502 citations
- Acoustics Research InstituteAT1 paper
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4 papers · 1 filter
Integrating granular data into a multilayer network: an interbank model of the euro area for systemic risk assessment
Ilias Aarab, Thomas Gottron, Andrea Colombo +2
Micro-structural models of contagion and systemic risk emphasize that shock propagation is inherently multi-channel, spanning counterparty exposures, short-term funding and roll-ov…
The Aligned Economic Index & The State Switching Model
Ilias Aarab
A growing empirical literature suggests that equity-premium predictability is state dependent, with much of the forecasting power concentrated around recessionary periods (Henkel e…
Switching between states and the COVID-19 turbulence
Ilias Aarab
In Aarab (2020), I examine U.S. stock return predictability across economic regimes and document evidence of time-varying expected returns across market states in the long run. The…
Network topology of the Euro Area interbank market
Ilias Aarab, Thomas Gottron
The rapidly increasing availability of large amounts of granular financial data, paired with the advances of big data related technologies induces the need of suitable analytics th…