Central Bank Research Hub - JEL classification C22: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

Title Author(s)

Modeling and Forecasting Interval Time Series with Threshold Models: An Application to S&P500 Index Returns

Bank of Portugal Working papers [View] (Paper: 646, 13.10.2016)

JEL: C12, C22, C52, C53

Simple Estimators for ARCH Models

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2016083, 10.10.2016)

JEL: C13, C22, C58

Vulnerable Growth

New York Fed Staff reports [View] (Paper: 794, 29.09.2016)

JEL: C22, E17, E37

A bottom-up approach for forecasting GDP in a data rich environment

Bank of Portugal Working papers [View] (Paper: 934, 15.09.2016)

JEL: C22, C53

A wavelet-based multivariate multiscale approach for forecasting

Bank of Portugal Working papers [View] (Paper: 930, 12.09.2016)

JEL: C22, C40, C53

Forecasting banking crises with dynamic panel probit models

Bank of Portugal Working papers [View] (Paper: 931, 12.09.2016)

JEL: C12, C22

Rationality of announcements, business cycle asymmetry, and predictabilityof revisions. The case of French GDP

Bank of France Working Papers [View] (Paper: 600, 05.09.2016)

JEL: C22, C52, E37

Detecting imbalances in house prices: What goes up must come down?

Central Bank of Norway (Norges Bank) Working Papers [View] (Paper: 11/2016, 09.08.2016)

JEL: C22, C32, C51, C52, C53, G01, R21

Exhange rate linkages between the Asean currencies, the US dollar and the Chinese RMB

Bank of Finland Discussion Papers [View] (Paper: 20/2016, 01.08.2016)

JEL: C22, F31

Linking excessive disinflation and output movements in an emerging, small open economy. A hybrid New Keynesian Phillips Curve perspective

National Bank of Poland Working papers [View] (Paper: 239, 26.07.2016)

JEL: C13, C22, E31

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