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Modeling Stochastic Volatility with Application to Stock Returns

Krichene, Noureddine - 2003

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for … volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion … specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential …

Persistent link: https://www.econbiz.de/10014400143

Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate

Souto, Marcos - 2007

appropriately. Finally, we implement a simple stochastic volatility model and simulate the credit transition matrix for two large … the constant volatility case. In particular, it can shift CTM probabilities towards lower credit risk categories …

Persistent link: https://www.econbiz.de/10014399716

Parametric Distributional Flexibility and Conditional Variance Models with An Application to Hourly Exchange Rates

Lye, Jenny N. - 1998

This paper builds on the ARCH approach for modeling distributions with time-varying conditional variance by using the generalized Student t distribution. The distribution offers flexibility in modeling both leptokurtosis and asymmetry (characteristics seen in high-frequency financial time series...

Persistent link: https://www.econbiz.de/10014400775

Identifying Fiscal Policy Transmission in Stochastic Debt Forecasts

Kawakami, Kei - 2011

A stochastic debt forecasting framework is presented where projected debt distributions reflect both the joint realization of the fiscal policy reaction to contemporaneous stochastic macroeconomic projections, and also the second-round effects of fiscal policy on macroeconomic projections. The...

Persistent link: https://www.econbiz.de/10014399367

Imperfect information and saving in a small open economy

Daude, Christian; Roitman, Agustin - 2011

Persistent link: https://www.econbiz.de/10009486211

Identifying fiscal policy transmission in stochastic debt forecasts

Kawakami, Kei; Romeu, Rafael - 2011

Persistent link: https://www.econbiz.de/10009425643

Model-based globally-consistent risk assessment

Andrle, Michal; Hunt, Benjamin F. - 2020

This paper outlines an approach to assess uncertainty around a forecast baseline as well as the impact of alternative policy rules on macro variability. The approach allows for non-Gaussian shock distributions and non-linear underlying macroeconomic models. Consequently, the resulting...

Persistent link: https://www.econbiz.de/10012251371

Waste not, want not : the efficiency of health expenditure in emerging and developing economies

Grigoli, Francesco; Kapsoli, Javier - 2013

Public health spending is low in emerging and developing economies relative to advanced economies and health outputs and outcomes need to be substantially improved. Simply increasing public expenditure in the health sector, however, may not significantly affect health outcomes if the efficiency...

Persistent link: https://www.econbiz.de/10012667508

Assessing the Impact of a Change in the Composition of Public Spending : A DSGE Approach

Tchakarov, Ivan - 2007

Despite intense calls for safeguarding public investment in Europe, public investment expenditure, when measured in relation to GDP, has steadily fallen in the last three decades, evoking fears that economic activity may be correspondingly negatively affected. At the same time, however, public...

Persistent link: https://www.econbiz.de/10014400220

Does Government Spending Crowd in Private Consumption? : Theory and Empirical Evidence for the Euro Area

Coenen, Günter - 2005

In this paper, we revisit the effects of government spending shocks on private consumption within an estimated New-Keynesian DSGE model of the euro area featuring non-Ricardian households. Employing Bayesian inference methods, we show that the presence of non- Ricardian households is in general...

Persistent link: https://www.econbiz.de/10014401503