Miguel C. Herculano

University of Nottingham

Sir Clive Granger Building

Universit Park

Nottingham, Nottinghamshire NG72RD

United Kingdom

http://https://mcherculano.github.io/

  • University of Nottingham

SCHOLARLY PAPERS

4

DOWNLOADS

326

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

Actions:
Email selected abstracts
1.

Investor Sentiment and Global Economic Conditions

Number of pages: 38 Posted: 18 Feb 2021 Last Revised: 29 Sep 2022
Miguel C. Herculano and Eva Luetkebohmert
University of Nottingham and University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN
Downloads 119 (357,394)

Abstract:

Loading...

Business Cycles, Hierarchical Dynamic Factor Model, Stock Market Sentiment.

2.

Dynamic CoVaR

Number of pages: 36 Posted: 23 Sep 2021 Last Revised: 03 Nov 2022
Jorge Pinheiro, Yannis Tsafos and Miguel C. Herculano
University of Glasgow, University of Glasgow and University of Nottingham
Downloads 117 (363,987)

Abstract:

Loading...

Value at risk, Systemic Risk, Risk Spillovers, Time-varying VaR

3.

Growth Fragility and Systemic Risk Under Model Uncertainty

Number of pages: 31 Posted: 12 May 2021
Miguel C. Herculano
University of Nottingham
Downloads 46 (607,395)

Abstract:

Loading...

Quantile Regression, Systemic Risk, Growth Fragility, Forecasting

4.

Contagion, Not Only Interconnection: Measuring the Transmission of Financial Distress

Number of pages: 53 Posted: 23 May 2021
Miguel C. Herculano
University of Nottingham
Downloads 44 (618,308)

Abstract:

Loading...

Financial Contagion, Financial Distress, Probability of Default, Bayesian Methods.