financial turbulence

Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns

In this paper, we develop a novel, intuitive and objective measure of time-varying parameter uncertainty (PU) based on a simple statistical test.

Credit Intermediation and the Transmission of Macro-Financial Uncertainty: International Evidence

This paper introduces a novel measure of global macro-financial uncertainty and examines the state-dependent transmission of uncertainty to economic activity.

PRIX – A risk index for global private investors

The purpose of this paper is to create a universal (asset-class-independent) portfolio risk index for a global private investor.

Financial Applications of the Mahalanobis Distance

We describe existing and potential financial applications of the Mahalanobis distance.