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Holding the economy by the tail: analysis of short- and long-run macroeconomic risks
Franta, Michal; Libich, Jan - 2021
Persistent link: https://www.econbiz.de/10012618211
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The transmission of US economic policy uncertainty shocks to Asian and global financial markets
Kido, Yosuke - In: The North American journal of economics and finance : a … 46 (2018), pp. 222-231
Persistent link: https://www.econbiz.de/10012036619
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A quantitative mirror on the Euribor market using implied probability density functions
Puigvert-Gutiérrez, Josep Maria; De Vincent-Humphreys, … - In: Eurasian economic review : a journal of the Eurasia … 2 (2012) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10010340001
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The impact of financial shocks on the forecast distribution of output and inflation
Forni, Mario; Gambetti, Luca; Maffei-Faccioli, Nicolò; … - 2023
Financial shocks represent a major driver of fluctuations in tail risk, defined as the 5th percentile of the forecast … role in shaping risk, although its effects are smaller than those of financial shocks. These findings are obtained using a …
Persistent link: https://www.econbiz.de/10014232607
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The impact of financial shocks on the forecast distribution of output and inflation
Forni, Mario; Gambetti, Luca; Maffei-Faccioli, Nicolo; … - 2023
Persistent link: https://www.econbiz.de/10014281484
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Macroeconomic and financial risks : a tale of mean and volatility
Caldara, Dario; Scotti, Chiara; Zhong, Molin - 2021
Persistent link: https://www.econbiz.de/10012700481
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Safehavenness of currencies
Wong, Alfred Y.; Fong, Tom - In: The European journal of finance 24 (2018) 4/6, pp. 300-332
Persistent link: https://www.econbiz.de/10012244321
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Measuring asset market linkages : nonlinear dependence and tail risk
Escanciano, Juan Carlos; Hualde, Javier - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 453-465
Persistent link: https://www.econbiz.de/10012499091
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Beware of the crash risk : tail beta and the cross-section of stock returns in China
Long, Huaigang; Zaremba, Adam; Jiang, Yuexiang - In: Applied economics 51 (2019) 44, pp. 4870-4881
Persistent link: https://www.econbiz.de/10012197122
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Measuring asset market linkages : nonlinear dependence and tail risk
Escanciano, Juan Carlos; Hualde, Javier - 2017
Persistent link: https://www.econbiz.de/10011763135