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

Title Author(s)

A portfolio demand approach for broad money in the euro area

European Central Bank Working papers [View] (Paper: 1929, 05.07.2016)

JEL: C22, C52, E41

Exchange Rate Risk Premium: An Analysis of its Determinants for the Mexican Peso-USD

Bank of Mexico Working Papers [View] (Paper: 2016-11, 01.07.2016)

JEL: C22, C53, C58, G10, G13

Determinants of euro-denominated corporate bond spreads

European Central Bank Working papers [View] (Paper: 1912, 03.06.2016)

JEL: C21, C22, E44, G12

Leading indicator properties of corporate bond spreads, excess bond premia and lending spreads in the euro area

European Central Bank Working papers [View] (Paper: 1911, 03.06.2016)

JEL: C21, C22, E37, E44, G12

On domestic demand and export performance in the euro area countries: does export concentration matter?

European Central Bank Working papers [View] (Paper: 1909, 25.05.2016)

JEL: C22, E03, F10

Covariate-augmented unit root tests with mixed-frequency data

Bank of Portugal Working papers [View] (Paper: 869, 01.05.2016)

JEL: C12, C15, C22

A Functional Approach to Test Trending Volatility

Bank of Mexico Working Papers [View] (Paper: 2016-04, 27.04.2016)

JEL: C22, C51, E31, Q18

Unit Root Testing in ARMA Models: A Likelihood Ratio Approach

Bank of Mexico Working Papers [View] (Paper: 2016-03, 27.04.2016)

JEL: C22

The dynamic Black-Litterman approach to asset allocation

Bank of England Working papers [View] (Paper: swp596, 22.04.2016)

JEL: C22, C53, G11

A data-driven selection of an appropriate seasonal adjustment approach

Deutsche Bundesbank Discussion Papers [View] (Paper: 07/2016, 19.04.2016)

JEL: C13, C14, C22

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