ERC FUNDED PROJECTS

The research project has two broad objectives and provides novel results in the literature of structural change or change-point tests. The first objective is to provide two new methods for restoring the non-monotone power problem of a large family of structural breaks tests that have been widely used in econometrics and statistics, as well as to show that these methods have additional contributions and can be extended to: (i) tests for a change in persistence, (ii) partial sums tests of cointegration and (iii) tests for changes in dynamic volatility models. The significance of these methods is demonstrated via the consistency of the long-run variance estimator which scales the change-point statistics, the asymptotic properties of the tests, their finite sample performance and their relevance in empirical applications and policy analysis. The second objective is threefold: First, to show that ignoring structural changes in financial time series yields biased and inconsistent risk management (Value at Risk, VaR and Excess Shortfall, ES) estimates and consequently leads to investment misallocations. Second, to propose methods for evaluating the stability of financial time series sequentially or on-line which can be used as a quality control procedure for financial risk management as well as to show that monitoring implied volatilities yields early warning indicators of a changing risk structure. Moreover we show that model averaging in the presence of structural breaks as well as other model uncertainties involved in risk management estimates, can provide robust estimates of VaR and ES. New results are derived on the optimal weights for model averaging in the context of dynamic volatility models and asymmetric loss functions. Third, we propose a novel way to construct prediction-based change-point statistics that reduce the detection delay of existing sequential tests and provide a probability about the likelihood of a structural change.

517 200 €

Start date: 2008-09-01, End date: 2013-08-31

THE OBJECTIVE of this project is to explore the various ways in which the histories of the Balkan peoples were shared, connected and entangled, and in some cases became structurally inter-dependent in the course of the nineteenth and the twentieth centuries; also to explore transfers and crossings within the region and from Western Europe and Russia. What is offered is a provisional open-ended and long-term research program guided by a general paradigm , frame of reference and key concepts. I would rather keep the project open and flexible with regard to substantial issues, though with a clear vision of the general (transnational) perspective. A list of topics includes national and social movements, disputed territories, minorities and refugees, cultural and political transfers. The variegated topics demand expertise in different areas and a trans-disciplinary and inter-disciplinary treatment without regard to established disciplinary boundaries. Systematically applying the transnational and relational perspective to the study of a region as complex as the Balkans has huge cognitive potential and innovative power. The new perspective and cutting-edge methodologies will reveal fresh vistas and bring insights to a number of topics that cannot be restricted in advance. Older research objects will look different and acquire new meanings in the new context and entirely new historical objects will be constituted. The national paradigm of self-contained national histories will be challenged. Such a project may well have wider social and political relevance. There is a positive and integrative value in showing how entangled the histories of the present-day Balkan nations and states were and still are. I would like to imagine such research as promoting good relations rather than fostering divisiveness and separation. This project will also be an input to the European integration of the region, which will hopefully involve the rest of the Balkans in the near future.

1 560 000 €

Start date: 2009-01-01, End date: 2014-06-30

The principal aim of the Project is an unprecedented synthetic volume on the history of modern political thought in East Central Europe. It is not meant to be compartmentalized according to national sub-chapters but based on a diachronic analysis especially sensitive to transnational discursive phenomena (e.g. the ideological traditions transcending national borders such as liberalism, socialism, conservatism, federalism), and being equally open to supra-national and sub-national (regional) frameworks, where different national projects were interacting. The project entails the task of “redescription” and conceptual transfer, i.e. finding a regional and trans-culturally acceptable set of analytical categories, as well as new knowledge-production – answering questions about the basic components of European political thought, formulated on the basis of a regional and trans-regional comparative analysis. It also necessitates the “trading” of concepts: both in the direction of inserting specific historical experiences and analytical categories into European circulation, and also testing the value of the interpretative models linked to such notions as “populism”. The project thus aims neither at a compendium of case-studies nor at a deductive Area Studies-type of approach that tends to eliminate differences to forge a general narrative. What it seeks to produce instead is a cross-cultural “synthesis”– the work of a compact team of multi-national composition, skilled in comparative research and drawing on the recent upsurge of transnational historiography. By shifting the reference point of historical thinking from the “West” to the cross-European experience with a special emphasis on East-Central Europe, in other words, the project seeks to rethink the history of the “negotiation of political modernity,” moving from “moral ethnocentrism” and oversimplification towards a more encompassing notion of what constitutes the European intellectual heritage.

689 579 €

Start date: 2008-04-01, End date: 2013-04-30