Central Bank Research Hub - JEL classification C14: Semiparametric and Nonparametric Methods

Title Author(s)

Credit risk connectivity in the financial industry and stabilization effects of government bailouts

Deutsche Bundesbank Discussion Papers [View] (Paper: 16/2012, 25.07.2012)

JEL: C14, G14, G21, H12

Bayesian Semiparametric Multivariate GARCH Modeling

Atlanta Fed Working papers [View] (Paper: 2012-09, 23.07.2012)

JEL: C11, C14, C53, C58

Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture

Atlanta Fed Working papers [View] (Paper: 2012-06, 28.04.2012)

JEL: C11, C14, C53, C58

Econometric Modeling of Exchange Rate Volatility and Jumps

St Louis Fed Working Papers [View] (Paper: 2012-008, 04.04.2012)

JEL: C13, C14, C58, F31

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

Bank heterogeneity and monetary policy transmission,

European Central Bank Working papers [View] (Paper: 1233, 16.08.2010)

JEL: C14, E44, E52, G21

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation

New York Fed Staff reports [View] (Paper: 465, 05.08.2010)

JEL: C14, C15, C22, C80, G10

Bubbles and incentives: a post-mortem of the Neuer Markt in Germany

Deutsche Bundesbank Discussion Papers [View] (Paper: 201015, 26.07.2010)

JEL: C14, C21, D82, D83, D92, G32

Nelson-Siegel, affine and quadratic yield curve specifications: which one is better at forecasting?,

European Central Bank Working papers [View] (Paper: 1205, 25.06.2010)

JEL: C14, C15, G12

Bootstrapping Density-Weighted Average Derivatives

New York Fed Staff reports [View] (Paper: 452, 28.05.2010)

JEL: C12, C14, C21, C24

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