Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance policies. This approach co...

We investigate the ergodic problem of growth-rate maximization under a class of risk constraints in the context of incomplete, Itô-process models of financial markets with random ergodic coefficients. Including value-at-risk (VaR), tail-value-at-risk (TVaR), and limited expected loss (LEL), these constraints can be both wealth-dependent (relative) and wealth-independent (absolute). The optimal ...

We present a TM system that executes transactions without ever causing any aborts. The system uses a set of t-var lists, one for each transactional variable. A scheduler undertakes the task of placing the instructions of each transaction in the appropriate t-var lists based on which t-variable each of them accesses. A set of worker threads are responsible to execute these instructions. Because ...

In this paper we propose an on-line Bayesian filtering and smoothing method for time series models with heavy-tailed alpha-stable noise, with a particular focus on TVAR models. We first point out how a filter that fails to take into account the heavy-tailed character of the noise performs poorly and then examine how an α-stable based particle filter can be devised to overcome this problem. The ...

Can citizens impact the broader discourse about an organization and its legitimacy? While social media have empowered to publicly question firms through large volumes of online evaluations, high heterogeneity their evaluations dilutes impact. Our empirical study applying a threshold vector autoregressive model (TVAR) analysis 2.5 million tweets 1,786 news articles tests condition by which conve...

In this paper we describe on-line Bayesian filtering methods for time series models with heavy-tailed α-stable noise. The filtering methodology is based on a scale mixtures of normals (SMiN) representation of the α-stable distribution, which reexpresses the intractable stable distribution in a conditionally Gaussian form. We describe how the method can be used for estimation of TVAR signals bur...

The link between stock returns and economic growth has been an important research topic in the financial economic literature. The purpose of this study is to employ a threshold vector autoregressive (TVAR) approach in order to investigate the non-linear relationship between stock returns and output growth in the four East Asian countries: Taiwan, Japan, Korea, and Malaysia. The causality betwee...

Exogenous uncertainty shocks may have different effects on domestic and foreign consumption under consumer confidence regimes. In this paper, we specify a threshold vector autoregressive (TVAR) model with regimes to study the response of endogenous macroeconomic variables exogenous shocks. The evidence shows that in China, compared high confidence, low dampens both at home abroad. However, bene...

The U.S. shale revolution, using new technologies to extract crude oil, has led dynamics in the supply side of global oil market. We ask whether revolution dampened role geopolitical risk price volatility. extend a reduced form Structural Break Threshold Vector Autoregressive (SBT-VAR) model structural SBT-VAR and identify innovations by allowing conditional heteroskedasticity. Compared with co...