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Fundamentally wrong : market pricing of sovereigns and the Greek financial crisis

Gibson, Heather D.; Hall, Stephen G.; Tavlas, George S. - In: Journal of macroeconomics 39 (2014) 2, pp. 405-419

Persistent link: https://www.econbiz.de/10010496445

Self-fulfilling dynamics : the interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis

Gibson, Heather D.; Hall, Stephen G.; Tavlas, George S. - 2016

Persistent link: https://www.econbiz.de/10011567510

Comment on: "Fundamentally wrong : market pricing of sovereigns and the Greek financial crisis"

Kazanas, Thanassis; Tzavalis, Elias - In: Journal of macroeconomics 39 (2014) 2, pp. 420-423

Persistent link: https://www.econbiz.de/10010496443

Measuring systemic stress in European banking systems

Gibson, Heather D.; Hall, Stephen G.; Tavlas, George S. - 2016

Persistent link: https://www.econbiz.de/10011567515

The effect of Emergency Liquidity Assistance (ELA) on bank lending during the euro area crisis

Gibson, Heather D.; Hall, Stephen G.; Petroulas, Pavlos; … - 2019

Persistent link: https://www.econbiz.de/10012098520

The effectiveness of the ECB's asset purchase programs of 2009 to 2012

Gibson, Heather D.; Hall, Stephen G.; Tavlas, George S. - In: Journal of macroeconomics 47 (2016), pp. 45-57

Persistent link: https://www.econbiz.de/10011707486

Inference on multivariate heteroscedastic time varying random coefficient models

Giraitis, Liudas; Kapetanios, George; Yates, Anthony - 2015

series and estimation of time varying parameter processes by well-known rolling regression estimation techniques. We … point for further research on numerous open problems including establishing estimation results of time-varying parameters …

Persistent link: https://www.econbiz.de/10011405250

Estimating time-varying DSGE models using minimum distance methods

Giraitis, Liudas; Kapetanios, George; Theodoridis, … - 2015

Following Giraitis, Kapetanios, and Yates (2014b), this paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the data set constructed by Smets and Wouters (2007). We apply an indirect inference method to map from this TV VAR to time...

Persistent link: https://www.econbiz.de/10011405253

Nonlinear modelling of autoregressive structural breaks in a US diffusion index dataset

Kapetanios, George (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002808239

How puzzling is the PPP puzzle? : An alternative half-life measure of convergence to PPP

Chortareas, Georgios E. (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002403125