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

Title Author(s)

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

Central Counterparty Loss Allocation and Transmission of Financial Stress

Reserve Bank of Australia Research Discussion Papers [View] (Paper: RDP2015-02, 18.03.2015)

JEL: E42, G17

The Equity Risk Premium: A Review of Models

New York Fed Staff reports [View] (Paper: 714, 27.02.2015)

JEL: C58, G00, G12, G17

A forecast evaluation of expected equity return measures

Bank of England Working papers [View] (Paper: wp520, 16.01.2015)

JEL: G10, G11, G12, G17

Option-Implied Term Structures

New York Fed Staff reports [View] (Paper: 706, 29.12.2014)

JEL: C12, C14, C58, G12, G13, G17

Assessing the Forecast Ability of Risk-Neutral Densities and Real-World Densities from Emerging Markets Currencies

Central Bank of Brazil Working Papers [View] (Paper: 370, 13.12.2014)

JEL: C13, C53, E47, F31, G17

How is the low-interest-rate environment affecting the solvency of German life insurers?

Deutsche Bundesbank Discussion Papers [View] (Paper: 27/2014, 27.10.2014)

JEL: G17, G22, G28

Explaining Exchange Rate Anomalies in a Model with Taylor-rule Fundamentals and Consistent Expectations

San Francisco Fed Working Papers [View] (Paper: 2014-22, 23.09.2014)

JEL: D83, D84, E44, F31, G17

Endogenous Derivative Networks

Bank of France Working Papers [View] (Paper: 483, 08.07.2014)

JEL: G11, G17, G28

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