In order to integrate and facilitate the research, calculation and analysis methods around the Financial Risk Meter (FRM) project, the R package RiskAnalytics has been developed. Its main goal is to provide data processing ...

We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term ...

I entertain a generalization of the standard Bolzmann-Gibbs-Shannon measure of entropy in multiplier preferences of model uncertainty. Using this measure, I derive a generalized exponential certainty equivalent, which nests ...

While incomplete models are desirable due to their robustness to misspecification, they cannot be used to conduct full information exercises i.e. counterfactual experiments and predictions. Moreover, the performance of the ...

Cryptocurrencies have left the dark side of the finance universe and become an object of study for asset and portfolio management. Since they have a low liquidity compared to traditional assets, one needs to take into ...

QuantNet being an online GitHub based organization is an integrated environment consisting of different types of statistics-related documents and program codes called Quantlets. The QuantNet Style Guide and the yamldebugger ...

The JEL classification system is a standard way of assigning key topics to economic articles in order to make them more easily retrievable in the bulk of nowadays massive literature. Usually the JEL (Journal of Economic ...