Central bank research hub - JEL classification C58: Financial Econometrics

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
Estimación de un Índice de Condiciones Financieras para el Perú

by Fernando Pérez and Rafael Nivín

Central Reserve Bank of Peru Working Papers (Paper: 2019-006, 01.05.2019)

JEL: C58, G10
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
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
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

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