Showing 1 - 10 of 51
Persistent link: https://www.econbiz.de/10000980737
Persistent link: https://www.econbiz.de/10003644002
Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...
Persistent link: https://www.econbiz.de/10010533206
Alphabetic name ordering on multi-authored academic papers_new, which is the convention in theeconomics discipline and various other disciplines, is to the advantage of people whose lastname initials are placed early in the alphabet. As it turns out, Professor A, who has been afirst author more...
Persistent link: https://www.econbiz.de/10011372501
Persistent link: https://www.econbiz.de/10009722706
Persistent link: https://www.econbiz.de/10008771823
Persistent link: https://www.econbiz.de/10003901823
Persistent link: https://www.econbiz.de/10003408454
This paper examines the role of uncertainty shocks in a one-sector, representative-agent dynamic stochastic general-equilibrium model. When prices are flexible, uncertainty shocks are not capable of producing business-cycle comovements among key macro variables. With countercyclical markups...
Persistent link: https://www.econbiz.de/10009312762
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10011376640