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Chernov, Mikhail - 2015

We quantify crash risk in currency returns. To accomplish this task, we develop and estimate an empirical model of exchange rate dynamics using daily data for four currencies relative to the US dollar: the Australian dollar, the British pound, the Swiss franc, and the Japanese yen. The model...

Persistent link: https://www.econbiz.de/10013037072

Monitoring multicountry macroeconomic risk

Korobilis, Dimitris; Schröder, Maximilian - 2023

Persistent link: https://www.econbiz.de/10014431618

Probability models and robust policy rules

Levine, Paul; McAdam, Peter; Pearlman, Joseph - In: European economic review : EER 56 (2012) 2, pp. 246-262

Persistent link: https://www.econbiz.de/10009521685

Bayesian approaches for analyzing earthquake catastrophic risk

Li, Yunxian; Tang, Niansheng; Jiang, Xuejun - In: Insurance / Mathematics & economics 68 (2016), pp. 110-119

Persistent link: https://www.econbiz.de/10011492563

Risk margin quantile function via parametric and non-parametric Bayesian approaches

Dong, Alice X. D.; Chan, Jennifer S. K.; Peters, Gareth W. - In: Astin bulletin : the journal of the International … 45 (2015) 3, pp. 503-550

Persistent link: https://www.econbiz.de/10011397246

Crash risk in currency returns

Chernov, Mikhail; Graveline, Jeremy; Zviadadze, Irina - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 1, pp. 137-170

Persistent link: https://www.econbiz.de/10011929414

A Bayesian approach to modeling mortgage default and prepayment

Bhattacharya, Arnab; Wilson, Simon P.; Soyer, Refik - In: European journal of operational research : EJOR 274 (2019) 3, pp. 1112-1124

Persistent link: https://www.econbiz.de/10011990305

Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov switching model

Casarin, Roberto; Foroni, Claudia; Marcellino, Massimiliano - 2016 - This version: October 31, 2016

Persistent link: https://www.econbiz.de/10011806012

Estimation of risk contributions with MCMC

Koike, Takaaki; Minami, Mihoko - In: Quantitative finance 19 (2019) 9, pp. 1579-1597

Persistent link: https://www.econbiz.de/10012194808

A BVAR approach to the impact of policy uncertainty on international trade and investment

Dhannur, Vijaykumar; John, Ashwin R. - In: The Indian economic journal 66 (2018) 3/4, pp. 312-325

Persistent link: https://www.econbiz.de/10012390811