Narrow search
Showing 1 - 10 of 20,701
Cover Image
The effect of fragmentation risk on monetary conditions in the euro area
Arnold, Ivo J. M. - In: Journal of international money and finance 146 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10015075878
Cover Image
Measuring Interdependence of Inflation Uncertainty
Lee, Seohyun - 2022
inflation. During crises periods, the strength of the transmission of inflation uncertainty shocks from one country to another … tends to intensify. This paper examines empirical methodologies to measure the strength of the interdependence of inflation … uncertainty between the UK and the euro area. We first estimate inflation uncertainty by expost forecast errors from a bivariate …
Persistent link: https://www.econbiz.de/10014078814
Cover Image
Modeling and forecasting macroeconomic downside risk
Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - 2021
Persistent link: https://www.econbiz.de/10012612441
Cover Image
Real-time macroeconomic forecasting with a heteroscedastic inversion copula
Loiza-Maya, Ruben; Smith, Michael S. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 470-486
Persistent link: https://www.econbiz.de/10012262488
Cover Image
Estimating and forecasting the real prices of crude oil : a data rich model using a dynamic model averaging (DMA) approach
Naser, Hanan - In: Energy economics 56 (2016), pp. 75-87
Persistent link: https://www.econbiz.de/10011663864
Cover Image
Monthly beta forecasting with low-, medium- and high-frequency stock returns
Cenesizoglu, Tolga; Liu, Qianqiu; Reeves, Jonathan J.; … - In: Journal of forecasting 35 (2016) 6, pp. 528-541
Persistent link: https://www.econbiz.de/10011595959
Cover Image
Time-series momentum : a Monte-Carlo approach
Cheng, Enoch; Struck, Clemens - 2019
This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time-Series Momentum (TSM). Relying on time-series models, empirical residual distributions and copulas we overcome two key drawbacks of conventional backtesting procedures. We create...
Persistent link: https://www.econbiz.de/10011990919
Cover Image
Analysis of the impact of China's GDP data revision on monetary policy from the perspective of uncertainty
Yu, Xueting; Zhu, Yuhan; Lv, Guangming - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 6, pp. 1251-1274
Persistent link: https://www.econbiz.de/10012211634
Cover Image
Does cross-sectional forecast dispersion proxy for macroeconomic uncertainty? : new empirical evidence
Baetje, Fabian; Friedrici, Karola - In: Economics letters 143 (2016), pp. 38-43
Persistent link: https://www.econbiz.de/10011616851
Cover Image
A fresh look at the risk-return tradeoff
Wang, Cindy S. H.; Chen, Yi-Chi; Lo, Hsin-Yu - In: Pacific-Basin finance journal 68 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10013332809