Central Bank Research Hub - JEL classification C15: Simulation Methods

Title Author(s)

Combination schemes for turning point predictions

Central Bank of Norway (Norges Bank) Working Papers [View] (Paper: 2012/04, 10.04.2012)

JEL: C11, C15, C53, E37

Stress testing German banks against a global cost-of-capital shock

Deutsche Bundesbank Discussion Papers [View] (Paper: 201204, 07.03.2012)

JEL: C13, C15, G21, G33

Systemic risk contributions: a credit portfolio approach

Deutsche Bundesbank Discussion Papers [View] (Paper: 08/2011, 20.05.2011)

JEL: C15, C63, E58, G01, G21

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

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

The Growth-Volatility Relationship: New Evidence Based on Stochastic Volatility in Mean Models

Bank of France Working Papers [View] (Paper: Nr 285, 06.07.2010)

JEL: C15, E32, O40

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

The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance

Bank of Portugal Working papers [View] (Paper: 201011, 23.06.2010)

JEL: C12, C15, C52

A systematic approach to multi-period stress testing of portfolio credit risk

Bank of Spain Working Papers [View] (Paper: 1018, 18.06.2010)

JEL: C15, G20, G28, G32

Attributing systemic risk to individual institutions, May 2010

Bank for International Settlements Working papers [View] (Paper: 308, 17.05.2010)

JEL: C15, C71, G20, G28

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