financial turbulence

Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns
In this paper, we develop a novel, intuitive and objective measure of time-varying parameter uncertainty (PU) based on a simple statistical test.
PDF Cite Poster DOI University of Konstanz (Germany) Frontiers of Factor Investing 2020 Cologne Colloquium on Financial Markets 2020 Asset Allocation under Parameter Uncertainty 2017 Workshop of the AWG 2017 DGF 2017 FMA Europe 2017 Australasian Finance & Banking 2016 SFA 2015 World Finance 2015 UBC Sauder (Vancouver) HSG (St. Gallen)
Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns
Credit Intermediation and the Transmission of Macro-Financial Uncertainty: International Evidence
This paper introduces a novel measure of global macro-financial uncertainty and examines the state-dependent transmission of uncertainty to economic activity.
Preprint Cite Dataset DOI JOURNAL OF INTERNATIONAL MONEY AND FINANCE Research Data
Credit Intermediation and the Transmission of Macro-Financial Uncertainty: International Evidence
PRIX – A risk index for global private investors
The purpose of this paper is to create a universal (asset-class-independent) portfolio risk index for a global private investor.
PDF Cite DOI JOURNAL OF RISK FINANCE
PRIX – A risk index for global private investors
Financial Applications of the Mahalanobis Distance
We describe existing and potential financial applications of the Mahalanobis distance.
Cite Slides DOI APPLIED ECONOMICS AND FINANCE