La versión española de este artículo puede encontrarse en 'http://ssrn.com/abstract='2197369' http://ssrn.com/abstract=2197369.This paper considers the influence of business cycles and economic crises on Spain's tourism competitiveness. This competitiveness is measured by its share in world...

The English version of this paper can be found at 'http://ssrn.com/abstract=2201776' http://ssrn.com/abstract=2201776.En este trabajo se considera la influencia de los ciclos y las crisis económicas sobre la competitividad turística de España, medida a través de su cuota de participación en...

In this paper we analyze the state-dependent risk-spillover in different economic areas. To this end, weapply the quantile regression-based methodology developed in Adams, Füss and Gropp (2014)approach to examine the spillover in conditional tails of daily returns of indices of the banking...

Long-range persistence in volatility is widely modelled and forecasted in terms of the so-called fractional integrated models. These models are mostly applied in the univariate framework, since the extension to the multivariate context of assets portfolios, while relevant, is not...

Most downside risk models implicitly assume that returns are a sufficient statistic with which to forecast the daily conditional distribution of a portfolio. In this paper, we address this question empirically and analyze if the variables that proxy for market liquidity and trading conditions...

Multiperiod-ahead forecasts of returns’ variance are used in most areas of applied finance where long-horizon measures of risk are necessary. Yet, the major focus in the variance forecasting literature has been on one-period-ahead forecasts. In this review, we compare several approaches of...

In this paper we measure the systemic risk in a set of large international banks. We first measure the contribution of a financial institution to international systemic risk. Importantly, we show the existence of an asymmetric non-linear contribution of banks to systemic risk depending on...

In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find no evidence that a...