no code implementations • 16 Oct 2020 • Emese Lazar. Shuyuan Qi, Radu Tunaru
We investigate the impact of parameter estimation risk and model specification risk on the models'ability to capture the joint dynamics of stock and option prices.
no code implementations • 29 Oct 2018 • Jozef Barunik, Mattia Bevilacqua, Radu Tunaru
This paper introduces forward-looking measures of the network connectedness of fears in the financial system, arising due to the good and bad beliefs of market participants about uncertainty that spreads unequally across a network of banks.
