This paper develops and estimates a Quadratic-Gaussian model of the U.S. term structure that can accommodate the rich dynamics of inflation risk premia over the 1983-2013 period by allowing for time-varying market prices of inflation risk and incorporating survey information on inflation...

In the paper a general framework for large scale modeling of macroeconomic and financial time series is introduced. The proposed approach is characterized by simplicity of implementation, performing well independently of persistence and heteroskedasticity properties, accounting for common...

The paper investigates the linkages between temperature anomalies, radiative forcing and ENSO. By means of a new flexible trend modeling approach, we uncover a nonlinear linkage between radiative forcing and global temperature anomalies. The nonlinear trend closely tracks the low frequency...

This paper proposes a three-step estimation strategy for dynamic conditional correlation models. In the first step, conditional variances for individual and aggregate series are estimated by means of QML equation by equation. In the second step, conditional covariances are estimated by means of...

The paper introduces a new simple semiparametric estimator of the conditional variance covariance and correlation matrix (SP-DCC). While sharing a similar sequential approach to existing dynamic conditional correlation (DCC) methods, SP-DCC has the advantage of not requiring the direct...

The paper investigates the macroeconomic and financial effects of oil prices shocks in the euro area since its creation in 1999, with a special focus on the recent slump. The analysis is carried out episode by episode, within a time-varying parameter framework, consistent with the view that "not...