3 papers
q-fin.ST2025
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…
q-fin.ST2025
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…
q-fin.ST2025
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…