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Results of search for stochastic volatility
Records found: 25
DP17035 |
Sequential Monte Carlo With Model Tempering Author(s): Marko Mlikota and Frank Schorfheide Published: February 2022 |
DP16555 |
Exchange Rate Disconnect and the General Equilibrium Puzzle Author(s): Yu-Chin Chen, Ippei Fujiwara and Yasuo Hirose Published: September 2021 |
DP16346 |
Using Time-Varying Volatility for Identification in Vector Autoregressions: An Application to Endogenous Uncertainty Author(s): Andrea Carriero, Todd Clark and Massimiliano Marcellino Published: July 2021 |
DP16065 |
Uncertainty in the Analytic Climate Economy Author(s): Christian Traeger Published: April 2021 |
DP15965 |
Measuring Uncertainty and Its Effects in the COVID-19 Era Author(s): Andrea Carriero, Todd Clark, Massimiliano Marcellino and Elmar Mertens Published: March 2021 |
DP15964 |
Addressing COVID-19 Outliers in BVARs with Stochastic Volatility Author(s): Andrea Carriero, Todd Clark, Massimiliano Marcellino and Elmar Mertens Published: March 2021 |
DP15894 |
The Transmission Channels of Government Spending Uncertainty Author(s): Beliansk Anna, Aurélien Eyquem and Céline Poilly Published: March 2021 |
DP15692 |
Macroeconomic Uncertainty and Vector Autoregressions Author(s): Mario Forni, Luca Gambetti and Luca Sala Published: January 2021 |
DP14660 |
Interest Rate Uncertainty as a Policy Tool Author(s): Fabio Ghironi and Galip Kemal Ozhan Published: April 2020 |
DP14580 |
Energy Markets and Global Economic Conditions Author(s): Christiane Baumeister, Dimitris Korobilis and Thomas K. Lee Published: April 2020 |
DP13970 |
Assessing International Commonality in Macroeconomic Uncertainty and Its Effects Author(s): Andrea Carriero, Todd Clark and Massimiliano Marcellino Published: August 2019 |
DP13029 |
Option Prices and Costly Short-Selling Author(s): Adem Atmaz and Suleyman Basak Published: July 2018 |
DP12737 |
Liquidity Regimes and Optimal Dynamic Asset Allocation Author(s): Pierre Collin-Dufresne, Kent Daniel and Mehmet Saglam Published: February 2018 |
DP11355 |
Forecasting Macroeconomic Variables under Model Instability Author(s): Davide Pettenuzzo and Allan Timmermann Published: June 2016 |
DP10681 |
An Intertemporal CAPM with Stochastic Volatility Author(s): John Y Campbell, Stefano W Giglio, Christopher Polk and Robert Turley Published: June 2015 |
DP10160 |
A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics Author(s): Davide Pettenuzzo, Allan Timmermann and Rossen Valkanov Published: September 2014 |
DP10104 |
Bond Return Predictability: Economic Value and Links to the Macroeconomy Author(s): Antonio Gargano, Davide Pettenuzzo and Allan Timmermann Published: August 2014 |
DP9848 |
No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates Author(s): Andrea Carriero, Todd Clark and Massimiliano Marcellino Published: March 2014 |
DP9130 |
Estimating Dynamic Equilibrium Models with Stochastic Volatility Author(s): Jesús Fernández-Villaverde, Pablo A. Guerron-Quintana and Juan Francisco Rubio-Ramírez Published: September 2012 |
DP8894 |
Common Drifting Volatility in Large Bayesian VARs Author(s): Andrea Carriero, Todd Clark and Massimiliano Marcellino Published: March 2012 |
DP8680 |
Endogenous Information Flows and the Clustering of Announcements Author(s): Viral V. Acharya, Peter DeMarzo and Ilan Kremer Published: December 2011 |
DP8177 |
Second Order Approximation of Dynamic Models with Time-Varying Risk Author(s): Pierpaolo Benigno, Gianluca Benigno and Salvatore Nisticò Published: January 2011 |
DP8169 |
Macroeconomics and Volatility: Data, Models, and Estimation Author(s): Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramírez Published: December 2010 |
DP7813 |
Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data Author(s): Jesús Fernández-Villaverde, Pablo A. Guerron-Quintana and Juan Francisco Rubio-Ramírez Published: May 2010 |
DP7812 |
Reading the Recent Monetary History of the U.S., 1959-2007 Author(s): Jesús Fernández-Villaverde, Pablo A. Guerron-Quintana and Juan Francisco Rubio-Ramírez Published: May 2010 |
Records Found 25