Banco de España
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Central Tendency, Stochastic Volatility, Jumps, Term Structure, Volatility Skews
central tendency, stochastic volatility, jumps, term structure, volatility skews
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Central Tendency, Jumps, Stochastic Volatility, Term Structure, Volatility Skews
Stress Testing, Credit Risk, Worst Case Search, Maximum Loss
Credit risk, Probability of default, Loss distribution, Stress test, Contagion
Generalised Hyperbolic Distribution, Correlation, Asymmetry, Multifactor Models
Generalised Hyperbolic Distribution, Maximum Likelihood, Portfolio Frontiers, Sortino Ratio, Spanning Tests, Tail Dependence
generalized hyperbolic distribution, maximum likelihood, portfolio frontiers, Sortino ratio, spanning tests, tail dependence
Credit risk, Probability of default, Asset Pricing, Mean-Variance allocation, Stochastic Discount Factor, Value at Risk
credit risk, probability of default, loss distribution, stress test, contagion
kurtosis, density expansions, gram-charlier, skewness, s&p index options
Kurtosis, density expansions, Gram-Charlier, skewness, S&P index options
Bootstrap, Inequality Constraints, Kurtosis, Normality Tests, Skewness, Supremum Test, Underidentified parameters
Bootstrap, Inequality Constraints, Kurtosis, Normality Tests, Skewness, Supremum Test, Underidentifed parameters
Financial Networks, Default, Contagion
early warning indicators, macroprudential policy stance, macroeconomic actual conditions
Quantile regressions, nonlinear dependence, counterfactual analyses, systemic risk.
Credit imbalances, cyclical systemic risk, early-warning models, macroprudential policy, model-based indicators.
banks’ sovereign holdings, sovereign crisis, moral hazard, central bank liquidity, EMU financial fragmentation
FAVAR, capital regulation, cost-benefit analysis, banking system resilience
Inequality constraints, kurtosis, multivariate normality test, skewness, student t, supremum test, tail dependence
Density Expansions, Exchange Traded Notes, Multiplicative Error Model, Volatility Index Futures
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