Financial time series analysis has focused on data related to market trading activity. Next to the modeling of the conditional variance of returns within the GARCH family of models, recent attention has been devoted to other variables: First, and foremost, volatility measured on the basis of...

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...

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...