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The relation between the corporate bond-yield spread and the real economy : stable or time-varying?

Karlsson, Sune; Österholm, Pär - In: Economics letters 186 (2020), pp. 1-3

Persistent link: https://www.econbiz.de/10012503617

Computationally efficient inference in large Bayesian mixed frequency VARs

Gefang, Deborah; Koop, Gary; Poon, Aubrey - In: Economics letters 191 (2020), pp. 1-6

Persistent link: https://www.econbiz.de/10012508486

Identification of business cycles and the Great Moderation in the post-war U.S. economy

Jiang, Yu - In: Economics letters 190 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012228144

Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility

Dimitrakopoulos, Stefanos - In: Economics letters 150 (2017), pp. 10-14

Persistent link: https://www.econbiz.de/10011761750

DSGE Models with observation-driven time-varying volatility

Angelini, Giovanni; Gorgi, Paolo - In: Economics letters 171 (2018), pp. 169-171

Persistent link: https://www.econbiz.de/10012021819

Density prediction of stock index returns using GARCH models : frequentist or Bayesian estimation?

Hoogerheide, Lennart F.; Ardia, David; Corré, Nienke - In: Economics letters 116 (2012) 3, pp. 322-325

Persistent link: https://www.econbiz.de/10009674398

Bayesian Model Comparison for Time-Varying Parameter VARs with Stochastic Volatility

Chan, Joshua C. C. - 2015

We develop importance sampling methods for computing two popular Bayesian model comparison criteria, namely, the marginal likelihood and deviance information criterion (DIC) for TVP-VARs with stochastic volatility. The proposed estimators are based on the integrated likelihood, which are...

Persistent link: https://www.econbiz.de/10013017876

Modeling Energy Price Dynamics : GARCH Versus Stochastic Volatility

Chan, Joshua C. C. - 2015

We compare a number of GARCH and stochastic volatility (SV) models using nine series of oil, petroleum product and … natural gas prices in a formal Bayesian model comparison exercise. The competing models include the standard models of GARCH(1 … innovations. We find that: (1) SV models generally compare favorably to their GARCH counterparts; (2) the jump component …

Persistent link: https://www.econbiz.de/10013021299

Efficient Estimation of Bayesian VARMAs with Time-Varying Coefficients

Chan, Joshua C. C. - 2015

Empirical work in macroeconometrics has been mostly restricted to using VARs, even though there are strong theoretical reasons to consider general VARMAs. A number of articles in the last two decades have conjectured that this is because estimation of VARMAs is perceived to be challenging and...

Persistent link: https://www.econbiz.de/10013021301

Inflation and Professional Forecast Dynamics : An Evaluation of Stickiness, Persistence, and Volatility

Mertens, Elmar - 2015

This paper studies the joint dynamics of U.S. inflation and the average inflation predictions of the Survey of Professional Forecasters (SPF) on a sample running from 1968Q4 to 2014Q2. The joint data generating process (DGP) of these data consists of the unobserved components (UC) model of Stock...

Persistent link: https://www.econbiz.de/10013026339