Items where Author is "Boffelli, S."
Boffelli, S., Novotny, J. & Urga, G. (2020). A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets. Journal of Financial Econometrics, 20(4), pp. 681-715. doi: 10.1093/jjfinec/nbaa039
Boffelli, S., Skintzi, V. D. & Urga, G. (2016). High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers. Journal of Financial Econometrics, 15(1), pp. 62-105. doi: 10.1093/jjfinec/nbv023
Boffelli, S. & Urga, G. (2015). Macroannouncements, Bond Auctions and Rating Actions in the European Government Bond Spreads. Journal of International Money and Finance, 53, pp. 148-173. doi: 10.1016/j.jimonfin.2015.01.004
Leccadito, A., Boffelli, S. & Urga, G. (2014). Evaluating the Accuracy of Value-at-Risk Forecasts: New Multilevel Tests. International Journal of Forecasting, 30(2), pp. 206-216. doi: 10.1016/j.ijforecast.2013.07.014