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Asset prices, booms and recessions : financial market, economic activity and the macroeconomy ; with 22 tables

Semmler, Willi - 2003

Persistent link: https://www.econbiz.de/10001734208

Asset prices, booms and recessions : financial economics from a dynamic perspective

Semmler, Willi - 2011 - 3. ed.

Persistent link: https://www.econbiz.de/10009161843

Estimating a banking-macro model using a multi-regime VAR

Mittnik, Stefan; Semmler, Willi - In: Advances in non-linear economic modeling : theory and …, (pp. 3-40). 2014

Persistent link: https://www.econbiz.de/10010251591

Asset prices, booms and recessions : financial economics from a dynamic perspective

Semmler, Willi - 2006 - 2nd ed.

international portfolio theory, multi-agent and evolutionary approaches, capital asset pricing beyond consumption-based models and … Theory: CAPM and Extensions.- Consumption Based Asset Pricing Models.- Production Based Asset Pricing Models. Foreign …

Persistent link: https://www.econbiz.de/10003139161

Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR

Semmler, Willi - 2012

This paper introduces a Banking-Macro Model and estimates the linkages through a Multi-Regime VAR (MRVAR). We introduce a dynamic model which is akin to the Brunnermeier and Sannikov (BS) model (2010). The banking sector is exposed to instability due to adverse movements of asset prices and...

Persistent link: https://www.econbiz.de/10013110113

Asset Prices, Booms and Recessions : Financial Economics from a Dynamic Perspective

Semmler, Willi - 2011

: Static Portfolio Theory: CAPM and Extentsions -- Consumption Based Asset Pricing Models -- Asset Pricing Models with … theory, multi-agent and evolutionary approaches, capital asset pricing beyond consumption-based models, and dynamic portfolio …