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Results of search for stochastic volatility

Records found: 23

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
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 23