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Explpring the use of the Kelly criterion for Basel capital requirement : an optimal and countercyclical appoach
Wong, Max C. Y. - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10010526458
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Latent fragility : conditioning banks' joint probability of default on the financial cycle
Bochmann, Paul; Hiebert, Paul; Schüler, Yves; … - 2023
Persistent link: https://www.econbiz.de/10014250464
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Latent fragility: conditioning banks' joint probability of default on the financial cycle
Bochmann, Paul; Hiebert, Paul; Schüler, Yves; … - 2023
Persistent link: https://www.econbiz.de/10014283811
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Do the innovations in a monetary VAR have finite variances?
Hannsgen, Greg (contributor) - 2008
Since Christopher Sims’s Macroeconomics and Realityʺ (1980), macroeconomists have used structural VARs, or vector autoregressions, for policy analysis. Constructing the impulseresponse functions and variance decompositions that are central to this literature requires factoring the...
Persistent link: https://www.econbiz.de/10003773516
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Stabilisierungswirkungen der Geldpolitik : eine theoretische und empirische Analyse
Vöpel, Henning - 2004
Persistent link: https://www.econbiz.de/10001984121
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Applied econometrics methods and monetary policy : empirical evidence from the Mexican case
Galindo Paliza, Luis Miguel; Catalán, Horacio - In: New tools of economic dynamics, (pp. 273-293). 2005
Persistent link: https://www.econbiz.de/10003029122
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Do the Innovations in a Monetary VAR Have Finite Variances?
Hannsgen, Greg - 2008
Since Christopher Sims's quot;Macroeconomics and Realityquot; (1980), macroeconomists have used structural VARs, or vector autoregressions, for policy analysis. Constructing the impulse response functions and variance decompositions that are central to this literature requires factoring the...
Persistent link: https://www.econbiz.de/10012722818
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Asymmetric semi-volatility spillover effects in EMU stock markets
Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: International review of financial analysis 57 (2018), pp. 221-230
Persistent link: https://www.econbiz.de/10012006352
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Instrumental variable identification of dynamic variance decompositions
Plagborg-Møller, Mikkel; Wolf, Christian - In: Journal of political economy 130 (2022) 8, pp. 2164-2202
Persistent link: https://www.econbiz.de/10013367447