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Analysis of nonlinear comovement of benchmark Thai government bond yields

Rewat Khanthaporn - 2022

Persistent link: https://www.econbiz.de/10013429426

Intertemporal substitution in import demand and habit formation

De la Croix, David; Urbain, Jean-Pierre - 1996

Persistent link: https://www.econbiz.de/10000928032

A joint top income and wealth distribution

Steiner, Viktor; Zhu, Junyi - 2021

estimation of these two top distributions by using the best data available for Germany. We leverage the bivariate copula to … model. The copula modelling grants the separability in choosing the estimation domain as well as the parametric … model fit with external validation. The copula estimate can help us to perform out-of-sample prediction on the very top of …

Persistent link: https://www.econbiz.de/10012424292

Intraday price movements in related markets : futures and cash prices

Hodgson, Allan; Kendig, Caralee; Tahir, Mohammad - 1993

Persistent link: https://www.econbiz.de/10000880449

Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate

Balaban, Ercan - 1999

Persistent link: https://www.econbiz.de/10001399838

Asymmetric volatility clustering, risk-return relationship and day of the week effects : evidence from nineteen stock markets

Balaban, Ercan; Bayar, Aslı; Kan, Özgür Berk - 1999

Persistent link: https://www.econbiz.de/10001399859

Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...

Persistent link: https://www.econbiz.de/10011663407

A regime-switching model for the federal funds rate target

Sirchenko, Andrei - 2019

Persistent link: https://www.econbiz.de/10012134496

The macroeconomic effects of inflation uncertainty

Metiu, Norbert; Prieto, Esteban - 2023

The uncertainty of U.S. core inflation, measured by the stochastic volatility of forecast errors, has soared to a level not seen in nearly five decades since the COVID-19 pandemic hit the global economy. Prices, consumption, and production increase after a positive shock to core inflation...

Persistent link: https://www.econbiz.de/10014436184

Backwardation and normal backwardation in energy futures markets : with an application to Metallgesellschaft's short-dated rollover hedging of long-term contracts

Charupat, Narat - 2002

Persistent link: https://www.econbiz.de/10013428499

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