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Prediction accuracy of bivariate score-driven risk premium and volatility filters : an illustration for the Dow Jones

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2020

Persistent link: https://www.econbiz.de/10012310604

Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data

Bennedsen, Mikkel - In: Econometric reviews 39 (2020) 9, pp. 875-903

Persistent link: https://www.econbiz.de/10012295586

Shifts in volatility driven by large stock market shocks

Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias - In: Journal of economic dynamics & control 55 (2015), pp. 130-147

Persistent link: https://www.econbiz.de/10011587216

Measurement errors and monetary policy : then and now

Amir Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun - In: Journal of economic dynamics & control 79 (2017), pp. 66-78

Persistent link: https://www.econbiz.de/10011817602

Changing impact of shocks : a time-varying proxy SVAR approach

Mumtaz, Haroon; Petrova, Katerina - 2018

In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in...

Persistent link: https://www.econbiz.de/10011933414