In time series analysis, latent factors are often introduced to model the heterogeneous time evolution of the observed processes. The presence of unobserved components makes the maximum likelihood estimation method more difficult to apply. A Bayesian approach can sometimes be preferable since it...

We propose several econometric measures of systemic risk to capture the interconnectedness among the monthly returns of hedge funds, banks, brokers, and insurance companies based on principal components analysis and Granger-causality tests. We find that all four sectors have become highly...

This paper analyzes whether the convergence of European economies and the introduction of the euro has produced some effects on European Stock Market volatilities. Using multivariate switching regime models we test this issue for stable European economies, such as Germany and France, and...

Equity investment styles have been in use for many years in American financial markets. They have proven to be important reference points used in the creation of asset allocation strategies for mutual funds and to coordinate the monthly strategy with the daily stock selection. The formation of a...

We represent the market for syndicated loans as a dynamic financial network and find that financial institutions have developed strong cross-border linkages over the 2000–2019 period. The most-connected financial institutions hold large shares of leveraged and covenant-lite loans. Our analysis...

This chapter studies the effects of the COVID-19 pandemic on the economic structure of the US and EU economies by measuring its impact on some reference macro-economic variables. We use a factor model approach on a set of variables available at different frequencies (daily, weekly, monthly, and...