sulkhan.chavleishvili[at]econ.au.dk
Aarhus BSS
Fuglesangs Allé 4, building 2621, 5
8210 Aarhus V
Denmark
Publications
Chavleishvili, S. (2025)
Modeling Asymmetric Tail Dependence in a Non-Gaussian Framework, Econometric Reviews, 1–29.
Chavleishvili, S., & Kremer, M. (2025)
CISS of death: measuring financial crises in real time, Review of Finance, rfaf013.
Chavleishvili, S., & Moench, E. (2025)
Natural disasters as macroeconomic tail risks, Journal of Econometrics, Volume 247, 105914.
Chavleishvili, S., & Manganelli, S. (2024)
Forecasting and stress testing with quantile vector autoregression. Journal of Applied Econometrics, 39(1), 66–85.
Working Papers
Chavleishvili, S., Engle, R., Fahr, S., Kremer, M., Lund-Thomsen, F., Manganelli, S., and Schwaab, B.
The risk management approach to macro-prudential policy.
[PDF] [Online Appendix] [ECB WP] [R&R in Journal of Econometrics]
Chavleishvili, S., Kremer, M. and Lund-Thomsen, F.
Quantifying financial stability trade-offs for monetary policy
[PDF] [Online Appendix] [ECB WP] [Revision requested by IJCB]
Chavleishvili, S.
A Score-driven CAViaR model
Chavleishvili, S.
Structural density forecasts and counterfactual analysis
Active Projects
Chavleishvili, S.
Structural quantile autoregression identified through external instruments
Chavleishvili, S. and Moench, E.
Panel quantile vector autoregressions
Chavleishvili, S.
Dynamic Score-Driven Filter in Matching Conditional Characteristic Functions
Chavleishvili, S.
Dynamic stochastic quantiles