Central Bank Research Hub - JEL classification C58: Financial Econometrics

Title Author(s)

Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2017-095, 22.09.2017)

JEL: C20, C22, C53, C58

A Counterfactual Valuation of the Stock Index as a Predictor of Crashes

Bank of Canada Working papers [View] (Paper: 2017-38, 21.09.2017)

JEL: C50, C58, G12, G17, G19

Financial crises and the dynamic linkages between stock and bond returns

Deutsche Bundesbank Discussion Papers [View] (Paper: 17/2017, 20.06.2017)

JEL: C32, C58, G15

An indicator of inflation expectations anchoring

Bank of Italy Working Papers [View] (Paper: 1103, 23.02.2017)

JEL: C14, C58, E31, E44, G13

Tail co-movement in inflation expectations as an indicator of anchoring

European Central Bank Working papers [View] (Paper: 1997, 25.01.2017)

JEL: C14, C58, E31, E44, G13

A new indicator of inflation expectations anchoring

European Central Bank Working papers [View] (Paper: 1996, 25.01.2017)

JEL: C14, C58, E31, E44, G13

Forecasting the equity risk premium with frequency-decomposed predictors

Bank of Finland Discussion Papers [View] (Paper: 1/2017, 03.01.2017)

JEL: C58, G11, G12, G17

An Early Warning System for Macro-prudential Policy in France.

Bank of France Working Papers [View] (Paper: 609, 30.11.2016)

JEL: C58, E52, G12

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

Options-Implied Probability Density Functions for Real Interest Rates

IJCB International Journal of Central Banking [View] (Paper: 16q3a03, 01.09.2016)

JEL: C58, E43, G12

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