economy is expected to contract in the near future, financial markets become more volatile and volatility is greater in … recessions than in expansions. In this paper we estimate common financial market volatility (FMV) implied in each financial … 2-6 months earlier than a peak in business cycles and the probability of a high volatility regime also rises to near 1 …

English Abstract: This paper suggests a Gibbs sampling estimation of an unobserved component cointegrated VAR Model to …

(uninsurable idiosyncratic income risk), 경직적 명목 임금 및 가격, 유동 및 비유동자산, 통화정책 및 재정정책을 수행하는 정부 등을 고려한다. 가계는 매기 서로 다른 생산성(소득) 충격에 직면함에 따라 가계 전체의 소득 및 … model on South Korean data using a Bayesian likelihood approach. The model features uninsurable idiosyncratic income risk …

marginal distributions that capture the fat-tailed behavior, we estimate risk measures such as the Value-at-Risk and expected … shortfall and evaluate whether those from the Gaussian copula function underestimate or overestimate true risk measures. We also … returns. We fit the GPD as the two margins and a variety of copula functions in the extant literature in evaluating the risk …

macroeconomic theory. The depreciation of the won after the currency crisis along with economic liberalization raised the relative …