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User costs, the financial firm, and monetary and regulatory policy
Isakin, Maksim; Serletis, Apostolos - In: Macroeconomic dynamics 24 (2020) 6, pp. 1547-1573
Persistent link: https://www.econbiz.de/10012307289
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A migration approach for USA banks' capitalization : are the 00s the same with the 90s?
Koutras, Vasileios M.; Drakos, Kōnstantinos - In: International review of financial analysis 30 (2013), pp. 131-140
Persistent link: https://www.econbiz.de/10010460327
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Integrating rating migrations
Bröker, Frank; Schweizer, Stefan - In: CreditRisk+ in the banking industry, (pp. 167-185). 2004
Persistent link: https://www.econbiz.de/10002108701
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The evolution of loan rate stickiness across the euro area
Nakajima, Jouchi; Teranishi, Yuki - 2009
Persistent link: https://www.econbiz.de/10003822407
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Modeling operational risk data reported above a time-varying threshold
Shevchenko, Pavel V.; Temnov, Grigory - In: The journal of operational risk 4 (2009/10) 2, pp. 19-42
Persistent link: https://www.econbiz.de/10003883151
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Markov switching GARCH models of currency turmoil in Southeast Asia
Brunetti, Celso; Mariano, Roberto S.; Scotti, Chiara; … - 2007
Persistent link: https://www.econbiz.de/10003437194
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Non-parametric estimation for non-homogeneous Semi-Markov processes: an application to credit bank
Monteiro, André Antonio; Smirnov, Georgi V.; Lucas, André - 2006
Persistent link: https://www.econbiz.de/10003300926
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Systematic cyclicality of systemic bubbles : evidence from the U.S. commercial banking system
Kim, Myeong Hyeon; Kim, Baeho - In: Journal of macroeconomics 42 (2014), pp. 281-297
Persistent link: https://www.econbiz.de/10011286611
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An empirical analysis of growth and consolidation in banking : a Markovian approach for the case of Russia
Penikas, Henry; Petrova, Anastasia - In: International journal of computational economics and … 4 (2014) 1/2, pp. 112-129
Persistent link: https://www.econbiz.de/10010411207
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Dynamic copula-based Markov chains at work : theory, testing and performance in modeling daily stock returns
Tinkl, Fabian; Reichert, Katja - 2011
We generalize the score test for time-varying copula parameters proposed by [Abegaz & Naik-Nimbalkar, 2008] to a setting where more than one-parametric copulas can be tested for time variation in at least one parameter. In a next step we model the daily log returns of the Commerzbank stock using...
Persistent link: https://www.econbiz.de/10009234734