Central Bank Research Hub - JEL classification C58: Financial Econometrics

Title Author(s)

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

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

Modeling and Forecasting Daily Financial and Commodity Term Structures: A Unified Global Approach

South African Reserve Bank Working Papers [View] (Paper: 16/08, 27.04.2016)

JEL: C58, G15

Time-varying Volatility and the Power Law Distribution of Stock Returns

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2016-022, 02.03.2016)

JEL: C58, D30, G12

Systemic risk rankings and network centrality in the European banking sector

European Central Bank Working papers [View] (Paper: 1848, 22.02.2016)

JEL: C52, C58, G15, G21

Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets

Central Bank of Brazil Working Papers [View] (Paper: 415, 08.01.2016)

JEL: C58, G11, G17

Volatility contagion: new evidence from market pricing of volatility risk

Bank of England Working papers [View] (Paper: swp552, 25.09.2015)

JEL: C58, F36, G12, G13, G15

Financialisation of the commodity markets. Conclusions from the VARX DCC GARCH

National Bank of Poland Working papers [View] (Paper: 213, 18.09.2015)

JEL: C32, C58, E44, Q2

Related JEL classifications

Browse all JEL classifications