C Vladimir Rodríguez-Caballero
Biographic Data
| ID | 5766740 |
|---|---|
| NAME | C Vladimir Rodríguez-Caballero |
| GIVEN NAMES | C Vladimir |
| FAMILY NAME | Rodríguez-Caballero |
| SIGNATURE | RODRÍGUEZ-CABALLERO C V |
| AFFILIATIONS | Instituto Tecnológico Autónomo de México |
| ORCID | 0000-0002-3601-7715 |
| VERIFIED | Yes |
| TOTAL WORKS | 4 |
| TOTAL CITATIONS | 4 |
| AUTHOR COUNT | 4 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2022 |
| LATEST PUBLICATION YEAR | 2024 |
| H-INDEX | 1 |
Expecting the unexpected: Stressed scenarios for economic growth
We propose the construction of conditional growth densities under stressed factor scenarios to assess the level of exposure of an economy to small probability but potentially catastrophic economic and/or financial scenarios, which can be either domestic or international. The choice of severe yet plausible stress scenarios is based on the joint probability distribution of the underlying factors driving growth, which are extracted with a multilevel…
The factor structure of exchange rates volatility: Global and intermittent factors
In this paper, we consider a fractionally integrated multi-level dynamic factor model (FI-ML-DFM) to represent commonalities in the hourly evolution of realized volatilities of several international exchange rates. The FI-ML-DFM assumes common global factors active during the 24 h of the day, accompanied by intermittent factors, which are active at mutually exclusive times. We propose determining the number of global factors using a distance amon…
Predicting cryptocurrency crash dates
War, pandemics, and modern economic growth in Europe
This paper contributes to the debate on Europe's modern economic growth using the statistical concept of long-range dependence. Different regimes, defined as periods between two successive endogenously estimated structural shocks, matched episodes of pandemics and war. The most persistent shocks occurred at the time of the Black Death and the twentieth century's world wars. Our findings confirm that the Black Death often resulted in higher income…
War, pandemics, and modern economic growth in Europe
This paper contributes to the debate on Europe's modern economic growth using the statistical concept of long-range dependence. Different regimes, defined as periods between two successive endogenously estimated structural shocks, matched episodes of pandemics and war. The most persistent shocks occurred at the time of the Black Death and the twentieth century's world wars. Our findings confirm that the Black Death often resulted in higher income…
Predicting cryptocurrency crash dates
War, pandemics, and modern economic growth in Europe
This paper contributes to the debate on Europe's modern economic growth using the statistical concept of long-range dependence. Different regimes, defined as periods between two successive endogenously estimated structural shocks, matched episodes of pandemics and war. The most persistent shocks occurred at the time of the Black Death and the twentieth century's world wars. Our findings confirm that the Black Death often resulted in higher income…
Expecting the unexpected: Stressed scenarios for economic growth
We propose the construction of conditional growth densities under stressed factor scenarios to assess the level of exposure of an economy to small probability but potentially catastrophic economic and/or financial scenarios, which can be either domestic or international. The choice of severe yet plausible stress scenarios is based on the joint probability distribution of the underlying factors driving growth, which are extracted with a multilevel…
The factor structure of exchange rates volatility: Global and intermittent factors
In this paper, we consider a fractionally integrated multi-level dynamic factor model (FI-ML-DFM) to represent commonalities in the hourly evolution of realized volatilities of several international exchange rates. The FI-ML-DFM assumes common global factors active during the 24 h of the day, accompanied by intermittent factors, which are active at mutually exclusive times. We propose determining the number of global factors using a distance amon…
Economics (4 works) · Market Dynamics and Volatility (4 works) · Econometrics (3 works) · Complex Systems and Time Series Analysis (2 works) · Computer Science (2 works) · Ancient history (1 works) · Blockchain Technology Applications and Security (1 works) · Business (1 works) · China (1 works) · Computer security (1 works)