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Systemic Risk Diagnostics
Schwaab, Bernd; Lucas, Andre; Koopman, Siem Jan - 2010
, and the rest of the world. Controlling for global,region-specific, and industry effects, we construct coincident measures …
Persistent link: https://www.econbiz.de/10010325790
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Lessons from a small country in a financial crisis or Dr. Minsky and Mr. Ponzi in Iceland
Magnusson, Gylfi - 2010
Persistent link: https://www.econbiz.de/10014306488
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Financial Dependence Analysis: Applications of Vine Copulae
Allen, David E.; Ashraf, Mohammad A.; McAleer, Michael; … - 2013
This paper features the application of a novel and recently developed method of statistical and mathematical analysis to the assessment of financial risk: namely Regular Vine copulas. Dependence modeling using copulas is a popular tool in financial applications, but is usually applied to pairs...
Persistent link: https://www.econbiz.de/10010326548
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Stock Market Asymmetries: A Copula Diffusion
Stefanova, Denitsa - 2012
The paper proposes a model for the dynamics of stock prices that incorporates increased asset co-movements during extreme market downturns in a continuous-time setting. The model is based on the construction of a multivariate diffusion with a pre-specified stationary density with tail...
Persistent link: https://www.econbiz.de/10010326158
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Nichtparametrische Quantilsprognose und ihre Anwendung auf Aktienrenditen
Abberger, Klaus - 1995
In diesem Aufsatz wird die nichtparametrische Autoregression auf die Prognose von Quantilen angewendet. Verfahren der Kernregression werden benutzt, um zu autoregressiven Quantiisschätzern zu gelangen. Da die üblichen Maße zur Beurteilung der Prognose, wie etwa der mittlere quadratische...
Persistent link: https://www.econbiz.de/10010397885
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Corporate credit and leverage in the EU: Recent evolution, main drivers and financial stability implications
Beck, Thorsten; Peltonen, Tuomo; Perotti, Enrico C.; … - 2023
This report presents a long-term view of the evolution of financing of EU non-financial corporations (NFCs) in recent decades. It finds a decline in NFC leverage since at least 2008, and across countries, size categories and industries. It also documents a growing role of non-bank financial...
Persistent link: https://www.econbiz.de/10014327946
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Towards a progressive EMU fiscal governance
Álvarez Peralta, Nacho; Feigl, Georg; Koratzanis, Nasos; … - 2019
The fiscal governance of the EMU is in dire need of reform. Its current arrangements suff er from several shortcomings, most notably, the limitations they impose on national fiscal policies, steering them towards too restrictive or pro-cyclical stances; the absence of an unconditional lender of...
Persistent link: https://www.econbiz.de/10014565890
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Are earthquakes needed to shake economics?
Schettkat, Ronald - 2010
-'natural rate theory'- dominated interpretations of economic trends and policy prescriptions since the 1970s. Public policy …. Economic trends were filtered through the lens of the 'natural rate theory,' focusing on labor market institutions only and … allow markets to operate more freely, i.e. to bring the real world closer to the idealized theoretical model. This paper …
Persistent link: https://www.econbiz.de/10010291082
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The benefits of fiscal consolidation in uncharted waters
Rother, Philipp; Schuknecht, Ludger; Stark, Jürgen - 2010
This paper looks at fiscal sustainability and fiscal risks from a comprehensive, global perspective. It argues that the benefits of consolidation have to be re-assessed given that industrialised countries have entered uncharted waters with unsustainable public debt dynamics and enormous...
Persistent link: https://www.econbiz.de/10011606273