Central Bank Research Hub - JEL classification C58: Financial Econometrics

Title Author(s)

Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis

Bank of Mexico Working Papers [View] (Paper: 2014-09, 31.05.2014)

JEL: C58, F31, G12, G13, G14

ECB monetary policy surprises: identification through cojumps in interest rates

European Central Bank Working papers [View] (Paper: 1674, 13.05.2014)

JEL: C14, C58, E58

Testing the Liquidity Preference Hypothesis using Survey Forecasts

Central Bank of Brazil Working Papers [View] (Paper: 353, 13.04.2014)

JEL: C58, E43, E58

Expectations, risk premia and information spanning in dynamic term structure model estimation

Bank of England Working papers [View] (Paper: wp489, 28.03.2014)

JEL: C58, E43, G12

Forecasting Bond Yields with Segmented Term Structure Models

Central Bank of Brazil Working Papers [View] (Paper: 288, 14.08.2012)

JEL: C53, C58, G12

Bayesian Semiparametric Multivariate GARCH Modeling

Atlanta Fed Working papers [View] (Paper: 2012-09, 23.07.2012)

JEL: C11, C14, C53, C58

Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture

Atlanta Fed Working papers [View] (Paper: 2012-06, 28.04.2012)

JEL: C11, C14, C53, C58

Econometric Modeling of Exchange Rate Volatility and Jumps

St Louis Fed Working Papers [View] (Paper: 2012-008, 04.04.2012)

JEL: C13, C14, C58, F31

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