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A latent factor model of European exchange rate risk premia
Alexius, Annika; Sellin, Peter - 1997
Persistent link: https://www.econbiz.de/10000958083
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A nonlinear time series model of El Niño
Hall, Anthony D.; Skalin, Joakim; Teräsvirta, Timo - 1998
Persistent link: https://www.econbiz.de/10000994162
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Stylized facts of financial time series and three popular models of volatility
Malmsten, Hans (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], Rev. September 3, 2004
Properties of three well-known and frequently applied first-order models for modelling and forecasting volatility in … Conditional Heteroskedasticity (GARCH), the Exponential GARCH and the Autoregressive Stochastic Volatility model. The focus is on … heteroskedasticity ; evaluation of volatility models ; exponential GARCH ; GARCH ; modelling return series ; stochastic volatility …
Persistent link: https://www.econbiz.de/10002199620
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Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations
Silvennoinen, Annastiina (contributor);  … - 2005 - [Elektronische Ressource], Rev. October 2005
; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …
Persistent link: https://www.econbiz.de/10002570445
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An application of the analogy between vector ARCH and vector random coefficient autoregressive models
He, Changli (contributor); Teräsvirta, Timo (contributor) - 2002 - [Elektronische Ressource]
; multivariate volatility model ; random coefficient model ; volatility forecasting …
Persistent link: https://www.econbiz.de/10001714621
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Financial liberalization, bank crises and growth : assessing the links
Bonfiglioli, Alessandra (contributor);  … - 2004 - [Elektronische Ressource]
This paper studies the effects of financial liberalization and banking crises on growth. It shows that financial liberalization spurs on average economic growth. Banking crises are harmful for growth, but to a lesser extent in countries with open financial systems and good institutions. The...
Persistent link: https://www.econbiz.de/10002380051
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Is there evidence of pessimism and doubt in subjective distributions? : a comment on Abel
Giordani, Paolo (contributor); Söderkind, Paul (contributor) - 2002 - [Elektronische Ressource], Rev. October 1, 2003
Abel (2002) shows that pessimism and doubt in the subjective distribution of the growth rate of consumption reduce the riskfree rate puzzle and the equity premium puzzle. We quantify the amount of pessimism and doubt in survey data on US consumption and income. Individual forecasters are in fact...
Persistent link: https://www.econbiz.de/10001729353
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A dynamic conditionally heteroscedastic stochastic frontier model
Löthgren, Mickael - 1998
Persistent link: https://www.econbiz.de/10000984774
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An assessment of the macroeconomic determinants of inequality
Vanhoudt, Patrick - 1998
Persistent link: https://www.econbiz.de/10000994613
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Openness and the exchange rate exposure of national stock markets : a note
Friberg, Richard; Nydahl, Stefan - 1997
Persistent link: https://www.econbiz.de/10000971403