Central Bank Research Hub - JEL classification G17: Financial Forecasting and Simulation

Title Author(s)

Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach

Bank of Canada Working papers [View] (Paper: 2016-21, 27.04.2016)

JEL: C1, C12, C14, G0, G01, G1, G17

A comparative analysis of tools to limit the procyclicality of initial margin requirements

Bank of England Working papers [View] (Paper: swp597, 22.04.2016)

JEL: G17

An agent-based model of dynamics in corporate bond trading

Bank of England Working papers [View] (Paper: swp592, 15.04.2016)

JEL: C63, G11, G12, G17

From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2016-027, 07.03.2016)

JEL: G11, G12, G17

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

The credit quality channel: modeling contagion in the interbank market

Deutsche Bundesbank Discussion Papers [View] (Paper: 38/2015, 09.11.2015)

JEL: C63, G01, G17, G21, G28

Real estate markets and macroprudential policy in Europe

European Central Bank Working papers [View] (Paper: 1796, 28.05.2015)

JEL: E5, G01, G17, G28, R39

Nonlinearity and Flight to Safety in the Risk-Return Trade-Off for Stocks and Bonds

New York Fed Staff reports [View] (Paper: 723, 13.04.2015)

JEL: G01, G12, G17

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

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