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Forecasting recessions using the yield curve
Chauvet, Marcelle (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001630849
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Forecasting and estimating multiple change-point models with an unknown number of change points
Koop, Gary M. (contributor); Potter, Simon M. (contributor) - 2004 - [Elektronische Ressource]
estimated in these series and the implied model is similar to a time-varying parameter model with stochastic volatility …
Persistent link: https://www.econbiz.de/10002521761
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How stable is the predictive power of the yield curve? : Evidence from Germany and the United States
Estrella, Arturo (contributor);  … - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001512206
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Markov switching in disaggregate unemployment rates
Chauvet, Marcelle (contributor); Juhn, Chinhui (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001590063
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Nonparametric pricing of multivariate contingent claims
Rosenberg, Joshua V. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001751999
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The overnight interbank market : evidence from the G-7 and the euro zone
Prati, Alessandro (contributor);  … - 2001 - [Elektronische Ressource]
This study of the major industrial countries' interbank markets for overnight loans links the behavior of very short-term interest rates to the operating procedures of the countries' central banks. Previous studies have focused on key features of the U.S. federal funds rate's behavior. We find...
Persistent link: https://www.econbiz.de/10001630855
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Inference, arbitrage, and asset price volatility
Adrian, Tobias (contributor) - 2004 - [Elektronische Ressource], Rev. February 2008
Does the presence of arbitrageurs decrease equilibrium asset price volatility? I study an economy with arbitrageurs … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …
Persistent link: https://www.econbiz.de/10002101431
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Inventory dynamics and business cycles : what has changed?
McCarthy, Jonathan P. (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001726735
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Trading risk and volatility in interest rate swap spreads
Kambhu, John (contributor) - 2004 - [Elektronische Ressource]
This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … normal levels. We investigate how the risks in convergence trading can affect price volatility in a form of positive feedback … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …
Persistent link: https://www.econbiz.de/10001936329