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Interest rate pass-through, euro area countries, panel cointegration
Affine term structure models, state-space modelling, inflation compensation, inflation risk premia, inflation risks
term structure, break-even inflation rates, inflation-linked bonds, inflation seasonality
Stock Prices, Monetary Policy, Reaction Function, Deutsche Bundesbank, Identification, Simultaneity
high-frequency data, market microstructure, future markets, information shares, kalman filter
Tail index, futures returns, extreme value theory, risk management
equity premium, affine term structure models, asset pricing
Yield curve, Term structure, Forecasting, Term premia, Financial markets and the macroeconomy
Information shares, bond futures, upstairs markets
market and idiosyncratic volatility, test on break in volatility dynamics, institutional ownership
term structure of interest rates, large-scale asset purchases, term premia
reaction function, asset prices
Maximum-Likelihood, DSGE, MSV solution, New-Keynesian model, Germany