Informativeness of the federal reserve chair communication’s sentiment on the monetary policy uncertainty
Annals of Operations Research, 2024 ( https://doi.org/10.1007/s10479-024-06414-6 ) Abstract Can a single personal communication have a...
Equity Risk Premium Predictability from Cross-Sectoral Downturns
(Accepted for publication in "Review of Asset Pricing Studies") Abstract We illustrate the role of left tail dependence variables – left...
The Implications of Dependence, Tail Dependence, and Bounds’ Measures for Counterparty Credit Risk
(Accepted for publication in "Journal of Financial Stability") Abstract This paper investigates the counterparty credit risk of interest...
Implicit Entropic Market Risk-Premium from Interest Rate Derivatives
Abstract Implicit in interest rate derivatives are Arrow-Debreu prices (or state price densities, SPDs) that contain fundamental...
Chapter 27: Higher-Order Tail Moments in Asset-Pricing Theory
Abstract In this chapter, we review the literature about the use of third- and fourth-order moments in finance, the main papers on asset...
On quadratic forms in multivariate generalized hyperbolic random vectors (Biometrika - Accepted)
Abstract Exact and approximate expressions for tail probabilities and partial moments of quadratic forms in multivariate generalized...