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~institution:"Banca d'Italia"
~institution:"Rimini Centre for Economic Analysis (RCEA)"
~subject:"GARCH"
~subject:"Volatility"
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GARCH
Volatility
volatility
6
stochastic volatility
4
ARCH
3
option pricing
3
growth volatility
2
multiple regimes
2
threshold regression
2
2005): banks with a multinational profile use their informational advantage to arbitrage out the differences in interest rates across countries
1
Asian currency crisis 1997
1
Asset pricing
1
Bayesian MCMC
1
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1
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1
CEV-ARCH
1
Carry Trades
1
Conditional volatility
1
Dirichlet process mixture
1
Exchange rate pass-through
1
Exchange rate volatility
1
GARCH model
1
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1
Hyperbolic decay
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1
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Inequality constraints
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International business cycle
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1
Kalman filter
1
Labour Supply Elasticity
1
Limits to Arbitrage
1
L�vy processes
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MCMC
1
Markov mixture
1
Markov switching GARCH models
1
Model choice
1
Momentum returns
1
Monetary and Real Shocks
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Amisano, Gianni
1
Annicchiarico, Barbara
1
Borin, Alessandro
1
Calzolari, Giorgio
1
Corrado, Luisa
1
Fiorentini, Gabriele
1
Geweke, John
1
Nino, Virginia Di
1
Pelloni, Alessandra
1
Politis, Dimitris N.
1
Sentana, Enrique
1
Thomakos, Dimitrios D.
1
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Banca d'Italia
Rimini Centre for Economic Analysis (RCEA)
National Bureau of Economic Research
494
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
103
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
28
C.E.P.R. Discussion Papers
23
Centre for Analytical Finance <Århus>
19
World Bank
18
International Monetary Fund
17
EconWPA
16
Université Paris-Dauphine (Paris IX)
16
Federal Reserve Bank of St. Louis
13
School of Economics and Management, University of Aarhus
13
Svenska Handelshögskolan <Helsinki>
12
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
11
European University Institute / Department of Economics
11
Internationaler Währungsfonds / Research Department
11
University of Canterbury / Dept. of Economics and Finance
11
Centre for Growth and Business Cycle Research <Manchester>
10
Ekonomiska forskningsinstitutet <Stockholm>
10
European Central Bank
10
Institut für Weltwirtschaft
10
Tinbergen Instituut
10
Chambre de commerce et d'industrie de Paris
9
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
9
Cowles Foundation for Research in Economics, Yale University
9
Department of Economics, Oxford University
9
Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze
9
HAL
9
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9
Agricultural and Applied Economics Association - AAEA
8
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
8
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8
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8
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8
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7
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7
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7
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6
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6
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6
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6
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Working Paper Series / Rimini Centre for Economic Analysis (RCEA)
4
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1
The role of financial investments in agricultural commodity derivatives markets
Borin, Alessandro
;
Nino, Virginia Di
-
Banca d'Italia
-
2012
volatility
of futures prices. The Granger-causality tests suggest that speculative investments usually follow � rather than … associated with lower
volatility
of futures returns, while that of swap dealers is sometimes followed by higher price variations. …
Persistent link: https://www.econbiz.de/10009645788
Saved in:
2
Volatility
, Growth and Labour Elasticity
Annicchiarico, Barbara
;
Corrado, Luisa
;
Pelloni, Alessandra
-
Rimini Centre for Economic Analysis (RCEA)
-
2008
general findings are that monetary shocks
volatility
will generally have a negative effect on growth, while the opposite tends …
Persistent link: https://www.econbiz.de/10005091061
Saved in:
3
Optimal Prediction Pools
Geweke, John
;
Amisano, Gianni
-
Rimini Centre for Economic Analysis (RCEA)
-
2008
returns with prediction models from the ARCH, stochastic
volatility
and Markov mixture families. In this example models that …
Persistent link: https://www.econbiz.de/10005091090
Saved in:
4
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
Fiorentini, Gabriele
;
Calzolari, Giorgio
;
Sentana, Enrique
-
Rimini Centre for Economic Analysis (RCEA)
-
2007
We derive indirect estimators of conditionally heteroskedastic factor models in which the volatilities of common and idiosyncratic factors depend on their past unobserved values by calibrating the score of a Kalman-filter approximation with inequality constraints on the auxiliary model...
Persistent link: https://www.econbiz.de/10005091109
Saved in:
5
NoVaS Transformations: Flexible Inference for
Volatility
Forecasting
Thomakos, Dimitrios D.
;
Politis, Dimitris N.
-
Rimini Centre for Economic Analysis (RCEA)
-
2007
In this paper we contribute several new results on the NoVaS transformation approach for
volatility
forecasting … present a new method for
volatility
forecasting using NoVaS ; (c) we show that the NoVaS methodology is applicable in … processes. This is especially relevant in the context of
volatility
predictions for risk management. We further illustrate the …
Persistent link: https://www.econbiz.de/10005091122
Saved in:
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