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The move to monetary union in Europe led to convergence of interest rates among the participating countries. This was associated with notable cross-country differences in the behaviour of key macroeconomic aggregates. Compared to the low interest rate countries, former high interest rate...
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We propose a Nelson-Siegel type interest rate term structure model where the underlying yield factors follow autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term structure and are associated with the time-varying...
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Das vorliegende Werk untersucht die Auswirkungen der Finanzmarktregulierung auf das Geschäftsmodell der Kreditgenossenschaften. Hierfür wurde eine mehrstufige empirische Untersuchung durchgeführt. Die Publikation verdeutlicht die notwendigen strategischen Anpassungen des Geschäftsmodells, um...
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, the Johansen-Juselius cointegration test, generalized autoregressive conditional heteroskedasticity (GARCH) model … stock market returns in both sub-periods, while the result for the GARCH model is significant only in the post-crisis period …. We find a significant effect of oil price volatility on the stock market in both sub-periods from the GARCH model …
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