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Results of search for stochastic volatility
Records found: 21
| 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 |
| DP7619 |
Valuation of VIX Derivatives Author(s): Javier Mencía and Enrique Sentana Published: January 2010 |
| DP7542 |
Macroeconomic Forecasting and Structural Change Author(s): Antonello D'Agostino, Luca Gambetti and Domenico Giannone Published: November 2009 |
| DP7264 |
Risk Matters: The Real Effects of Volatility Shocks Author(s): Jesús Fernández-Villaverde, Pablo A. Guerron-Quintana, Juan Francisco Rubio-Ramírez and Martín Uribe Published: April 2009 |
| DP6985 |
Endogenous Information Flows and the Clustering of Announcements Author(s): Viral V. Acharya, Peter DeMarzo and Ilan Kremer Published: October 2008 |
| DP5513 |
Estimating Macroeconomic Models: A Likelihood Approach Author(s): Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramírez Published: March 2006 |
| DP4913 |
Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets Author(s): George Chacko and Luis M Viceira Published: February 2005 |
Records Found 21