176 citations
- Leiden UniversityNL3 papers
- IMT School for Advanced Studies LuccaIT2 papers
- University of AmsterdamNL2 papers
- Vrije Universiteit AmsterdamNL2 papers
- Aegon (Netherlands)NL1 paper
- Ca' Foscari University of VeniceIT1 paper
- Erasmus University RotterdamNL1 paper
- European Centre for Living TechnologyIT1 paper
- Institute for Complex SystemsIT1 paper
- Radboud University NijmegenNL1 paper
- Tel Aviv UniversityIL1 paper
6 papers
Identification robust inference for moments based analysis of linear dynamic panel data models
Maurice J. G. Bun, Frank Kleibergen
We use identification robust tests to show that difference, level and non-linear moment conditions, as proposed by Arellano and Bond (1991), Arellano and Bover (1995), Blundell and…
Crowded trades, market clustering, and price instability
Marc van Kralingen, Diego Garlaschelli, Karolina Scholtus +1
Crowded trades by similarly trading peers influence the dynamics of asset prices, possibly creating systemic risk. We propose a market clustering measure using granular trading dat…
(No) Wigner Theorem for C*-algebras
Klaas Landsman, Kitty Rang
Wigner's Theorem states that bijections of the set P_1(H) of one-dimensional projections on a Hilbert space H that preserve transition probabilities are induced by either a unitary…
Enhanced capital-asset pricing model for the reconstruction of bipartite financial networks
Tiziano Squartini, Assaf Almog, Guido Caldarelli +3
Reconstructing patterns of interconnections from partial information is one of the most important issues in the statistical physics of complex networks. A paramount example is prov…
Early-warning signals of topological collapse in interbank networks
Tiziano Squartini, Iman van Lelyveld, Diego Garlaschelli
The financial crisis clearly illustrated the importance of characterizing the level of 'systemic' risk associated with an entire credit network, rather than with single institution…
Multivariate Feller conditions in term structure models: Why do(n't) we care?
Peter Spreij, Enno Veerman, Peter Vlaar
In this paper, the relevance of the Feller conditions in discrete time macro-finance term structure models is investigated. The Feller conditions are usually imposed on a continuou…