Central Bank Research Hub - JEL classification C22: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

Title Author(s)

Quantifying Uncertainty and Identifying its Impacts on the Turkish Economy

Central Bank of the Republic of Turkey Working Papers [View] (Paper: 1806, 06.02.2018)

JEL: C22, C52, D81, E32

Positive liquidity spillovers from sovereign bond-backed securities

European Systemic Risk Board Working papers [View] (Paper: 67, 30.01.2018)

JEL: C22, C53, C58, C63, E44, G12, G24

Markov-switching three-pass regression filter

Bank of Spain Working Papers [View] (Paper: 1748, 28.12.2017)

JEL: C22, C23, C53

Clustering regional business cycles

Bank of Spain Working Papers [View] (Paper: 1744, 13.12.2017)

JEL: C22, C32, E32, R11

The Great Globalization and Changing Inflation Dynamics

IJCB International Journal of Central Banking [View] (Paper: 6, 01.12.2017)

JEL: C22, E31, E37, E52, E58

Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression

Central Bank of Brazil Working Papers [View] (Paper: 466, 07.11.2017)

JEL: C14, C22, C53, F31, G17

Testing for Differences in Path Forecast Accuracy: Forecast-Error Dynamics Matter

Cleveland Fed Working papers [View] (Paper: 1717, 03.11.2017)

JEL: C12, C22, C52, C53

Low frequency drivers of the real interest rate: a band spectrum regression approach

Bank of Italy Working Papers [View] (Paper: 1132, 27.09.2017)

JEL: C22, E43

Are daily financial data useful for forecasting GDP? Evidence from Mexico

Bank of Mexico Working Papers [View] (Paper: 2017-17, 23.09.2017)

JEL: C22, C53, E37

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

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