Unobserved components models with stochastic volatility for extracting trends and cycles in credit
Martin O'Brien and Sofia Velasco
| Year of publication: |
[2020]
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|---|---|
| Authors: | O'Brien, Martin ; Velasco, Sofia |
| Publisher: |
Dublin, Ireland : [Central Bank of Ireland] |
| Subject: | Credit imbalances | cyclical systemic risk | financial cycle | macro-prudential analysis | multivariate unobserved-components models | stochastic volatility | Konjunktur | Business cycle | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Finanzmarkt | Financial market | Theorie | Theory | Systemrisiko | Systemic risk | Kreditrisiko | Credit risk | Zustandsraummodell | State space model | Finanzkrise | Financial crisis |
| Extent: | 1 Online-Ressource (circa 39 Seiten) Illustrationen |
|---|---|
| Series: | Research technical papers. - Dublin : [Verlag nicht ermittelbar], ZDB-ID 2266428-2. - Vol. vol. 2020, no. 9 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012793058