Veni is a lecturer of Econometrics at the Department of Economic and Regional Development at Panteion University of Social and Political Sciences. She holds an undergraduate degree in Mathematics from the University of Athens and a Ph.D. in Econometrics from the Athens University of Economics and Business.Her main area is financial econometrics. Previously she has worked as a senior economist and derivatives trader for institutional and private clients.
Using a flexible threshold copula model, we investigate the pairwise tail dependence of Eurozone ... more Using a flexible threshold copula model, we investigate the pairwise tail dependence of Eurozone sovereign credit default swap spreads during the period 2008-2013 and we detect clusters of credit default swaps with high tail dependence. Our approach is also useful to inspect the evolution of the loss distribution, as we prove by computing a theoretical portfolio based on Clayton and Gumbel copula for the highest values of the association parameters estimated by the model.
The interest of modeling bond yields can be traced both in academics and practitioners. The curre... more The interest of modeling bond yields can be traced both in academics and practitioners. The current crisis that we are going through raises again questions about the drivers of a key variable, defined as the difference between two categories of yields, known as yield spread. Differences be-tween the spreads of different borrowers can indicate the relative riskiness of various categories of
We develop threshold models that allow copula functions or their association parame-ters changing... more We develop threshold models that allow copula functions or their association parame-ters changing across time. The number and location of thresholds is assumed unknown. We use a Markov chain Monte Carlo strategy combined with Laplace estimates that eval-uate the required marginal densities for a given model. We apply our methodology to financial time series emphasizing the ability to improve estimates of risk characteristics, as well as measuring financial contagion by inspecting changing dependence structures.
The recent financial crisis demonstrated the increasing importance of interrelations among financ... more The recent financial crisis demonstrated the increasing importance of interrelations among financial institutions in terms of systemic risks. By means of a VAR model, we analyze the impact a financial institution has on the systemic risk vulnerability of its connected peers, in a multivariate financial network context. For this purpose, we first construct weekly rebalanced large and small portfolio indexes based on the capitalization level of financial institutions, to control for the size effect on the level of systemic risk. Then we estimate the individual institutions vulnerability level using marginal expected shortfall (MES) systemic risk measure, and we consider the institution interrelations using two MES alternatives: the network based MES (NetMES) and the Bayesian averaging of NetMES. Finally, we investigate if the VAR lead-lag relationship among the the large and small capitalization financial stocks is sustained within the systemic risk vulnerability series of MES, NetMES...
In this paper we take up Bayesian inference for the consumption capital asset pricing model. The ... more In this paper we take up Bayesian inference for the consumption capital asset pricing model. The model has several econometric complications. First, it implies exact relationships between asset returns and the endowment growth rate that will be rejected by all possible realizations. Second, it was thought before that it is not possible to express asset returns in closed form. We show that Labadie's (1989) solution procedure can be applied to obtain asset returns in closed form and, therefore, give an econometric interpretation in terms of traditional measurement error models. We apply the Bayesian inference procedures to the Mehra and Prescott (1985) data set, we provide posterior distributions of structural parameters and posterior predictive asset return distributions, and we use these distributions to assess the existence of asset returns puzzles. JEL codes: C11, C23.
We develop threshold models that allow copula functions or their association parameters changing ... more We develop threshold models that allow copula functions or their association parameters changing across time. The number and location of thresholds is assumed unknown. We use a Markov chain Monte Carlo strategy combined with Laplace estimates that evaluate the required marginal densities for a given model. We apply our methodology to financial time series emphasizing the ability to improve estimates of risk characteristics, as well as measuring financial contagion by inspecting changing dependence structures.
The interest of modeling bond yields can be traced both in academics and practitioners. The curre... more The interest of modeling bond yields can be traced both in academics and practitioners. The current crisis that we are going through raises again questions about the drivers of a key variable, defined as the difference between two categories of yields, known as yield spread. Differences between the spreads of different borrowers can indicate the relative riskiness of various categories of debt. Hence, it reflects the markets assessment of default risk.
Copulas have become recently a field of great importance due to their ability to describe complic... more Copulas have become recently a field of great importance due to their ability to describe complicated dependence structures. In particular, copulas model separate the marginal properties and the existing dependence of the data, allowing for flexible and realistic modelling far from simplistic assumptions like normality and linear dependence. Using copulas, the joint density function of the random variables equals to the product of their marginals times a function, that captures dependencies far from linear,i.e., the density of the copula. In addition, the measures of association used share the property of invariance which gives the flexibility to move to monotonic transformations of the variables without being affected. There are several examples that such flexible models are of particular interest. For example, in finance, it is well known, especially after Mandelbrot's studies, that most financial time series are fat -tailed. A lot of papers in the literature have replaced the...
We develop threshold models that allow copula functions or their association parameters changing ... more We develop threshold models that allow copula functions or their association parameters changing across time. The number and location of thresholds is assumed unknown. We use a Markov chain Monte Carlo strategy combined with Laplace estimates that evaluate the required marginal densities for a given model. We apply our methodology to financial time series emphasizing the ability to improve estimates of risk characteristics, as well as measuring financial contagion by inspecting changing dependence structures.
Decision-Making in Computational Design & Technology eJournal, 2021
Modern technology allows people to communicate directly using voice and video calls, emails, inst... more Modern technology allows people to communicate directly using voice and video calls, emails, instant messages traveling from one device to another. Communication is done by maintaining trust in each other without a third party, no matter how far away they are. But when in a communication between two points, it is needed to make a transaction, then the procedures require the trust of a third party to establish trust such as a law firm or a bank, resulting in high costs, fraud, and inefficiency. Blockchain technology is coming to change this regime radically. Blockchain using mathematics and cryptography provides an open and decentralized base of data in each transaction that contains a value such as money, goods, real estate, work, or even notes. Creates a log for each transaction which the whole community can verify. The blockchain combining cryptography and distributed computer systems provide secure, direct peer-to-peer transactions without the need for third parties.
Using a flexible threshold copula model, we investigate the pairwise tail dependence of Eurozone ... more Using a flexible threshold copula model, we investigate the pairwise tail dependence of Eurozone sovereign credit default swap spreads during the period 2008-2013 and we detect clusters of credit default swaps with high tail dependence. Our approach is also useful to inspect the evolution of the loss distribution, as we prove by computing a theoretical portfolio based on Clayton and Gumbel copula for the highest values of the association parameters estimated by the model.
The interest of modeling bond yields can be traced both in academics and practitioners. The curre... more The interest of modeling bond yields can be traced both in academics and practitioners. The current crisis that we are going through raises again questions about the drivers of a key variable, defined as the difference between two categories of yields, known as yield spread. Differences be-tween the spreads of different borrowers can indicate the relative riskiness of various categories of
We develop threshold models that allow copula functions or their association parame-ters changing... more We develop threshold models that allow copula functions or their association parame-ters changing across time. The number and location of thresholds is assumed unknown. We use a Markov chain Monte Carlo strategy combined with Laplace estimates that eval-uate the required marginal densities for a given model. We apply our methodology to financial time series emphasizing the ability to improve estimates of risk characteristics, as well as measuring financial contagion by inspecting changing dependence structures.
The recent financial crisis demonstrated the increasing importance of interrelations among financ... more The recent financial crisis demonstrated the increasing importance of interrelations among financial institutions in terms of systemic risks. By means of a VAR model, we analyze the impact a financial institution has on the systemic risk vulnerability of its connected peers, in a multivariate financial network context. For this purpose, we first construct weekly rebalanced large and small portfolio indexes based on the capitalization level of financial institutions, to control for the size effect on the level of systemic risk. Then we estimate the individual institutions vulnerability level using marginal expected shortfall (MES) systemic risk measure, and we consider the institution interrelations using two MES alternatives: the network based MES (NetMES) and the Bayesian averaging of NetMES. Finally, we investigate if the VAR lead-lag relationship among the the large and small capitalization financial stocks is sustained within the systemic risk vulnerability series of MES, NetMES...
In this paper we take up Bayesian inference for the consumption capital asset pricing model. The ... more In this paper we take up Bayesian inference for the consumption capital asset pricing model. The model has several econometric complications. First, it implies exact relationships between asset returns and the endowment growth rate that will be rejected by all possible realizations. Second, it was thought before that it is not possible to express asset returns in closed form. We show that Labadie's (1989) solution procedure can be applied to obtain asset returns in closed form and, therefore, give an econometric interpretation in terms of traditional measurement error models. We apply the Bayesian inference procedures to the Mehra and Prescott (1985) data set, we provide posterior distributions of structural parameters and posterior predictive asset return distributions, and we use these distributions to assess the existence of asset returns puzzles. JEL codes: C11, C23.
We develop threshold models that allow copula functions or their association parameters changing ... more We develop threshold models that allow copula functions or their association parameters changing across time. The number and location of thresholds is assumed unknown. We use a Markov chain Monte Carlo strategy combined with Laplace estimates that evaluate the required marginal densities for a given model. We apply our methodology to financial time series emphasizing the ability to improve estimates of risk characteristics, as well as measuring financial contagion by inspecting changing dependence structures.
The interest of modeling bond yields can be traced both in academics and practitioners. The curre... more The interest of modeling bond yields can be traced both in academics and practitioners. The current crisis that we are going through raises again questions about the drivers of a key variable, defined as the difference between two categories of yields, known as yield spread. Differences between the spreads of different borrowers can indicate the relative riskiness of various categories of debt. Hence, it reflects the markets assessment of default risk.
Copulas have become recently a field of great importance due to their ability to describe complic... more Copulas have become recently a field of great importance due to their ability to describe complicated dependence structures. In particular, copulas model separate the marginal properties and the existing dependence of the data, allowing for flexible and realistic modelling far from simplistic assumptions like normality and linear dependence. Using copulas, the joint density function of the random variables equals to the product of their marginals times a function, that captures dependencies far from linear,i.e., the density of the copula. In addition, the measures of association used share the property of invariance which gives the flexibility to move to monotonic transformations of the variables without being affected. There are several examples that such flexible models are of particular interest. For example, in finance, it is well known, especially after Mandelbrot's studies, that most financial time series are fat -tailed. A lot of papers in the literature have replaced the...
We develop threshold models that allow copula functions or their association parameters changing ... more We develop threshold models that allow copula functions or their association parameters changing across time. The number and location of thresholds is assumed unknown. We use a Markov chain Monte Carlo strategy combined with Laplace estimates that evaluate the required marginal densities for a given model. We apply our methodology to financial time series emphasizing the ability to improve estimates of risk characteristics, as well as measuring financial contagion by inspecting changing dependence structures.
Decision-Making in Computational Design & Technology eJournal, 2021
Modern technology allows people to communicate directly using voice and video calls, emails, inst... more Modern technology allows people to communicate directly using voice and video calls, emails, instant messages traveling from one device to another. Communication is done by maintaining trust in each other without a third party, no matter how far away they are. But when in a communication between two points, it is needed to make a transaction, then the procedures require the trust of a third party to establish trust such as a law firm or a bank, resulting in high costs, fraud, and inefficiency. Blockchain technology is coming to change this regime radically. Blockchain using mathematics and cryptography provides an open and decentralized base of data in each transaction that contains a value such as money, goods, real estate, work, or even notes. Creates a log for each transaction which the whole community can verify. The blockchain combining cryptography and distributed computer systems provide secure, direct peer-to-peer transactions without the need for third parties.
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