Financial turbulence

Parameter uncertainty and Financial Markets

In this project, we will research many aspects derived from the paper of Garlappi et al. (2007)

Turbulence in the Cross-Section: Predicting Factor Premia

Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns

PRIX – A risk index for global private investors

Financial Applications of the Mahalanobis Distance

Global and Regional Risk Indices

In this project we create a variety of regional risk indices (US, EU & Switzerland) as well as global one. The purpose is to highlight which events had what influence on the regional financial markets and which regional event in turn had an impact on the stability of global financial markets.