Frankfurt am Main, 60311
European Central Bank (ECB)
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Value at Risk; CAViaR; Extreme Value Theory
Financial system design, financial structure, financial integration, euro area, financial policy
Risk Management, Sensitivity Analysis, Dynamic Correlations, GARCH
codependence, semi-parametric, conditional quantiles
bank risk, business models, bank regulation, financial crisis, Basle III
Autoregressive Conditional Duration, GARCH, Ultra High Frequency Data, Empirical Market Microstructure
covered bonds, liquidity, primary market, secondary market
Bond spreads, credit risk, liquidity risk
Financial markets, euro, financial integration, volatility, conditional correlation, term structure, fundamentals, risk premia
Integration, new EU member states, regression quantile
Decision under uncertainty, estimation, overfitting, asset allocation
Portfolio optimization, mean-risk utility model, stochastic dominance, asymmetric least squares, expectile
Inflation, deflation, risk, forecast, monetary policy
Lender-of-last-resort, Interbank Markets, Financial Crisis, Sovereign Debt Crisis, Central Bank Policy
lender-of-last-resort, interbank markets, financial crisis, sovereign debt
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP10901.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
central bank policy, financial crisis, interbank markets, lender-of-last-resort, sovereign debt crisis
bank risk, business models, quantile regression, great recession
Asset returns, CAViaR, Conditional quantiles, Dynamic quantiles, Kurtosis, Skewness
unconventional monetary policy; euro area crisis; SMP; component models; high frequency data
File name: DP9778.
National and industry equity returns, euro, conditional comovements, regression quantiles
Money Markets, Financial Integration, Sovereign Debt Crisis, Monetary Policy Implementation
money markets, financial integration, sovereign debt crisis, monetary policy implementation
Financial Development, Growth, Volatility, Diversification, Mean-Variance Efficiency
Financial markets, growth, volatility, diversification, mean-variance efficiency
Bank risk, business models, great recession
CAViaR; codependence; quantile impulse-responses; spillover
File name: DP3918.
Risk, forecast, monetary policy, price stability, inflation, deflation
File name: SSRN-id996810.
Greenspan, inflation, monetary policy, output, policy rule, preferences, risk
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: ecop.
Judgmental estimation, Statistical Risk Propensity, Out-of-sample portfolio selection
financial integration, credit risk, country premia, fragmentation index
dynamic correlations, multivariate GARCH, risk management
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