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A latent factor model of European exchange rate risk premia
Alexius, Annika; Sellin, Peter - 1997
Persistent link: https://www.econbiz.de/10000958083
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Pricing options under generalised GARCH and stochastic volatility processes
Ritchken, Peter H.; Trevor, Robert G. - 1997
Persistent link: https://www.econbiz.de/10000978436
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Mismatch explanations of European unemployment : a critical evaluation
Entorf, Horst - 1998
The peristence of European unemployment stands in striking contrast to the cyclical pattern of unemployment in the US. Many people attribute the rise in European unemployment to increased imbalances between the pattern of labour d¤ emand and supply - in other words, to greater mismatch, but...
Persistent link: https://www.econbiz.de/10000981631
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Pricing options under generalized GARCH and stochastic volatility processes
Ritchken, Peter; Trevor, Rob - In: The journal of finance : the journal of the American … 54 (1999) 1, pp. 377-402
Persistent link: https://www.econbiz.de/10001355222
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Structural time-series modelling of monetary aggregates : a case study for eleven European countries
Winder, Carlo C. A. - In: Journal of forecasting 16 (1997) 2, pp. 97-123
Persistent link: https://www.econbiz.de/10001216403
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The classic European hyperinflations revisited : testing the Cagan model using a cointegrated VAR approach
Engsted, Tom - In: Economica 61 (1994) 243, pp. 331-343
Persistent link: https://www.econbiz.de/10001167462
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Advances in Markov-switching models : applications in business cycle research and finance ; with 56 tables
Hamilton, James D. (ed.) - 2002
Persistent link: https://www.econbiz.de/10001681636
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A measure of comovement for economic variables : theory and empirics
Croux, Christophe; Forni, Mario; Reichlin, Lucrezia - In: The review of economics and statistics 83 (2001) 2, pp. 232-241
Persistent link: https://www.econbiz.de/10001579515
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Applications of state space models in finance : an empirical analysis of the time-varying relationship between macroeconomics, fundamentals and Pan-European industry portfolios
Mergner, Sascha - 2009
State space models play a key role in the estimation of time-varying sensitivities in financial markets. The objective …
Persistent link: https://www.econbiz.de/10003922552
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Topics in applied time series analysis and panel econometrics
Gorenflo, Marcel - 2013
Persistent link: https://www.econbiz.de/10009744295