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A supply-demand analysis of the index option market
Barras, Laurent; Malkhozov, Ayteck; Roussellet, Guillaume - 2021
Persistent link: https://www.econbiz.de/10012587146
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Subdiffusive option price model with inverse Gaussian subordinator
Shchestyuk, Nataliya; Tyshchenkob, Sergii - 2024
The paper focuses on the option price subdiffusive model under the unusual behavior of the market, when the price may not be changed for some time which is quite a common situation in the modern financial markets or during global crises. In the model, the risk-free bond motion and classical GBM...
Persistent link: https://www.econbiz.de/10014464920
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Dynamic effects of persistent shocks
Alloza, Mario; Gonzalo Muñoz, Jesus; Sanz, Carlos - 2019
Persistent link: https://www.econbiz.de/10012158755
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The spillover of euro area shocks to the Maltese economy
Gatt, William; Ruisi, Germano - 2022
the Maltese economy. The model focuses on five broad macroeconomic shocks hitting the euro area; an aggregate demand shock … global market for oil, a generic monetary policy shock encompassing both conventional and unconventional interventions, and a … financial stress shock. The model is estimated using Bayesian methods over a sample that goes from 2003Q1 to 2019Q4 and …
Persistent link: https://www.econbiz.de/10012818649
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Factor augmented vector-autoregression with narrative identification : an application to monetary policy in the US
De Nora, Giorgia - 2021
the models parameters. I estimate the effects of a monetary policy shock in the United States using the proposed algorithm …
Persistent link: https://www.econbiz.de/10012798851
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Forward guidance matters : disentangling monetary policy shocks
Ferreira, Leonardo Nogueira - 2020
Central banks have usually employed short-term rates as the main instrument of monetary policy. In the last decades, however, forward guidance has also become a central tool for monetary policy. In an innovative way this paper combines two sources of extraneous information - high frequency...
Persistent link: https://www.econbiz.de/10012295693
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The nonlinear effects of uncertainty shocks
Jackson, Laura; Kliesen, Kevin L.; Owyang, Michael T. - 2018
Persistent link: https://www.econbiz.de/10011950514
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SVARs identification through bounds on the forecast error variance
Volpicella, Alessio - 2019
Sign-restricted Structural Vector Autoregressions (SVARs) are increasingly common. However, they usually result in a set of structural parameters that have very different implications in terms of impulse responses, elasticities, historical decomposition and forecast error variance decomposition...
Persistent link: https://www.econbiz.de/10012037315
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Binary conditional forecasts
McCracken, Michael W.; McGillicuddy, Joseph; Owyang, … - 2019
While conditional forecasting has become prevalent both in the academic literature and in practice (e.g., bank stress testing, scenario forecasting), its applications typically focus on continuous variables. In this paper, we merge elements from the literature on the construction and...
Persistent link: https://www.econbiz.de/10012137102
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Proxy structural vector autoregressions, informational sufficiency and the role of monetary policy
Miescu, Mirela S.; Mumtaz, Haroon - 2019
We show that the contemporaneous and longer horizon impulse responses estimated using small-scale Proxy structural vector autoregressions (SVARs) can be severely biased in the presence of information insufficiency. Instead, we recommend the use of a Proxy Factor Augmented VAR (FAVAR) model that...
Persistent link: https://www.econbiz.de/10012121977