Using a sample covering emerging market and advanced economies, we assess the impact
of macroprudential policies on financial stability. Our empirical setup is designed to account …

We assess the yield impact of asset purchases within the European Central Bank׳ s (ECB)
Securities Markets Programme (SMP) in five euro area sovereign bond markets from 2010 …

We investigate information-theoretic optimality properties of the score function of the
predictive likelihood as a device for updating a real-valued time-varying parameter in a …

We extend the well-known static spatial Durbin model by introducing a time-varying spatial
dependence parameter. The updating steps for this model are functions of past data and …

We verify whether parameter-driven and observation-driven classes of dynamic models can
outperform each other in predicting time-varying parameters. We consider existing and new …

Purpose This paper aims to provide an overview, a classification of existing research groups
for correlated default models using a reduced-form method and an identification of future …

The fluctuation of energy prices has a great impact on the economy, making it essential to
analyze the risk transmission among energy commodities. In this paper, we use the …

We propose a new Markov switching model with time‐varying transitions probabilities. The
novelty of our model is that the transition probabilities evolve over time by means of an …

We develop a new score-driven model for the joint dynamics of fat-tailed realized covariance
matrix observations and daily returns. The score dynamics for the unobserved true …

We assess the yield impact of asset purchases within the ECB's Securities Markets
Programme in five euro area sovereign bond markets during 2010-11. Identification is non …