Central Bank Research Hub - JEL classification C58: Financial Econometrics

Title Author(s)

An indicator of inflation expectations anchoring

Bank of Italy Working Papers [View] (Paper: 1103, 23.02.2017)

JEL: C14, C58, E31, E44, G13

Tail co-movement in inflation expectations as an indicator of anchoring

European Central Bank Working papers [View] (Paper: 1997, 25.01.2017)

JEL: C14, C58, E31, E44, G13

A new indicator of inflation expectations anchoring

European Central Bank Working papers [View] (Paper: 1996, 25.01.2017)

JEL: C14, C58, E31, E44, G13

Forecasting the equity risk premium with frequency-decomposed predictors

Bank of Finland Discussion Papers [View] (Paper: 1/2017, 03.01.2017)

JEL: C58, G11, G12, G17

Pandemic crises in financial systems: a simulation-model to complement stress-testing frameworks.

Bank of France Working Papers [View] (Paper: 621, 01.01.2017)

JEL: C58, E44, E52, G12

Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting

National Bank of Poland Working papers [View] (Paper: 258, 01.01.2017)

JEL: C15, C32, C33, C58, C63, E43, E52, E58

The Term Structure and Inflation Uncertainty

Chicago Fed Working papers [View] (Paper: WP-2016-22, 12.12.2016)

JEL: C58, E43, E44, G12

An Early Warning System for Macro-prudential Policy in France.

Bank of France Working Papers [View] (Paper: 609, 30.11.2016)

JEL: C58, E52, G12

The dynamic factor network model with an application to global credit risk

Boston Fed Working papers [View] (Paper: 16-13, 31.10.2016)

JEL: C32, C58, G15

Simple Estimators for ARCH Models

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2016083, 10.10.2016)

JEL: C13, C22, C58

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