Central Bank Research Hub - JEL classification C58: Financial Econometrics

Title Author(s)

Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets

Central Bank of Brazil Working Papers [View] (Paper: 415, 08.01.2016)

JEL: C58, G11, G17

Volatility contagion: new evidence from market pricing of volatility risk

Bank of England Working papers [View] (Paper: swp552, 25.09.2015)

JEL: C58, F36, G12, G13, G15

Financialisation of the commodity markets. Conclusions from the VARX DCC GARCH

National Bank of Poland Working papers [View] (Paper: 213, 18.09.2015)

JEL: C32, C58, E44, Q2

Extreme downside risk and financial crises

Bank of England Working papers [View] (Paper: swp547, 11.09.2015)

JEL: C13, C14, C58, G10, G11, G12

Tail comovement in option-implied inflation expectations as an indicator of anchoring

Bank of Italy Working Papers [View] (Paper: 1025, 21.07.2015)

JEL: C14, C58, E31, E44, G13

High-Dimensional Copula-Based Distributions with Mixed Frequency Data

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2015-050, 11.07.2015)

JEL: C32, C51, C58

A New Regression-Based Tail Index Estimator: An Application to Exchange Rates

Bank of Portugal Working papers [View] (Paper: 902, 22.05.2015)

JEL: C58

Bayesian Estimation of Time-Changed Default Intensity Models

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2015-002, 13.04.2015)

JEL: C11, C15, C58, G12, G17

FloGARCH: Realizing long memory and asymmetries in returns volatility

National Bank of Belgium Working Papers [View] (Paper: 0280, 01.04.2015)

JEL: C22, C53, C58, G17

Filtered historical simulation Value-at-Risk models and their competitors

Bank of England Working papers [View] (Paper: wp525, 06.03.2015)

JEL: C58, G18, G32

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