Pawel J. Szerszen - Central Bank Research Hub

Papers by year: All | 2015 | 2014 | 2013 | 2010 | 2009

Title Other author(s)

Bayesian Estimation of Time-Changed Default Intensity Models

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2015-002, 13.04.2015)

JEL: C11, C15, C58, G12, G17

An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2014-21, 28.03.2014)

JEL: G01, G21, G28

Expectations of functions of stochastic time with application to credit risk modeling

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2013-14, 26.03.2013)

The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2010-45, 08.09.2010)

JEL: C11, C13, C14, C15, C22, C53, C80, G17

Bayesian Analysis of Stochastic Volatility Models with Levy Jumps: Application to Risk Analysis

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2009-40, 15.10.2009)

JEL: C1, C11, G1, G12

Papers by year: All | 2015 | 2014 | 2013 | 2010 | 2009