Threadneedle Street
London, EC2R 8AH
United Kingdom
Bank of England
SSRN RANKINGS
in Total Papers Citations
Stock and bond market volatility, two-factor volatility model, macroeconomic
stock and bond market volatility, two-factor volatility model, macroeconomic fundamentals, structural vector autoregression, Bayesian estimation
Financial stress index, AUROC, GARCH, threshold VAR
Cash Holdings, Economic Policy Uncertainty, SVAR, U.S. Partisan Conflict
Bayesian VAR, fat-tails, stochastic volatility, Great Recession
Partisan Conflict, Cash Holdings, Economic Policy Uncertainty, VAR, Sign Restriction
Partisan conflict, cash holdings, economic policy uncertainty, VAR, sign restrictions
Macroeconomic tail events, nonlinear VARs, generalised impulse response functions, density forecasts
Partisan Conflict, Cash Holdings, Economic Policy Uncertainty, VAR, Sign Restrictions, Local Projections
co-exceedance, systemic distress, risk contribution, extreme risk interdependence
co-exceedance, systemic distress, risk contribution, extreme risk interdependence, relative entropy
mortgage spread shocks, smooth transition vector autoregressions, nonlinearities, financial frictions
Retail deposits behaviour, Bayesian panel-VAR, sign restrictions
Partisan conflict, Economic policy uncertainty, U.S.-Euro area spillovers, Bayesian VAR
Forecast breaks, statistical decision making, central banking
