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International financial integration, crises and monetary policy : evidence from euro area interbank crises

Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - 2017

Persistent link: https://www.econbiz.de/10011686970

International financial integration, crises and monetary policy : evidence from the euro area interbank crises

Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - 2017

Persistent link: https://www.econbiz.de/10011697371

International financial integration, crises, and monetary policy : evidence from the Euro area interbank crises international financial integration, crises, and monetary policy : e...

Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - 2017 - This version: July, 2017

We analyze how financial crises affect international financial integration, exploiting euro area proprietary interbank …

Persistent link: https://www.econbiz.de/10011704823

Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models

Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015

This paper applies Markov-switching multifractal (MSM) processes to model and forecast carbon dioxide (CO2) emission price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH) and the two-state Markov-switching GARCH (MS-GARCH)...

Persistent link: https://www.econbiz.de/10011296114