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  • Search: subject:"Bayesian DCC"
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Year of publication
Subject
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Bayesian DCC 4 interest rate risk 4 maturity transformation 4 Bayesian DCC M-GARCH model 3 correlation 3 density forecasting 3 Estimation 2 Euro area 2 Eurozone 2 Interest rate risk 2 Oil price 2 Schätzung 2 Theorie 2 Theory 2 Yield curve 2 Zinsrisiko 2 Zinsstruktur 2 bank stock returns 2 stock price 2 swings in the yield curve 2 term structure of interest rates 2 ARCH model 1 ARCH-Modell 1 Bank 1 Bank risk 1 Bankrisiko 1 Bayesian DCC M‐GARCH model 1 Bayesian dynamic conditional correlation 1 Capital income 1 Commodity prices 1 Correlation 1 Density forecasting 1 EU countries 1 EU-Staaten 1 Fälligkeit 1 Kapitaleinkommen 1 Maturity 1 Stock price 1 equity prices 1 oil price 1
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Online availability
All
Free 8
Type of publication
All
Book / Working Paper 6 Article 2
Type of publication (narrower categories)
All
Working Paper 3 Arbeitspapier 1 Article 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1
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Language
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English 5 Undetermined 3
Author
All
Foos, Daniel 4 Lütkebohmert, Eva 4 Markovych, Mariia 4 Pliszka, Kamil 4 Ravazzolo, Francesco 3 Lombardi, Marco J. 2 Lombardi, Marco Jacopo 2
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Institution
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Bank for International Settlements (BIS) 1 Centre for Applied Macro- and Petroleum economics (CAMP), BI Handelshøyskolen 1 Norges Bank 1
Published in...
All
BIS Working Papers 1 Bundesbank Discussion Paper 1 Discussion paper 1 European Financial Management 1 European financial management : the journal of the European Financial Management Association 1 Working Paper 1 Working Paper / Norges Bank 1 Working Papers / Centre for Applied Macro- and Petroleum economics (CAMP), BI Handelshøyskolen 1
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Source
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EconStor 3 RePEc 3 ECONIS (ZBW) 2
Showing 1 - 8 of 8
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Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve
Foos, Daniel; Lütkebohmert, Eva; Markovych, Mariia; … - In: European Financial Management 28 (2022) 4, pp. 883-925
the Bayesian DCC M‐GARCH model. Our findings reveal that stock price sensitivities change over time and that, on average …
Persistent link: https://www.econbiz.de/10013380592
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Cover Image
Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve
Foos, Daniel; Lütkebohmert, Eva; Markovych, Mariia; … - In: European financial management : the journal of the … 28 (2022) 4, pp. 883-925
Persistent link: https://www.econbiz.de/10013415731
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Cover Image
Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve
Foos, Daniel; Lütkebohmert, Eva; Markovych, Mariia; … - 2017
pursued a more risky maturity transformation strategy. First, we use the Bayesian DCC M-GARCH model to assess banks' stock …
Persistent link: https://www.econbiz.de/10011714655
Saved in:
Cover Image
Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve
Foos, Daniel; Lütkebohmert, Eva; Markovych, Mariia; … - 2017
pursued a more risky maturity transformation strategy. First, we use the Bayesian DCC M-GARCH model to assess banks' stock …
Persistent link: https://www.econbiz.de/10011712563
Saved in:
Cover Image
On the correlation between commodity and equity returns: implications for portfolio allocation
Lombardi, Marco Jacopo - Bank for International Settlements (BIS) - 2013
In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices, and blamed investment in commodity-related products for this. First, this paper investigates such claims by looking at various measures of correlation. Next, we assess what are...
Persistent link: https://www.econbiz.de/10010849777
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Cover Image
Oil Price Density Forecasts: Exploring the Linkages with Stock Markets
Lombardi, Marco J.; Ravazzolo, Francesco - 2012
In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices, and blamed investment in commodity-related products for this. First, this paper investigates such claims by looking at various measures of correlation. Next, we assess to what...
Persistent link: https://www.econbiz.de/10012143812
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Cover Image
Oil price density forecasts: exploring the linkages with stock markets
Lombardi, Marco J.; Ravazzolo, Francesco - Norges Bank - 2012
In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices, and blamed investment in commodity-related products for this. First, this paper investigates such claims by looking at various measures of correlation. Next, we assess to what...
Persistent link: https://www.econbiz.de/10010787763
Saved in:
Cover Image
Oil price density forecasts: Exploring the linkages with stock markets
Ravazzolo, Francesco; Lombardi, Marco Jacopo - Centre for Applied Macro- and Petroleum economics … - 2012
In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices, and blamed investment in commodity-related products for this. First, this paper investigates such claims by looking at various measures of correlation. Next, we assess to what...
Persistent link: https://www.econbiz.de/10010598291
Saved in:
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