Central Bank Research Hub - JEL classification G12: Asset Pricing; Trading volume; Bond Interest Rates

Title Author(s)

Measuring Limits of Arbitrage in Fixed-Income Markets

Bank of Canada Working papers [View] (Paper: 17-44, 01.10.2017)

JEL: G12

A Counterfactual Valuation of the Stock Index as a Predictor of Crashes

Bank of Canada Working papers [View] (Paper: 2017-38, 21.09.2017)

JEL: C50, C58, G12, G17, G19

Asset returns, news topics, and media effects

Central Bank of Norway (Norges Bank) Working Papers [View] (Paper: 17/2017, 20.09.2017)

JEL: C5, C8, G12

Term Structure Analysis with Big Data

San Francisco Fed Working Papers [View] (Paper: 2017-21, 15.09.2017)

JEL: C55, C58, G12, G17

Firm-Specific Risk-Neutral Distributions : The Role of CDS Spreads

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 1212, 31.08.2017)

JEL: G12, G13, G14

Does Extreme Rainfall Lead to Heavy Economic Losses in the Food Industry?

Central Bank of Brazil Working Papers [View] (Paper: 462, 18.08.2017)

JEL: G12, G31

Monetary policy, stock market and sectoral comovement

Bank of Spain Working Papers [View] (Paper: 1731, 18.08.2017)

JEL: C32, E44, G12

Liquidity in the Repo Market

Swiss National Bank Working Papers [View] (Paper: 2017-06, 17.08.2017)

JEL: G01, G12, G21

A new approach to modelling banks' equity volatility: Adding time-to-maturity jumps

National Bank of Denmark (Danmarks Nationalbank) Working papers [View] (Paper: DNWP118, 16.08.2017)

JEL: C32, G01, G12, G21, G32

Managing Counterparty Risk in OTC Markets

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2017-083, 15.08.2017)

JEL: G11, G12, G21

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