of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk …, while time-varying consumption/wealth may capture time-varying risk aversion. …

of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk …, while time-varying consumption/wealth may capture time-varying risk aversion. …

and computation of Value-at-Risk. …

observable or realized volatility series from intraday transaction data, the use of standard time series models, such as ARFIMA …

model provides substantial intuition. Moreover, the model exhibits a strong performance in calculating outofsample Value-at-Risk …

returns without ruling out normality. This contribution illustrates their usefulness in predicting the downside risk of …

and decay geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted …

effects and market as well as balance sheet information, we define the realized systemic risk beta as the total time …We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given … network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover …