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Local-linear estimation of time-varying-parameter garch models and associated risk measures

Inoue, Atsushi; Lu, Jin; Pelletier, Denis - In: Journal of financial econometrics 19 (2021) 1, pp. 202-234

Persistent link: https://www.econbiz.de/10012504329

Testing for distributional change in time series

Inoue, Atsushi - In: Econometric theory 17 (2001) 1, pp. 156-187

Persistent link: https://www.econbiz.de/10001556090

Short run and long run causality in time series : inference

Dufour, Jean-Marie (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001948010

Evaluating value-at-risk models with desk-level data

Christoffersen, Peter F.; Berkowitz, Jeremy; Pelletier, … - 2009

Persistent link: https://www.econbiz.de/10003865687

Short run and long run causality in time series : inference

Dufour, Jean-Marie; Pelletier, Denis; Renault, Eric - In: Journal of econometrics 132 (2006) 2, pp. 337-362

Persistent link: https://www.econbiz.de/10003348758

The impact of economic news on expected changes in monetary policy

Lapp, John S.; Pearce, Douglas K. - In: Journal of Macroeconomics 34 (2012) 2, pp. 362-379

Asset prices may react to news through changes in expected monetary policy. We examine whether economic news directly affects expected changes in monetary policy, measured by changes in federal funds rate futures prices. Because these prices depend on monthly averages of the effective funds...

Persistent link: https://www.econbiz.de/10010574746