Central Bank Research Hub - JEL classification C58: Financial Econometrics

Title Author(s)

Tail comovement in option-implied inflation expectations as an indicator of anchoring

Bank of Italy Working Papers [View] (Paper: 1025, 21.07.2015)

JEL: C14, C58, E31, E44, G13

High-Dimensional Copula-Based Distributions with Mixed Frequency Data

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2015-050, 11.07.2015)

JEL: C32, C51, C58

A New Regression-Based Tail Index Estimator: An Application to Exchange Rates

Bank of Portugal Working papers [View] (Paper: 902, 22.05.2015)

JEL: C58

Bayesian Estimation of Time-Changed Default Intensity Models

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2015-002, 13.04.2015)

JEL: C11, C15, C58, G12, G17

FloGARCH: Realizing long memory and asymmetries in returns volatility

National Bank of Belgium Working Papers [View] (Paper: 0280, 01.04.2015)

JEL: C22, C53, C58, G17

Filtered historical simulation Value-at-Risk models and their competitors

Bank of England Working papers [View] (Paper: wp525, 06.03.2015)

JEL: C58, G18, G32

The Equity Risk Premium: A Review of Models

New York Fed Staff reports [View] (Paper: 714, 27.02.2015)

JEL: C58, G00, G12, G17

Option-Implied Term Structures

New York Fed Staff reports [View] (Paper: 706, 29.12.2014)

JEL: C12, C14, C58, G12, G13, G17

The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited

St Louis Fed Working Papers [View] (Paper: 2014-034, 31.10.2014)

JEL: C13, C14, C32, C58, F31, F37, F65, G15

Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?

Deutsche Bundesbank Discussion Papers [View] (Paper: 24/2014, 17.10.2014)

JEL: C58, E31, E44, G13

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