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The macroeconomic effects of aerospace shocks

Corrado, Luisa; Grassi, Stefano; Silgado-Gómez, Edgar - 2020

Persistent link: https://www.econbiz.de/10012489051

International capital flows and speculation

Hayward, Rob; Gregoriou, Andros - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-12

In response to questions about the relative importance of different types of capital flow for international competitiveness, we develop a structural vector auto-regressive model of the real exchange rate and international capital flows. We reveal that innovations to speculative sentiment cause...

Persistent link: https://www.econbiz.de/10012533969

The new international regulation of market risk: roles of VaR and CVaR in model validation

Hassani, Samir Saissi; Dionne, Georges - 2021

Persistent link: https://www.econbiz.de/10012545817

Delayed overshooting can still be a puzzle after the 1980s

Ahn, Jihye; Kim, So-yŏng - In: Economics letters 199 (2021), pp. 1-3

Persistent link: https://www.econbiz.de/10012605870

Financial uncertainty and real activity : the good, the bad, and the ugly

Caggiano, Giovanni; Castelnuovo, Efrem; Delrio, Silvia; … - 2020

Persistent link: https://www.econbiz.de/10012495744

Exogeneity in climate econometrics

Pretis, Felix - In: Energy economics 96 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012817918

Forecasting realised volatility : does the LASSO approach outperform HAR?

Ding, Yi; Kambouroudis, Dimos; McMillan, David G. - In: Journal of international financial markets, … 74 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012803163

Volatility modelling and VaR : the case of Bitcoin, Ether and Ripple

Ječmínek, Jakub; Kukalová, Gabriela; Moravec, Lukáš - In: Danube : law and economics review 11 (2020) 3, pp. 253-269

GARCH-type models dominate as VaR estimators the overall objective of this paper is to perform comprehensive volatility and … VaR estimation for three major digital assets and conclude which method gives the best results in terms of risk management …. The methods we used are parametric (GARCH and EWMA model), non-parametric (historical VaR) and Monte Carlo simulation …

Persistent link: https://www.econbiz.de/10012309770

New VAR evidence on monetary transmission channels : temporary interest rate versus inflation target shocks

Lukmanova, Elizaveta; Rabitsch, Katrin - 2018

Persistent link: https://www.econbiz.de/10011978448

Efficient VAR discretization

Gordon, Grey - 2020

Persistent link: https://www.econbiz.de/10012261237