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Forecasting the daily time‐varying beta of European banks during the crisis period : comparison between GARCH models and the Kalman filter
Zhang, Yuanyuan; Choudhry, Taufiq - In: Journal of forecasting 36 (2017) 8, pp. 956-973
Persistent link: https://www.econbiz.de/10011860929
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Macroeconomic variables and the sovereign risk premia in EMU, non-EMU EU, and developed countries
Gevorkyan, Arkady; Semmler, Willi - In: Empirica : journal of european economics 43 (2016) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10011647706
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The impact of sovereign and credit risk on interest rate convergence in the euro area
Arnold, Ivo J. M.; Ewijk, Saskia van - 2014
Persistent link: https://www.econbiz.de/10010365642
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Short-term determinants of the idiosyncratic sovereign risk premium : a regime-dependent analysis for European credit default swaps
Calice, Giovanni; Mio, RongHui; Štěrba, Filip; … - In: Journal of empirical finance 33 (2015), pp. 174-189
Persistent link: https://www.econbiz.de/10011556866
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A state space approach to measuring the impact of sovereign and credit risk on interest rate convergence in the euro area
Arnold, Ivo J. M.; Ewijk, Saskia E. van - In: Journal of international money and finance 49 (2014), pp. 340-357
Persistent link: https://www.econbiz.de/10010465004
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Hysteresis and NAIRU in the Euro area
Logeay, Camille; Tober, Silke - 2005 - This version: July 2005
This paper analyses the Nairu in the Euro Area and the influence that hysteresis had on its development. Using the Kalman-filter technique we find that the Nairu has varied considerably since the early seventies. The Kalman-filter technique is applied here using explicit exogenous variables. In...
Persistent link: https://www.econbiz.de/10003744523
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Modeling and forecasting the co-movement of international yield curve drivers
Sprincenatu, Maria - 2019
Persistent link: https://www.econbiz.de/10012172917
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The evolution of European business environment in the last four years
Danu, Marcela-Cornelia - In: Studies and scientific researches / Economics edition / … 20 (2014), pp. 7-17
Persistent link: https://www.econbiz.de/10011333766
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Sovereign credit risk dynamics in the European Monetary Union (EMU)
Patra, Theophano; Poshakwale, Sunil S.; Thomas, Vassilis - In: Applied financial economics 24 (2014) 13/15, pp. 1031-1041
Persistent link: https://www.econbiz.de/10010415304
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Different measures of Country Risk : an application to European countries
Bonatti, Guido; Ciacci, Andrea; Ivaldi, Enrico - In: Journal of risk and financial management : JRFM 14 (2021) 1/19, pp. 1-16
measures, at a precise time and over time. As a result, if we compare the outcomes, similar CR rankings emerge. In other words …
Persistent link: https://www.econbiz.de/10012415780