This paper proposes a multivariate risk-adjusted error measure for economic forecast performance and analyzes the limitations of traditional MSE-based measures in capturing the …
We analyze drivers of the EUR/CHF exchange rate in different regimes between 2000 and 2020, estimating structural breaks in an integrated way together with the drivers that are …
We show how the stock market's assessment of post-election winning probabilities can be backed out from stock prices, using the sensitivity of stocks to changes in winning …
We examine the effect of populism on financial markets around national elections. We find that the electoral success of populist parties has a direct impact on volatility in major …
In this paper we investigate the predictive power of cross-sectional volatility, skewness and kurtosis for future stock returns.
This paper investigates herding behavior in the crypto market. We consider the full, survivorship-bias free cross-section of cryptocurrencies, and document - against existing …
We use data from betting markets to analyze the sensitivity of stock returns to potential outcomes of political events such as elections. By classifying stocks into expected …
This paper introduces a novel measure of global macro-financial uncertainty and examines the state-dependent transmission of uncertainty to economic activity.
In an unbalanced cross-country panel covering 169 nations and time-series records of up to 52 years we analyze drivers behind beer consumption.
This paper explores the statistical and economical significance of intraday and -week patterns in bid-ask spreads.