real economic activity growth, in line with a risk shock. Conversely, a certainty shock (a shock strongly decreasing …

probabilities, on reduced-form credit risk stress testing. This type of uncertainty is omnipresent in most macroeconomic stress … testing applications due to short time series for banks' portfolio risk parameters and highly collinear macroeconomic … distributions and implied capital shortfalls by conducting a full-edged top-down credit risk stress test for over 1,500 German banks …

results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio … framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …

stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …

instance of precision-based sampling methods that operate on the inverse variance-covariance matrix of the states (also known … other instances of precision-based sampling, computational gains are considerable. Relevant applications include trend …

states and model variables, which is sparse and banded in many economic applications and allows for efficient sampling. The … existing literature on precision-based sampling is focused on complete-data applications, whereas the proposed samplers in this …

We analyze Granger causality testing in a mixed-frequency VAR, where the difference in sampling frequencies of the … application involving daily realized volatility and monthly business cycle fluctuations. …