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Exchange rate pass-through to domestic prices in the European transition economies
Mirdala, Rajmund - 2016
exchange rate pass-through to domestic prices in the European transition economies. We estimate VAR model to investigate (1 …
Persistent link: https://www.econbiz.de/10011553101
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An alternative explanation of the price puzzle
Giordani, Paolo - 2001
policy analysis. It suggests that the best method of solving the puzzle implies a close connection between theory and … admits a triangular identification and if the forecasts produced by the misspecified VAR are optimal. In the framework of a …
Persistent link: https://www.econbiz.de/10011585346
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Electricity prices forecast analysis using the extreme value theory
Simões, Mário Domingues de Paula; Klotzle, Marcelo Cabus - In: International journal of financial markets and derivatives 5 (2016) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011589159
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Housing markets and unconventional monetary policy
Rahal, Charles - In: Journal of housing economics 32 (2016), pp. 67-80
Persistent link: https://www.econbiz.de/10011631692
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Parameter risk in time-series mortality forecasts
Kleinow, Torsten; Richards, Stephen J. - In: Scandinavian actuarial journal (2017) 9, pp. 804-828
Persistent link: https://www.econbiz.de/10011848682
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A generalised stochastic volatility in mean VAR
Mumtaz, Haroon - 2018
This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the …
Persistent link: https://www.econbiz.de/10011812167
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Estimating and forecasting portfolio's Value-at-Risk with wavelet-based extreme value theory : evidence from crude oil prices and US exchange rates
Jammazi, Rania; Nguyen, Duc Khuong - In: Journal of the Operational Research Society : OR 68 (2017) 11, pp. 1352-1362
Persistent link: https://www.econbiz.de/10011815894
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Long range dependence in an emerging stock market's sectors : volatility modelling and VaR forecasting
Abuzayed, Bana; Al-Fayoumi, Nedal; Charfeddine, Lanouar - In: Applied economics 50 (2018) 23, pp. 2569-2599
Persistent link: https://www.econbiz.de/10011850296
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Value at risk forecasting for volatility index
Park, Seul-Ki; Choi, Ji-Eun; Shin, Dong-wan - In: Applied economics letters 24 (2017) 21, pp. 1613-1620
Persistent link: https://www.econbiz.de/10011853568
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Optimal insurance contract under VaR and CVaR constraints
Wang, Ching-Ping; Huang, Hung-Hsi - In: The North American journal of economics and finance : a … 37 (2016), pp. 110-127
Persistent link: https://www.econbiz.de/10011672902