financial turbulence

Financial Distress and the Transmission of Macroeconomic Uncertainty: International Evidence

We examine the effect of global macroeconomic uncertainty on economic activity, with the magnitude of the impact depending on the current state of the banking sector.

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.

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.