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Overview page. Subjects: Computing.

When a computer or a user is directly connected into a network and is capable of interacting with it, for example by querying the contents of a database.

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The Myth of the Credit Spread Puzzle

Peter Feldhütter and Stephen M Schaefer.

in The Review of Financial Studies

August 2018; p ublished online March 2018 .

Journal Article. Subjects: Single Equation Models; Single Variables; Economics. 21423 words.

Abstract

Are standard structural models able to explain credit spreads on corporate bonds? In contrast to much of the literature, we find that the Black-Cox...

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Risk Everywhere: Modeling and Managing Volatility

Tim Bollerslev, Benjamin Hood, John Huss and Lasse Heje Pedersen.

in The Review of Financial Studies

July 2018; p ublished online May 2018 .

Journal Article. Subjects: Single Equation Models; Single Variables; Econometric Modelling; Economics. 20500 words.

Abstract

Based on high-frequency data for more than fifty commodities, currencies, equity indices, and fixed-income instruments spanning more than two decades,...

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Statistical Surveillance of Volatility Forecasting Models

Vasyl Golosnoy, Iryna Okhrin and Wolfgang Schmid.

in Journal of Financial Econometrics

June 2012; p ublished online December 2011 .

Journal Article. Subjects: Financial Forecasting and Simulation; Single Equation Models; Single Variables; Econometric Modelling. 9721 words.

This paper elaborates sequential procedures for monitoring the validity of a volatility model. A state-space representation describes dynamics of daily integrated volatility. The...

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Stylised fact or situated messiness? The diverse effects of increasing debt on national economic growth

Andrew Bell, Ron Johnston and Kelvyn Jones.

in Journal of Economic Geography

March 2015; p ublished online March 2014 .

Journal Article. Subjects: National Budget, Deficit, and Debt; Single Equation Models; Single Variables; Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook. 8631 words.

This article reanalyses data used by Reinhart and Rogoff (2010c, American Economic Review, 100: 573–78—RR), and later Herndon et al. (2013, Cambridge Journal of Economics, online, doi:...

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