Central bank research hub - JEL classification C58: Financial Econometrics

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, 02.04.2019)

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 Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility

by Rodrigo Hizmeri , Marwan Izzeldin , Mike G. Tsionas and Anthony Murphy

Federal Reserve Bank of Dallas Working Papers (Paper: 1902, 28.03.2019)

JEL: C22, C51, C53, C58
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

Related JEL classifications

Browse all JEL classifications