A Data Science Central Community
I have extracted 4 pages from the ECB FSR of June 2011 to a summary '.pdf' file;
these pages are a box in that FSR (if u are familiar with the FSR you will gettit); the box is titled;-
COMMON TRENDS IN EURO AREA SOVEREIGN CREDIT DEFAULT SWAP PREMIA
& it contains a beautiful & succint description of how the ECB uses the PCA technique in this space.
I have placed the summary file on a url on my website (for…
ContinueAdded by John A Morrison on July 27, 2012 at 11:15am — No Comments
Added by John A Morrison on July 6, 2009 at 1:08am — No Comments
Added by John A Morrison on June 18, 2009 at 10:42pm — No Comments
Added by John A Morrison on May 7, 2009 at 12:33am — No Comments
by
Geert Bekaert (Columbia Business School) &
Marie Hoerova and Martin Scheicher (European Central Bank)
EUROPEAN CENTRAL BANK WORKING PAPER SERIES
EXECUTIVE SUMMARY (ABSTRACT)
In this paper, we develop a measure of time-varying risk aversion that is relatively easy to estimate or compute, so that it can be compared to the practitioners’ indices. However, the model we use is inspired by the dynamic asset pricing literature. We view…
Added by John A Morrison on April 17, 2009 at 11:00am — No Comments
2020
2019
2018
2017
2016
2015
2014
2013
2012
2011
2010
2009
2008
© 2021 TechTarget, Inc.
Powered by
Badges | Report an Issue | Privacy Policy | Terms of Service
Most Popular Content on DSC
To not miss this type of content in the future, subscribe to our newsletter.
Other popular resources
Archives: 2008-2014 | 2015-2016 | 2017-2019 | Book 1 | Book 2 | More
Most popular articles