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Displaying results 1 to 5 of 5.

  1. The information in the joint term structures of bond yields
    Author: Meldrum, Andrew; Raczko, Marek; Spencer, Peter D.
    Published: December 2018
    Publisher:  Bank of England, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 443 (772)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 772
    Subjects: Affine term structure model; international interest rate co-movement; real interest rates
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  2. Measuring financial cycle time
    Author: Filardo, Andrew J.; Lombardi, Marco; Raczko, Marek
    Published: January 2019
    Publisher:  Bank of England, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 443
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 776
    Subjects: Financial cycles; continuous-time autoregressive models; time deformation; behavioural economics; endogenous risk-taking behaviour; central banking
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  3. Measuring financial cycle time
    Author: Filardo, Andrew J.; Lombardi, Marco; Raczko, Marek
    Published: November 2018
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 546
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: BIS working papers ; no 755
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  4. Overseas unspanned factors and domestic bond returns
    Author: Meldrum, Andrew; Raczko, Marek; Spencer, Peter
    Published: September 2016
    Publisher:  Bank of England, [London]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 618
    Subjects: Return-forecasting regressions; dynamic term structure models
    Scope: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  5. Volatility contagion
    new evidence from market pricing of volatility risk
    Author: Raczko, Marek
    Published: 2015
    Publisher:  Bank of England, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; 552
    Subjects: Financial contagion; variance risk premium; tail-risk; equity co-movement; volatility co-movement
    Scope: Online-Ressource (43 S.), graph. Darst.