Central Bank Research Hub - JEL classification G12: Asset Pricing; Trading volume; Bond Interest Rates

Title Author(s)

A new approach to modelling banks' equity volatility: Adding time-to-maturity jumps

National Bank of Denmark (Danmarks Nationalbank) Working papers [View] (Paper: DNWP118, 16.08.2017)

JEL: C32, G01, G12, G21, G32

Managing Counterparty Risk in OTC Markets

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2017-083, 15.08.2017)

JEL: G11, G12, G21

Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions

Bank of Canada Working papers [View] (Paper: 2017-33, 10.08.2017)

JEL: E43, F31, G12, G15

Quantitative Easing and LongTerm Yields in Small Open Economies

Bank of Canada Working papers [View] (Paper: 2017-26, 20.07.2017)

JEL: E43, E52, E58, G12

Dealing with dealers: sovereign CDS comovements

Bank of Spain Working Papers [View] (Paper: 1723, 07.07.2017)

JEL: G12, G14

Comparing behavioural heterogeneity across asset classes

Central Bank of Norway (Norges Bank) Working Papers [View] (Paper: 12/2017, 03.07.2017)

JEL: E31, G12, G15

Interest Rate Volatility and Sudden Stops : An Empirical Investigation

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 1209, 01.07.2017)

JEL: E3, E43, F34, F4, G12, G15, O11, O16

Investment Commonality across Insurance Companies : Fire Sale Risk and Corporate Yield Spreads

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2017-069, 28.06.2017)

JEL: G11, G12, G18, G22

When the Walk is Not Random: Commodity Prices and Exchange Rates

IJCB International Journal of Central Banking [View] (Paper: 17q2a04, 01.06.2017)

JEL: F10, F31, G12

Credit ratings of domestic and global agencies: What drives the differences in China and how are they priced?

Bank for International Settlements Working papers [View] (Paper: 648, 01.06.2017)

JEL: G12, G18, G23, G24

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