In this article we present a theoretical review of the existing literature on Value at Risk (VaR)
specifically focussing on the development of new approaches for its estimation. We effect a …

This study is an integrated survey of GARCH methodologies applications on 67 empirical
papers that focus on cryptocurrencies. More sophisticated GARCH models are found to …

This paper investigates whether Bitcoin can hedge and diversify risk against the Euro
STOXX, Nikkei, Shanghai A-Share, S&P 500, and the TSX Index, and examines the …

This paper examines the relation between oil price changes and stock returns. By using
recently developed frequency domain methods, the study shows that there is significant time …

This paper demonstrates that, in the context of US housing data, rents and ex ante user
costs diverge markedly—in both growth rates and levels—for extended periods of time, a …

In a global economy, shocks occurring in one market can spill over to other markets. This
paper investigates the impact of oil shocks and stock market crashes on correlations …

What drove inflation so high in 2022? Can it drop rapidly without a recession? The Phillips
curve is central to the answers; its proper (nonlinear) specification reveals that the …

We provide evidence for a long term, positive relation between commodity prices and
inflation. However, this is only detected when frequency dependency in the regression is …

It is often unclear whether time series displaying substantial persistence should be modelled
as a vector autoregression in levels (perhaps with a trend term) or in differences. The impact …

We develop a flexible semi-structural time-series model to estimate jointly several
macroeconomic “stars”—ie, unobserved long-run equilibrium levels of output (and growth …