Marchés financiers: working papers (RePEc, 26/01/2011)

Source : NEP (New Economics Papers) | RePEc

  • Identifying the global transmission of the 2007-09 financial crisis in a GVAR Model
Date: 2011-01
By: Alexander Chudik (European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany.)
Marcel Fratzscher (European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany.)
URL: http://d.repec.org/n?u=RePEc:ecb:ecbwps:20111285&r=fmk
Keywords: Liquidity, risk, financial crisis, global transmission, global VAR (GVAR), shocks, modelling, US, advanced economies, emerging market economies.
  • Corporate bond spreads and real activity in the euro area – Least Angle Regression forecasting and the probability of the recession
Date: 2011-01
By: Marco Buchmann (European Central Bank, DG Financial Stability, Financial Stability Assessment Division, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany.)
URL: http://d.repec.org/n?u=RePEc:ecb:ecbwps:20111286&r=fmk
Keywords: Corporate bond spreads, point and density forecasting, automatic model building, least angle regression.
  • Yield Curve Analysis: Choosing the optimal maturity date of investments and financing
Date: 2010-12-30
By: Lenz, Rainer
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:27781&r=fmk
Keywords: yield curve; term structure of interest rates; implicit forward rates; expectation theory; optimal maturity of investments;
JEL: E43
  • Option data and modeling BSM implied volatility
Date: 2010-12
By: Matthias Fengler
URL: http://d.repec.org/n?u=RePEc:usg:dp2010:2010-32&r=fmk
Keywords: Implied volatility
JEL: G13
  • Technical analysis in the foreign exchange market
Date: 2011
By: Christopher J. Neely
Paul A. Weller
URL: http://d.repec.org/n?u=RePEc:fip:fedlwp:2011-001&r=fmk
Keywords: Foreign exchange rates

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