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On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.; Pergamenščikov, Sergej M. - In: Finance and stochastics 26 (2022) 4, pp. 877-897
Persistent link: https://www.econbiz.de/10013440255
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Inflation uncertainty
Serletis, Apostolos; Xu, Libo - In: Empirical economics : a quarterly journal of the … 66 (2024) 5, pp. 1903-1920
Persistent link: https://www.econbiz.de/10014520073
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Continuous time Wishart process for stochastic risk
Gouriéroux, Christian - In: Econometric reviews 25 (2006) 2/3, pp. 177-217
Persistent link: https://www.econbiz.de/10003355729
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Political risk modelling and measurement from stochastic volatility models
Mitra, Sovan - In: International journal of sustainable economy 11 (2019) 2, pp. 184-218
Persistent link: https://www.econbiz.de/10012050864
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Doubts and variability : a robust perspective on exotic consumption series
Bidder, R. M.; Smith, M. E. - In: Journal of economic theory 175 (2018), pp. 689-712
Persistent link: https://www.econbiz.de/10011980773
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Bond return predictability : economic value and links to the macroeconomy
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540
Persistent link: https://www.econbiz.de/10012000665
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Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
Oliva, Immacolata; Renò, Roberto - In: Journal of economic dynamics & control 94 (2018), pp. 242-256
Persistent link: https://www.econbiz.de/10012004394
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Uncertainty and labor market fluctuations
Jo, Soojin; Lee, Justin J. - 2019
We investigate how a macroeconomic uncertainty shock affects the labor market. We focus on the uncertainty transmission mechanism, for which we employ a set of worker flow indicators in addition to labor stock variables. We incorporate common factors from such indicators into a framework that...
Persistent link: https://www.econbiz.de/10012030061
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Variance stochastic orders
Gollier, Christian - In: Journal of mathematical economics 80 (2019), pp. 1-8
Persistent link: https://www.econbiz.de/10012105651
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Common and country specific economic uncertainty
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …
Persistent link: https://www.econbiz.de/10011306276