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Modelling the term structure of futures commodity prices : an empirical analysis in the copper market

Scotti, Chiara - In: Rivista di politica economica 89 (1999) 12, pp. 67-102

Persistent link: https://www.econbiz.de/10001544272

Surprise and uncertainty indexes : real-time aggregation of real-activity macro-surprises

Scotti, Chiara - In: Journal of monetary economics 82 (2016), pp. 1-19

Persistent link: https://www.econbiz.de/10011709471

Testing forecast accuracy

Mariano, Roberto S. - In: A companion to economic forecasting, (pp. 284-298). 2002

Persistent link: https://www.econbiz.de/10001893145

Bivariate FIGARCH and fractional cointegration

Brunetti, Celso; Gilbert, Christopher L. - 1999

Persistent link: https://www.econbiz.de/10001442266

Bivariate FIGARCH and fractional cointegration

Brunetti, Celso; Gilbert, Christopher L. - In: Journal of empirical finance 7 (2000) 5, pp. 509-530

Persistent link: https://www.econbiz.de/10001545286

Non-ferrous metals price volatility : a fractionally integrated process?

Teyssiere, Gilles P.; Gilbert, Christopher L.; … - 1996

Persistent link: https://www.econbiz.de/10000619201

Range-based covariance estimation with a view to foreign exchhange rates

Brunetti, Celso (contributor); Lildholt, Peter (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001638915

Return-based and range-based (co)viariance estimation : with an application to foreign exchange markets

Brunetti, Celso (contributor); … - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001724261

Climate Change and Financial Stability

Brunetti, Celso; Dennis, Benjamin; Gates, Dylan; … - 2021

This Note describes how risks arising from climate change may affect financial stability. We describe how climate-change related risks may emerge either as shocks to the financial system or as financial system vulnerabilities that could amplify the effects of these or other shocks

Persistent link: https://www.econbiz.de/10014048701

Time Series Modelling of Daily Log-Price Ranges for Sf/Usd and Usd/Gbp

Brunetti, Celso; Lildholdt, Peter M. - 2002

The aim of this paper is to model the dynamic evolution of daily log-price ranges for two foreign exchange rates, SF/USD and USD/GBP. Following Chou (2001),we adopt the CARR model, which is identical to the ACD model of Engle & Russell (1998). Log-price ranges are highly efficient measures of...

Persistent link: https://www.econbiz.de/10014113375