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Modelling long run comovements in equity markets : a flexible approach
Martins, Luís Filipe; Gabriel, Vasco J. - In: Journal of banking & finance 47 (2014), pp. 288-295
Persistent link: https://www.econbiz.de/10010506954
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Financial stress, regime switching and macrodynamics
Chen, Pu; Semmler, Willi - In: Nonlinearities in economics : an interdisciplinary …, (pp. 315-335). 2021
in the USA as well as in the EU. In this paper, the authors study two regimes of monetary responses. While the …
Persistent link: https://www.econbiz.de/10012648051
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Econometric estimation of distance functions and associated measures of productivity and efficiency change
O'Donnell, Christopher John - In: Journal of productivity analysis 41 (2014) 2, pp. 187-200
Persistent link: https://www.econbiz.de/10010478331
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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2020
Incorporating arbitrage-free term-structure dynamics into a semi-structural macro-model, we jointly estimate the real equilibrium interest rate (r*), trend inflation, and term premia for the United States and the euro area, using a Bayesian approach. The natural real rate and trend inflation are...
Persistent link: https://www.econbiz.de/10012425011
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Markov Switching GARCH models : filtering, approximations and duality
Billio, Monica; Cavicchioli, Maddalena - In: Mathematical and statistical methods for actuarial …, (pp. 59-72). 2017
Persistent link: https://www.econbiz.de/10012098763
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Bayesian averaging of classical estimates in forecasting macroeconomic indicators with application of business survey data
Białowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - In: Empirica : journal of european economics 41 (2014) 1, pp. 53-68
Persistent link: https://www.econbiz.de/10010437231
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Statistical arbitrage using cointegration and principal component analysis approach
Bartkoviak, Oleksandr; Shpyrko, Viktor; Chernyak, Oleksandr - In: Business Development and Economic Governance in …, (pp. 167-182). 2022
Persistent link: https://www.econbiz.de/10013413520
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The relationship between interest rates and inflation : time series evidence from Canada
Fazlollahi, Negar; Ebrahimijam, Saeed - In: New Dynamics in Banking and Finance : 5th International …, (pp. 191-205). 2022
Persistent link: https://www.econbiz.de/10013198534
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On labour market discrimination against Roma in South East Europe
Milcher, Susanne; Fischer, Manfred M. - 2010
Persistent link: https://www.econbiz.de/10012198592
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Inter-market sentiment analysis using Markov switching Bayesian VAR analysis
Ebrahimijam, Saeed; Adaoglu, Cahit; Gokmenoglu, Korhan K. - In: Regulation of Finance and Accounting : 21st and 22nd …, (pp. 73-84). 2022
Persistent link: https://www.econbiz.de/10013448478