Similar Search Results

Securitization and financial markets : the implications for interest rate pass-through

Robertson, Mari L. - In: Journal of financial economic policy 8 (2016) 4, pp. 472-498

Persistent link: https://www.econbiz.de/10011697839

Arbitrage-based pricing when volatility is stochastic

Bossaerts, Peter L.; Ghysels, Eric; Gouriéroux, Christian - 1996

Persistent link: https://www.econbiz.de/10000950450

Cyclical consumption

Berger, Tino; Pozzi, Lorenzo - 2023

Recessions and expansions are often caused or reinforced by developments in private consumption - the largest component of aggregate demand - which, as a result, varies over the business cycle. As such, an accurate measurement of the cyclical component of consumption and an understanding of its...

Persistent link: https://www.econbiz.de/10014380708

Selected techniques of detecting structural breaks in financial volatility

Stawiarski, Bartosz - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 32-43

breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm … breaks in volatility, while Cheng's technique works well only when a single break occurs. …

Persistent link: https://www.econbiz.de/10011393264