The calming of short-term market fear and its long-term consequences: The central banks’ dilemma
We study the short-term effects and long-term consequences of Fed crisis interventions on market fears — the risk perception of large asset price...
DP 127
Higher-Order Uncertainty in Financial Markets: Evidence from a Consensus Pricing Service
We assess the ability of an information aggregation mechanism that operates in the over-the-counter market for financial derivatives to reduce...
DP 98
Disaster and Fortune Risk in Asset Returns
Do Disaster risk and Fortune risk fetch a premium or discount in the pricing of individual assets? Disaster risk and Fortune risk are measures for the...
DP 59
Tail Index Estimation: Quantile Driven Threshold Selection
The selection of upper order statistics in tail estimation is notoriously difficult. Most methods are based on asymptotic arguments, like minimizing...
DP 58
