… the $9 billion hedge fund Amaranth Advisors was not systemic, but the 1998 collapse of the
$5 billion … Given M types (four in our case: banks, broker/dealers, insurers, and hedge funds), …

We analyze the ESG rating criteria used by prominent agencies and show that there is a lack
of a commonality in the definition of ESG (i) characteristics, (ii) attributes and (iii) standards …

… Monica Billio Dipartimento di Scienze Economiche, Università Ca' Foscari, Venezia, and …
contain w different coefficients, each of them possibly repeated m j times, with j=1,2,…,w. …

… In the RMB model we calculate VaR as:(23) VaR i =β i,m VaR m where: VaR m is the VaR
of the Market index, β i,m =is the beta of the beta of asset i with respect to the market index. …

This paper proposes a Bayesian, graph‐based approach to identification in vector autoregressive
(VAR) models. In our Bayesian graphical VAR (BGVAR) model, the contemporaneous …

… , we may suggest two alternative strategies depending on the analysis’s final purpose: if the
objective is the dating of contagion occurrences, we suggest using quite large values of m , …

This paper provides an extension of the Dynamic Conditional Correlation model of Engle (2002)
by allowing both the unconditional correlation and the parameters to be driven by an …

We discuss different methods proposed in the literature to analyse the propagation
mechanism of a crisis and to verify the presence of contagion. We consider the propagation …

We propose a Bayesian combination approach for multivariate predictive densities which
relies upon a distributional state space representation of the combination weights. Several …

… o l d , and the M o m e n t u m factor are used in excess of T-Bill returns. … m a l l – L a r g e ,
Δ V I X , C r e d i t S p r e a d , V a l u e - G r o w t h , T e r m S p r e a d , G o l d , M o m e n t u m …