
0 |
0 |
0 |
47 |
0 |
1 |
1 |
83 |
| Nonlinear Dynamics and Wavelets for Business Cycle Analysis |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
11 |
| Nonlinear Dynamics and Wavelets for Business Cycle Analysis |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
| Nonlinear Dynamics and Wavelets for Business Cycle Analysis |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
20 |
| Nonlinear dynamics and recurrence plots for detecting financial crisis |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
35 |
| Nonlinear dynamics and recurrence plots for detecting financial crisis |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
| Nonlinear dynamics and recurrence plots for detecting financial crisis |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
| Phase-Locking and Switching Volatility in Hedge Funds |
0 |
0 |
0 |
156 |
1 |
2 |
7 |
672 |
| Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure |
0 |
0 |
0 |
90 |
1 |
1 |
4 |
279 |
| Portfolio Symmetry and Momentum |
0 |
0 |
0 |
2 |
0 |
1 |
1 |
15 |
| Portfolio Symmetry and Momentum |
0 |
0 |
0 |
34 |
0 |
1 |
1 |
176 |
| Portfolio Symmetry and Momentum |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
| Portfolio Symmetry and Momentum |
0 |
0 |
0 |
25 |
0 |
0 |
0 |
111 |
| Portfolio Symmetry and Momentum |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
| Portfolio Symmetry and Momentum |
0 |
0 |
0 |
13 |
0 |
0 |
0 |
58 |
| Portfolio Symmetry and Momentum |
0 |
0 |
0 |
14 |
0 |
7 |
9 |
141 |
| Responsible Investing under Climate Change Uncertainty |
2 |
7 |
31 |
31 |
3 |
10 |
33 |
33 |
| Sparse Graphical Vector Autoregression: A Bayesian Approach |
0 |
0 |
0 |
78 |
0 |
0 |
0 |
192 |
| Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints |
0 |
0 |
0 |
38 |
0 |
0 |
0 |
159 |
| Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis |
0 |
0 |
0 |
46 |
0 |
1 |
1 |
161 |
| Sustainable finance: A journey toward ESG and climate risk |
0 |
0 |
12 |
98 |
3 |
5 |
35 |
170 |
| The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach |
1 |
1 |
5 |
62 |
2 |
4 |
16 |
122 |
| The Simulated Likelihood Ratio (SLR) Method |
0 |
0 |
0 |
33 |
0 |
0 |
0 |
130 |
| The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach |
0 |
0 |
1 |
41 |
2 |
4 |
6 |
64 |
| The impact of network connectivity on factor exposures, asset pricing and portfolio diversification |
0 |
0 |
0 |
90 |
0 |
0 |
5 |
340 |
| The importance of compound risk in the nexus of COVID-19, climate change and finance |
0 |
3 |
5 |
110 |
1 |
7 |
14 |
234 |
| The univariate MT-STAR model and a new linearity and unit root test procedure |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
| The univariate MT-STAR model and a new linearity and unit root test procedure |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
28 |
| The univariate MT-STAR model and a new linearity and unit root test procedure |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
7 |
| Time-varying Combinations of Predictive Densities using Nonlinear Filtering |
0 |
0 |
0 |
79 |
0 |
0 |
2 |
145 |
| Turning point chronology for the Euro-Zone: A Distance Plot Approach |
0 |
0 |
0 |
13 |
0 |
0 |
0 |
52 |
| Turning point chronology for the Euro-Zone: A Distance Plot Approach |
0 |
0 |
0 |
19 |
0 |
0 |
0 |
11 |
| Turning point chronology for the Euro-Zone: A Distance Plot Approach |
0 |
0 |
0 |
21 |
0 |
0 |
1 |
59 |
| Turning point chronology for the Euro-Zone: A Distance Plot Approach |
0 |
0 |
0 |
39 |
0 |
0 |
0 |
90 |
| Turning point chronology for the euro area: A distance plot approach |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
| Turning point chronology for the euro area: A distance plot approach |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
12 |
| Turning point chronology for the euro area: A distance plot approach |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
| Understanding Exchange Rates Dynamics |
0 |
0 |
0 |
40 |
0 |
0 |
0 |
9 |
| Understanding Exchange Rates Dynamics |
0 |
0 |
0 |
55 |
0 |
1 |
1 |
143 |
| Understanding Exchange Rates Dynamics |
0 |
0 |
0 |
11 |
0 |
0 |
1 |
59 |
| Unpacking the ESG ratings: Does one size fit all? |
0 |
0 |
3 |
4 |
0 |
2 |
15 |
16 |
| Which market integration measure? |
0 |
0 |
1 |
21 |
1 |
1 |
4 |
83 |
| �Markov Switching Models for Volatility: Filtering, Approximation and Duality� |
0 |
0 |
0 |
104 |
0 |
0 |
0 |
215 |
| Total Working Papers |
5 |
22 |
114 |
8,525 |
30 |
125 |
450 |
23,230 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A SYSTEM FOR DATING AND DETECTING TURNING POINTS IN THE EURO AREA |
0 |
0 |
0 |
87 |
1 |
1 |
4 |
243 |
| A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation |
0 |
0 |
1 |
79 |
1 |
1 |
5 |
192 |
| A generalized Dynamic Conditional Correlation model for portfolio risk evaluation |
0 |
0 |
0 |
10 |
0 |
0 |
1 |
76 |
| A meta-measure of performance related to both investors and investments characteristics |
0 |
0 |
1 |
3 |
0 |
0 |
3 |
11 |
| An entropy-based early warning indicator for systemic risk |
2 |
2 |
2 |
30 |
3 |
3 |
8 |
134 |
| Backward/forward optimal combination of performance measures for equity screening |
0 |
0 |
0 |
5 |
0 |
0 |
0 |
50 |
| Bayesian Dynamic Tensor Regression |
0 |
0 |
0 |
3 |
2 |
2 |
4 |
16 |
| Bayesian Graphical Models for STructural Vector Autoregressive Processes |
0 |
0 |
0 |
23 |
0 |
0 |
0 |
108 |
| Bayesian Markov-Switching Tensor Regression for Time-Varying Networks |
0 |
0 |
1 |
1 |
0 |
0 |
6 |
6 |
| Bayesian estimation of switching ARMA models |
0 |
0 |
0 |
239 |
0 |
1 |
3 |
544 |
| Bayesian nonparametric sparse VAR models |
0 |
0 |
4 |
22 |
1 |
2 |
14 |
92 |
| Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis |
0 |
0 |
1 |
85 |
0 |
2 |
4 |
202 |
| Bond supply expectations and the term structure of interest rates |
0 |
0 |
1 |
1 |
1 |
3 |
7 |
7 |
| Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case |
0 |
0 |
1 |
4 |
1 |
4 |
10 |
22 |
| Business Cycle and Markov Switching Models with Distributed Lags: A Comparison between US and Euro Area |
0 |
0 |
0 |
5 |
0 |
0 |
0 |
26 |
| COVID-19 spreading in financial networks: A semiparametric matrix regression model |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
5 |
| Combination schemes for turning point predictions |
0 |
0 |
0 |
26 |
0 |
2 |
3 |
106 |
| Combining forecasts: some results on exchange and interest rates |
0 |
0 |
1 |
138 |
0 |
0 |
3 |
426 |
| Complexity and the default risk of mortgage-backed securities |
0 |
0 |
1 |
2 |
0 |
2 |
8 |
13 |
| Contagion and interdependence in stock markets: Have they been misdiagnosed? |
0 |
0 |
1 |
235 |
0 |
0 |
3 |
534 |
| Correction to: A meta-measure of performance related to both investors and investments characteristics |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
| Corrigendum to “Complexity and the default risk of mortgage-backed securities” [Journal of Banking and Finance 155 (2023) 106993] |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
4 |
| Credit Scoring in SME Asset-Backed Securities: An Italian Case Study |
0 |
0 |
0 |
15 |
0 |
0 |
2 |
96 |
| Dating EU15 monthly business cycle jointly using GDP and IPI |
0 |
0 |
0 |
37 |
0 |
0 |
0 |
184 |
| Dynamic risk exposures in hedge funds |
0 |
0 |
1 |
39 |
1 |
2 |
3 |
129 |
| Econometric measures of connectedness and systemic risk in the finance and insurance sectors |
8 |
9 |
44 |
655 |
13 |
27 |
116 |
2,017 |
| Efficient Gibbs sampling for Markov switching GARCH models |
0 |
0 |
0 |
10 |
0 |
0 |
1 |
42 |
| Evaluation of Regime Switching Models for Real‐Time Business Cycle Analysis of the Euro Area |
0 |
0 |
0 |
26 |
0 |
0 |
0 |
88 |
| Granger-causality in Markov switching models |
0 |
1 |
1 |
25 |
0 |
2 |
5 |
98 |
| Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area |
0 |
0 |
0 |
48 |
0 |
0 |
3 |
171 |
| Inside the ESG ratings: (Dis)agreement and performance |
0 |
0 |
5 |
38 |
2 |
5 |
29 |
130 |
| Interconnectedness and systemic risk: hedge funds, banks, insurance companies |
0 |
0 |
1 |
81 |
0 |
0 |
3 |
173 |
| Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model |
0 |
0 |
0 |
16 |
0 |
1 |
2 |
58 |
| Kernel-Based Indirect Inference |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
379 |
| Learning from experts: Energy efficiency in residential buildings |
0 |
0 |
1 |
1 |
1 |
2 |
7 |
7 |
| Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion |
0 |
0 |
0 |
75 |
0 |
0 |
3 |
264 |
| Markov switching GARCH models for Bayesian hedging on energy futures markets |
0 |
0 |
0 |
21 |
0 |
3 |
4 |
85 |
| Markov switching panel with endogenous synchronization effects |
0 |
0 |
3 |
10 |
0 |
1 |
9 |
28 |
| Modeling Turning Points in the Global Equity Market |
0 |
1 |
2 |
2 |
0 |
1 |
7 |
7 |
| Modeling systemic risk with Markov Switching Graphical SUR models |
1 |
1 |
3 |
47 |
1 |
2 |
7 |
165 |
| Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis |
0 |
1 |
1 |
6 |
0 |
1 |
1 |
45 |
| Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
4 |
| Networks in risk spillovers: A multivariate GARCH perspective |
0 |
1 |
2 |
3 |
0 |
1 |
3 |
7 |
| Nonlinear dynamics and recurrence plots for detecting financial crisis |
0 |
0 |
1 |
17 |
0 |
0 |
1 |
79 |
| On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected) |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
2 |
| On the role of domestic and international financial cyclical factors in driving economic growth |
0 |
0 |
0 |
5 |
0 |
0 |
2 |
13 |
| Opinion Dynamics and Disagreements on Financial Networks |
0 |
1 |
1 |
31 |
0 |
2 |
4 |
112 |
| Portfolio symmetry and momentum |
0 |
0 |
0 |
15 |
0 |
0 |
4 |
87 |
| Rising tides, rising funds: Floods and climate mitigation campaigns in equity crowdfunding |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Sparse Graphical Vector Autoregression: A Bayesian Approach |
0 |
0 |
1 |
14 |
0 |
1 |
2 |
80 |
| Stochastic optimization for allocation problems with shortfall risk constraints |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
6 |
| The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification |
0 |
0 |
0 |
2 |
0 |
1 |
3 |
11 |
| The systemic risk of leveraged and covenant-lite loan syndications |
0 |
1 |
1 |
1 |
0 |
4 |
4 |
4 |
| The univariate MT-STAR model and a new linearity and unit root test procedure |
0 |
0 |
0 |
9 |
0 |
1 |
2 |
68 |
| Time-varying combinations of predictive densities using nonlinear filtering |
0 |
0 |
1 |
52 |
0 |
2 |
7 |
208 |
| Turning point chronology for the euro area: A distance plot approach |
0 |
0 |
0 |
14 |
0 |
0 |
1 |
70 |
| Value-at-Risk: a multivariate switching regime approach |
0 |
0 |
0 |
387 |
1 |
2 |
6 |
931 |
| Volatility and shocks spillover before and after EMU in European stock markets |
0 |
0 |
0 |
156 |
2 |
2 |
10 |
440 |
| Which market integration measure? |
0 |
1 |
1 |
51 |
0 |
2 |
4 |
191 |
| Total Journal Articles |
11 |
19 |
85 |
2,908 |
31 |
92 |
354 |
9,297 |
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