Central Bank Research Hub - JEL classification C58: Financial Econometrics

Title Author(s)

Housing prices and mortgage credit in Luxembourg

Central Bank of Luxembourg Working Papers [View] (Paper: 117, 15.02.2018)

JEL: C58, G12, G18, R31

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

How effective are sovereign bond-backed securities as a spillover prevention device?

European Systemic Risk Board Working papers [View] (Paper: 66, 30.01.2018)

JEL: C58, G11, G12, G17

Tail Co-movement in Inflation Expectations as an Indicator of Anchoring

IJCB International Journal of Central Banking [View] (Paper: 2, 01.01.2018)

JEL: C14, C58, E31, E44, G13

A cost-benefit analysis of capital requirements for the Danish economy

National Bank of Denmark (Danmarks Nationalbank) Working papers [View] (Paper: DNWP123, 15.12.2017)

JEL: C01, C10, C18, C58, E32, E37, E44

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

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