Marius del Giudice Rodriguez
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Danilo Cascaldi-Garcia & Deepa Dhume Datta & Thiago Revil T. Ferreira & Olesya V. Grishchenko & Mohammad R. Jahan-Parvar & Juan M. Londono & Francesca Loria & Sai Ma & Marius del Giudice Rodriguez & J, 2020.
"What is Certain about Uncertainty?,"
International Finance Discussion Papers
1294, Board of Governors of the Federal Reserve System (U.S.).
- Danilo Cascaldi-Garcia & Cisil Sarisoy & Juan M. Londono & Bo Sun & Deepa D. Datta & Thiago Ferreira & Olesya Grishchenko & Mohammad R. Jahan-Parvar & Francesca Loria & Sai Ma & Marius Rodriguez & Ilk, 2023. "What Is Certain about Uncertainty?," Journal of Economic Literature, American Economic Association, vol. 61(2), pages 624-654, June.
Cited by:
- Miescu, Mirela & Rossi, Raffaele, 2021.
"COVID-19-induced shocks and uncertainty,"
European Economic Review, Elsevier, vol. 139(C).
- Mirela Miescu & Raffaele Rossi, 2020. "COVID-19-Induced Shocks and Uncertainty," Economics Discussion Paper Series 2013, Economics, The University of Manchester, revised Aug 2021.
- Martin Hodula & Jan Janku & Simona Malovana & Ngoc Anh Ngo, 2024.
"Geopolitical Risks and Their Impact on Global Macro-Financial Stability: Literature and Measurements,"
Working Papers
2024/8, Czech National Bank.
- Hodula, Martin & Janků, Jan & Malovaná, Simona & Ngo, Ngoc Anh, 2024. "Geopolitical risks and their impact on global macro-financial stability: Literature and measurements," BOFIT Discussion Papers 9/2024, Bank of Finland Institute for Emerging Economies (BOFIT).
- Breitenlechner, Max & Georgiadis, Georgios & Schumann, Ben, 2022.
"What goes around comes around: How large are spillbacks from US monetary policy?,"
Journal of Monetary Economics, Elsevier, vol. 131(C), pages 45-60.
- Max Breitenlechner & Georgios Georgiadis & Ben Schumann, 2021. "What goes around comes around: How large are spillbacks from US monetary policy?," GRU Working Paper Series GRU_2021_003, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Breitenlechner, Max & Georgiadis, Georgios & Schumann, Ben, 2021. "What goes around comes around: How large are spillbacks from US monetary policy?," Working Paper Series 2613, European Central Bank.
- Max Breitenlechner & Georgios Georgiadis & Ben Schumann, 2021. "What goes around comes around: How large are spillbacks from US monetary policy?," Working Papers 2021-05, Faculty of Economics and Statistics, Universität Innsbruck.
- Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana, 2020.
"Uncertainty Shocks and Business Cycle Research,"
NBER Working Papers
26768, National Bureau of Economic Research, Inc.
- Jesus Fernandez-Villaverde & Pablo Guerron-Quintana, 2020. "Uncertainty Shocks and Business Cycle Research," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 118-166, August.
- Fernández-Villaverde, Jesús, 2020. "Uncertainty Shocks and Business Cycle Research," CEPR Discussion Papers 14398, C.E.P.R. Discussion Papers.
- Cosmas Dery & Apostolos Serletis, 2021. "Disentangling the Effects of Uncertainty, Monetary Policy and Leverage Shocks on the Economy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1029-1065, October.
- d'Artis Kancs, 2024.
"Uncertainty of Supply Chains: Risk and Ambiguity,"
EERI Research Paper Series
EERI RP 2024/03, Economics and Econometrics Research Institute (EERI), Brussels.
- d'Artis Kancs, 2024. "Uncertainty of supply chains: Risk and ambiguity," The World Economy, Wiley Blackwell, vol. 47(5), pages 2009-2033, May.
- d'Artis Kancs, 2024. "Uncertainty of Supply Chains: Risk and Ambiguity," Papers 2405.03451, arXiv.org.
- Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar, 2021.
"When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance,"
NBER Working Papers
29195, National Bureau of Economic Research, Inc.
- Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar, 2021. "When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance," Finance and Economics Discussion Series 2021-063, Board of Governors of the Federal Reserve System (U.S.).
- Michael Ryan, 2020. "An Anchor in Stormy Seas: Does Reforming Economic Institutions Reduce Uncertainty? Evidence from New Zealand," Working Papers in Economics 20/11, University of Waikato.
- Baxa, Jaromir & Buliskeria, Nino & Elminejad, Ali & Havranek, Tomas & Havrankova, Zuzana & Kundu, Suranjana, 2023. "A comment on Bauer, Lakdawala, Mueller: Market-Based Monetary Policy Uncertainty (2022)," I4R Discussion Paper Series 77, The Institute for Replication (I4R).
- David Iselin & Andreas Dibiasi, 2019.
"Measuring Knightian Uncertainty,"
KOF Working papers
19-456, KOF Swiss Economic Institute, ETH Zurich.
- Andreas Dibiasi, 2021. "Measuring Knightian uncertainty," Post-Print hal-03391638, HAL.
- Andreas Dibiasi & David Iselin, 2021. "Measuring Knightian uncertainty," Empirical Economics, Springer, vol. 61(4), pages 2113-2141, October.
- Taniya Ghosh & Yadavindu Ajit, 2023. "Central bank transparency, the role of institutions and inflation persistence," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2023-012, Indira Gandhi Institute of Development Research, Mumbai, India.
- Ferreira, Thiago R.T., 2024. "Cross-sectional financial conditions, business cycles and the lending channel," Journal of Monetary Economics, Elsevier, vol. 147(C).
- Josué Diwambuena & Jean-Paul K. Tsasa, 2021. "The Real Effects of Uncertainty Shocks: New Evidence from Linear and Nonlinear SVAR Models," BEMPS - Bozen Economics & Management Paper Series BEMPS87, Faculty of Economics and Management at the Free University of Bozen.
- Jiang, Fuwei & Kang, Jie & Meng, Lingchao, 2024. "Certainty of uncertainty for asset pricing," Journal of Empirical Finance, Elsevier, vol. 78(C).
- Mehmet Huseyin Bilgin & Gamze Ozturk Danisman & Ender Demir & Amine Tarazi, 2020.
"Economic uncertainty and bank stability: Conventional vs. Islamic banking,"
Working Papers
hal-02964579, HAL.
- Bilgin, Mehmet Huseyin & Danisman, Gamze Ozturk & Demir, Ender & Tarazi, Amine, 2021. "Economic uncertainty and bank stability: Conventional vs. Islamic banking," Journal of Financial Stability, Elsevier, vol. 56(C).
- Ruediger Bachmann & Kai Carstensen & Stefan Lautenbacher & Martin Schneider, 2021.
"Uncertainty and Change: Survey Evidence of Firms' Subjective Beliefs,"
NBER Working Papers
29430, National Bureau of Economic Research, Inc.
- Ruediger Bachmann & Kai Carstensen & Stefan Lautenbacher & Martin Schneider, 2021. "Uncertainty and Change: Survey Evidence of Firms's Subjective Beliefs," CESifo Working Paper Series 9394, CESifo.
- Lautenbacher, Stefan, 2020.
"Subjective Uncertainty, Expectations, and Firm Behavior,"
MPRA Paper
103516, University Library of Munich, Germany.
- Stefan Lautenbacher, 2021. "Subjective Uncertainty, Expectations, and Firm Behavior," ifo Working Paper Series 349, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Takeshi Shinohara & Tatsushi Okuda & Jouchi Nakajima, 2020.
"Characteristics of Uncertainty Indices in the Macroeconomy,"
Bank of Japan Working Paper Series
20-E-6, Bank of Japan.
- Shinohara, Takeshi & Okuda, Tatsushi & Nakajima, Jouchi, 2021. "Characteristics of Uncertainty Indices in the Macroeconomy," Economic Review, Hitotsubashi University, vol. 72(3), pages 246-267, July.
- Oscar Claveria, 2021. "On the Aggregation of Survey-Based Economic Uncertainty Indicators Between Different Agents and Across Variables," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(1), pages 1-26, April.
- Brianti, Marco, 2021. "Financial Shocks, Uncertainty Shocks, and Monetary Policy Trade-Offs," Working Papers 2021-5, University of Alberta, Department of Economics.
- Haining Chen & Prince Asare Vitenu-Sackey & Isaac Akpemah Bathuure, 2024. "Uncertainty Measures and Business Cycles: Evidence From the US," SAGE Open, , vol. 14(2), pages 21582440241, April.
- Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia, 2023. "Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence," International Review of Financial Analysis, Elsevier, vol. 87(C).
- Martin Iseringhausen & Konstantinos Theodoridis, 2025. "A survey-based measure of asymmetric macroeconomic risk in the euro area," Working Papers 68, European Stability Mechanism, revised 11 Feb 2025.
- Jiang, Fuwei & Liu, Hongkui & Yu, Jiasheng & Zhang, Huajing, 2023. "International stock return predictability: The role of U.S. uncertainty spillover," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
- Juan M. Londono & Sai Ma & Beth Anne Wilson, 2021. "The Global Transmission of Real Economic Uncertainty," International Finance Discussion Papers 1317, Board of Governors of the Federal Reserve System (U.S.).
- Jahanbani, Zeinab & Ataee-pour, Majid & Mortazavi, Ali, 2024. "Application of Z-numbers theory to study the influencing criteria in underground mining method selection," Resources Policy, Elsevier, vol. 88(C).
- Dario Caldara & Chiara Scotti & Molin Zhong, 2021. "Macroeconomic and Financial Risks: A Tale of Mean and Volatility," International Finance Discussion Papers 1326, Board of Governors of the Federal Reserve System (U.S.).
- Stephanie E. Curcuru & Steven B. Kamin & Canlin Li & Marius del Giudice Rodriguez, 2018.
"International Spillovers of Monetary Policy : Conventional Policy vs. Quantitative Easing,"
International Finance Discussion Papers
1234, Board of Governors of the Federal Reserve System (U.S.).
Cited by:
- Ca' Zorzi, Michele & Dedola, Luca & Georgiadis, Georgios & Jarociński, Marek & Stracca, Livio & Strasser, Georg, 2020. "Monetary policy and its transmission in a globalised world," Working Paper Series 2407, European Central Bank.
- Lodge, David & Pérez, Javier J. & Albrizio, Silvia & Everett, Mary & De Bandt, Olivier & Georgiadis, Georgios & Ca' Zorzi, Michele & Lastauskas, Povilas & Carluccio, Juan & Parraga Rodriguez, Susana &, 2021. "The implications of globalisation for the ECB monetary policy strategy," Occasional Paper Series 263, European Central Bank.
- Keefe, Helena Glebocki, 2021. "The transmission of global monetary and credit shocks on exchange market pressure in emerging markets and developing economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
- GalÃ, Jordi, 2020.
"Uncovered Interest Parity, Forward Guidance and the Exchange Rate,"
CEPR Discussion Papers
14889, C.E.P.R. Discussion Papers.
- Jordi Galí, 2020. "Uncovered Interest Parity, Forward Guidance, and the Exchange Rate," NBER Working Papers 26797, National Bureau of Economic Research, Inc.
- Jordi Galí, 2017. "Uncovered interest parity, forward guidance and the exchange rate," Economics Working Papers 1600, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2020.
- Jordi GalÃ, 2018. "Uncovered Interest Parity, Forward Guidance and the Exchange Rate," Working Papers 1021, Barcelona School of Economics.
- Grahame Johnson & Sharon Kozicki & Romanos Priftis & Lena Suchanek & Jonathan Witmer & Jing Yang, 2020. "Implementation and Effectiveness of Extended Monetary Policy Tools: Lessons from the Literature," Discussion Papers 2020-16, Bank of Canada.
- Lakdawala, Aeimit & Moreland, Timothy & Schaffer, Matthew, 2021. "The international spillover effects of US monetary policy uncertainty," Journal of International Economics, Elsevier, vol. 133(C).
- Eterovic, Dalibor & Sweet, Cassandra & Eterovic, Nicolas, 2022. "Asymmetric spillovers in emerging market monetary policy," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 650-662.
- Schrimpf, Paul & Kearns, Jonathan & XIA, Fan Dora, 2020.
"Explaining Monetary Spillovers: The Matrix Reloaded,"
CEPR Discussion Papers
15006, C.E.P.R. Discussion Papers.
- Jonathan Kearns & Andreas Schrimpf & Dora Xia, 2018. "Explaining Monetary Spillovers: The Matrix Reloaded," BIS Working Papers 757, Bank for International Settlements.
- Jonathan Kearns & Andreas Schrimpf & Fan Dora Xia, 2023. "Explaining Monetary Spillovers: The Matrix Reloaded," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(6), pages 1535-1568, September.
- Jonathan Kearns & Andreas Schrimpf & Fan Dora Xia, 2019. "Explaining Monetary Spillovers: The Matrix Reloaded," RBA Research Discussion Papers rdp2019-03, Reserve Bank of Australia.
- Krokida, Styliani-Iris & Makrychoriti, Panagiota & Spyrou, Spyros, 2020. "Monetary policy and herd behavior: International evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 170(C), pages 386-417.
- Matthieu Bussière & Robert Hills & Simon Lloyd & Baptiste Meunier & Justine Pedrono & Dennis Reinhardt & Rhiannon Sowerbutts, 2021.
"Le Pont de Londres: Interactions between monetary and prudential policies in cross‐border lending,"
Review of International Economics, Wiley Blackwell, vol. 29(1), pages 61-86, February.
- Bussière, Matthieu & Hills, Robert & Lloyd, Simon & Meunier, Baptiste & Pedrono, Justine & Reinhardt, Dennis & Sowerbutts, Rhiannon, 2020. "Le Pont de Londres: interactions between monetary and prudential policies in cross-border lending," Bank of England working papers 850, Bank of England.
- Matthieu Bussi re & Robert Hills & Simon Lloyd & Baptiste Meunier & Justine Pedrono & Dennis Reinhardt & Rhiannon Sowerbutts, 2020. "Le Pont de Londres: interactions between monetary and prudential policies in cross-border lending," Working papers 753, Banque de France.
- Enzo Rossi & Vincent Wolff, 2020. "Spillovers to exchange rates from monetary and macroeconomic communications events," Working Papers 2020-18, Swiss National Bank.
- Aaron Mehrotra & Richhild Moessner & Chang Shu, 2019.
"Interest Rate Spillovers from the United States: Expectations, Term Premia and Macro-Financial Vulnerabilities,"
CESifo Working Paper Series
7896, CESifo.
- Mehrotra, Aaron & Moessner, Richhild & Shu, Chang, 2019. "Interest rate spillovers from the United States: expectations, term premia and macro-financial vulnerabilities," BOFIT Discussion Papers 20/2019, Bank of Finland Institute for Emerging Economies (BOFIT).
- Aaron Mehrotra & Richhild Moessner & Chang Shu Author-X-Name_First: Chang, 2019. "Interest rate spillovers from the United States: expectations, term premia and macro-financial vulnerabilities," BIS Working Papers 814, Bank for International Settlements.
- Irma Alonso & Pedro Serrano & Antoni Vaello-Sebastià, 2021. "The impact of heterogeneous unconventional monetary policies on the expectations of market crashes," Working Papers 2127, Banco de España.
- Emanuele Bacchiocchi & Catalin Dragomirescu-Gaina, 2022.
"Uncertainty spill-overs: when policy and financial realms overlap,"
Working Papers
wp1174, Dipartimento Scienze Economiche, Universita' di Bologna.
- Bacchiocchi, Emanuele & Dragomirescu-Gaina, Catalin, 2024. "Uncertainty spill-overs: When policy and financial realms overlap," Journal of International Money and Finance, Elsevier, vol. 143(C).
- Emanuele Bacchiocchi & Catalin Dragomirescu-Gaina, 2021. "Uncertainty spill-overs: when policy and financial realms overlap," Papers 2102.06404, arXiv.org.
- Lael Brainard, 2018. "What Do We Mean by Neutral and What Role Does It Play in Monetary Policy?: a speech at the Detroit Economic Club, Detroit, Michigan," Speech 1011, Board of Governors of the Federal Reserve System (U.S.).
- Helena Chuliá & Ignacio Garrón & Jorge M. Uribe, 2021.
""Vulnerable Funding in the Global Economy","
IREA Working Papers
202106, University of Barcelona, Research Institute of Applied Economics, revised Mar 2021.
- Chuliá, Helena & Garrón, Ignacio & Uribe, Jorge M., 2024. "Vulnerable funding in the global economy," Journal of Banking & Finance, Elsevier, vol. 169(C).
- Jasper Hoek & Steven B. Kamin & Emre Yoldas, 2020. "When is Bad News Good News? U.S. Monetary Policy, Macroeconomic News, and Financial Conditions in Emerging Markets," International Finance Discussion Papers 1269, Board of Governors of the Federal Reserve System (U.S.).
- Michele Ca’ Zorzi & Luca Dedola & Georgios Georgiadis & Marek Jarocinski & Livio Stracca & Georg Strasser, 2023. "Making Waves: Monetary Policy and Its Asymmetric Transmission in a Globalized World," International Journal of Central Banking, International Journal of Central Banking, vol. 19(2), pages 95-144, June.
- Maryam Mirfatah & Vasco J. Gabriel & Paul Levine, 2021. "Imperfect Exchange Rate Pass-through: Empirical Evidence and Monetary Policy Implications," School of Economics Discussion Papers 0321, School of Economics, University of Surrey.
- Don H. Kim & Marcelo Ochoa, 2021. "International Yield Spillovers," Finance and Economics Discussion Series 2021-001, Board of Governors of the Federal Reserve System (U.S.).
- Bayront Yudit Rumondor & Pakasa Bary, 2020. "Capital Flows and Bank Risk-Taking Behavior: Evidence From Indonesia," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(special i), pages 33-53.
- Jordi Galí, 2020. "Uncovered Interest Parity, Forward Guidance and the Exchange Rate," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(S2), pages 465-496, December.
- Cohen, Lior, 2023. "The effects of the BoJ's ETF purchases on equities and corporate investment," Economic Modelling, Elsevier, vol. 129(C).
- Canlin Li & Andrew C. Meldrum & Marius del Giudice Rodriguez, 2017.
"Robustness of Long-Maturity Term Premium Estimates,"
FEDS Notes
2017-04-03, Board of Governors of the Federal Reserve System (U.S.).
Cited by:
- Ethan Struby & Michael F. Connolly, 2022. "Shadow Rate Models and Monetary Policy," Working Papers 2022-03, Carleton College, Department of Economics.
- Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
- Paul, Pascal, 2023.
"Banks, maturity transformation, and monetary policy,"
Journal of Financial Intermediation, Elsevier, vol. 53(C).
- Pascal Paul, 2020. "Banks, Maturity Transformation, and Monetary Policy," Working Paper Series 2020-07, Federal Reserve Bank of San Francisco.
- Berardi, Andrea & Plazzi, Alberto, 2022.
"Dissecting the yield curve: The international evidence,"
Journal of Banking & Finance, Elsevier, vol. 134(C).
- Andrea Berardi & Alberto Plazzi, 2019. "Dissecting the Yield Curve: The International Evidence," Swiss Finance Institute Research Paper Series 19-73, Swiss Finance Institute.
- Elizondo Rocío, 2023. "The Three Intelligible Factors of the Yield Curve in Mexico," Working Papers 2023-13, Banco de México.
- Camelia Minoiu & Andrés Schneider & Min Wei, 2023.
"Why Does the Yield Curve Predict GDP Growth? The Role of Banks,"
FRB Atlanta Working Paper
2023-14, Federal Reserve Bank of Atlanta.
- Camelia Minoiu & Andrés Schneider & Min Wei, 2023. "Why Does the Yield Curve Predict GDP Growth? The Role of Banks," Finance and Economics Discussion Series 2023-049, Board of Governors of the Federal Reserve System (U.S.).
- Jonathan Hambur & Richard Finlay, 2018. "Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia," RBA Research Discussion Papers rdp2018-02, Reserve Bank of Australia.
- Aguilar-Argaez Ana María & Diego-Fernández Forseck María & Elizondo Rocío & Roldán-Peña Jessica, 2020. "Term Premium Dynamics and its Determinants: The Mexican Case," Working Papers 2020-18, Banco de México.
- Karahan, Cenk C. & Soykök, Emre, 2022. "Term premium dynamics in an emerging market: Risk, liquidity, and behavioral factors," International Review of Financial Analysis, Elsevier, vol. 84(C).
- Bluwstein, Kristina & Yung, Julieta, 2019. "Back to the real economy: the effects of risk perception shocks on the term premium and bank lending," Bank of England working papers 806, Bank of England.
- Daniel O. Beltran & Deepa Dhume Datta & Thiago Revil T. Ferreira & Matteo Iacoviello & Mohammad Jahan-Parvar & Canlin Li & Juan M. Londono & Marius del Giudice Rodriguez & John H. Rogers & Bo Sun, 2017.
"Taxonomy of Global Risk, Uncertainty, and Volatility Measures,"
International Finance Discussion Papers
1216, Board of Governors of the Federal Reserve System (U.S.).
Cited by:
- Jose E. Gomez-Gonzalez & Jorge Hirs-Garzon & Jorge M. Uribe, 2020.
"Global effects of US uncertainty: real and financial shocks on real and financial markets,"
IREA Working Papers
202015, University of Barcelona, Research Institute of Applied Economics, revised Oct 2020.
- Gomez-Gonzalez, Jose Eduardo & Hirs-Garzon, Jorge & Uribe, Jorge M., 2020. "Global effects of US uncertainty: real and financial shocks on real and financial markets," Working papers 69, Red Investigadores de Economía.
- David Altig & Jose Maria Barrero & Nicholas Bloom & Steven J. Davis & Brent H. Meyer & Nicholas Parker, 2019.
"Surveying Business Uncertainty,"
NBER Working Papers
25956, National Bureau of Economic Research, Inc.
- Altig, David & Barrero, Jose Maria & Bloom, Nicholas & Davis, Steven J. & Meyer, Brent & Parker, Nicholas, 2022. "Surveying business uncertainty," Journal of Econometrics, Elsevier, vol. 231(1), pages 282-303.
- David E. Altig & Jose Maria Barrero & Nicholas Bloom & Steven J. Davis & Brent Meyer & Nicholas B. Parker, 2020. "Surveying Business Uncertainty," FRB Atlanta Working Paper 2019-13, Federal Reserve Bank of Atlanta.
- Oguzhan Ozcelebi & José A. Pérez‐Montiel, 2023. "Examination of the impacts of the immediate interest rate of the United States and the VIX on the Dow Jones Islamic Market Index," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 1157-1180, October.
- Fassas, Athanasios P. & Siriopoulos, Costas, 2021. "Implied volatility indices – A review," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 303-329.
- Liang, Chin Chia & Troy, Carol & Rouyer, Ellen, 2020. "U.S. uncertainty and Asian stock prices: Evidence from the asymmetric NARDL model," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Ines Buono & Flavia Corneli & Enrica Di Stefano, 2024.
"Capital inflows to emerging countries and their sensitivity to the global financial cycle,"
International Finance, Wiley Blackwell, vol. 27(1), pages 17-34, April.
- Ines Buono & Flavia Corneli & Enrica Di Stefano, 2020. "Capital inflows to emerging countries and their sensitivity to the global financial cycle," Temi di discussione (Economic working papers) 1262, Bank of Italy, Economic Research and International Relations Area.
- Nathan Converse & Enrico Mallucci, 2019.
"Differential Treatment in the Bond Market: Sovereign Risk and Mutual Fund Portfolios,"
International Finance Discussion Papers
1261, Board of Governors of the Federal Reserve System (U.S.).
- Converse, Nathan & Mallucci, Enrico, 2023. "Differential treatment in the bond market: Sovereign risk and mutual fund portfolios," Journal of International Economics, Elsevier, vol. 145(C).
- Canales, Mario & Lopez-Martin, Bernabe, 2024. "Exchange rates, uncertainty, and price-setting: Evidence from CPI microdata," Economic Modelling, Elsevier, vol. 139(C).
- Donadelli, Michael & Lalanne, Marie, 2020. "Sex and “the City”: Financial stress and online pornography consumption," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
- Laura Nowzohour & Livio Stracca, 2020.
"More Than A Feeling: Confidence, Uncertainty, And Macroeconomic Fluctuations,"
Journal of Economic Surveys, Wiley Blackwell, vol. 34(4), pages 691-726, September.
- Nowzohour, Laura & Stracca, Livio, 2017. "More than a feeling: confidence, uncertainty and macroeconomic fluctuations," Working Paper Series 2100, European Central Bank.
- Mario Canales & Bernabe Lopez-Martin, 2021. "Uncertainty, Risk, and Price-Setting: Evidence from CPI Microdata," Working Papers Central Bank of Chile 908, Central Bank of Chile.
- Giuseppe Fiori & Filippo Scoccianti, 2021.
"The Economic Effects of Firm-Level Uncertainty: Evidence Using Subjective Expectations,"
International Finance Discussion Papers
1320, Board of Governors of the Federal Reserve System (U.S.).
- Giuseppe Fiori & Filippo Scoccianti, 2021. "The Economic Effects of Firm-Level Uncertainty: Evidence Using Subjective Expectations," Questioni di Economia e Finanza (Occasional Papers) 630, Bank of Italy, Economic Research and International Relations Area.
- Fiori, Giuseppe & Scoccianti, Filippo, 2023. "The economic effects of firm-level uncertainty: Evidence using subjective expectations," Journal of Monetary Economics, Elsevier, vol. 140(C), pages 92-105.
- Julius Loermann, 2021. "The impact of CHF/EUR exchange rate uncertainty on Swiss exports to the Eurozone: evidence from a threshold VAR," Empirical Economics, Springer, vol. 60(3), pages 1363-1385, March.
- Roman Grynberg & Teresa Kaulihowa & Fwasa K Singogo, 2019. "Structural Changes of the 21st Century and their Impact on the Gold Price," Journal of Economics and Behavioral Studies, AMH International, vol. 11(3), pages 72-83.
- Goodell, John W. & Goyal, Abhinav & Urquhart, Andrew, 2021. "Uncertainty of uncertainty and firm cash holdings," Journal of Financial Stability, Elsevier, vol. 56(C).
- Jose E. Gomez-Gonzalez & Jorge Hirs-Garzon & Jorge M. Uribe, 2020.
"Global effects of US uncertainty: real and financial shocks on real and financial markets,"
IREA Working Papers
202015, University of Barcelona, Research Institute of Applied Economics, revised Oct 2020.
- Marius del Giudice Rodriguez & Emre Yoldas, 2016.
"Drivers of Inflation Compensation: Evidence from Inflation Swaps in Advanced Economies,"
IFDP Notes
2016-12-30-2, Board of Governors of the Federal Reserve System (U.S.).
Cited by:
- Petra Gerlach-Kristen & Richhild Moessner & Rina Rosenblatt-Wisch, 2018.
"Computing Long-Term Market Inflation Expectations for Countries without Inflation Expectation Markets,"
Russian Journal of Money and Finance, Bank of Russia, vol. 77(3), pages 23-48, September.
- Petra Gerlach & Richhild Moessner & Rina Rosenblatt-Wisch, 2017. "Computing long‐term market inflation expectations for countries without inflation expectation markets," Working Papers 2017-09, Swiss National Bank.
- Jean-Alexandre Vaglio & Dorian Henricot & Juraj Falath & Marc de la Barrera, 2017. "The Impact of Forward Guidance on Inflation Expectations: Evidence from the ECB," Working Papers 1010, Barcelona School of Economics.
- Petra Gerlach-Kristen & Richhild Moessner & Rina Rosenblatt-Wisch, 2018.
"Computing Long-Term Market Inflation Expectations for Countries without Inflation Expectation Markets,"
Russian Journal of Money and Finance, Bank of Russia, vol. 77(3), pages 23-48, September.
- Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015.
"The Price of Variance Risk,"
NBER Working Papers
21182, National Bureau of Economic Research, Inc.
- Dew-Becker, Ian & Giglio, Stefano & Le, Anh & Rodriguez, Marius, 2017. "The price of variance risk," Journal of Financial Economics, Elsevier, vol. 123(2), pages 225-250.
Cited by:
- Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018.
"An intertemporal CAPM with stochastic volatility,"
Journal of Financial Economics, Elsevier, vol. 128(2), pages 207-233.
- Campbell, John Y & Polk, Christopher & Giglio, Stefano & Turley, Robert, 2015. "An Intertemporal CAPM with Stochastic Volatility," CEPR Discussion Papers 10681, C.E.P.R. Discussion Papers.
- John Y. Campbell & Stefano Giglio & Christopher Polk & Robert Turley, 2012. "An Intertemporal CAPM with Stochastic Volatility," NBER Working Papers 18411, National Bureau of Economic Research, Inc.
- Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018. "An Intertemporal CAPM with stochastic volatility," LSE Research Online Documents on Economics 69634, London School of Economics and Political Science, LSE Library.
- Sankar, Ganesh & Ramachandran, Shankar & Lukose P J, Jijo, 2020. "Dynamics of variance risk premium: Evidence from India," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 321-334.
- Chris Bardgett & Elise Gourier & Markus Leippold, 2016.
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Hannover Economic Papers (HEP)
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Cited by:
- Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
- Carlos Trucíos & João H. G. Mazzeu & Marc Hallin & Luiz K. Hotta & Pedro L. Valls Pereira & Mauricio Zevallos, 2022.
"Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(1), pages 40-52, December.
- Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hallin, Marc & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Zevallos, Mauricio, 2019. "Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach," Textos para discussão 505, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Marc Hallin & Luis K. Hotta & João H. G Mazzeu & Carlos Cesar Trucios-Maza & Pedro L. Valls Pereira & Mauricio Zevallos, 2019. "Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach," Working Papers ECARES 2019-14, ULB -- Universite Libre de Bruxelles.
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"Generalized dynamic factor models and volatilities: estimation and forecasting,"
Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
- Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities estimation and forecasting," LSE Research Online Documents on Economics 67455, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Marc Hallin, 2015. "Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting," Working Papers ECARES ECARES 2015-22, ULB -- Universite Libre de Bruxelles.
- Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Hallin, Marc, 2020.
"Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting,"
Textos para discussão
521, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Trucíos, Carlos & Mazzeu, João H.G. & Hotta, Luiz K. & Valls Pereira, Pedro L. & Hallin, Marc, 2021. "Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1520-1534.
- Marc Hallin & Carlos Trucíos, 2020. "Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach," Working Papers ECARES 2020-50, ULB -- Universite Libre de Bruxelles.
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"Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
- Yun-Shi Dai & Peng-Fei Dai & Wei-Xing Zhou, 2023. "Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets," Papers 2303.11030, arXiv.org.
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- Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2016. "What derives the bond portfolio value-at-risk: Information roles of macroeconomic and financial stress factors," SFB 649 Discussion Papers 2016-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Victor Olkhov, 2021.
"To VaR, or Not to VaR, That is the Question,"
Papers
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- Olkhov, Victor, 2021. "To VaR, or Not to VaR, That is the Question," MPRA Paper 105458, University Library of Munich, Germany.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
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"Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability,"
CEPR Discussion Papers
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- Marco Aiolfi & Marius Rodriguez & Allan Timmermann, 2010. "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability," Journal of Financial Econometrics, Oxford University Press, vol. 8(3), pages 305-334, Summer.
Cited by:
- Baghestani, Hamid & Khallaf, Ashraf, 2012. "Predictions of growth in U.S. corporate profits: Asymmetric vs. symmetric loss," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 222-229.
Articles
- Marco Aiolfi & Marius Rodriguez & Allan Timmermann, 2010.
"Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability,"
Journal of Financial Econometrics, Oxford University Press, vol. 8(3), pages 305-334, Summer.
See citations under working paper version above.Sorry, no citations of articles recorded.
- Timmermann, Allan & Aiolfi, Marco & Rodriguez, Marius, 2010. "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability," CEPR Discussion Papers 7656, C.E.P.R. Discussion Papers.