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How does market architecture affect price dynamics? A time series analysis of the Italian day-ahead electricity prices

Petrella, Andrea; Sapio, Sandro - 2009

April 2004 and December 2008. Estimates of baseline time series models (ARMAX and ARMAX-EGARCH) and their forecasting …

Persistent link: https://www.econbiz.de/10010328538

An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation

Francq, Christian; Sucarrat, Genaro - Volkswirtschaftliche Fakultät, … - 2013

Estimation of log-GARCH models via the ARMA representation is attractive because it enables a vast amount of already … established results in the ARMA literature. We propose an exponential Chi-squared QMLE for log-GARCH models via the ARMA …

Persistent link: https://www.econbiz.de/10011112442

How does market architecture affect price dynamics ? A time series analysis of the Italian day-ahead electricity prices

Petrella, Andrea; Sapio, Sandro - Laboratory of Economics and Management (LEM), Scuola … - 2009

April 2004 and December 2008. Estimates of baseline time series models (ARMAX and ARMAX-EGARCH) and their forecasting …

Persistent link: https://www.econbiz.de/10008486950

No PUN intended: A time series analysis of the Italian day-ahead electricity prices

Petrella, Andrea; Sapio, Sandro - Robert Schuman Centre for Advanced Studies (RSCAS), … - 2010

April 2004 and December 2008. Estimates of baseline time series models (ARMAX and ARMAX-EGARCH) and their forecasting …

Persistent link: https://www.econbiz.de/10008596160

A simple model for now-casting volatility series

Hafner, Christian M.; Breitung, Jörg - Center for Operations Research and Econometrics (CORE), … - 2014

a simple model, based on an ARMA representation of the log-transformed squared returns, that allows to estimate current … that the ARMA and SV models have a similar performance, but that in cases of moderate persistence the ARMA model is … preferable. An extension of the ARMA model is proposed that takes into account the so-called leverage effect. Finally, the …

Persistent link: https://www.econbiz.de/10011246321

A simple model for now-casting volatility series

Breitung, Jörg; Hafner, Christian M. - 2015

Persistent link: https://www.econbiz.de/10011581871

A quarter century of mortgage risk

Oliner, Stephen D.; Davis, Morris A.; Larson, Will - 2022

This paper provides a comprehensive account of the evolution of default risk for newly originated home purchase loans since 1990. We bring together several data sources to produce this history, including loan-level data for the entire GSE book. We use these data to track a large number of loan...

Persistent link: https://www.econbiz.de/10014439108

Financial crises: Past and future

Reinhart, Carmen M. - 2018

This working paper, based on Carmen Reinhart's Adam Smith Lecture at the 60th NABE Annual Meeting in September 2018, takes a selective global tour of some of the prominent economic and financial risks in advanced, emerging, and low-income developing economies.

Persistent link: https://www.econbiz.de/10014439134

ESSAYS ON FORCES UNDERLYING 2008 FINANCIAL CRISIS: CREDIT RATING AGENCIES AND INVESTOR SENTIMENT

Alp, Aysun - 2010

The roots of the 2008 financial crisis are often traced back to the collapse of the housing bubble. The factors that precipitated the crisis, and propagated its effects on firms and consumers to produce an economic contraction, are still the subject of ongoing debate among academics, policy...

Persistent link: https://www.econbiz.de/10009450957

Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers

Levy, Daniel; Mayer, Tamir; Raviv, Alon - 2020

Textual analysis of 14,270 NBER Working Papers published during 1999–2016 is done to assess the effects of the 2008 crisis on the economics literature. The volume of crisis-related WPs is counter-cyclical, lagging the financial-instability-index. WPs by the Monetary-Economics, Asset-Pricing,...

Persistent link: https://www.econbiz.de/10012166875