Nonlinear Modeling of Financial Stability Using Default Probabilities from the Capital Market
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Cited by:
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- Dragos HURU & Ioana MANAFI & Ionut PANDELICA & Marilena Carmen UZLAU, 2022. "Nonlinear Dependencies between Green Bonds and General Financial Market Indices," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 169-181, December.
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More about this item
Keywords
probabilities of default; fear; loss aversion; asymmetric volatility; day-of-the-week-effect; MiDaS regressions;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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