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.
2020-02-05
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.
2020-01-21
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.
2017-02-03
Financial Applications of the Mahalanobis Distance
We describe existing and potential financial applications of the Mahalanobis distance.
2014-09-10