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MODELING FINANCIAL SECTOR JOINT TAIL RISK IN THE EURO AREA

Journal of applied econometrics (Chichester, England), 2017-01, Vol.32 (1), p.171-191

2017

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Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB's Securities Markets Programme

Journal of financial economics, 2016-01, Vol.119 (1), p.147-147

2016

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Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme

Journal of financial economics, 2016-01, Vol.119 (1), p.147-167

2016

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Euro area sovereign bond risk premia before and during the Covid-19 pandemic

European economic review, 2023-04, Vol.153, p.104402-104402, Article 104402

2023

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Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment

Journal of empirical finance, 2018-12, Vol.49, p.247-262

2018

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Do negative interest rates make banks less safe?

Economics letters, 2017-10, Vol.159, p.112-115

2017

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Conditional Euro Area Sovereign Default Risk

Journal of business & economic statistics, 2014-04, Vol.32 (2), p.271-284

2014

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Bank Business Models at Zero Interest Rates

Journal of business & economic statistics, 2019-07, Vol.37 (3), p.542-555

2019

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OBSERVATION-DRIVEN MIXED-MEASUREMENT DYNAMIC FACTOR MODELS WITH AN APPLICATION TO CREDIT RISK

The review of economics and statistics, 2014-12, Vol.96 (5), p.898-915

2014

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Risk endogeneity at the lender/investor-of-last-resort

Journal of monetary economics, 2020-12, Vol.116, p.283-297

2020

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Modeling Extreme Events: Time-Varying Extreme Tail Shape

Journal of business & economic statistics, 2024-07, Vol.42 (3), p.903-917

2024

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GLOBAL CREDIT RISK: WORLD, COUNTRY AND INDUSTRY FACTORS

Journal of applied econometrics (Chichester, England), 2017-03, Vol.32 (2), p.296-317

2017

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Dynamic clustering of multivariate panel data

Journal of econometrics, 2023-12, Vol.237 (2), p.105281, Article 105281

2023

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Can EU Bonds Serve as Euro-Denominated Safe Assets?

Journal of risk and financial management, 2022-11, Vol.15 (11), p.530

2022

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The information in systemic risk rankings

Journal of empirical finance, 2016-09, Vol.38, p.461-475

2016

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Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008

Journal of business & economic statistics, 2012-10, Vol.30 (4), p.521-532

2012

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Modeling frailty-correlated defaults using many macroeconomic covariates

Journal of econometrics, 2011-06, Vol.162 (2), p.312-325

2011

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Dynamic Nonparametric Clustering of Multivariate Panel Data

Journal of financial econometrics, 2024-03, Vol.22 (2), p.335-374

2024

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Nowcasting and forecasting global financial sector stress and credit market dislocation

International journal of forecasting, 2014-07, Vol.30 (3), p.741-758

2014

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Bank to Sovereign Risk Spillovers Across Borders: Evidence from the ECB's Comprehensive Assessment

SSRN Electronic Journal

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Can EU Bonds Serve as Euro-Denominated Safe Assets?

SSRN Electronic Journal

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Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics

SSRN Electronic Journal

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Modeling Extreme Events: Time-Varying Extreme Tail Shape

SSRN Electronic Journal

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Euro Area Sovereign Bond Risk Premia During the COVID-19 Pandemic

SSRN Electronic Journal

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Modeling Extreme Events: Time-Varying Extreme Tail Shape

SSRN Electronic Journal

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MODELING FINANCIAL SECTOR JOINT TAIL RISK IN THE EURO AREA

Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB's Securities Markets Programme

Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme

Euro area sovereign bond risk premia before and during the Covid-19 pandemic

Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment

Do negative interest rates make banks less safe?

Conditional Euro Area Sovereign Default Risk

Bank Business Models at Zero Interest Rates

OBSERVATION-DRIVEN MIXED-MEASUREMENT DYNAMIC FACTOR MODELS WITH AN APPLICATION TO CREDIT RISK

Risk endogeneity at the lender/investor-of-last-resort

Modeling Extreme Events: Time-Varying Extreme Tail Shape

GLOBAL CREDIT RISK: WORLD, COUNTRY AND INDUSTRY FACTORS

Dynamic clustering of multivariate panel data

Can EU Bonds Serve as Euro-Denominated Safe Assets?

The information in systemic risk rankings

Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008

Modeling frailty-correlated defaults using many macroeconomic covariates

Dynamic Nonparametric Clustering of Multivariate Panel Data

Nowcasting and forecasting global financial sector stress and credit market dislocation

Bank to Sovereign Risk Spillovers Across Borders: Evidence from the ECB's Comprehensive Assessment

Can EU Bonds Serve as Euro-Denominated Safe Assets?

Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics

Modeling Extreme Events: Time-Varying Extreme Tail Shape

Euro Area Sovereign Bond Risk Premia During the COVID-19 Pandemic

Modeling Extreme Events: Time-Varying Extreme Tail Shape

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