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Implications of macroeconomic volatility in the Euro area
Hauzenberger, Niko; Böck, Maximilian; Pfarrhofer, Michael - 2018
In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to …
Persistent link: https://www.econbiz.de/10011978764
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Adaptative estimation of the spectrum of a stationary Gaussian sequence
Comte, Fabienne - 1999
Persistent link: https://www.econbiz.de/10009758933
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Extreme risk interdependence
Polanski, Arnold; Stoja, Evarist - 2016
We define tail interdependence as a situation where extreme outcomes for some variables are informative about such outcomes for other variables. We extend the concept of multiinformation to quantify tail interdependence, decompose it into systemic and residual interdependence and measure the...
Persistent link: https://www.econbiz.de/10011974915
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Dynamic factor models
Gouriéroux, Christian; Jasiak, Joann - 1999
Persistent link: https://www.econbiz.de/10001380657
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B-mixing and moment properties of various GARCH, stochastic volatility and ACD models
Carrasco, Marine; Chen, Xiaohong - 1999
Persistent link: https://www.econbiz.de/10001421327
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The effects of capital requirements on good and bad risk-taking
Pancost, N. Aaron; Robatto, Roberto - 2019
We study optimal capital requirement regulation in a dynamic quantitative model in which nonfinancial firms, as well as households, hold deposits. Firms hold deposits for precautionary reasons and to facilitate the acquisition of production inputs. Our theoretical analysis identifies a novel...
Persistent link: https://www.econbiz.de/10012132611
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When gambling for resurrection is too risky
Kirti, Divya - 2018
Rather than taking on more risk, US insurers hit hard by the crisis pulled back from risk taking, relative to insurers … hit less hard by the crisis. Capital requirements alone do not explain this risk reduction: insurers hit hard reduced risk … within assets with identical regulatory treatment. State level US insurance regulation makes it unlikely this risk reduction …
Persistent link: https://www.econbiz.de/10011848370
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Sensitivity analysis of var and expected shortfall for portfolios under netting agreements
Fermanian, Jean-David; Scaillet, Olivier - 2003
Persistent link: https://www.econbiz.de/10001812434
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Stress-testing of liquidity risk in TARGET2
Papsdorf, Patrick (contributor); Arciero, Luca (contributor) - Europäische Zentralbank / Group on TARGET2 Stress Testing - 2017
The paper reports the outcome of the stress-testing of liquidity risk in the TARGET2 payment system, with the study …
Persistent link: https://www.econbiz.de/10011627053
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World wheat price volatility : selected scenario analyses
Thompson, Wyatt; Smith, Garry D.; Elasri, Armelle - 2012
This study complements OECD analyses on commodity price volatility by providing quantitative assessments of the impact … volatility. The factors examined relate to changes in demand in the large emerging countries of the BRICs (comprising Brazil, the … volatility by examining some effects of a hypothetical international buffer stockholding scheme to stabilise international wheat …
Persistent link: https://www.econbiz.de/10009683275