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DP17512 Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions 智库出版物
2022
作者:  Andrea Carriero;  Todd Clark;  Massimiliano Marcellino
收藏  |  浏览/下载:6/0  |  提交时间:2022/09/22
Forecasting  Downside risk  Asymmetries  
DP16520 Measuring Market Expectations 智库出版物
2021
作者:  Christiane Baumeister
收藏  |  浏览/下载:8/0  |  提交时间:2022/09/22
Futures markets  Risk premia  monetary policy  Commodities  Asset pricing  Return regressions  Affine term structure models  Model uncertainty  Forecasting  Expectational shocks  
DP16496 Nowcasting Tail Risk to Economic Activity at a Weekly Frequency 智库出版物
2021
作者:  Massimiliano Marcellino;  Todd Clark;  Andrea Carriero
收藏  |  浏览/下载:5/0  |  提交时间:2022/09/22
Forecasting  Downside risk  Pandemics  Big data  Mixed frequency  Quantile regression  
Bank networks and systemic risk in the Great Depression 智库出版物
2019
作者:  Sanjiv Das;  Kris Mitchener;  Angela Vossmeyer
收藏  |  浏览/下载:6/0  |  提交时间:2022/09/22
Us  Great depression  Banking  Systemic risk  Global crisis  Financial crises  Forecasting  Financial networks  Networks  Banking system  
DP12687 Risk Everywhere: Modeling and Managing Volatility 智库出版物
2018
作者:  Lasse Heje Pedersen
收藏  |  浏览/下载:2/0  |  提交时间:2022/09/22
Market and volatility risk  High-frequency data  Realized volatility  Risk modeling and forecasting  Volatility trading  Risk targeting  Realized utility  
House and goods price inflation: Evidence from bar code data 智库出版物
2015
作者:  Johannes Stroebel;  Joseph Vavra
收藏  |  浏览/下载:2/0  |  提交时间:2022/09/22
Swiss franc peg  risk models  Exchange rates  Switzerland  Central banks  Currency pegs  currency ceilings  Forecasting  Risk  risk forecasting  Tail risk  Structural breaks  Basel iii  Financial regulation  
Productivity, pricing power, and exports 智库出版物
2014
作者:  Atsuyuki Kato
收藏  |  浏览/下载:1/0  |  提交时间:2022/09/22
Futures  Expectations  Trading  Risk premia  Asset prices  Oil  Oil prices  Forecasting  
Why does inequality grow? Can we do something about it? 智库出版物
2014
作者:  Coen N. Teulings
收藏  |  浏览/下载:1/0  |  提交时间:2022/09/22
Financial crises  Financial regulation  Forecasting  Risk management  Macroprudential policy  
A Fear Index to Predict Oil Futures Returns 智库出版物
2013
作者:  Julien Chevallier;  Benoît Sévi
JPEG(71Kb)  |  收藏  |  浏览/下载:2/0  |  提交时间:2019/06/14
Oil Futures  Variance Risk Premium  Forecasting  
Modelling Asymmetric Dependence Using Copula Functions: An application to Value-at-Risk in the Energy Sector 智库出版物
2009
作者:  Andrea Bastianin
Adobe PDF(432Kb)  |  收藏  |  浏览/下载:2/0  |  提交时间:2019/06/14
Copula functions,Forecasting,Value-At-Risk