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~institution:"C.E.P.R. Discussion Papers"
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volatility
35
Volatility
22
stochastic volatility
9
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6
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5
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5
exchange rate volatility
5
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Fernández-Villaverde, Jesús
6
Rubio-Ramírez, Juan Francisco
6
Sarno, Lucio
5
Acharya, Viral V
4
Artis, Michael J
4
Bekaert, Geert
4
Guerron-Quintana, Pablo A.
4
Lettau, Martin
4
Rose, Andrew K
4
Della Corte, Pasquale
3
Fatás, Antonio
3
Hardouvelis, Gikas A
3
Imbs, Jean
3
Massa, Massimo
3
Muellbauer, John
3
Timmermann, Allan G
3
Uppal, Raman
3
Uribe, Martín
3
van der Ploeg, Frederick
3
Aron, Janine
2
Benigno, Pierpaolo
2
Benk, Szilárd
2
Campos, Nauro F
2
Carriero, Andrea
2
Catão, Luis A. V.
2
Chernov, Mikhail
2
Clark, Todd
2
Danthine, Jean-Pierre
2
DeMarzo, Peter
2
Dumas, Bernard J
2
Engstrom, Eric
2
Farmer, Roger E A
2
Galí, Jordi
2
Gillman, Max
2
Goetzmann, William
2
Hau, Harald
2
Karanasos, Menelaos
2
Kejak, Michal
2
Koren, Miklós
2
Kose, Ayhan
2
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C.E.P.R. Discussion Papers
National Bureau of Economic Research
705
International Monetary Fund (IMF)
545
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
448
International Monetary Fund
217
Economics Research, World Bank Group
195
School of Economics and Management, University of Aarhus
131
HAL
91
EconWPA
83
Université Paris-Dauphine (Paris IX)
79
Tinbergen Instituut
69
Society for Computational Economics - SCE
58
CESifo
56
European Central Bank
54
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
54
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
53
World Bank
53
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
52
Agricultural and Applied Economics Association - AAEA
45
Department of Economics and Finance, College of Business and Economics
44
Econometric Society
44
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
44
Department of Economics, Oxford University
42
Finance Discipline Group, Business School
39
Tinbergen Institute
36
Institute of Economic Research, Kyoto University
34
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
34
Center for Financial Studies
33
Erasmus University Rotterdam, Econometric Institute
33
European Association of Agricultural Economists - EAAE
31
London School of Economics (LSE)
31
OECD
31
Institut für Weltwirtschaft (IfW)
30
Department of Econometrics and Business Statistics, Monash Business School
29
Economics Group, Nuffield College, University of Oxford
28
Forschungsinstitut zur Zukunft der Arbeit
28
Henley Business School, University of Reading
27
National Centre for Econometric Research (NCER)
27
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
26
Institut de Préparation à l'Administration et à la Gestion (IPAG)
26
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CEPR Discussion Papers
150
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RePEc
150
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11
The Two Greatest. Great Recession vs. Great Moderation
Rivas, Gadea
;
Dolores, Maria
;
Gómez Loscos, Ana
; …
-
C.E.P.R. Discussion Papers
-
2014
to an end. This paper offers evidence that the decrease in output
volatility
still remains in force despite the GR and …
Persistent link: https://www.econbiz.de/10011083709
Saved in:
12
Factor Analysis with Large Panels of
Volatility
Proxies
Ghysels, Eric
-
C.E.P.R. Discussion Papers
-
2014
We consider estimating
volatility
risk factors using large panels of filtered or realized volatilities. The data … structure involves three types of asymptotic expansions. There is the cross-section of
volatility
estimates at each point in … h of the data used to compute the
volatility
estimates which rely on data collected at increasing frequency, h ? 0: The …
Persistent link: https://www.econbiz.de/10011083764
Saved in:
13
Collateralisation bubbles when investors disagree about risk
Broer, Tobias
;
Kero, Afroditi
-
C.E.P.R. Discussion Papers
-
2014
Survey respondents strongly disagree about return risks and, increasingly, macroeconomic uncertainty. This may have contributed to higher asset prices through increased use of collateralisation, which allows risk-neutral investors to realise perceived gains from trade. Investors with lower risk...
Persistent link: https://www.econbiz.de/10011084220
Saved in:
14
The Domestic and International Effects of Interstate U.S. Banking
Cacciatore, Matteo
;
Ghironi, Fabio
;
Stebunovs, Viktors
-
C.E.P.R. Discussion Papers
-
2014
market integration thus contributes to moderation of firm-level and aggregate output
volatility
. In turn, trade and financial … ties allow also the foreign economy to enjoy lower GDP
volatility
in most scenarios we consider. These results are …
Persistent link: https://www.econbiz.de/10011084613
Saved in:
15
Asset Prices in a Lifecycle Economy
Farmer, Roger E A
-
C.E.P.R. Discussion Papers
-
2014
The representative agent model (RA) has dominated macroeconomics for the last thirty years. This model does a reasonably good job of explaining the co-movements of consumption, investment, GDP and employment during normal times. But it cannot easily explain movements in asset prices. Two facts...
Persistent link: https://www.econbiz.de/10011084625
Saved in:
16
Bank Liabilities Channel
Quadrini, Vincenzo
-
C.E.P.R. Discussion Papers
-
2014
The financial intermediation sector is important not only for channeling resources from agents in excess of funds to agents in need of funds (lending channel). By issuing liabilities it also creates financial assets held by other sectors of the economy for insurance purpose. When the...
Persistent link: https://www.econbiz.de/10011093688
Saved in:
17
No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
Carriero, Andrea
;
Clark, Todd
;
Marcellino, Massimiliano
-
C.E.P.R. Discussion Papers
-
2014
volatility
of interest rates. For this, we derive a Bayesian prior from a GATSM and use it to estimate the coefficients of a BVAR … for the term structure, specifying a common, multiplicative, time varying
volatility
for the VAR disturbances. Results …
Persistent link: https://www.econbiz.de/10011083412
Saved in:
18
A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics
Pettenuzzo, Davide
;
Timmermann, Allan G
;
Valkanov, Rossen
-
C.E.P.R. Discussion Papers
-
2014
moments of the outcome and develop Gibbs sampling methods for Bayesian estimation in the presence of stochastic
volatility
… conditional
volatility
generate more accurate forecasts than conventional benchmarks. Finally, we find that forecast combination …
Persistent link: https://www.econbiz.de/10011083475
Saved in:
19
Bond Return Predictability: Economic Value and Links to the Macroeconomy
Gargano, Antonio
;
Pettenuzzo, Davide
;
Timmermann, Allan G
-
C.E.P.R. Discussion Papers
-
2014
accounting for important features of bond return models such as time varying parameters and
volatility
dynamics. A three …
Persistent link: https://www.econbiz.de/10011083511
Saved in:
20
Carry
Koijen, Ralph
;
Moskowitz, Tobias J
;
Pedersen, Lasse Heje
; …
-
C.E.P.R. Discussion Papers
-
2013
, and
volatility
risks, its performance presents a challenge to asset pricing models. …
Persistent link: https://www.econbiz.de/10011083673
Saved in:
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