3 papers
econ.EM2026
Systemic Risk Surveillance
Timo Dimitriadis, Yannick Hoga
Following several episodes of financial market turmoil in recent decades, changes in systemic risk have drawn growing attention. Therefore, we propose surveillance schemes for syst…
econ.EM2025
Regressions under Adverse Conditions
Timo Dimitriadis, Yannick Hoga
We introduce a new regression method that relates the mean of an outcome variable to covariates, under the "adverse condition" that a distress variable falls in its tail. This allo…
econ.EM2025
Dynamic CoVaR Modeling and Estimation
Timo Dimitriadis, Yannick Hoga
The popular systemic risk measure CoVaR (conditional Value-at-Risk) and its variants are widely used in economics and finance. In this article, we propose joint dynamic forecasting…