Ramon Trias Fargas 25-27
Barcelona, Catalonia 08014
Universitat Pompeu Fabra - Department of Economics and Business
Barcelona Graduate School of Economics (Barcelona GSE)
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Systemic Risk Measurement, Forecasting
Volatility, ARCH, Forecasting, Forecast Evaluation
Networks, Multivariate Time Series, Long Run Covariance, LASSO
Vector Multiplicative Error Model, Seminonparametric Estimation, Volatility
Volatility Measures, VaR Forecasting, GARCH, MEM, P-Splines
C22, C51, C52, C53, GARCH, MEM, P-splines, VaR, volatility measures
Panel GARCH, Nonlinear Panel, Random Effects, Volatility
local projections, semiparametric estimation, structural impulse response
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP11726.
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impulse response, local projections, semiparametric estimation
Financial Durations, ACD, MCMC
MEM, Realized Volatility, Forecasting
Networks, Realized Covariance, Lasso
Credit Risk, Networks, CDS, Interbank Lending, Portfolio Distance
Systemic Risk, Financial Crises, Risk Measures
File name: DP12178.
Financial crises, Risk Measures, systemic risk
Granularity, Network Models, Factor Models, Panel Data, Industrial Production, CDS Spreads
Partial Correlation Networks, Random Graphs, Power-Law
integrated volatility, two-scales realized volatility estimator, jumps, market microstructure noise
Partial Correlation Networks, Random Graphs, Community Detection, Spectral Clustering, Graphical Models
Financial crisis, Systemic risk, Stress testing, credit risk, High-frequency data
C22, C52, C53, focused information criteria, forecasting, model selection, realized volatility, value at risk
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