Central Bank Research Hub - JEL classification C58: Financial Econometrics

Title Author(s)

On the Tail Risk Premium in the Oil Market

Bank of Canada Working papers [View] (Paper: 17-46, 20.11.2017)

JEL: C53, C58, D84, E44, G12, G13, Q43

An analytical framework to calibrate macroprudential policy

Bank of France Working Papers [View] (Paper: 648, 30.10.2017)

JEL: C58, E32, E44, G21

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

A Counterfactual Valuation of the Stock Index as a Predictor of Crashes

Bank of Canada Working papers [View] (Paper: 2017-38, 21.09.2017)

JEL: C50, C58, G12, G17, G19

Term Structure Analysis with Big Data

San Francisco Fed Working Papers [View] (Paper: 2017-21, 15.09.2017)

JEL: C55, C58, G12, G17

Mildly Explosive Dynamics in U.S. Fixed Income Markets

Dallas Fed Institute Working Papers [View] (Paper: 324, 01.08.2017)

JEL: C58, G01

Financial crises and the dynamic linkages between stock and bond returns

Deutsche Bundesbank Discussion Papers [View] (Paper: 17/2017, 20.06.2017)

JEL: C32, C58, G15

SenSR: A sentiment-based systemic risk indicator

Netherlands Bank DNB Working Papers [View] (Paper: 553, 01.04.2017)

JEL: C58, G01, G17, G18

An indicator of inflation expectations anchoring

Bank of Italy Working Papers [View] (Paper: 1103, 23.02.2017)

JEL: C14, C58, E31, E44, G13

Tail co-movement in inflation expectations as an indicator of anchoring

European Central Bank Working papers [View] (Paper: 1997, 25.01.2017)

JEL: C14, C58, E31, E44, G13

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