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This paper develops a new class of dynamic models for forecasting extreme financial risk. This class of models is driven by the score of the conditional distribution with respect to both the duration…

24 January 2023 | Peer Reviewed | Chile

This paper examines the dynamics of connectedness among the realized volatility indices of 16 clean energy stocks belonging to the SPGCE and the implied volatility indices of two important stock…

30 July 2020 | Peer Reviewed | Chile

Air pollution, particularly PM2.5 particulate matter, is a significant issue in Santiago, the capital of Chile. Santiago’s pollution problem is exacerbated by its unique geographic location nestled…

30 July 2020 | Peer Reviewed | Chile

When prediction intervals are constructed using unobserved component models (UCM), problems can arise due to the possible existence of components that may or may not be conditionally heteroscedastic…

30 July 2020 | Peer Reviewed | Chile

We propose a multivariate dynamic intensity peaks‐over‐threshold model to capture extremes in multivariate return processes. The random occurrence of extremes is modeled by a multivariate dynamic…

8 May 2020 | Peer Reviewed | Chile

This paper investigates the relation between risk taking and market power in the US banking sector by introducing the effect of geographical spillovers caused by the transmission of risk taking among…

4 May 2020 | Peer Reviewed | Chile

Forecasting the risk of extreme losses is an important issue in the management of financial risk and has attracted a great deal of research attention. However, little attention has been paid to…

8 May 2020 | Peer Reviewed | Chile