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Central bank research hub - JEL classification C58: Financial Econometrics

Frequency-domain information for active portfolio management

by Fabio Verona and Gonçalo Faria

Bank of Finland Research Discussion Papers (Paper: 2/2020, 09.01.2020)

JEL: C58, G11, G17

Corporate earnings sensitivity to FX volatility and currency exposure: evidence from Peru

by Alberto Humala

Central Reserve Bank of Peru Working Papers (Paper: 2019-021, 01.12.2019)

JEL: C33, C58, F31, G32

Tail Index Estimation: Quantile-Driven Threshold Selection

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

Bank of Canada Working Papers (Paper: 19-28, 01.08.2019)

JEL: C01, C14, C58

Measuring contagion risk in international banking

by Paolo Giudici , Stefan Avdjiev and Alessandro Spelta

Bank for International Settlements BIS Working Papers (Paper: 796, 01.07.2019)

JEL: C58, C63, G01

Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects

by Daniel J. Lewis

Federal Reserve Bank of New York Staff Reports (Paper: 891, 01.06.2019)

JEL: C32, C58, E44, E52, E58

Decomposing changes in the functioning of the sterling repo market

by Joseph Noss and Rupal Patel

Bank of England Working Papers (Paper: 797, 03.05.2019)

JEL: C58, G10, G12, G18, G23

Labor Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects

by Kerem Tuzcuoglu

Bank of Canada Working Papers (Paper: 19-16, 01.05.2019)

JEL: C23, C25, C58, G24

Consumer Lending Efficiency:Commercial Banks Versus A Fintech Lender

by Julapa Jagtiani , Choon-Geol Moon and Joseph P. Hughes

Federal Reserve Bank of Philadelphia Working Papers (Paper: 19-22, 01.04.2019)

JEL: C58, G21, L25

Quantification of feedback effects in FX options markets

by Benjamin Anderegg , Didier Sornette and Florian Ulmann

Swiss National Bank SNB Working Papers (Paper: 2019-03, 01.04.2019)

JEL: C32, C51, C55, C58, C80, G12, G15, G21, G23, G32

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

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Related JEL classifications

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- C50: General (43 entries)
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