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Modeling extreme events: time-varying extreme tail shape
Schwaab, Bernd; Zhang, Xin; Lucas, André - 2020
Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a …
Persistent link: https://www.econbiz.de/10012385032
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Modeling extreme events : timevarying extreme tail shape
Schwaab, Bernd; Zhang, Xin; Lucas, André - 2020
Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a …
Persistent link: https://www.econbiz.de/10012315434
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Firm size and monetary policy transmission : evidence from German business survey data : presented at CEFifo conference "Academic Use of ifo Survey Data", December 2003
Ehrmann, Michael - 2004
Using business survey data on German manufacturing firms, this paper provides tests for hypotheses formulated in capital market imperfection theories that predict distributional effects in the transmission of monetary policy. The business conditions of small firms are found to be somewhat more...
Persistent link: https://www.econbiz.de/10011449239
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Essays on financial econometrics
D'Amico, Stefania - 2004
Persistent link: https://www.econbiz.de/10003386855
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Choosing the right skew normal distribution: the macroeconomist dilemma
Charemza, Wojciech; Díaz, Carlos; Makarova, Svetlana D. - 2015
Persistent link: https://www.econbiz.de/10011287620
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Infinite-variance, alpha-stable shocks in monetary SVAR
Hannsgen, Greg - In: International review of applied economics 26 (2012) 6, pp. 755-786
Persistent link: https://www.econbiz.de/10009719299
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Design limits and dynamic policy analysis
Brock, William A.; Durlauf, Steven N.; Rondina, Giacomo - In: Journal of economic dynamics & control 37 (2013) 12, pp. 2710-2728
Persistent link: https://www.econbiz.de/10010348108
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Extracting the information shocks from the Bank of England inflation density forecasts
Vela, Carlos Diaz - 2016
Persistent link: https://www.econbiz.de/10011520455
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Learning from prices : public communication and welfare
Amador, Manuel; Weill, Pierre-Olivier - In: Journal of political economy 118 (2010) 5, pp. 866-907
Persistent link: https://www.econbiz.de/10009238312
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Learning from prices : public communication and welfare
Amador, Manuel; Weill, Pierre-Olivier - 2008
Persistent link: https://www.econbiz.de/10003749742