Financial Markets for Unknown Risks

Long-Run Risks and Financial Markets

The recently developed long-run risks asset pricing model shows that concerns about long-run expected growth and time-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can account for the risk premia and asset price fluctuations. In addition, the model can empirically account for the cross-sectional differences in ass...

Modeling systemic risks in financial markets

Systemic risk to financial markets is often defined as the risk of a major and rapid disruption in one or more of the core functions of the financial system caused by the initial failure of one or more financial firms or a segment of the financial system ([3], p. 3.) This widely accepted definition sets systemic risks in financial markets as a different class of risk agents in the market face, ...

Commentary on "Long-Run Risks and Financial Markets"

and his coauthors begin from the observation that it is difficult to distinguish that specification from an alternative one in which the drift in log consumption growth is itself a highly persistent covariance stationary process with low conditional volatility but high unconditional volatility. Thus, the drift itself is almost but not quite a random walk. The high unconditional volatility of th...

Markets for Financial Information

Machine learning algorithms for time series in financial markets

This research is related to the usefulness of different machine learning methods in forecasting time series on financial markets. The main issue in this field is that economic managers and scientific society are still longing for more accurate forecasting algorithms. Fulfilling this request leads to an increase in forecasting quality and, therefore, more profitability and efficiency. In this pa...