In this article, we try to realize the best compromise between in‐sample goodness of fit and
out‐of‐sample predictability of sovereign defaults. To do this, we use a new regression‐tree …

What we learned from the global financial crisis is that to get information about the
underlying financial risk dynamics, we need to fully understand the complex, nonlinear, time-varying, …

In this paper, we realise an early warning system for hedge funds based on specific red flags
that help detect the symptoms of impending extreme negative returns and the contagion …

Based on a Bayesian time-varying beta model, we explore how the systematic risk exposures
of hedge funds vary over time conditional on some exogenous variables that managers …

To better explain the connection between hedge funds and sovereign risk in the Eurozone
and to shed light on hedge fund dynamics relative to the surge in sovereign spreads, the …

Focusing on credit risk modelling, this paper introduces a novel approach for ensemble
modelling based on a normative linear pooling. Models are first classified as dominant and …

We model the learning process of market traders during the unprecedented COVID-19 event.
We introduce a behavioral heterogeneous agents’ model with bounded rationality by …

We employ a machine learning approach to build a European sovereign risk stratification
using macroeconomic fundamentals and contagion measures, proxied by copula-based credit …

This paper employs a recently developed statistical algorithm in order to build an early
warning model for banking crises in emerging markets. The procedure creates many ‘artificial’ …

Gli hedge fund hanno origine negli Stati Uniti negli anni cinquanta e mirano a realizzare
performance positive indipendentemente dai trend dei mercati finanziari. La possibilità di …