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  • Search: subject_exact:"Stochastic volatility"
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Year of publication
Subject
All
Volatilität 1,018 Stochastic volatility 1,014 stochastic volatility 986 Volatility 982 Stochastischer Prozess 822 Stochastic process 799 Optionspreistheorie 403 Option pricing theory 399 Theorie 390 Theory 361 Schätzung 321 Estimation 314 Stochastic Volatility 212 Bayesian inference 209 Zeitreihenanalyse 205 Bayes-Statistik 201 Time series analysis 196 Monte Carlo simulation 181 Prognoseverfahren 168 VAR-Modell 168 Monte-Carlo-Simulation 163 Forecasting model 162 VAR model 161 Schätztheorie 153 Estimation theory 150 Markov chain 142 Markov-Kette 139 ARCH-Modell 134 Stochastische Volatilität 130 ARCH model 126 Risiko 113 Risk 113 Derivat 112 Derivative 111 Optionsgeschäft 101 Option trading 100 GARCH 97 Portfolio selection 87 Portfolio-Management 87 Schock 87
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Online availability
All
Free 1,058 Undetermined 854 CC license 41
Type of publication
All
Article 1,147 Book / Working Paper 1,055 Other 7
Type of publication (narrower categories)
All
Article in journal 755 Aufsatz in Zeitschrift 755 Working Paper 437 Graue Literatur 286 Non-commercial literature 286 Arbeitspapier 266 Article 37 Aufsatz im Buch 15 Book section 15 Hochschulschrift 14 Thesis 14 research-article 7 Collection of articles written by one author 4 Sammlung 4 Aufsatzsammlung 3 Collection of articles of several authors 3 Conference Paper 3 Sammelwerk 3 Conference paper 2 Konferenzbeitrag 2 Konferenzschrift 1 Systematic review 1 Übersichtsarbeit 1
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Language
All
English 1,507 Undetermined 689 German 5 French 5 Spanish 3
Author
All
Shephard, Neil 48 Mumtaz, Haroon 47 Koopman, Siem Jan 42 McAleer, Michael 42 Bos, Charles S. 41 Clark, Todd E. 38 Carriero, Andrea 28 Marcellino, Massimiliano 28 Todorov, Viktor 27 Barndorff-Nielsen, Ole E. 26 Huber, Florian 23 Asai, Manabu 22 Karlsson, Sune 20 Mertens, Elmar 20 Chiarella, Carl 19 Platen, Eckhard 19 Rodriguez, Gabriel 18 Theodoridis, Konstantinos 18 Österholm, Pär 18 Branger, Nicole 17 Chan, Joshua 16 Ravazzolo, Francesco 16 Lord, Roger 15 Benati, Luca 14 Tauchen, George 14 Shin, Minchul 13 Bollerslev, Tim 12 Chang, Chia-Lin 12 Escobar, Marcos 12 Hautsch, Nikolaus 12 Nakajima, Jouchi 12 Tauchen, George Eugene 12 Zhang, Bo 12 Alòs, Elisa 11 Fernández-Villaverde, Jesús 11 Omori, Yasuhiro 11 Peiris, Shelton 11 Poon, Aubrey 11 Cross, Jamie 10 Guidolin, Massimo 10
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Institution
All
School of Economics and Management, University of Aarhus 39 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 29 Tinbergen Instituut 21 Department of Economics, Oxford University 20 Finance Discipline Group, Business School 19 Tinbergen Institute 19 Economics Group, Nuffield College, University of Oxford 17 C.E.P.R. Discussion Papers 16 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 14 Society for Computational Economics - SCE 14 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 14 EconWPA 11 European Central Bank 11 Duke University, Department of Economics 8 Econometric Society 8 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 8 HAL 8 Henley Business School, University of Reading 8 London School of Economics (LSE) 7 School of Economics and Finance, Queen Mary 7 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 7 Bank of England 6 Department of Econometrics and Business Statistics, Monash Business School 6 Department of Economics, University of Pennsylvania 6 University of Bonn, Germany 6 Département de Sciences Économiques, Université de Montréal 5 Institute of Economic Research, Hitotsubashi University 5 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 5 Anderson Graduate School of Management, University of California-Los Angeles (UCLA) 4 Department of Economics and Business, Universitat Pompeu Fabra 4 Erasmus University Rotterdam, Econometric Institute 4 Grupo de Estudos Monetários e Financeiros (GEMF), Faculdade de Economia 4 Institut für Weltwirtschaft (IfW) 4 National Centre for Econometric Research (NCER) 4 Norges Bank 4 Swiss Finance Institute 4 Bank for International Settlements (BIS) 3 Banque de France 3 CESifo 3 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 3
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Published in...
All
International journal of theoretical and applied finance 42 Working Paper 41 Tinbergen Institute Discussion Papers 40 CREATES Research Papers 39 International Journal of Theoretical and Applied Finance (IJTAF) 38 Journal of econometrics 33 Discussion paper / Tinbergen Institute 31 Quantitative finance 31 Tinbergen Institute Discussion Paper 30 MPRA Paper 29 Journal of economic dynamics & control 24 Quantitative Finance 24 Finance and Stochastics 22 Finance research letters 22 Working paper 22 Applied Mathematical Finance 20 Economics Series Working Papers / Department of Economics, Oxford University 20 Applied mathematical finance 19 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 19 CAMA working paper series 18 Physica A: Statistical Mechanics and its Applications 18 Research Paper Series / Finance Discipline Group, Business School 18 ECB Working Paper 17 Economics Papers / Economics Group, Nuffield College, University of Oxford 17 The journal of futures markets 17 CEPR Discussion Papers 16 Energy economics 16 The journal of computational finance 16 Economics letters 15 CIRANO Working Papers 14 Economic modelling 14 Journal of banking & finance 14 Review of Derivatives Research 14 SFB 649 Discussion Papers 14 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 14 SFB 649 Discussion Paper 13 Discussion papers / CEPR 12 Insurance / Mathematics & economics 12 Journal of Risk and Financial Management 12 Journal of risk and financial management : JRFM 12
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Source
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ECONIS (ZBW) 1,094 RePEc 871 EconStor 212 BASE 24 Other ZBW resources 8
Showing 1 - 50 of 2,209
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Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
Huber, Florian; Kastner, Gregor; Pfarrhofer, Michael - In: Empirical economics : a quarterly journal of the … 68 (2025) 2, pp. 535-553
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State-dependent Phillips Curve
Kim, Hyun Hak; Lee, Na Kyeong - In: Economies : open access journal 13 (2025) 1, pp. 1-14
We propose a state-dependent Phillips curve (PC) where the regime has changed endogenously. Using this framework, a free-standing PC is constructed. This study tests the robustness of the model, various types of inflation, slack measures, and various expectation measures. The PC is found to work...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015206817
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Appraising model complexity in option pricing
Cummins, Mark; Esposito, Francesco - 2025
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World GDP, anthropogenic emissions, and global temperatures, sea level, and ice cover
Benati, Luca - 2025
I use Bayesian VARs with stochastic volatility to forecast global temperatures and sea level and ice cover in the Northerin emisphere until 2010, by exploiting (i) their long-run equilibrium relationship with climate change drivers (CCDs) and (ii) the relationship between world GDP and...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015329682
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Volatility estimation through stochastic processes : evidence from cryptocurrencies
Harasheh, Murad; Bouteska, Ahmed - 2025
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World GDP, anthropogenic emissions, and global temperatures, sea level, and ice cover
Benati, Luca - 2025
I use Bayesian VARs with stochastic volatility to forecast global temperatures and sea level and ice cover in the Northerin emisphere until 2010, by exploiting (i) their long-run equilibrium relationship with climate change drivers (CCDs) and (ii) the relationship between world GDP and...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015358801
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Time-varying local projections with stochastic volatility
Nakajima, Jouchi - 2025
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Macroeconomic real-time forecasts of univariate models with flexible error structures
Trinh, Kelly; Zhang, Bo; Hou, Chenghan - In: Journal of forecasting 44 (2025) 1, pp. 59-78
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Simulation smoothing for state space models : an extremum Monte Carlo approach
Moussa, Karim - 2025
This paper introduces a novel approach to simulation smoothing for nonlinear and non-Gaussian state space models. It allows for computing smoothed estimates of the states and nonlinear functions of the states, as well as visualizing the joint smoothing distribution. The approach combines...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015404318
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A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction
DaiPra, Paolo; Pigato, Paolo - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015413652
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Unpacking trend inflation: Evidence from a factor correlated unobserved components model of sticky and flexible prices
Li, Mengheng; Mendieta-Munoz, Ivan - 2025
We propose a factor correlated unobserved components (FCUC) model to analyze the sticky and flexible components of U.S. inflation. The proposed FCUC framework estimates trend inflation and component cycles in a flexible stochastic environment with time-varying volatility, factor loadings, and...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015420313
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Simulation smoothing for state space models: An extremum Monte Carlo approach
Moussa, Karim - 2025
This paper introduces a novel approach to simulation smoothing for nonlinear and non-Gaussian state space models. It allows for computing smoothed estimates of the states and nonlinear functions of the states, as well as visualizing the joint smoothing distribution. The approach combines...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015432570
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Partial identification of heteroskedastic structural VARs: Theory and Bayesian inference
Lütkepohl, Helmut; Shang, Fei; Uzeda, Luis; Woźniak, … - 2024
We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a particular structural shock is identified by heteroskedasticity without the need to impose any sign or exclusion restrictions. Three contributions emerge from our exercise: (i) a set...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014530293
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US interest rates: Are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
In this paper, we assess whether key relations between US interest rates have been stable over time. This is done by estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury bill rate, the slope of the Treasury yield curve...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014551600
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Time-varying investment dynamics in the USA
Mendieta-Muñoz, Ivan - 2024
We study the time-varying effects of Tobin's q and cash flow on investment dynamics in the USA using a vector autoregression model with drifting parameters and stochastic volatilities estimated via Bayesian methods. We find significant variation over time of the response of investment to shocks...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014581895
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VAR models with fat tails and dynamic asymmetry
Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2024
In this paper, we extend the standard Gaussian stochastic-volatility Bayesian VAR by employing the generalized hyperbolic skew Student's t distribution for the innovations. Allowing the skewness parameter to vary over time, our specification permits flexible modelling of innovations in terms of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015130168
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Approximate option pricing under a two-factor Heston-Kou stochastic volatility model
El-Khatib, Youssef; Makumbe, Zororo S.; Vives, Josep - In: Computational management science 21 (2024) 1, pp. 1-28
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014393433
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Forecasting oil prices : can large BVARs help?
Zhang, Bo; Nguyen, Bao; Sun, Chuanwang - In: Energy economics 137 (2024), pp. 1-10
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Multivariate rough volatility
Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015326256
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Regime-switching, stochastic volatility and impacts of monetary policy shocks on macroeconomic fluctuations in Peru
Alvarado Silva, Paola; Cáceres Quispe, Moisés; … - 2024 - Primera edición
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015156933
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Regime-switching, stochastic volatility, fiscal policy shocks and macroeconomic fluctuations in Peru
Rodriguez, Gabriel; Santisteban, Joseph - 2024 - Primera edición
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Realized volatility moments implied by options with applications to the pricing of realized volatility options
Rolloos, Frido; Shiraya, Kenichiro - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015164480
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Forecasting Peruvian monetary aggregates in a nonlinear and uncertain environment
Pérez Forero, Fernando - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015165287
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Exploring the presence of nonlinearities in the peruvian economy - monetary policy implications
Pérez Forero, Fernando - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015165318
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Identifying the volatility risk price through the leverage effect
Cheng, Xu; Renault, Eric; Sangrey, Paul - 2024 - This version: April 23, 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014580927
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US interest rates : are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
In this paper, we assess whether key relations between US interest rates have been stable over time. This is done by estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury bill rate, the slope of the Treasury yield curve...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014490330
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Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks
Yao, Jing (contributor); Hu, Xiang (contributor);  … - 2024
Modeling, Analysis, and Optimization for Mathematical Finance, Economics, and Risks is a critical domain that integrates mathematical theory with practical applications to address the complexities of modern financial and economic systems. This special issue focuses on recent studies that are...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015325017
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A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
Benth, Fred Espen; Sgarra, Carlo - In: Finance and stochastics 28 (2024) 4, pp. 1035-1076
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015130552
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Covered interest parity: a forecasting approach to estimate the neutral band
Hernández, Juan R. - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015078620
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A probabilistic approach for the valuation of variance swaps under stochastic volatility with jump clustering and regime switching
He, Xin-Jiang; Lin, Sha - In: Financial innovation : FIN 10 (2024), pp. 1-23
The effects of stochastic volatility, jump clustering, and regime switching are considered when pricing variance swaps. This study established a two-stage procedure that simplifies the derivation by first isolating the regime switching from other stochastic sources. Based on this, a novel...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015361659
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Robust control and CAPMs under a quadratic model with inflation-deflation risk
Batbold, Bolorsuvd; Kikuchi, Kentaro; Kusuda, Koji - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014549675
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Signal extraction by the extremum Monte Carlo method
Moussa, Karim - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014512213
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External shocks and economic fluctuations in Peru: empirical evidence using mixture innovation TVP-VAR-SV models
Guevara, Brenda; Rodriguez, Gabriel; Yamuca … - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014526264
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Time-varying effects of financial uncertainty shocks on macroeconomic fluctuations in Peru
Alvarado, Mauricio; Rodriguez, Gabriel - 2024 - This version: November 27, 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014526328
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Partial identification of heteroskedastic structural VARs : theory and Bayesian inference
Lütkepohl, Helmut; Shang, Fei; Uzeda, Luis; Woźniak, … - 2024
We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a particular structural shock is identified by heteroskedasticity without the need to impose any sign or exclusion restrictions. Three contributions emerge from our exercise: (i) a set...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014528602
Saved in:
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VAR models with fat tails and dynamic asymmetry
Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2024
In this paper, we extend the standard Gaussian stochastic-volatility Bayesian VAR by employing the generalized hyperbolic skew Student's t distribution for the innovations. Allowing the skewness parameter to vary over time, our specification permits flexible modelling of innovations in terms of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015084442
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The impact of ECB’s Quantitative Easing on cryptocurrency markets during times of crisis
Aloui, Donia; Zouaoui, Riadh; Rachdi, Houssem; Guesmi, … - In: Research in international business and finance 69 (2024), pp. 1-10
In this paper, we investigate non-linear linkages between Bitcoin and the unconventional monetary policies of the European Central Bank (ECB). In particular, we examine whether a low-interest rate environment resulting from QE indirectly encourages investors to move towards Bitcoin. Using a...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015052228
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Can a self-exciting jump structure better capture the jump behavior of cryptocurrencies? : a comparative analysis with the S&P 500
Chen, Yan; Zhang, Lei; Bouri, Elie - In: Research in international business and finance 69 (2024), pp. 1-18
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American put options with regime-switching volatility
Jang, Bong-Gyu; Koo, Hyeng-keun - In: Journal of derivatives and quantitative studies : … 32 (2024) 2, pp. 86-115
We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components: the price of a European put option and the premium associated with the early exercise privilege. Our analysis...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015054085
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Orthogonal polynomial expansions for the valuation of options under the stochastic volatility models with stochastic correlation
Tong, Kevin Z. - In: Journal of management science and engineering 9 (2024) 2, pp. 239-253
This work provides a new method for pricing options under the generalized stochastic volatility models with Jacobi stochastic correlation. Our method is based on the observation that the generalized models belong to the class of polynomial diffusions and therefore the option prices can be...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014632198
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Risk sensitive linear approximations
Solórzano Andrade, Gustavo; Parra-Alvarez, Juan Carlos - In: Economics letters 238 (2024), pp. 1-5
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015075489
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Sophisticated and small versus simple and sizeable : when does it pay off to introduce drifting coefficients in Bayesian vector autoregressions?
Feldkircher, Martin; Gruber, Luis; Huber, Florian; … - In: Journal of forecasting 43 (2024) 6, pp. 2126-2145
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015110374
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Modeling price and variance jump clustering using the marked Hawkes process
Chen, Jian; Clements, Michael P.; Urquhart, Andrew - In: Journal of financial econometrics 22 (2024) 3, pp. 743-772
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015045178
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Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models
Ignatieva, Ekaterina; Wong, Patrick - In: Journal of empirical finance 78 (2024), pp. 1-18
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015101647
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Time-varying investment dynamics in the USA
Mendieta-Muñoz, Ivan - 2024
We study the time-varying effects of Tobin's q and cash flow on investment dynamics in the USA using a vector autoregression model with drifting parameters and stochastic volatilities estimated via Bayesian methods. We find significant variation over time of the response of investment to shocks...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014483612
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The non-linear impact of monetary policy on shifts in economic policy uncertainty : evidence from the United States of America
Dima, Bogdan; Dima, Ștefana Maria - In: Empirica : journal of european economics 51 (2024) 3, pp. 755-781
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015078704
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Measures of model risk for continuous-time finance models
Lazar, Emese; Qi, Shuyuan; Tunaru, Radu - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338808
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Navigating high inflation : a joint analysis of inflation dynamics and long-term inflation expectations in Latin America
Garcia, Juan Angel; Gimeno, Ricardo - In: Latin American journal of central banking : LAJCB 5 (2024) 4, pp. 1-21
The return of high inflation in Latin America (and worldwide) since 2021 has renewed concerns about the persistence of above-target inflation and a potential de-anchoring of inflation expectations. This paper shows that trend inflation estimation using forward-looking information can offer...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015358007
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Time-varying dynamics of the German business cycle : a comprehensive investigation
Reif, Magnus - 2021
This paper provides insights into the time-varying dynamics of the German business cycle over the last five decades. To do so, I employ an open-economy time-varying parameter VAR with stochastic volatility, which I estimate by quasi-Bayesian techniques. The reduced-form analysis reveals...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012607593
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The Social Cost of Carbon under Climate Volatility Risk
Lin, Xu; van Wijnbergen, Sweder - 2023
We calculate the social cost of carbon (SCC) under stochastic climate volatility resulting from uncertainty about future climate risk regimes where weather extremes are becoming more frequent and intense. Using a stochastic dynamic integrated climate-economy model where representative agents are...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014321805
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