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VAR for VaR : measuring tail dependence using multivariate regression quantiles; No 1814 / June 2015
White, Halbert (contributor); Tae-Hwan, Kim (contributor);  … - European Central Bank - 2015
This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The theory can …
Persistent link: https://www.econbiz.de/10015298385
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Characterising the financial cycle : a multivariate and time-varying approach; No 1846 / September 2015
Schüler, Yves S. (contributor);  … - European Central Bank - 2015
We introduce a methodology to characterise financial cycles combining a novel multivariate spectral approach to identifying common cycle frequencies across a set of indicators, and a time varying aggregation emphasising systemic developments. The methodology is applied to 13 European Union...
Persistent link: https://www.econbiz.de/10015297765
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Market risk SREP methodology
European Central Bank - 2024
Persistent link: https://www.econbiz.de/10015322343
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Market risk SREP methodology : market risk in SREP
European Central Bank - 2023
Persistent link: https://www.econbiz.de/10015278797
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Market risk SREP methodology : market risk in SREP
European Central Bank - 2023
Persistent link: https://www.econbiz.de/10015280272
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Credit supply dynamics and economic activity in euro area countries : a time-varying parameter var analysis; N°1714, August 2014
Bijsterbosch, Martin (contributor);  … - European Central Bank - 2014
Persistent link: https://www.econbiz.de/10015301872
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The impact of monetary policy and exchange rate shocks in Poland : evidence from a time-varying VAR; N° 1636 / February 2014
Arratibel, Olga (contributor);  … - European Central Bank - 2014
This paper follows the Bayesian time-varying VAR approach with stochastic volatility developed by Primiceri (2005), to …
Persistent link: https://www.econbiz.de/10015302567
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Granger causality and regime inference in Bayesian Markov-Switching VARs
Droumaguet, Matthieu (contributor);  … - European Central Bank - 2015
algorithm for the estimation of the restricted models. We analyze a system of monthly US data on money and income. The test …
Persistent link: https://www.econbiz.de/10015298950
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A high frequency assessment of the ECB securities markets programme : N° 1642 / February 2014
Ghysels, Eric (contributor); Idier, Julien (contributor);  … - European Central Bank - 2014
interventions succeeded in reducing yields and volatility of government bond segments of the countries under the programme. Finally …
Persistent link: https://www.econbiz.de/10015302475
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The impact of news and the SMP on realized (co)variances in the Eurozone sovereign debt market : N° 1629 / January 2014
Beetsma, Roel (contributor); Jong, Frank de (contributor);  … - European Central Bank - 2014
news ash, on the dependence structure. More news raises the volatility of interest rates of financially distressed …
Persistent link: https://www.econbiz.de/10015302490