Density forecasts of euro area inflation are a fundamental input for a medium-term oriented central bank, such as the European Central Bank (ECB). We show that a quantile regression forest, capturing a general non-linear relationship between euro area (headline and core) inflation and a large...

A large number of explanations of the low-risk anomaly have since been proposed, including leverage constraints, lottery preference, correction of market-driven overpricing, and so on. Based on data from the Chinese stock market, we conduct an examination of low-risk anomalies and investigate...

A key factor of analysing the financial market are multivariate return time series which are gained by stock prices. The distributions of empiric data displays heavy tailed behaviour which cannot be characterised by a normal distribution. This fact also entails that we encounter non-stationarity...

Stop-loss and limited loss random variables are two important transforms of a loss random variable and appear in many modelling problems in insurance, finance, and other fields. Risk levels of a loss variable and its transforms are often measured by risk measures. When only partial information...

This article examines the time-series predictive ability of the monthly option-implied idiosyncratic skewness (Skew) for the aggregate stock market. We find that Skew is a strong predictor of the U.S. equity premium using both in-sample and out-of-sample tests at forecast horizons up to 36...

We develop a utility and asset pricing theory that features a novel measure of tail risk. Our model determines investor demand for both left and right-tail risk premia from an indifference curve incorporating tolerance for variance and tail risk. We show that the systematic tail risk factors...

We demonstrate how a mixture of two SEP3 densities (skewed exponential power distribution of Fernández et al., 1995) can model the conditional forecasting of VaR and CVaR to efficiently cover market risk at regulatory levels of 1% and 2.5%, as well as at the additional 5% level. Our data...

This paper analyzes the entire distribution of stock market returns/volatility in five emerging markets (ASEAN5) and figures out the conditional distribution of the CHI_EPU index. The aim is to examine the impact of CHI_EPU on the stock returns/volatility density of ASEAN5 markets. It also...

Under simple majority voting an absolute majority of voters may choose policies that are harmful to minorities. It is the purpose of sub- and super-majority rules to protect legitimate minority interests. We study how voting rules are chosen under the veil of ignorance. In our experiment,...

Surveys that measure subjective states like happiness or preferences often generate discrete ordinal data. Ordered response models, which are commonly used to analyze such data, suffer from a fundamental identification problem. Their conclusions depend on unjustified assumptions about the...