Narrow search
Showing 1 - 10 of 32
Cover Image
Value at Risk: On the Stability and Forecasting of the Variance-covariance Matrix
Engel, James; Gizycki, Marianne - Reserve Bank of Australia - 1999
the forecasts of the volatility of market rates and the correlations between the various market rates (that is, the …, exponentially weighted averages of historical variances and generalised autoregressive conditional heteroskedasticity (GARCH). We … conclude that simple models perform as well as their more sophisticated GARCH counterparts. …
Persistent link: https://www.econbiz.de/10005426742
Cover Image
Special section on liquidity shocks, governance, systemic risk, and financial stability
Ellis, Luci (contributor) - In: Journal of banking & finance 45 (2014), pp. 171-351
Persistent link: https://www.econbiz.de/10010467874
Cover Image
Discussion of Funding Flows and Credit in Carry Trade Economies
Disyatat, Piti - Reserve Bank of Australia
Persistent link: https://www.econbiz.de/10010732672
Cover Image
Funding Flows and Credit in Carry Trade Economies
Agrippino, Silvia Miranda; Rey, Hélène - Reserve Bank of Australia
Persistent link: https://www.econbiz.de/10010732673
Cover Image
Policy Panel
Nixon, Kevin; Portes, Richard; Danthine, Jean-Pierre - Reserve Bank of Australia
Persistent link: https://www.econbiz.de/10010732679
Cover Image
Discussion of 'What Caused the Decline in US Business Cycle Volatility?'
Wilcox, David - Reserve Bank of Australia
Persistent link: https://www.econbiz.de/10005125137
Cover Image
Discussion of 'Assessing the Sources of Changes in the Volatility of Real Growth' and 'Declining Output Volatility: What Role for Structural Change?'
Gruen, David - Reserve Bank of Australia
Persistent link: https://www.econbiz.de/10005423337
Cover Image
Business Cycle Dynamics in OECD Countries: Evidence, Causes and Policy Implications
Cotis, Jean-Philippe; Coppel, Jonathan - Reserve Bank of Australia
Persistent link: https://www.econbiz.de/10005423339
Cover Image
Discussion of 'Assessing the Sources of Changes in the Volatility of Real Growth'
Dungey, Mardi - Reserve Bank of Australia
Persistent link: https://www.econbiz.de/10005423418