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

Title Author(s)

A Comprehensive Look at Financial Volatility Prediction by Economic Variables

Bank for International Settlements Working papers [View] (Paper: 374, 06.03.2012)

JEL: C53, G12, G15, G17

Equity Premium Predictions with Adaptive Macro Indexes

New York Fed Staff reports [View] (Paper: 475, 06.10.2010)

JEL: G17

The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2010-45, 08.09.2010)

JEL: C11, C13, C14, C15, C22, C53, C80, G17

Financial Amplification of Foreign Exchange Risk Premia

New York Fed Staff reports [View] (Paper: 461, 26.07.2010)

JEL: F31, G01, G15, G17

Deriving the term structure of banking crisis risk with a compound option approach: the case of Kazakhstan

Deutsche Bundesbank Banking Supervision Discussion Papers [View] (Paper: 2010/01, 01.06.2010)

JEL: G12, G17, G18, G21, G32

Macro stress tests and crises: what can we learn?

Bank for International Settlements Quarterly Review [View] (Paper: 0912e, 07.12.2009)

JEL: E44, G01, G17

Monetary Tightening Cycles and the Predictabilityof Economic Activity

New York Fed Staff reports [View] (Paper: 397, 06.10.2009)

JEL: E44, E52, G17

Confidence Intervals for Long-Horizon Predictive Regressions via Reverse Regressions

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2009-27, 20.06.2009)

JEL: C12, G12, G17

Forecasting a Large Dimensional Covariance Matrix of a Portfolio of Different Asset Classes

Hong Kong Monetary Authority Working Papers [View] (Paper: WP09_01, 23.01.2009)

JEL: C52, G17, G32

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