We model a large panel of time series as a VAR where the autoregressive matrices and the inverse covariance matrix of the system innovations are assumed to be sparse. The system has a network representation in terms of a directed graph representing predictive Granger relations and an undirected...

This paper is concerned with the problem of the estimation of the integrated volatility of log-prices based on high frequency data when both price jumps and market microstructure noise are present. We begin by providing a survey of the leading estimators introduced in the literature to tackle...

Intra-daily financial durations time series typically exhibit evidence of long range dependence. This has motivated the introduction of models able to reproduce this stylized fact, like the Fractionally Integrated Autoregressive Conditional Duration Model. In this work we introduce a novel...

We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall of a firm conditional on a severe market decline, and is a function of its size, leverage and risk. We use the measure to study top US financial institutions in the recent...

The measurement of systemic risk is at the forefront of economists and policymakers concerns in the wake of the 2008 financial crisis. What exactly are we measuring and do any of the proposed measures perform well outside the context of the recent financial crisis? One way to address these...

We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall of a firm conditional on a severe market decline, and is a function of its size, leverage and risk. We use the measure to study top US financial institutions in the recent...

We analyze the relation between market-based credit risk interconnectedness among banks during the crisis and the associated balance sheet linkages via funding and securities holdings. For identification, we use a proprietary dataset that has the funding positions of banks at the bank-to-bank...

There is strong empirical evidence that the GARCH estimates obtained from panels of financial time series cluster. In order to capture this empirical regularity, this paper introduces the Hierarchical GARCH (HG) model. The HG is a nonlinear panel specification in which the coefficients of each...