IDEAS home Printed from https://ideas.repec.org/e/c/pbr200.html
   My authors  Follow this author

Carmen Broto

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.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Carmen Broto & Luis Molina, 2014. "Sovereign ratings and their asymmetric response to fundamentals," Working Papers 1428, Banco de España.

    Mentioned in:

    1. L’asymétrique réponse des notations souveraines aux fondamentaux
      by ? in D'un champ l'autre on 2014-12-14 23:57:00

Working papers

  1. Banco de España Strategic Plan 2024: Risk identification for the financial and macroeconomic stability, 2021. "How do central banks identify risks? A survey of indicators," Occasional Papers 2125, Banco de España.

    Cited by:

    1. Andrés Giovanni Camacho Ardila & Federico Hernández Álvarez & Luis Ignacio Román de la Sancha, 2023. "Ciclos en el Sector Bancario Mexicano: un Índice Coincidente (CP1G7) vía ACP," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 18(4), pages 1-25, Octubre -.

  2. Carmen Broto & Matías Lamas, 2019. "Is market liquidity less resilient after the financial crisis? Evidence for us treasuries," Working Papers 1917, Banco de España.

    Cited by:

    1. Scheicher, Martin, 2023. "Intermediation in US and EU bond and swap markets: stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020," ESRB Occasional Paper Series 24, European Systemic Risk Board.
    2. Linas Jurksas & Deimante Teresiene & Rasa Kanapickiene, 2021. "Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions," Economies, MDPI, vol. 9(1), pages 1-22, March.
    3. Tang, Chun & Liu, Xiaoxing & Zhou, Donghai, 2022. "Financial market resilience and financial development: A global perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    4. Arthur Akhmetov & Anna Burova & Natalia Makhankova & Alexey Ponomarenko, 2021. "Measuring Market Liquidity and Liquidity Mismatches across Sectors," Bank of Russia Working Paper Series wps82, Bank of Russia.
    5. Sifat, Imtiaz & Zarei, Alireza & Hosseini, Seyedmehdi & Bouri, Elie, 2022. "Interbank liquidity risk transmission to large emerging markets in crisis periods," International Review of Financial Analysis, Elsevier, vol. 82(C).
    6. Hossain, Md. Jamal & Akter, Sadia & Ismail, Mohd Tahir, 2021. "Performance Analysis of GARCH Family Models in Three Time-frames," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 55(2), pages 15-28.

  3. Carmen Broto & Matías Lamas, 2016. "Measuring market liquidity in us fixed income markets: a new synthetic indicator," Working Papers 1608, Banco de España.

    Cited by:

    1. Díaz, Antonio & Escribano, Ana, 2020. "Measuring the multi-faceted dimension of liquidity in financial markets: A literature review," Research in International Business and Finance, Elsevier, vol. 51(C).
    2. Broto, Carmen & Lamas, Matías, 2020. "Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries," Economic Modelling, Elsevier, vol. 93(C), pages 217-229.
    3. Diego Alejandro Martínez-Cruz, 2021. "Indicador Combinado de Liquidez para la Deuda Pública Local Colombiana," Borradores de Economia 1167, Banco de la Republica de Colombia.
    4. Díaz, Antonio & Escribano, Ana, 2022. "Liquidity dimensions in the U.S. corporate bond market," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 1163-1179.
    5. Boneva, Lena & Islami, Mevlud & Schlepper, Kathi, 2021. "Liquidity in the German corporate bond market: Has the CSPP made a difference?," Discussion Papers 08/2021, Deutsche Bundesbank.
    6. Woradee Jongadsayakul, 2023. "The Launch of a Night Trading Session and Currency Futures Market Liquidity: Evidence from the Thailand Futures Exchange," JRFM, MDPI, vol. 16(10), pages 1-15, October.
    7. María Isabel Cambón Murcia & José Luis Cano Coello & Jesús González Redondo, 2017. "Measuring liquidity of Spanish debt," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.

  4. Carmen Broto & Luis Molina, 2014. "Sovereign ratings and their asymmetric response to fundamentals," Working Papers 1428, Banco de España.

    Cited by:

    1. Hasan, Iftekhar & Kim, Suk-Joong & Politsidis, Panagiotis & Wu, Eliza, 2021. "Loan syndication under Basel II: How do firm credit ratings affect the cost of credit?," MPRA Paper 107083, University Library of Munich, Germany.
    2. Attig, Najah & Driss, Hamdi & El Ghoul, Sadok, 2020. "Rating standards around the world: A puzzle?," Emerging Markets Review, Elsevier, vol. 45(C).
    3. Luca Agnello & Vitor Castro & Ricardo Sousa, 2019. "The Benevolence of Time, Sound Macroeconomic Environment and Governance Quality on the Duration of Sovereign Ratings Phases," Working Papers 34, European Stability Mechanism.
    4. Iván Kataryniuk & Javier Vallés, 2015. "Fiscal consolidation after the Great Recession:the role of composition," Working Papers 1515, Banco de España.
    5. G. Horny & M. Manganelli & B. Mojon, 2016. "Measuring Financial Fragmentation in the Euro Area Corporate Bond Market," Working papers 582, Banque de France.
    6. Gabriel Caldas Montes & Diego Silveira Pacheco Oliveira, 2019. "Central bank transparency and sovereign risk ratings: a panel data approach," International Economics and Economic Policy, Springer, vol. 16(2), pages 417-433, April.
    7. Montes, Gabriel Caldas & Valladares, Matheus & de Moraes, Claudio Oliveira, 2021. "Impacts of the sovereign risk perception on financial stability: Evidence from Brazil," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 358-369.
    8. Cuadros-Solas, Pedro J. & Salvador, Carlos & Suárez, Nuria, 2021. "Am I riskier if I rescue my banks? Beyond the effects of bailouts," Journal of Financial Stability, Elsevier, vol. 56(C).
    9. Hasan, Iftekhar & Kim, Suk-Joong & Politsidis, Panagiotis & Wu, Eliza, 2020. "Syndicated bank lending and rating downgrades: Do sovereign ceiling policies really matter?," MPRA Paper 102941, University Library of Munich, Germany.
    10. Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2021. "Quantifying sovereign risk in the euro area," Economic Modelling, Elsevier, vol. 95(C), pages 76-96.
    11. Myriam Ben Ayed & Adel Karaa & Jean-Luc Prigent, 2018. "Duration Models For Credit Rating Migration: Evidence From The Financial Crisis," Post-Print hal-03679407, HAL.
    12. Krishna Reddy & Rudi Bosman & Nawazish Mirza, 2019. "Impact Of Credit Ratings On Stock Returns," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 21(3), pages 1-24, January.
    13. Cuadros-Solas, Pedro Jesús & Salvador Muñoz, Carlos, 2022. "Disentangling the sources of sovereign rating adjustments: An examination of changes in rating policies following the GFC," Research in International Business and Finance, Elsevier, vol. 59(C).
    14. Camacho, Maximo & Romeu, Andres & Ruiz-Marin, Manuel, 2021. "Symbolic transfer entropy test for causality in longitudinal data," Economic Modelling, Elsevier, vol. 94(C), pages 649-661.
    15. Agnello, Luca & Castro, Vítor & Sousa, Ricardo M., 2021. "On the duration of sovereign ratings cycle phases," Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 512-526.
    16. Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2018. "“Incorporating creditors' seniority into contingent claim models:Application to peripheral euro area countries”," IREA Working Papers 201803, University of Barcelona, Research Institute of Applied Economics, revised Feb 2018.
    17. Elena Rodríguez de Codes & Antonio Marcelo & Roberto Blanco & Sergio Mayordomo & Fabián Arrizabalaga & Patricia Stupariu, 2020. "The challenges associated with the use of agencies’ credit ratings in the context of the COVID-19 crisis," Financial Stability Review, Banco de España, issue NOV.
    18. Gabriel Caldas Montes & Diego S. P. Oliveira & Helder Ferreira Mendonça, 2016. "Sovereign Credit Ratings in Developing Economies: New Empirical Assessment," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(4), pages 382-397, October.

  5. Carmen Broto & Gabriel Perez-Quiros, 2013. "Disentangling contagion among sovereign cds spreads during the european debt crisis," Working Papers 1314, Banco de España.

    Cited by:

    1. Mariam Camarero & Juan Sapena & Cecilio Tamarit, 2020. "Modelling Time-Varying Parameters in Panel Data State-Space Frameworks: An Application to the Feldstein–Horioka Puzzle," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 87-114, June.
    2. Kenourgios, Dimitris & Naifar, Nader & Dimitriou, Dimitrios, 2016. "Islamic financial markets and global crises: Contagion or decoupling?," Economic Modelling, Elsevier, vol. 57(C), pages 36-46.
    3. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Kumar, Ronald Ravinesh & Mensi, Walid, 2017. "Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 310-324.
    4. Agata Kliber, 2014. "The Dynamics of Sovereign Credit Default Swaps and the Evolution of the Financial Crisis in Selected Central European Economies," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(4), pages 330-350, September.
    5. Stolbov, Mikhail, 2014. "The causal linkages between sovereign CDS prices for the BRICS and major European economies," Economics Discussion Papers 2014-9, Kiel Institute for the World Economy (IfW Kiel).
    6. Nicolas Debarsy & Cyrille Dossougoin & Cem Ertur & Jean-Yves Gnabo, 2018. "Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach," Post-Print hal-01744629, HAL.
    7. Georgios Bampinas & Theodore Panagiotidis & Panagiotis Politsidis, 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Post-Print hal-04164277, HAL.
    8. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
    9. António Afonso & Mina Kazemi, 2022. "Sovereign bond yield spreads spillovers in the Economic and Monetary Union," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2615-2626, April.
    10. Hasan Dinçer & Serhat Yüksel & Seçil Şenel, 2018. "Analyzing the Global Risks for the Financial Crisis after the Great Depression Using Comparative Hybrid Hesitant Fuzzy Decision-Making Models: Policy Recommendations for Sustainable Economic Growth," Sustainability, MDPI, vol. 10(9), pages 1-15, September.
    11. Li, Tangrong & Sun, Xuchu, 2023. "Is controlling shareholders' credit risk contagious to firms? — Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    12. Susana Martins & Cristina Amado, 2018. "Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach," NIPE Working Papers 08/2018, NIPE - Universidade do Minho.
    13. Zhang, Wenlong & Zhang, Gaiyan & Helwege, Jean, 2022. "Cross country linkages and transmission of sovereign risk: Evidence from China’s credit default swaps," Journal of Financial Stability, Elsevier, vol. 58(C).
    14. Shahzad, Syed Jawad Hussain & Naifar, Nader & Hammoudeh, Shawkat & Roubaud, David, 2017. "Directional predictability from oil market uncertainty to sovereign credit spreads of oil-exporting countries: Evidence from rolling windows and crossquantilogram analysis," Energy Economics, Elsevier, vol. 68(C), pages 327-339.
    15. Emilios C. Galariotis & Panagiota Makrichoriti & Spyros Spyrou, 2016. "Sovereign CDS Spread Determinants and Spill-Over Effects During Financial Crisis: A Panel VAR Approach," Post-Print hal-01358715, HAL.
    16. Nader Naifar & Shawkat Hammoudeh & Aviral Kumar Tiwari, 2019. "Do Energy and Banking CDS Sector Spreads Reflect Financial Risks and Economic Policy Uncertainty? A Time-Scale Decomposition Approach," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 507-534, August.
    17. Henrique S. Basso & James S. Costain, 2016. "Fiscal Delegation in a Monetary Union with Decentralized Public Spending," CESifo Working Paper Series 5775, CESifo.
    18. Ghulam, Yaseen & Derber, Julian, 2018. "Determinants of sovereign defaults," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 43-55.
    19. Irina Balteanu & Aitor Erce, 2017. "Linking Bank Crises and Sovereign Defaults: Evidence from Emerging Markets," Working Papers 22, European Stability Mechanism.
    20. António Afonso & Mina Kazemi, 2018. "Sovereign Bond Yields Spreads Spillovers in the EMU," Working Papers REM 2018/52, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    21. Pavlova, Ivelina & de Boyrie, Maria E. & Parhizgari, Ali M., 2018. "A dynamic spillover analysis of crude oil effects on the sovereign credit risk of exporting countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 10-22.
    22. Choi, Sun-Yong, 2022. "Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 179-193.
    23. Gül Huyugüzel Kışla & Y. Gülnur Muradoğlu & A. Özlem Önder, 2022. "Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach," Journal of Asset Management, Palgrave Macmillan, vol. 23(4), pages 277-296, July.
    24. Hazar Altınbaş & Vincenzo Pacelli & Edgardo Sica, 2022. "An Empirical Assessment of the Contagion Determinants in the Euro Area in a Period of Sovereign Debt Risk," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 8(2), pages 339-371, July.
    25. Saker Sabkha & Christian de Peretti & Dorra Hmaied, 2018. "The Credit Default Swap market contagion during recent crises: International evidence," Post-Print hal-01572510, HAL.
    26. Riadh El Abed & Sahar Boukadida & Warda Jaidane, 2019. "Financial Stress Transmission from Sovereign Credit Market to Financial Market: A Multivariate FIGARCH-DCC Approach," Global Business Review, International Management Institute, vol. 20(5), pages 1122-1140, October.
    27. Mustapha Olalekan Ojo & Luís Aguiar-Conraria & Maria Joana Soares, 2019. "A Time-Frequency Analysis of Sovereign Debt Contagion in Europe," NIPE Working Papers 11/2019, NIPE - Universidade do Minho.
    28. Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2021. "Quantifying sovereign risk in the euro area," Economic Modelling, Elsevier, vol. 95(C), pages 76-96.
    29. Campos-Martins, Susana & Amado, Cristina, 2022. "Financial market linkages and the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 123(C).
    30. Emrah BALKAN & Umut UYAR, 2022. "The Fractal Structure of CDS Spreads: Evidence from the OECD Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 106-121, April.
    31. Mardi Dungey & Stan Hurn & Shuping Shi & Vladimir Volkov, 2019. "Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors," Econometrics, MDPI, vol. 7(1), pages 1-20, January.
    32. Ehouman, Yao Axel, 2021. "Dependence structure between oil price volatility and sovereign credit risk of oil exporters: Evidence using a copula approach," International Economics, Elsevier, vol. 168(C), pages 76-97.
    33. López-Espinosa, Germán & Moreno, Antonio & Rubia, Antonio & Valderrama, Laura, 2017. "Sovereign tail risk," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 174-188.
    34. Hassan, Kamrul & Hoque, Ariful & Gasbarro, Dominic, 2017. "Sovereign default risk linkage: Implication for portfolio diversification," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 1-16.
    35. Umberto Muratori, 2014. "Contagion in the Euro Area Sovereign Bond Market," Social Sciences, MDPI, vol. 4(1), pages 1-17, December.
    36. Mardi Dungey & Eric Renault, 2018. "Identifying contagion," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 227-250, March.
    37. Dirceu Pereira, 2018. "Financial Contagion in the BRICS Stock Markets: An empirical analysis of the Lehman Brothers Collapse and European Sovereign Debt Crisis," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 2(1), pages 1-44.
    38. Aitor Erce, 2015. "Bank and sovereign risk feedback loops," Globalization Institute Working Papers 227, Federal Reserve Bank of Dallas.
    39. Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2018. "“Incorporating creditors' seniority into contingent claim models:Application to peripheral euro area countries”," IREA Working Papers 201803, University of Barcelona, Research Institute of Applied Economics, revised Feb 2018.
    40. Miguel Antón & Sergio Mayordomo & María Rodríguez-Moreno, 2017. "Dealing with dealers: sovereign CDS comovements," Working Papers 1723, Banco de España.
    41. Ana Escribano & Cristina Íñiguez, 2021. "The contagion phenomena of the Brexit process on main stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4462-4481, July.
    42. Wenying Yao & Mardi Dungey & Vitali Alexeev, 2020. "Modelling Financial Contagion Using High Frequency Data," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 314-330, September.
    43. amri amamou, souhir & hellara, slaheddine, 2021. "The dynamic relationship between the sovereign CDS market and the Eurozone sovereign bond market (classified by maturity): Contagion or Spillovers?," MPRA Paper 109038, University Library of Munich, Germany.
    44. Henrique S. Basso & James Costain, 2017. "Fiscal delegation in a monetary union: instrument assignment and stabilization properties," Working Papers 1710, Banco de España.
    45. Ballester, Laura & Casu, Barbara & González-Urteaga, Ana, 2016. "Bank fragility and contagion: Evidence from the bank CDS market," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 394-416.
    46. Choi, Sun-Yong, 2022. "Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    47. Mariam Camarero & Juan Sapena & Cecilio Tamarit, 2024. "Introducing sspaneltvp: a code to estimating state-space time varying parameter models in panels. An application to Okun’s law," Working Papers 2405, Department of Applied Economics II, Universidad de Valencia.
    48. Samet Günay & Yanlin Shi, 2016. "Long-Memory in Volatilities of CDS Spreads: Evidences from the Emerging Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 122-137, March.
    49. Yao Axel Ehouman, 2021. "Dependence structure between oil price volatility and sovereign credit risk of oil exporters : Evidence using a Copula Approach," Post-Print hal-03348410, HAL.
    50. Kocsis, Zalan & Monostori, Zoltan, 2016. "The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences," Emerging Markets Review, Elsevier, vol. 27(C), pages 140-168.
    51. Ductor, Lorenzo & Leiva-León, Danilo, 2022. "Fluctuations in global output volatility," Journal of International Money and Finance, Elsevier, vol. 120(C).
    52. Fabrizio Durante & Enrico Foscolo & Alex Weissensteiner, 2017. "Dependence between Stock Returns of Italian Banks and the Sovereign Risk," Econometrics, MDPI, vol. 5(2), pages 1-14, June.
    53. Heil, Thomas L.A. & Peter, Franziska J. & Prange, Philipp, 2022. "Measuring 25 years of global equity market co-movement using a time-varying spatial model," Journal of International Money and Finance, Elsevier, vol. 128(C).
    54. Irina Balteanu & Aitor Erce, 2014. "Bank crises and sovereign defaults in emerging markets: exploring the links," Globalization Institute Working Papers 184, Federal Reserve Bank of Dallas.
    55. Wang, Qunwei & Liu, Mengmeng & Xiao, Ling & Dai, Xingyu & Li, Matthew C. & Wu, Fei, 2022. "Conditional sovereign CDS in market basket risk scenario: A dynamic vine-copula analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
    56. Yao Axel Ehouman, 2020. "Dependence structure between oil price volatility and sovereign credit risk of oil exporters: Evidence using a Copula Approach," EconomiX Working Papers 2020-31, University of Paris Nanterre, EconomiX.
    57. Irina Balteanu & Aitor Erce, 2014. "Banking crises and sovereign defaults in emerging markets: exploring the links," Working Papers 1414, Banco de España.
    58. Téllez Valle, Cecilia & Martín García, Margarita & Ramón-Jerónimo, María A. & Martín Marín, José Luis, 2020. "Sovereign bond spreads and CDS premia in the Eurozone: A causality analysis || Diferenciales de bonos soberanos y primas de CDS en la zona euro: un análisis de causalidad," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 30(1), pages 58-78, December.

  6. Carmen Broto, 2012. "The effectiveness of forex interventions in four Latin American countries," Working Papers 1226, Banco de España.

    Cited by:

    1. Singh, Jitendra & Ahmad, Wasim & Mishra, Anil, 2019. "Coherence, connectedness and dynamic hedging effectiveness between emerging markets equities and commodity index funds," Resources Policy, Elsevier, vol. 61(C), pages 441-460.
    2. Ghosh, Atish R. & Ostry, Jonathan D. & Qureshi, Mahvash S., 2018. "Taming the Tide of Capital Flows: A Policy Guide," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262037165, December.
    3. Martinez, Valeria & Tse, Yiuman, 2018. "Intraday price discovery analysis in the foreign exchange market of an emerging economy: Mexico," Research in International Business and Finance, Elsevier, vol. 45(C), pages 271-284.
    4. Jorge Arenas & Stephany Griffith-Jones, 2023. "Effectiveness of Foreign Exchange Interventions: Evidence and Lessons from Chile," Working Papers Central Bank of Chile 983, Central Bank of Chile.
    5. Solomiia Brychka & Denys Klynovskyi & Dmytro Krukovets & Artem Oharkov, 2019. "Meta-Analysis: Meta-Analysis: Effect of FX interventions on the exchange rate," Modern Economic Studies, Kyiv School of Economics, vol. 2(1), pages 24-44.
    6. Santiago García-Verdú & Manuel Ramos-Francia, 2014. "Interventions and Expected Exchange Rates in Emerging Market Economies," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-34.
    7. Sikarwar, Ekta, 2020. "Forex interventions and exchange rate exposure: Evidence from emerging market firms," Economic Modelling, Elsevier, vol. 93(C), pages 69-81.
    8. Rossini, Renzo & Quispe, Zenón & Serrano, Enrique, 2014. "Intervención cambiaria en el Perú: 2007 a 2013," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 27, pages 9-24.
    9. Pablo Pincheira, 2013. "Interventions and Inflation Expectations in an Inflation Targeting Economy," Working Papers Central Bank of Chile 693, Central Bank of Chile.
    10. Tobal Martín & Yslas Renato, 2016. "Two Models of FX Market Interventions: The Cases of Brazil and Mexico," Working Papers 2016-14, Banco de México.
    11. X. Fernández, Bernardo & Fernández Q, Vladimir & Aldazosa, E. René, 2018. "Una subasta doble de divisas para la determinación del tipo de cambio en Bolivia," Revista Latinoamericana de Desarrollo Economico, Carrera de Economía de la Universidad Católica Boliviana (UCB) "San Pablo", issue 29, pages 152-189, May.
    12. Lucía Arango-Lozano & Lukas Menkhoff & Daniela Rodríguez-Novoa & Mauricio Villamizar-Villegas, 2020. "The Effectiveness of FX Interventions: A Meta-Analysis," Discussion Papers of DIW Berlin 1895, DIW Berlin, German Institute for Economic Research.
    13. Erick Lahura & Marco Vega, 2013. "Asymmetric effects of FOREX intervention using intraday data: evidence from Peru," BIS Working Papers 430, Bank for International Settlements.
    14. Wenbo Wang & Dieu Thanh Le & Hail Park, 2020. "Is Foreign Exchange Intervention a Panacea in Diversified Circumstances? The Perspectives of Asymmetric Effects," Sustainability, MDPI, vol. 12(7), pages 1-20, April.
    15. Jorge Arenas & Stephany Griffith-Jones, 2023. "Effectiveness of Foreign Exchange Interventions Evidence and Lessons from Chile," Working Papers wp546, University of Chile, Department of Economics.
    16. Martin Vesna, 2020. "Intervention Strategies in Foreign Exchange Market," Economic Themes, Sciendo, vol. 58(3), pages 381-399, September.
    17. Pontines, Victor & Luvsannyam, Davaajargal & Atarbaatar, Enkhjin & Munkhtsetseg, Ulziikhutag, 2021. "The effectiveness of currency intervention: Evidence from Mongolia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    18. Jara, Alejandro & Piña, Marco, 2023. "Exchange rate volatility and the effectiveness of FX interventions: The case of Chile," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(2).
    19. Соломія Бричка & Денис Клиновський & Дмитро Круковець & Артем Огарков, 2019. "Мета-аналіз: ефект fx-інтервенцій на валютний курс," Suchasni ekonomichni doslidzhennja, Kyiv School of Economics, vol. 2(1), pages 24-47.
    20. Rossini, Renzo & Quispe, Zenón & Serrano, Enrique, 2013. "Foreign Exchange Interventions in Peru," Working Papers 2013-016, Banco Central de Reserva del Perú.
    21. Melesse Tashu, 2014. "Motives and Effectiveness of Forex Interventions: Evidence from Peru," IMF Working Papers 2014/217, International Monetary Fund.
    22. Eichler, Stefan & Roevekamp, Ingmar, 2018. "A market-based measure for currency risk in managed exchange rate regimes," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 141-159.
    23. García-Verdú Santiago & Zerecero Miguel, 2014. "On Central Bank Interventions in the Mexican Peso/Dollar Foreign Exchange Market," Working Papers 2014-19, Banco de México.
    24. Alejandro Jara & Marco Piña, 2022. "Exchange rate volatility and the effectiveness of FX interventions: the case of Chile," Working Papers Central Bank of Chile 962, Central Bank of Chile.
    25. Helder Ferreira de Mendonça & Igor da Silva Veiga, 2017. "The open economy trilemma in Latin America: A three-decade analysis," International Finance, Wiley Blackwell, vol. 20(2), pages 135-154, June.
    26. Borivoje D. Krušković, 2022. "Central Bank Intervention in the Inflation Targeting," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 11(1), pages 67-85.

  7. Juan Carlos Berganza & Carmen Broto, 2011. "Flexible inflation targets, forex interventions and exchange rate volatility in emerging countries," Working Papers 1105, Banco de España.

    Cited by:

    1. Stan Du Plessis & Monique Brigitte Reid, 2015. "The Exchange Rate Dimension of Inflation Targeting: Target Levels and Currency Volatility," South African Journal of Economics, Economic Society of South Africa, vol. 83(2), pages 174-179, June.
    2. Goyal, Ashima & Verma, Akhilesh K, 2023. "Cross border flows, financial intermediation and interactions of policy rules in a small open economy," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 369-393.
    3. Rashad Ahmed & Joshua Aizenman & Yothin Jinjarak, 2019. "Inflation and Exchange Rate Targeting Challenges Under Fiscal Dominance," NBER Working Papers 25996, National Bureau of Economic Research, Inc.
    4. Pierre-Richard Agénor & Luiz A. Pereira da Silva, 2013. "Inflation Targeting and Financial Stability: A Perspective from the Developing World," Working Papers Series 324, Central Bank of Brazil, Research Department.
    5. Catalán-Herrera, Juan, 2016. "Foreign exchange market interventions under inflation targeting: The case of Guatemala," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 101-114.
    6. Marc Pourroy, 2013. "Inflation-Targeting and Foreign Exchange Interventions in Emerging Economies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00881359, HAL.
    7. Eli Direye & Tarron Khemraj, 2022. "Central bank securities and foreign exchange market intervention in a developing economy," Review of Development Economics, Wiley Blackwell, vol. 26(1), pages 280-297, February.
    8. Roberto Steiner & Adolfo Barajas & César Pabón & Leonardo Villar, 2014. "Singular Focus or Multiple Objectives? What the Data Tell Us about Inflation Targeting in Latin America," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Fall 2014), pages 177-213, June.
    9. Goran Petrevski, 2023. "Macroeconomic Effects of Inflation Targeting: A Survey of the Empirical Literature," Papers 2305.17474, arXiv.org.
    10. Ouyang, Alice Y. & Rajan, Ramkishen S. & Li, Jie, 2016. "Exchange rate regimes and real exchange rate volatility: Does inflation targeting help or hurt?," Japan and the World Economy, Elsevier, vol. 39(C), pages 62-72.
    11. Direye, Eli & Khemraj, Tarron, 2021. "Central bank securities and FX market intervention in a developing economy," MPRA Paper 111533, University Library of Munich, Germany, revised 09 Aug 2021.
    12. Sikarwar, Ekta, 2020. "Forex interventions and exchange rate exposure: Evidence from emerging market firms," Economic Modelling, Elsevier, vol. 93(C), pages 69-81.
    13. Mr. Marco Airaudo & Mr. Edward F Buffie & Luis-Felipe Zanna, 2016. "Inflation Targeting and Exchange Rate Management In Less Developed Countries," IMF Working Papers 2016/055, International Monetary Fund.
    14. Cabral,Rene & Carneiro,Francisco Galrao & Mollick,Andre Varella, 2016. "Inflation targeting and exchange rate volatility in emerging markets," Policy Research Working Paper Series 7712, The World Bank.
    15. Rathin Roy & Raquel Almeida Ramos, 2012. "IMF Article IV Reports: An Analysis of Policy Recommendations," Working Papers 86, International Policy Centre for Inclusive Growth.
    16. Mirza, Nawazish & Naqvi, Bushra & Rizvi, Syed Kumail Abbas & Boubaker, Sabri, 2023. "Exchange rate pass-through and inflation targeting regime under energy price shocks," Energy Economics, Elsevier, vol. 124(C).
    17. Pablo Pincheira, 2013. "Interventions and Inflation Expectations in an Inflation Targeting Economy," Working Papers Central Bank of Chile 693, Central Bank of Chile.
    18. Haryo Kuncoro, 2020. "Interest Rate Policy and Exchange Rates Volatility Lessons from Indonesia," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(2), pages 19-42.
    19. Moura, Marcelo L. & Pereira, Fatima R. & Attuy, Guilherme de Moraes, 2013. "Currency Wars in Action: How Foreign Exchange Interventions Work in an Emerging Economy," Insper Working Papers wpe_304, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    20. D. Ventosa-Santaul a & M. G -Zald & F. H. Wallace, 2015. "The real exchange rate, regime changes and volatility shifts," Applied Economics, Taylor & Francis Journals, vol. 47(24), pages 2445-2454, May.
    21. Weber, Christoph S., 2019. "The effect of central bank transparency on exchange rate volatility," Journal of International Money and Finance, Elsevier, vol. 95(C), pages 165-181.
    22. Buffie, Edward F. & Airaudo, M. & Zanna, Felipe, 2018. "Inflation targeting and exchange rate management in less developed countries," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 159-184.
    23. Carmen Broto, 2012. "The effectiveness of forex interventions in four Latin American countries," Working Papers 1226, Banco de España.
    24. Ashima Goyal & Akhilesh K. Verma, 2020. "Cross border flows, financial Intermediation and interactions of policy rules in a small open economy model," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2020-008, Indira Gandhi Institute of Development Research, Mumbai, India.
    25. Jalali-Naini, Ahmad Reza & Naderian, Mohammad Amin, 2020. "Financial vulnerability, fiscal procyclicality and inflation targeting in developing commodity exporting economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 84-97.
    26. Horacio Aguirre & Gustavo Cañonero & Mario Torriani, 2019. "Foreign exchange intervention and reserve accumulation in an emerging market economy: selected issues," BIS Papers chapters, in: Bank for International Settlements (ed.), Reserve management and FX intervention, volume 104, pages 57-74, Bank for International Settlements.
    27. Anum Shafique & Mehmood Ul Hassan & Akmal Shahzad & Qazi Muhammad Ali & Muhammad Saqlain, 2022. "Exchange Rate Volatility And Its Relationship With Macroeconomic Variables In Pakistan," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 11(1), pages 121-131, March.
    28. Tule, Moses & Dogo, Mela & Uzonwanne, Godfrey, 2018. "Volatility of stock market returns and the naira exchange rate," Global Finance Journal, Elsevier, vol. 35(C), pages 97-105.
    29. Vithessonthi, Chaiporn, 2014. "Monetary policy and the first- and second-moment exchange rate change during the global financial crisis: Evidence from Thailand," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 170-194.
    30. Adolfo Barajas & Roberto Steiner & Leonardo Villar & César Pabón, 2014. "Inflation targeting in Latin America," Working Papers Series. Documentos de Trabajo 11550, Fedesarrollo.
    31. Vasco J. Gabriel & Paul Levine & Bo Yang, 2023. "Partial dollarization and financial frictions in emerging economies," Review of International Economics, Wiley Blackwell, vol. 31(2), pages 609-651, May.
    32. Petrevski, Goran, 2023. "Macroeconomic Effects of Inflation Targeting: A Survey of the Empirical Literature," EconStor Preprints 271122, ZBW - Leibniz Information Centre for Economics.
    33. Eichler, Stefan & Littke, Helge C. N., 2017. "Central bank transparency and the volatility of exchange rates," IWH Discussion Papers 22/2017, Halle Institute for Economic Research (IWH).
    34. Grossmann, Axel & Orlov, Alexei G., 2022. "Exchange rate misalignments, capital flows and volatility," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    35. Gabriela Mundaca, 2018. "Central bank interventions in a dollarized economy: managed floating versus inflation targeting," Empirical Economics, Springer, vol. 55(4), pages 1507-1535, December.
    36. Grossmann, Axel & Love, Inessa & Orlov, Alexei G., 2014. "The dynamics of exchange rate volatility: A panel VAR approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 1-27.
    37. Mr. David J Hofman & Mr. Marcos d Chamon & Mr. Pragyan Deb & Mr. Thomas Harjes & Umang Rawat & Itaru Yamamoto, 2020. "Intervention Under Inflation Targeting--When Could It Make Sense?," IMF Working Papers 2020/009, International Monetary Fund.
    38. Ouyang, Alice Y. & Rajan, Ramkishen S., 2019. "The impact of financial development on the effectiveness of inflation targeting in developing economies," Japan and the World Economy, Elsevier, vol. 50(C), pages 25-35.
    39. O. P. C. Muhammed Rafi & M. Ramachandran, 2018. "Capital flows and exchange rate volatility: experience of emerging economies," Indian Economic Review, Springer, vol. 53(1), pages 183-205, December.
    40. Tshikalange, Mulanga & Bonga-Bonga, Lumengo, 2023. "The determinants of the dynamic correlation between foreign exchange and equity markets: Cross-Country comparisons," MPRA Paper 118401, University Library of Munich, Germany.
    41. Mohamed Ali Chroufa & Nouri Chtourou, 2023. "Asymmetric relationship between exchange rate and inflation in Tunisia: fresh evidence from multiple-threshold NARDL model and Granger quantile causality," SN Business & Economics, Springer, vol. 3(7), pages 1-21, July.
    42. Eichler, Stefan & Littke, Helge C.N., 2018. "Central bank transparency and the volatility of exchange rates," Journal of International Money and Finance, Elsevier, vol. 89(C), pages 23-49.
    43. Ogrokhina, Olena & Rodriguez, Cesar M., 2019. "The effect of inflation targeting and financial openness on currency composition of sovereign international debt," Journal of International Money and Finance, Elsevier, vol. 97(C), pages 1-18.
    44. Jaromir Benes & Andrew Berg & Rafael Portillo & David Vavra, 2015. "Modeling Sterilized Interventions and Balance Sheet Effects of Monetary Policy in a New-Keynesian Framework," Open Economies Review, Springer, vol. 26(1), pages 81-108, February.
    45. Horacio Aguirre & Mauro Alessandro & Lucas Llach, 2016. "The transition to inflation targeting in an emerging economy: selected issues," BIS Papers chapters, in: Bank for International Settlements (ed.), Inflation mechanisms, expectations and monetary policy, volume 89, pages 69-83, Bank for International Settlements.
    46. Runchana Pongsaparn & Panda Ketruangroch & Dhanaporn Hirunwong, 2012. "Monetary Policy conduct in Review: The Appropriate Choice of Instruments," Working Papers 2012-05, Monetary Policy Group, Bank of Thailand.
    47. Joshua Aizenman, 2019. "Macroeconomics Challenges and Resilience of Emerging Market Economies," NBER Working Papers 26361, National Bureau of Economic Research, Inc.
    48. Borivoje D. Krušković, 2022. "Central Bank Intervention in the Inflation Targeting," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 11(1), pages 67-85.

  8. Carmen Broto & Javier Díaz-Cassou & Aitor Erce-Domínguez, 2008. "Measuring and explaining the volatility of capital flows towards emerging countries," Working Papers 0817, Banco de España.

    Cited by:

    1. Aitor Erce & Daniel Riera-Crichton, 2015. "Catalytic IMF? A gross flows approach," Working Papers 9, European Stability Mechanism.
    2. Gan-Ochir Doojav & Borkhuu Gotovsuren & Tsenddorj Dorjpurev, 2012. "Financial Contagion and Volatile Capital Flows," Occasional Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number occ56.
    3. Michel Boutillier & Samira Hellou, 2017. "The impact of regulatory requirements on the banking flows to emerging countries," Post-Print hal-01549898, HAL.
    4. Alberola, Enrique & Erce, Aitor & Serena, José Maria, 2016. "International reserves and gross capital flows dynamics," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 151-171.
    5. Jorge Hernán Toro Córdoba & Rocío Mora Quiñones & Daniel Parra Amado, 2012. "Flujos de capital, la crisis financiera internacional y los desbalances macroeconómicos," Borradores de Economia 720, Banco de la Republica de Colombia.
    6. Enrique Alberola & Aitor Erce & José María Serena, 2012. "International reserves and gross capital flows. Dynamics during financial stress," Working Papers 1211, Banco de España.
    7. Bank for International Settlements, 2009. "Capital flows and emerging market economies," CGFS Papers, Bank for International Settlements, number 33, december.
    8. Aitor Erce, 2012. "Does the IMF´s official support affect sovereign bond maturities?," Working Papers 1231, Banco de España.
    9. Paramita Mukherjee, 2011. "An exploration on volatility across India and some developed and emerging equity markets," Asia-Pacific Development Journal, United Nations Economic and Social Commission for Asia and the Pacific (ESCAP), vol. 18(2), pages 79-103, December.
    10. Aitor Erce, 2012. "Does the IMF's official support affect sovereign bonds maturities?," Globalization Institute Working Papers 128, Federal Reserve Bank of Dallas.

  9. Carmen Broto, 2008. "Inflation targeting in Latin America: Empirical analysis using GARCH models," Working Papers 0826, Banco de España.

    Cited by:

    1. José De Gregorio, 2009. "Implementation of Inflation Targets in Emerging Markets," Chapters, in: Gill Hammond & Ravi Kanbur & Eswar Prasad (ed.), Monetary Policy Frameworks for Emerging Markets, chapter 3, Edward Elgar Publishing.
    2. Pierre-Richard Agénor & Luiz A. Pereira da Silva, 2013. "Inflation Targeting and Financial Stability: A Perspective from the Developing World," Working Papers Series 324, Central Bank of Brazil, Research Department.
    3. Pérez, Fernando, 2015. "Comparing the Transmission of Monetary Policy Shocks in Latin America: A Hierarchical Panel VAR," Working Papers 2015-015, Banco Central de Reserva del Perú.
    4. Luis Ceballos & Damián Romero, 2014. "Risk Matters: The Impact of Nominal Uncertainty in Chile," Working Papers Central Bank of Chile 741, Central Bank of Chile.
    5. Adel Boughrara and Ichrak Dridi, 2017. "Does Inflation Targeting Matter for Foreign Portfolio Investment: Evidence from Propensity Score Matching," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 42(2), pages 67-86, June.
    6. Diego Ferreira & Andreza Aparecida Palma, 2018. "Inflation And Inflation Uncertainty In Latin America: A Time-Varying Stochastic Volatility In Mean Approach," Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting] 125, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    7. Armand Fouejieu,, 2017. "Inflation targeting and financial stability in emerging markets," Economic Modelling, Elsevier, vol. 60(C), pages 51-70.
    8. Chen, Li-Ju & Hu, Shih-Wen & Wang, Vey & Wen, Jiandong & Ye, Chusheng, 2014. "The effects of purchasing and price subsidy policies for agricultural products under target zones," Economic Modelling, Elsevier, vol. 43(C), pages 439-447.
    9. Jorge Katz & Gonzalo Bernat, 2013. "Macroeconomic Adjustment and Structural Change: The Experience of Argentina, Brazil and Chile in 2000-2010," Institutions and Economies (formerly known as International Journal of Institutions and Economies), Faculty of Economics and Administration, University of Malaya, vol. 5(2), pages 37-58, July.
    10. Tariq A.H. Al-Zuhd & Mohammad H. Saleh, 2017. "Inflation and Inflation Uncertainty Nexus in Kuwait: A GARCH Modeling Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 7(5), pages 198-203.
    11. Chaouech, Olfa, 2012. "La politique de ciblage d'inflation: fondements théoriques et validation empirique [The inflation targeting policy: theoretical and empirical validation]," MPRA Paper 60760, University Library of Munich, Germany, revised 19 Dec 2014.
    12. Carlos Carrasco & Jesus Ferreiro, 2013. "Inflation targeting in Mexico," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 35(3), pages 341-372.
    13. Giannellis, Nikolaos & Koukouritakis, Minoas, 2013. "Exchange rate misalignment and inflation rate persistence: Evidence from Latin American countries," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 202-218.
    14. Eduardo Rosas Rojas & Mónica C. Mimbrera Delgado, 2018. "Inflación y volatilidad cambiaria en México (1969-2017)," Ensayos de Economía 17297, Universidad Nacional de Colombia Sede Medellín.
    15. Bareith, Tibor & Varga, József, 2022. "Az inflációs célt követő rendszer hozzájárulása az infláció mérsékléséhez Magyarországon [The contribution of the inflation targeting system to reducing inflation in Hungary]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 989-1008.
    16. Harold Glenn A. Valera & Mark J. Holmes & Gazi M. Hassan, 2018. "Is inflation targeting credible in Asia? A panel GARCH approach," Empirical Economics, Springer, vol. 54(2), pages 523-546, March.
    17. Airaudo, Marco, 2012. "Endogenous Dollarization, Sovereign Risk Premia and the Taylor Principle," School of Economics Working Paper Series 2012-11, LeBow College of Business, Drexel University.

  10. Carmen Broto & Esther Ruiz, 2008. "Testing for conditional heteroscedasticity in the components of inflation," Working Papers 0812, Banco de España.

    Cited by:

    1. Josu Arteche, 2012. "Standard and seasonal long memory in volatility: an application to Spanish inflation," Empirical Economics, Springer, vol. 42(3), pages 693-712, June.
    2. Rodríguez, Alejandro & Ruiz Ortega, Esther, 2010. "Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters," DES - Working Papers. Statistics and Econometrics. WS ws100301, Universidad Carlos III de Madrid. Departamento de Estadística.
    3. Pellegrini, Santiago & Ruiz, Esther & Espasa, Antoni, 2011. "Prediction intervals in conditionally heteroscedastic time series with stochastic components," International Journal of Forecasting, Elsevier, vol. 27(2), pages 308-319.
    4. Broto, Carmen, 2011. "Inflation targeting in Latin America: Empirical analysis using GARCH models," Economic Modelling, Elsevier, vol. 28(3), pages 1424-1434, May.
    5. Raïssi, Hamdi, 2018. "Testing normality for unconditionally heteroscedastic macroeconomic variables," Economic Modelling, Elsevier, vol. 70(C), pages 140-146.

  11. Paloma Acevedo & Enrique Alberola & Carmen Broto, 2007. "Local debt expansion... vulnerability reduction? An assessment for six crises-prone countries," Working Papers 0733, Banco de España.

    Cited by:

    1. Aitor Erce, 2008. "A structural model of sovereign debt issuance: assessing the role of financial factors," Working Papers 0809, Banco de España.
    2. Daniel, L., 2008. "Foreign investors’ participation in emerging market economies’ domestic bond markets," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 12, pages 61-77, Summer.
    3. Isabel Argimón & Pablo Hernández de Cos, 2008. "The determinants of budget balances of the regional (Autonomous) governments," Working Papers 0803, Banco de España.
    4. Bank for International Settlements, 2007. "Financial stability and local currency bond markets," CGFS Papers, Bank for International Settlements, number 28, december.

  12. Broto, Carmen & Ruiz Ortega, Esther, 2006. "Using auxiliary residuals to detect conditional heteroscedasticity in inflation," DES - Working Papers. Statistics and Econometrics. WS ws060402, Universidad Carlos III de Madrid. Departamento de Estadística.

    Cited by:

    1. Alejandro Rodriguez & Esther Ruiz, 2009. "Bootstrap prediction intervals in state–space models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(2), pages 167-178, March.

  13. Broto, Carmen & Ruiz Ortega, Esther, 2003. "Unobserved component models with asymmetric conditional variances," DES - Working Papers. Statistics and Econometrics. WS ws032003, Universidad Carlos III de Madrid. Departamento de Estadística.

    Cited by:

    1. Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Journal of Econometrics, Elsevier, vol. 146(1), pages 10-25, September.
    2. Carmen Broto & Esther Ruiz, 2008. "Testing for conditional heteroscedasticity in the components of inflation," Working Papers 0812, Banco de España.
    3. Pellegrini, Santiago & Ruiz, Esther & Espasa, Antoni, 2010. "Conditionally heteroscedastic unobserved component models and their reduced form," Economics Letters, Elsevier, vol. 107(2), pages 88-90, May.
    4. Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2008. "Volatility forecasting using threshold heteroskedastic models of the intra-day range," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2990-3010, February.
    5. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2008. "Asymmetric multivariate normal mixture GARCH," CFS Working Paper Series 2008/07, Center for Financial Studies (CFS).
    6. Broto, Carmen, 2011. "Inflation targeting in Latin America: Empirical analysis using GARCH models," Economic Modelling, Elsevier, vol. 28(3), pages 1424-1434, May.
    7. Charles S. Bos & Siem Jan Koopman, 2010. "Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production," Tinbergen Institute Discussion Papers 10-017/4, Tinbergen Institute.
    8. Ane, Thierry, 2006. "An analysis of the flexibility of Asymmetric Power GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1293-1311, November.

  14. Broto, Carmen & Ruiz Ortega, Esther, 2002. "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS ws025414, Universidad Carlos III de Madrid. Departamento de Estadística.

    Cited by:

    1. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
    2. Jun Yu & Zhenlin Yang & Xibin Zhang, 2002. "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options," Monash Econometrics and Business Statistics Working Papers 17/02, Monash University, Department of Econometrics and Business Statistics.
    3. Oleg Korenok & Stanislav Radchenko, 2005. "The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications," Working Papers 0505, VCU School of Business, Department of Economics.
    4. Eduardo Ramos-Pérez & Pablo J. Alonso-González & José Javier Núñez-Velázquez, 2021. "Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility," Mathematics, MDPI, vol. 9(15), pages 1-18, July.
    5. Zhao, Zhibiao, 2011. "Nonparametric model validations for hidden Markov models with applications in financial econometrics," Journal of Econometrics, Elsevier, vol. 162(2), pages 225-239, June.
    6. Chuan-Hsiang Han & Wei-Han Liu & Tzu-Ying Chen, 2014. "VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(02), pages 1-35.
    7. Antonis Demos, 2023. "Estimation of Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2309, Athens University of Economics and Business.
    8. Motta, Anderson C. O. & Hotta, Luiz K., 2003. "Exact Maximum Likelihood and Bayesian Estimation of the Stochastic Volatility Model," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 23(2), November.
    9. Dovonon, Prosper, 2008. "Conditionally heteroskedastic factor models with skewness and leverage effects," MPRA Paper 40206, University Library of Munich, Germany, revised Feb 2012.
    10. Hafner, C. & Preminger, A., 2010. "Deciding between GARCH and Stochastic Volatility via Strong Decision Rules," LIDAM Reprints ISBA 2010032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    11. Hafner, Christian & Manner H., 2012. "Dynamic stochastic copula models: Estimation, inference and applications," LIDAM Reprints ISBA 2012022, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    12. Petra Fleischer & Ross Maller & Gernot Müller, 2011. "A Bayesian analysis of market information linkages among NAFTA countries using a multivariate stochastic volatility model," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 35(2), pages 123-148, April.
    13. Di Zhang & Qiang Niu & Youzhou Zhou, 2022. "Modeling Randomly Walking Volatility with Chained Gamma Distributions," Papers 2207.01151, arXiv.org, revised Oct 2022.
    14. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 94-138.
    15. Tsunehiro Ishihara & Yasuhiro Omori, 2009. "Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors," CARF F-Series CARF-F-198, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    16. Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup, 2010. "FX Smile in the Heston Model," Papers 1010.1617, arXiv.org.
    17. Dinghai Xu, 2010. "A Threshold Stochastic Volatility Model with Realized Volatility," Working Papers 1003, University of Waterloo, Department of Economics, revised May 2010.
    18. Bergsli, Lykke Øverland & Lind, Andrea Falk & Molnár, Peter & Polasik, Michał, 2022. "Forecasting volatility of Bitcoin," Research in International Business and Finance, Elsevier, vol. 59(C).
    19. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    20. Casas, Isabel, 2008. "Estimation of stochastic volatility with LRD," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 335-340.
    21. Dinghai Xu, 2009. "The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey," Working Papers 0904, University of Waterloo, Department of Economics, revised Sep 2009.
    22. Arie Preminger & Christian M. Hafner, 2006. "Deciding Between Garch And Stochastic Volatility Via Strong Decision Rules," Working Papers 0603, Ben-Gurion University of the Negev, Department of Economics.
    23. Maddalena Cavicchioli, 2017. "Estimation and asymptotic covariance matrix for stochastic volatility models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 26(3), pages 437-452, August.
    24. Virbickaite, Audrone & Lopes, Hedibert F. & Ausín Olivera, María Concepción & Galeano San Miguel, Pedro, 2014. "Particle learning for Bayesian non-parametric Markov Switching Stochastic Volatility model," DES - Working Papers. Statistics and Econometrics. WS ws142819, Universidad Carlos III de Madrid. Departamento de Estadística.
    25. E. Ramos-P'erez & P. J. Alonso-Gonz'alez & J. J. N'u~nez-Vel'azquez, 2020. "Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network," Papers 2006.16383, arXiv.org, revised Aug 2020.
    26. Gulten Mero & Serge Darolles & Gaëlle Le Fol, 2015. "Financial Market Liquidity: Who Is Acting Strategically?," THEMA Working Papers 2015-14, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    27. Dominik Bertsche & Robin Braun, 2018. "Identification of Structural Vector Autoregressions by Stochastic Volatility," Working Paper Series of the Department of Economics, University of Konstanz 2018-03, Department of Economics, University of Konstanz.
    28. Hans J. Skaug & Jun Yu, 2007. "Automated Likelihood Based Inference for Stochastic Volatility Models," Working Papers CoFie-01-2007, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
    29. Bauwens, L. & Hafner C. & Laurent, S., 2011. "Volatility Models," LIDAM Discussion Papers ISBA 2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
      • BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
      • Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    30. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in "Handbook of Financial Time Series" (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss," CARF F-Series CARF-F-094, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    31. Ramaprasad Bhar & Damien Lee, 2018. "Alternative characterization of volatility of short-term interest rate," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-15, June.
    32. Molnár, Peter, 2012. "Properties of range-based volatility estimators," International Review of Financial Analysis, Elsevier, vol. 23(C), pages 20-29.
    33. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models: from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
    34. Tsunehiro Ishihara & Yasuhiro Omori, 2017. "Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage," The Japanese Economic Review, Japanese Economic Association, vol. 68(1), pages 63-94, March.
    35. Mao, Xiuping & Czellar, Veronika & Ruiz, Esther & Veiga, Helena, 2020. "Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation," Econometrics and Statistics, Elsevier, vol. 13(C), pages 84-105.
    36. Francisco Ortiz Arango & Alma Nelly Montiel Guzmán, 2017. "Transmission of future prices of corn of the Chicago Board of Trade to the Mexican spot market," Contaduría y Administración, Accounting and Management, vol. 62(3), pages 941-957, Julio-Sep.
    37. Didit Nugroho & Takayuki Morimoto, 2015. "Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-Based methods," Computational Statistics, Springer, vol. 30(2), pages 491-516, June.
    38. Tomasz Skoczylas, 2015. "Bivariate GARCH models for single asset returns," Working Papers 2015-03, Faculty of Economic Sciences, University of Warsaw.
    39. Stephen Taylor & Ming Fang, 2018. "Unbiased weighted variance and skewness estimators for overlapping returns," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 154(1), pages 1-8, December.
    40. Trojan, Sebastian, 2013. "Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously," Economics Working Paper Series 1341, University of St. Gallen, School of Economics and Political Science, revised Aug 2014.
    41. Takada, Teruko, 2009. "Simulated minimum Hellinger distance estimation of stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2390-2403, April.
    42. Hisashi Tanizaki & Shigeyuki Hamori, 2009. "Volatility transmission between Japan, UK and USA in daily stock returns," Empirical Economics, Springer, vol. 36(1), pages 27-54, February.
    43. Georgios Chortareas & John Nankervis & Ying Jiang, 2007. "Forecasting Exchange Rate Volatility with High Frequency Data: Is the Euro Different?," Money Macro and Finance (MMF) Research Group Conference 2006 79, Money Macro and Finance Research Group.
    44. Wang, Joanna J.J., 2012. "On asymmetric generalised t stochastic volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 82(11), pages 2079-2095.
    45. Juan Hoyo & Guillermo Llorente & Carlos Rivero, 2020. "A Testing Procedure for Constant Parameters in Stochastic Volatility Models," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 163-186, June.
    46. M. Berument & Yeliz Yalcin & Julide Yildirim, 2011. "The inflation and inflation uncertainty relationship for Turkey: a dynamic framework," Empirical Economics, Springer, vol. 41(2), pages 293-309, October.
    47. Tsunehiro Ishihara & Yasuhiro Omori, 2017. "Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage," The Japanese Economic Review, Springer, vol. 68(1), pages 63-94, March.
    48. Charles S. Bos, 2011. "Relating Stochastic Volatility Estimation Methods," Tinbergen Institute Discussion Papers 11-049/4, Tinbergen Institute.
    49. Chortareas, Georgios & Jiang, Ying & Nankervis, John. C., 2011. "Forecasting exchange rate volatility using high-frequency data: Is the euro different?," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1089-1107, October.
    50. Mao, Xiuping & Ruiz Ortega, Esther & Lopes Moreira Da Veiga, María Helena, 2013. "One for all : nesting asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS ws131110, Universidad Carlos III de Madrid. Departamento de Estadística.
    51. Philipp Otto & Osman Dou{g}an & Suleyman Tac{s}p{i}nar & Wolfgang Schmid & Anil K. Bera, 2023. "Spatial and Spatiotemporal Volatility Models: A Review," Papers 2308.13061, arXiv.org.
    52. Galli, Fausto, 2014. "Stochastic conditonal range, a latent variable model for financial volatility," MPRA Paper 54030, University Library of Munich, Germany.
    53. Pierre Chausse & Dinghai Xu, 2012. "GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study," Working Papers 1203, University of Waterloo, Department of Economics, revised May 2012.
    54. Alexander Tsyplakov, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models (in Russian)," Quantile, Quantile, issue 8, pages 69-122, July.
    55. Raanju R. Sundararajan & Wagner Barreto‐Souza, 2023. "Student‐t stochastic volatility model with composite likelihood EM‐algorithm," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 125-147, January.
    56. Keith Sill, 2006. "Macroeconomic volatility and the equity premium," Working Papers 06-1, Federal Reserve Bank of Philadelphia.
    57. Będowska-Sójka, Barbara & Kliber, Agata, 2022. "Can cryptocurrencies hedge oil price fluctuations? A pandemic perspective," Energy Economics, Elsevier, vol. 115(C).
    58. M. Hakan Eratalay, 2016. "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," International Econometric Review (IER), Econometric Research Association, vol. 8(2), pages 19-52, September.
    59. Beum-Jo Park, 2011. "Forecasting Volatility in Financial Markets Using a Bivariate Stochastic Volatility Model with Surprising Information," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 37-58, September.
    60. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks," MPRA Paper 50235, University Library of Munich, Germany.
    61. Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, December.
    62. Dinghai Xu & Yuying Li, 2010. "Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach," Working Papers 1002, University of Waterloo, Department of Economics, revised May 2010.
    63. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
    64. Aycan HEPSAG, 2016. "Asymmetric stochastic volatility in central and eastern European stock markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(2(607), S), pages 135-144, Summer.
    65. Eduardo Ramos-P'erez & Pablo J. Alonso-Gonz'alez & Jos'e Javier N'u~nez-Vel'azquez, 2021. "Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility," Papers 2109.12621, arXiv.org.
    66. Tingguo Zheng & Tao Song, 2014. "A Realized Stochastic Volatility Model With Box-Cox Transformation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 593-605, October.
    67. Virbickaitė, Audronė & Frey, Christoph & Macedo, Demian N., 2020. "Bayesian sequential stock return prediction through copulas," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
    68. Giorgio Calzolari & Roxana Halbleib & Christian Mucher, 2023. "Sequential Estimation of Multivariate Factor Stochastic Volatility Models," Papers 2302.07052, arXiv.org.
    69. Oğuzhan Alaşehir & Murat Perit Çakır & Cengiz Acartürk & Nazife Baykal & Ural Akbulut, 2014. "URAP-TR: a national ranking for Turkish universities based on academic performance," Scientometrics, Springer;Akadémiai Kiadó, vol. 101(1), pages 159-178, October.
    70. Mao, Xiuping & Ruiz Ortega, Esther & Lopes Moreira Da Veiga, María Helena, 2014. "Score driven asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS ws142618, Universidad Carlos III de Madrid. Departamento de Estadística.
    71. L. C. G. Rogers & Fanyin Zhou, 2008. "Estimating correlation from high, low, opening and closing prices," Papers 0804.0162, arXiv.org.
    72. Himadri Ghosh & Bishal Gurung & Prajneshu, 2015. "Kalman filter-based modelling and forecasting of stochastic volatility with threshold," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(3), pages 492-507, March.
    73. Avouyi-Dovi, S. & Horny, G. & Sevestre, P., 2013. "The dynamics of bank loans short-term interest rates in the Euro area: what lessons can we draw from the current crisis?," Working papers 462, Banque de France.
    74. A. M. M. Shahiduzzaman Quoreshi & Reaz Uddin & Viroj Jienwatcharamongkhol, 2019. "Equity Market Contagion in Return Volatility during Euro Zone and Global Financial Crises: Evidence from FIMACH Model," JRFM, MDPI, vol. 12(2), pages 1-18, June.
    75. Robert Azencott & Yutheeka Gadhyan & Roland Glowinski, 2014. "Option Pricing Accuracy for Estimated Heston Models," Papers 1404.4014, arXiv.org, revised Jul 2015.
    76. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.
    77. Dinghai Xu & John Knight, 2013. "Stochastic volatility model under a discrete mixture-of-normal specification," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(2), pages 216-239, April.
    78. Sun, Qingru & Gao, Xiangyun & An, Haizhong & Guo, Sui & Liu, Xueyong & Wang, Ze, 2021. "Which time-frequency domain dominates spillover in the Chinese energy stock market?," International Review of Financial Analysis, Elsevier, vol. 73(C).
    79. Langrock, Roland & MacDonald, Iain L. & Zucchini, Walter, 2012. "Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 147-161.
    80. T. R. Santos, 2018. "A Bayesian GED-Gamma stochastic volatility model for return data: a marginal likelihood approach," Papers 1809.01489, arXiv.org.
    81. Galli, Fausto, 2014. "Stochastic conditonal range, a latent variable model for financial volatility," MPRA Paper 54841, University Library of Munich, Germany.
    82. Didit Budi Nugroho & Takayuki Morimoto, 2019. "Incorporating Realized Quarticity into a Realized Stochastic Volatility Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(4), pages 495-528, December.
    83. Ahsan, Md. Nazmul & Dufour, Jean-Marie, 2021. "Simple estimators and inference for higher-order stochastic volatility models," Journal of Econometrics, Elsevier, vol. 224(1), pages 181-197.
    84. Patricia Lengua Lafosse & Cristian Bayes & Gabriel Rodríguez, 2015. "A Stochastic Volatility Model with GH Skew Student’s t-Distribution: Application to Latin-American Stock Returns," Documentos de Trabajo / Working Papers 2015-405, Departamento de Economía - Pontificia Universidad Católica del Perú.
    85. Christophe Schinckus, 2011. "What can econophysics contribute to financial economics?," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 58(2), pages 147-163, June.
    86. Tomasz Skoczylas, 2015. "Log-volatility enhanced GARCH models for single asset returns," Bank i Kredyt, Narodowy Bank Polski, vol. 46(5), pages 411-432.
    87. Aerambamoorthy Thavaneswaran & Nalini Ravishanker & You Liang, 2015. "Generalized duration models and optimal estimation using estimating functions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(1), pages 129-156, February.
    88. Wagner Barreto‐Souza & Hernando Ombao, 2022. "The negative binomial process: A tractable model with composite likelihood‐based inference," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(2), pages 568-592, June.
    89. Mora Galán, Alberto & Pérez, Ana & Ruiz Ortega, Esther, 2004. "Stochastic volatility models and the Taylor effect," DES - Working Papers. Statistics and Econometrics. WS ws046315, Universidad Carlos III de Madrid. Departamento de Estadística.
    90. Andrey Borisov, 2024. "Regime Tracking in Markets with Markov Switching," Mathematics, MDPI, vol. 12(3), pages 1-27, January.
    91. Soosung Hwang & Steve E. Satchell & Pedro L. Valls Pereira, 2007. "How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(5‐6), pages 1002-1024, June.
    92. Virbickaitė, Audronė & Ausín, M. Concepción & Galeano, Pedro, 2020. "Copula stochastic volatility in oil returns: Approximate Bayesian computation with volatility prediction," Energy Economics, Elsevier, vol. 92(C).
    93. Bretó, Carles & Veiga, Helena, 2011. "Forecasting volatility: does continuous time do better than discrete time?," DES - Working Papers. Statistics and Econometrics. WS ws112518, Universidad Carlos III de Madrid. Departamento de Estadística.

Articles

  1. Broto, Carmen & Lamas, Matías, 2020. "Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries," Economic Modelling, Elsevier, vol. 93(C), pages 217-229.
    See citations under working paper version above.
  2. Broto, Carmen & Molina, Luis, 2016. "Sovereign ratings and their asymmetric response to fundamentals," Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 206-224.
    See citations under working paper version above.
  3. Broto, Carmen & Pérez-Quirós, Gabriel, 2015. "Disentangling contagion among sovereign CDS spreads during the European debt crisis," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 165-179.
    See citations under working paper version above.
  4. Broto, Carmen, 2013. "The effectiveness of forex interventions in four Latin American countries," Emerging Markets Review, Elsevier, vol. 17(C), pages 224-240.
    See citations under working paper version above.
  5. Berganza, Juan Carlos & Broto, Carmen, 2012. "Flexible inflation targets, forex interventions and exchange rate volatility in emerging countries," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 428-444.
    See citations under working paper version above.
  6. Broto, Carmen & Díaz-Cassou, Javier & Erce, Aitor, 2011. "Measuring and explaining the volatility of capital flows to emerging countries," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1941-1953, August.

    Cited by:

    1. Shiyi Wang, 2019. "Capital Flow Volatility: The Effects of Financial Development and Global Financial Conditions," 2019 Papers pwa945, Job Market Papers.
    2. Yang, Haizhen & Shi, Fangfang & Wang, Jie & Jing, Zhongbo, 2019. "Investigating the relationship between financial liberalization and capital flow waves: A panel data analysis," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 120-136.
    3. Jie Li & Alice Y. Ouyang, 2018. "Stock and Labor Market Synchronization and Income Inequality: Evidence from OECD Countries," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 9(01n02), pages 1-20, February.
    4. Pierre-Richard Agénor & Luiz A. Pereira da Silva, 2013. "Inflation Targeting and Financial Stability: A Perspective from the Developing World," Working Papers Series 324, Central Bank of Brazil, Research Department.
    5. Li, Jie & Rajan, Ramkishen S., 2015. "Do capital controls make gross equity flows to emerging markets less volatile?," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 220-244.
    6. Pierre-Richard AGENOR & Luiz A. PEREIRA DA SILVA, 2011. "Macroeconomic Stability, Financial Stability, and Monetary Policy Rules," Working Papers P29, FERDI.
    7. Beckmann, Joscha & Czudaj, Robert, 2017. "Capital flows and GDP in emerging economies and the role of global spillovers," Journal of Economic Behavior & Organization, Elsevier, vol. 142(C), pages 140-163.
    8. Rogelio Mercado Jr., 2018. "Bilateral Capital Flows: Gravity, Push, and Pull," Trinity Economics Papers tep0818, Trinity College Dublin, Department of Economics.
    9. Wu, Manhwa & Huang, Paoyu & Ni, Yensen, 2017. "Capital liberalization and various financial markets: Evidence from Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 265-274.
    10. Wang, Xichen & Yan, Ji (Karena) & Yan, Cheng & Gozgor, Giray, 2021. "Emerging stock market exuberance and international short-term flows," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    11. Leilane de Freitas Rocha Cambara & Roberto Meurer, 2023. "News sentiment and foreign portfolio investment in Brazil," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3332-3348, July.
    12. Axel Löffler & Gunther Schnabl & Franziska Schobert, 2013. "Limits of Monetary Policy Autonomy and Exchange Rate Flexibility by East Asian Central Banks," Global Financial Markets Working Paper Series 48-2013, Friedrich-Schiller-University Jena.
    13. Grzegorz Tchorek & Michał Brzozowski & Paweł Śliwiński, 2017. "Determinants of capital flows to emerging and advanced economies between 1990 and 2011," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(1), pages 17-48, April.
    14. Xichen Wang & Cheng Yan, 2022. "Does the Relative Importance of the Push and Pull Factors of Foreign Capital Flows Vary Across Quantiles?," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 70(2), pages 252-299, June.
    15. Piotr Adamczyk, 2022. "Does the Volatility of Oil Price Affect the Structure of Employment? The Role of Exchange Rate Regime and Energy Import Dependency," Energies, MDPI, vol. 15(19), pages 1-10, September.
    16. Alberola, Enrique & Erce, Aitor & Serena, José Maria, 2016. "International reserves and gross capital flows dynamics," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 151-171.
    17. 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.
    18. Förster, Marcel & Jorra, Markus & Tillmann, Peter, 2014. "The dynamics of international capital flows: Results from a dynamic hierarchical factor model," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 101-124.
    19. Athanasios Tsagkanos & Konstantinos Gkillas & Christoforos Konstantatos & Christos Floros, 2021. "Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System," IJFS, MDPI, vol. 9(2), pages 1-13, April.
    20. Chokri Zehri, 2022. "Interaction Effect of Capital Controls and Macroeconomic Policies," Economic Papers, The Economic Society of Australia, vol. 41(1), pages 15-33, March.
    21. Eller, Markus & Huber, Florian & Schuberth, Helene, 2018. "How Important are Global Factors for Understanding the Dynamics of International Capital Flows?," Working Papers in Economics 2018-2, University of Salzburg.
    22. Lee, Hyun-Hoon & Park, Cyn-Young & Byun, Hyung-suk, 2013. "Do contagion effects exist in capital flow volatility?," Journal of the Japanese and International Economies, Elsevier, vol. 30(C), pages 76-95.
    23. Bruno Emmanuel Ongo Nkoa & Jacques Simon Song, 2017. "Analyse des effets de la qualité des institutions sur la volatilité des Investissements Directs Etrangers en Afrique," African Development Review, African Development Bank, vol. 29(4), pages 674-688, December.
    24. Kazeem Abimbola Sanusi & Forget Mingiri Kapingura, 2022. "Drivers of capital inflow: Does global uncertainty matter?," Cogent Business & Management, Taylor & Francis Journals, vol. 9(1), pages 2124596-212, December.
    25. Opperman, Pieter & Adjasi, Charles Komla Delali, 2017. "The determinants of private capital flow volatility in Sub-Saharan African countries," Research in International Business and Finance, Elsevier, vol. 42(C), pages 312-320.
    26. Perera, Anil & Wickramanayake, J., 2016. "Determinants of commercial bank retail interest rate adjustments: Evidence from a panel data model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 1-20.
    27. Maria Sole Pagliari & Swarnali Ahmed Hannan, 2017. "The Volatility of Capital Flows in Emerging Markets: Measures and Determinants," Departmental Working Papers 201710, Rutgers University, Department of Economics.
    28. Opperman, Pieter & Adjasi, Charles Komla Delali, 2019. "Remittance volatility and financial sector development in sub-Saharan African countries," Journal of Policy Modeling, Elsevier, vol. 41(2), pages 336-351.
    29. Gabriela Contreras & Francisco Pinto, 2014. "Vulnerability to Changes in External Financing Due to Global Factors," Working Papers Central Bank of Chile 734, Central Bank of Chile.
    30. Steven Liao & Daniel McDowell, 2022. "Closing time: Reputational constraints on capital account policy in emerging markets," The Review of International Organizations, Springer, vol. 17(3), pages 543-568, July.
    31. Margit Molnar & Yusuke Tateno & Amornrut Supornsinchai, 2013. "Capital Flows in Asia-Pacific: Controls, Bonanzas and Sudden Stops," OECD Development Centre Working Papers 320, OECD Publishing.
    32. Gkillas (Gillas), Konstantinos & Tsagkanos, Athanasios & Siriopoulos, Costas, 2016. "The risk in capital controls," Finance Research Letters, Elsevier, vol. 19(C), pages 261-266.
    33. Keilla Dayane Silva-Oliveira & Edson Keyso Miranda Kubo & Michael J. Morley & Rodrigo Médici Cândido, 2021. "Emerging Economy Inward and Outward Foreign Direct Investment: A Bibliometric and Thematic Content Analysis," Management International Review, Springer, vol. 61(5), pages 643-679, October.
    34. Attila, Joseph G., 2022. "Does bank deposits volatility react to political instability in developing countries?," Finance Research Letters, Elsevier, vol. 49(C).
    35. Ahmet Ihsan Kaya & Lutfi Erden, 2023. "Capital‐flow volatility in emerging markets: A panel GARCH approach," International Finance, Wiley Blackwell, vol. 26(2), pages 172-188, August.
    36. Sensoy, Ahmet, 2015. "An alternative way to track the hot money in turbulent times," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 215-220.
    37. Saif Al-Abri, Almukhtar, 2014. "How does terms-of-trade behavior shape international financial integration in primary-commodity exporting economies?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 335-353.
    38. Lim, Jamus Jerome & Mohapatra, Sanket, 2016. "Quantitative easing and the post-crisis surge in financial flows to developing countries," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 331-357.
    39. Ferry Syarifuddin, 2020. "The Dynamics Of Foreign Portfolio Investment And Exchange Rate: An Interconnection Approach In Asean," Working Papers WP/08/2020, Bank Indonesia.
    40. Converse, Nathan, 2018. "Uncertainty, capital flows, and maturity mismatch," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 260-275.
    41. Cavoli, Tony, 2014. "Substitutes or complements? The interactions between components of capital inflows for Asia," Journal of Asian Economics, Elsevier, vol. 31, pages 32-41.
    42. Martijn J. Burger & Elena I. Ianchovichina, 2017. "Surges and stops in greenfield and M&A FDI flows to developing countries: analysis by mode of entry," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 153(2), pages 411-432, May.
    43. Samitas, Aristeidis & Polyzos, Stathis, 2016. "Freeing Greece from capital controls: Were the restrictions enforced in time?," Research in International Business and Finance, Elsevier, vol. 37(C), pages 196-213.
    44. Ben Salha, Ousama, 2013. "Does economic globalization affect the level and volatility of labor demand by skill? New insights from the Tunisian manufacturing industries," Economic Systems, Elsevier, vol. 37(4), pages 572-597.
    45. Cheuathonghua, Massaporn & de Boyrie, Maria E. & Pavlova, Ivelina & Wongkantarakorn, Jutamas, 2022. "Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries: A VAR quantile analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
    46. Grzegorz Tchorek, 2016. "Foreign Direct Investment and Investment Development Path. The Case of Visegrad Countries (Bezposrednie Inwestycje Zagraniczne a Inwestycyjna Sciezka Rozwoju. Przypadek krajow grupy Wyszehradzkiej)," Research Reports, University of Warsaw, Faculty of Management, vol. 2(22), pages 201-212.

  7. Carmen Broto & Gabriel Pérez-Quirós, 2011. "Sovereign CDS premia during the crisis and their interpretation as a measure of risk," Economic Bulletin, Banco de España, issue APR, pages 133-142, April.

    Cited by:

    1. Claeys, Peter & Vašíček, Bořek, 2014. "Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe," Working Paper Series 1666, European Central Bank.
    2. Zalán Kocsis & Dénes Nagy, 2011. "Variance decomposition of sovereign CDS spreads," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), vol. 6(3), pages 36-50, October.
    3. Paniagua, Jordi & Sapena, Juan & Tamarit, Cecilio, 2017. "Sovereign debt spreads in EMU: The time-varying role of fundamentals and market distrust," Journal of Financial Stability, Elsevier, vol. 33(C), pages 187-206.
    4. Téllez Valle, Cecilia & Martín García, Margarita & Ramón-Jerónimo, María A. & Martín Marín, José Luis, 2020. "Sovereign bond spreads and CDS premia in the Eurozone: A causality analysis || Diferenciales de bonos soberanos y primas de CDS en la zona euro: un análisis de causalidad," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 30(1), pages 58-78, December.

  8. Broto, Carmen, 2011. "Inflation targeting in Latin America: Empirical analysis using GARCH models," Economic Modelling, Elsevier, vol. 28(3), pages 1424-1434, May.
    See citations under working paper version above.
  9. Broto Carmen & Ruiz Esther, 2009. "Testing for Conditional Heteroscedasticity in the Components of Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(2), pages 1-30, May.
    See citations under working paper version above.
  10. Carmen Broto & Javier Díaz-Cassou & Aitor Erce-Domínguez, 2008. "The Sources of Capital Flows Volatility: Empirical Evidence for Emerging Countries," Money Affairs, CEMLA, vol. 0(1), pages 93-128, January-J.

    Cited by:

    1. Carmen Broto & Javier Díaz-Cassou & Aitor Erce-Domínguez, 2008. "Measuring and explaining the volatility of capital flows towards emerging countries," Working Papers 0817, Banco de España.
    2. Dong He & Lillian Cheung & Wenlang Zhang & Tommy Wu, 2012. "How would Capital Account Liberalization Affect China's Capital Flows and the Renminbi Real Exchange Rates?," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 20(6), pages 29-54, November.
    3. Melis, Michael & Bonga-Bonga, Lumengo, 2019. "Determinants of global capital volatility in the BRICS grouping," MPRA Paper 94125, University Library of Munich, Germany.
    4. Rogelio V. Mercado & Cyn-Young Park, 2011. "What Drives Different Types of Capital Flows and their Volatilities in Developing Asia?," International Economic Journal, Taylor & Francis Journals, vol. 25(4), pages 655-680, December.

  11. Broto, Carmen & Ruiz, Esther, 2006. "Unobserved component models with asymmetric conditional variances," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2146-2166, May.
    See citations under working paper version above.
  12. Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
    See citations under working paper version above.

Chapters

  1. Paloma Acevedo & Enrique Alberola & Carmen Broto, 2008. "Local debt expansion and vulnerability reduction: an assessment for six crisis-prone countries," BIS Papers chapters, in: Bank for International Settlements (ed.), New financing trends in Latin America: a bumpy road towards stability, volume 36, pages 88-109, Bank for International Settlements.

    Cited by:

    1. Anne-Charlotte Paret, 2017. "Debt sustainability in emerging market countries: Some policy guidelines from a fan-chart approach," Post-Print hal-01590005, HAL.
    2. Myriam Quispe-Agnoli & Camilo E. Tovar, 2008. "New financing trends in Latin America : an overview of selected issues and policy challenges," Economic Review, Federal Reserve Bank of Atlanta, vol. 93(3).
    3. Camilo E Tovar & Myriam Quispe-Agnoli, 2008. "New financing trends in Latin America," BIS Papers chapters, in: Bank for International Settlements (ed.), New financing trends in Latin America: a bumpy road towards stability, volume 36, pages 1-14, Bank for International Settlements.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.