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Econometric advancements in market and credit risk modeling
Blöchlinger, Andreas - 2005
Persistent link: https://www.econbiz.de/10003224866
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Uncertainty and consumption : evidence from the VAR-DCC-GARCH model
Kurasawa, Kazutaka - In: The empirical economics letters : a monthly … 16 (2017) 9, pp. 861-871
Persistent link: https://www.econbiz.de/10011906797
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Risk contribution is exposure times volatility times correlation : decomposing risk using the x-sigma-rho formula
Menchero, Jose; Davis, Benjamin - In: The journal of portfolio management : a publication of … 37 (2010/11) 2, pp. 97-106
Persistent link: https://www.econbiz.de/10009273909
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The 2019 government shutdown increased uncertainty in major agricultural commodity markets
Goyal, Raghav; Adjemian, Michael K. - In: Food policy : economics planning and politics of food … 102 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012817189
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Forward looking up-/down correlations
Schadner, Wolfgang - In: Quantitative finance and economics 5 (2021) 3, pp. 471-495
Persistent link: https://www.econbiz.de/10012592490
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A risk model to compute the volatility and the need for collateral margins in energy futures contracts in Brazil
Argento, Pedro; Klotzle, Marcelo Cabus; Pinto, Antônio … - In: International journal of energy sector management 16 (2022) 3, pp. 448-468
Persistent link: https://www.econbiz.de/10013345666
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Income uncertainty and aggregate consumption
Pozzi, Lorenzo (contributor) - 2005
Persistent link: https://www.econbiz.de/10003151125
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Income uncertainty and aggregate consumption
Pozzi, Lorenzo - 2005
Persistent link: https://www.econbiz.de/10003201364
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Income Uncertainty and Aggregate Consumption
Pozzi, Lorenzo - 2010
the US over the period 1952-2001. Theoretically, the effect of income risk on consumption changes is decomposed into an … aggregate and into a consumer-specific part. Empirically, aggregate risk is modelled through a GARCH process on aggregate income … shocks and individual risk is modelled as an unobserved component and obtained through Kalman filtering. Our results suggest …
Persistent link: https://www.econbiz.de/10013137223
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Exchange rate volatility and domestic consumption in the G7 : an asymmetric analysis
Bahmani-Oskooee, Mohsen; Baek, Jungho - In: Applied economics quarterly 67 (2021) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10013165459