Central Bank Research Hub - JEL classification G17: Financial Forecasting and Simulation

Title Author(s)

SenSR: A sentiment-based systemic risk indicator

Netherlands Bank DNB Working Papers [View] (Paper: 553, 01.04.2017)

JEL: C58, G01, G17, G18

Volatility risk premia and future commodities returns

Bank for International Settlements Working papers [View] (Paper: 619, 23.03.2017)

JEL: F37, G15, G17, Q02

Financial Nowcasts and Their Usefulness in Macroeconomic Forecasting

Cleveland Fed Working papers [View] (Paper: 1702, 17.03.2017)

JEL: C11, C32, C53, G17

The inflation risk premium in the post-Lehman period

European Central Bank Working papers [View] (Paper: 2033, 13.03.2017)

JEL: E44, G17

Macro stress testing euro area banks' fees and commissions

European Central Bank Working papers [View] (Paper: 2029, 27.02.2017)

JEL: G01, G17, G21

Expected Currency Returns and Volatility Risk Premia

Central Bank of Brazil Working Papers [View] (Paper: 454, 24.01.2017)

JEL: F31, F37, G12, G15, G17

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

Forecasting stock market returns by summing the frequency-decomposed parts

Bank of Finland Discussion Papers [View] (Paper: 29/2016, 28.11.2016)

JEL: G11, G12, G14, G17

Intraday Market Making with Overnight Inventory Costs

New York Fed Staff reports [View] (Paper: 799, 10.10.2016)

JEL: G01, G12, G17

Global Price of Risk and Stabilization Policies

New York Fed Staff reports [View] (Paper: 786, 11.08.2016)

JEL: G01, G12, G17

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