Zobrazeno 1 - 10
of 30
pro vyhledávání: '"Marco Taboga"'
Autor:
Emanuela Ciapanna, Marco Taboga
Publikováno v:
Econometrics, Vol 7, Iss 3, p 29 (2019)
This paper deals with instability in regression coefficients. We propose a Bayesian regression model with time-varying coefficients (TVC) that allows to jointly estimate the degree of instability and the time-path of the coefficients. Thanks to the c
Externí odkaz:
https://doaj.org/article/ebb8319f5fba47b9b0e3252e2cb0b94b
Autor:
Marco Taboga, Marcello Pericoli
Publikováno v:
Journal of Financial Econometrics. 20:807-838
We propose a general method for the Bayesian estimation of a very broad class of non-linear no-arbitrage term-structure models. The main innovation we introduce is a computationally efficient method, based on deep learning techniques, for approximati
Autor:
Riccardo Poli, Marco Taboga
Publikováno v:
SSRN Electronic Journal.
Autor:
Lorenzo Cappiello, Federic Holm-Hadulla, Angela Maddaloni, Laura Arts, Nicolas Meme, Petros Migiakis, Caterina Behrens, Alban Moura, Stefano Corradin, Annalisa Ferrando, Juha Niemelä, Margherita Giuzio, olivier pierrard, Lev Ratnovski, Adam Gulan, Alexandra Schober-Rhomberg, Andreas Hertkorn, Michael Sigmund, Christoph Kaufmann, Lucía Kazarian Avakian, Patricia Stupariu, Kimmo Koskinen, Marco Taboga, Franck Sédillot, Luis Tavares, Jani Matilainen, Emme Van den, Falk Mazelis, Andrea Zaghini, Barra McCarthy
Publikováno v:
SSRN Electronic Journal.
Autor:
Marco Taboga
Publikováno v:
International Review of Economics & Finance. 45:453-469
Estimates of option-implied probability distributions are routinely used in central banks, as well as in other institutions, but their reliability is often difficult to assess. To address this issue, we propose a semi-nonparametric model that allows
Autor:
Marco Taboga, Sara Cecchetti
Publikováno v:
SSRN Electronic Journal.
We propose methods to compute confidence bands for the fundamental values of stocks and corporate bonds. These methods take into account uncertainty about future cash flows and about the discount factors used to discount the cash flows. We use them t
Autor:
Marco Taboga
Publikováno v:
International Finance. 17:51-75
Since the outbreak of the financial crisis in 2007, the level and volatility of the Euribor–OIS spreads have increased significantly. According to the literature, this variability is mainly explained by credit and liquidity risk premia. I provide e
Publikováno v:
SSRN Electronic Journal.
In the aftermath of the euro-area sovereign debt crisis, several commentators have questioned the favourable treatment of banks’ sovereign exposures allowed by the current prudential rules. In this paper, we assess the overall desirability of refor
Autor:
Marcello Pericoli, Marco Taboga
Publikováno v:
International Review of Economics & Finance. 22:42-65
We introduce a two-country no-arbitrage term-structure model to analyse the joint dynamics of bond yields, macroeconomic variables, and the exchange rate. The model allows to understand how exogenous shocks to the exchange rate affect the yield curve
Autor:
Marco Taboga
Publikováno v:
International Finance. 14:135-164
The ratio between current earnings per share and the share price (the EP ratio) is widely used to judge how expensive the stock of a corporation is, relative to its ability to earn profits. Using euro area aggregate stock market data, I show that jud