Since the attribution of the Nobel prize in 2002 to Kahneman for prospect theory, behavioral finance has become an increasingly important subfield of finance. However the main parts of behavioral finance, prospect theory included, understand financial markets through individual investment...

Multivariate time varying volatility models have attracted a lot of attention in modern finance theory. We provide an empirical study of some multivariate ARCH and GARCH models that already exist in the literature and have attracted a lot of practical interest. Bayesian and classical techniques...

A full Bayesian analysis of GARCH and EGARCH models is proposed consisting of parameter estimation, model selection and volatility prediction. The Bayesian paradigm is implemented via Markov-chain Monte Carlo methodologies. We provide implementation details and illustrations using the General...

A new multivariate time series model with time varying conditional variances and covariances is presented and analysed. A complete analysis of the proposed model is presented consisting of parameter estimation, model selection and volatility prediction. Classical and Bayesian techniques are used...

This paper proposes a novel framework identifying sovereign systemic risk zones. We first explore the cross-dynamics of sovereign CDS in terms of time-changing contagion measures based on copulas and then assemble these measures together with country-specific fundamentals through recursive...

We employ a machine learning approach to build a European sovereign risk stratification using macroeconomic fundamentals and contagion measures, proxied by copula-based credit default swap (CDS) dependencies over the period 2008-2017, for France, Germany, Greece, Ireland, Italy, Portugal, and...

This paper gives an arbitrage-free prediction for future prices of an arbitrary co-terminal set of options with a given maturity, based on the observed time series of these option prices. The statistical analysis of such a multi-dimensional time series of option prices corresponding to n strikes...