Albu, Lucian Liviu; Lupu, Radu; Călin, Cantemir Adrian; … - In: Journal for Economic Forecasting (2014) 3, pp. 39-50
In this paper we analyze the impact of quantitative easing policies issued by the European Central Bank, the Bank of England, the Federal Reserve and the Bank of Japan on credit risk, in nine states belonging mainly to the Central and Eastern European area. We use an ARMA-GARCH model to obtain...
