Goal: ISO 31000 Risk Management (RM) recently re-defined risk as the effect of uncertainty on an organization's ability to meet the objectives. Earlier, it defined risk as a combination of the probability and scope of the (predicted) consequences. The revised ISO Risk advances beyond a static...

Machine learning and artificial intelligence methods are often referred to as \black boxes" when compared to traditional regression-based approaches. However both traditional and machine learning methods are concerned with modeling the joint distribution between endogenous (target) and exogenous...

Recreational services are demanded because they generate benefits. The recreational benefits connected with a destination can be valued based on visitor preferences, which can aid in the formulation of an appropriate Natural Resource Management policy. Environmental and natural resource...

It is common practice to forecast social, political, and economic outcomes by polling people about their intentions. This approach is direct, but it can be unreliable in settings where it is hard to identify a representative sample, or where subjects have an incentive to conceal their true...

Investors sometimes have strong convictions that a distinctive economic regime will prevail in the period ahead and therefore would like to form a portfolio that reflects the expected returns, standard deviations, and correlations of assets during such a regime. To do so, they typically isolate...

While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market digital asset returns are driven by high frequency jumps...

Independent component analysis (ICA) is a modern factor analysis tool de- veloped in the last two decades. Given p-dimensional data, we search for that linear combination of data which creates (almost) independent components. Here copulae are used to model the p-dimensional data and then...

Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can have desastrous consequences for individual companies and even whole economies, not least as could be seen during the recent crises. Overestimated risk, on the other side, may...

Independent component analysis (ICA) is a modern factor analysis tool developed in the last two decades. Given p-dimensional data, we search for that linear combination of data which creates (almost) independent components. Here copulae are used to model the p-dimensional data and then...

A common stochastic restriction in econometric models separable in the latent variables is the assumption of stochastic independence between the unobserved and observed exogenous variables. Both simple and composite tests of this assumption are derived from properties of independence empirical...