Central bank research hub - JEL classification C58: Financial Econometrics

The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants

by Henning Fischer and Oscar Stolper

Deutsche Bundesbank Discussion Papers (Paper: 08/2019, 04.03.2019)

JEL: C32, C34, C58, G12
Estimating nominal interest rate expectations: overnight indexed swaps and the term structure

by Simon Lloyd

Bank of England Working Papers (Paper: 763, 02.11.2018)

JEL: C32, C58, E43, E47, G12
Identifying shocks via time-varying volatility

by Daniel J. Lewis

Federal Reserve Bank of New York Staff Reports (Paper: 871, 01.10.2018)

JEL: C32, C58, E20, E62, H30
Dependence of "Fragile Five" and "Troubled Ten" Emerging Markets' Financial System to US Monetary Policy and Monetary Policy Uncertainty

by Meltem Gülenay Chadwick

Central Bank of the Republic of Turkey Working Papers (Paper: 1817, 01.10.2018)

JEL: C58, E52, G15
Relative pricing and risk premia in equity volatility markets

by Peter Van Tassel

Federal Reserve Bank of New York Staff Reports (Paper: 867, 01.09.2018)

JEL: C58, G12, G13
Challenges in Implementing Worst-Case Analysis

by Lerby Ergun , Casper G. de Vries and Jon Danielsson

Bank of Canada Working Papers (Paper: 18-47, 01.09.2018)

JEL: C01, C14, C58
Asymmetric Volatility Spillovers Between Developed and Developing European Countries

by Mattia Bevilacqua

Magyar Nemzeti Bank Working Papers (Paper: 2018/2, 01.08.2018)

JEL: C58, D53, F3, G15
Default Contagion among Credit Types: evidence from Brazilian data

by Giovani Antônio Silva Brito , Theo Cotrim Martins and Michel Alexandre da Silva

Central Bank of Brazil Working Papers (Paper: 476, 20.04.2018)

JEL: C58, G17, G28
The equity risk premium and the low frequency of the term spread

by Conçalo Faria and Fabio Verona

Bank of Finland Research Discussion Papers (Paper: 7/2018, 03.04.2018)

JEL: C58, G11, G12, G17
Clearinghouse-Five: determinants of voluntary clearing in European derivatives markets

by Paweł Fiedor

European Systemic Risk Board Working Papers (Paper: 72, 01.03.2018)

JEL: C58, G28, G32

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