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Pricing default events : surprise, exogeneity and contagion
Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - In: Journal of econometrics 182 (2014) 2, pp. 397-411
Persistent link: https://www.econbiz.de/10010497742
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The term structure of equity and variance risk premia
Aït-Sahalia, Yacine; Karamann, Mustafa; Mancini, Loriano - In: Journal of econometrics 219 (2020) 2, pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
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Empirical asset pricing with multi-period disaster risk : a simulation-based approach
Sönksen, Jantje; Grammig, Joachim - In: Journal of econometrics 222 (2021) 1,3, pp. 805-832
Persistent link: https://www.econbiz.de/10012619790
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Realized jumps on financial markets and predicting credit spreads
Tauchen, George Eugene; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 102-118
Persistent link: https://www.econbiz.de/10009242533
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Affine arbitrage-free yield net models with application to the euro debt crisis
Hong, Zhiwu; Niu, Linlin; Zhang, Chen - In: Journal of econometrics 230 (2022) 1, pp. 201-220
Persistent link: https://www.econbiz.de/10013441937
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Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing; Ke, Yuan; Liao, Yuan - In: Journal of econometrics 222 (2021) 1,2, pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
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Global yield curve dynamics and interactions : a dynamic Nelson-Siegel approach
Diebold, Francis X.; Li, Canlin; Yue, Vivian Z. - In: Journal of econometrics 146 (2008) 2, pp. 351-363
Persistent link: https://www.econbiz.de/10003782998
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Monetary reforms and inflation expectations in Japan : evidence from inflation-indexed bonds
Christensen, Jens H. E.; Spiegel, Mark - In: Journal of econometrics 231 (2022) 2, pp. 410-431
Persistent link: https://www.econbiz.de/10013464829
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Financial crisis: high cost of "non Europe"
Gros, Daniel - In: Intereconomics : review of European economic policy 43 (2008) 5, pp. 254-255
Persistent link: https://www.econbiz.de/10003761021
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Lessons from the financial crisis : new rules for central banks and credit rating agencies?
In: Intereconomics : review of European economic policy 43 (2008) 5, pp. 256-266
Persistent link: https://www.econbiz.de/10003761024