Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Olli Castren"'
We combine the dynamic dividend-discount model with an accounting-based vector autoregression framework that allows for a decomposition of EU banks' stock returns to cash-flow and expected return news components. The main findings are that while the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0050f7be3451e38486ab6892de06fc75
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp677.pdf
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp677.pdf
In an analytically tractable model of the global economy, we calculate the Pareto improvement where a country experiencing a favourable supply side shock consumes more against expected future output and spreads the risk by selling shares. With capita
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::33ab0745361fd3ed707355e6a91246f4
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp459.pdf
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp459.pdf
Autor:
Olli Castren
This paper uses data on currency options prices for the exchange rates of the three largest new EU member states Poland, Czech Republic and Hungary vis-à-vis the euro and the US dollar to estimate the risk-neutral density (RND) functions and the den
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3c7f8ebd0ccf0a486affc42dfad9a0c0
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp440.pdf
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp440.pdf
Autor:
Olli Castren, Stefano Mazzotta
We compare option-implied correlation forecasts from a dataset consisting of over 10 years of daily data on over-the-counter (OTC) currency option prices to a set of return-based correlation measures and assess the relative quality of the correlation
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ef374920fd7f6821448c3c8ebde72044
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp447.pdf
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp447.pdf
Autor:
Olli Castren
This paper assesses the contemporaneous, leading and lagging indicator properties of financial market variables relative to movements in six major developed country currency pairs. As indicator variables changes in various relative asset prices, shor
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b2d4bb0bbc0f432d7662efa2b2496b8f
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp379.pdf
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp379.pdf
Autor:
Olli Castren, Tuomas Takalo
We build a model of a fixed exchange rate regime with escape clauses and output persistence. In the spirit of the literature following the Asian crisis in 1997, persistence in our model arises from the inability of the domestic financial institutions
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::23322bd4d78ca0bd3b2c0e8d144b0191
http://fmwww.bc.edu/RePEc/es2000/0515.pdf
http://fmwww.bc.edu/RePEc/es2000/0515.pdf
Autor:
Olli Castren, Ilja Kristian Kavonius
Publikováno v:
University of Helsinki
The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level ne
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::ec25df4547643889f7ac682098b65ce2
https://researchportal.helsinki.fi/en/publications/ffb68c19-0ce2-4635-b74b-a9c991005aec
https://researchportal.helsinki.fi/en/publications/ffb68c19-0ce2-4635-b74b-a9c991005aec