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Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH

Caporin, Massimiliano; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008689069

Delle Monache, Davide; Petrella, Ivan - 2014

This paper proposes a novel and flexible framework to estimate autoregressive models with time-varying parameters. Our setup nests various adaptive algorithms that are commonly used in the macroeconometric literature, such as learning-expectations and forgetting-factor algorithms. These are...

Persistent link: https://www.econbiz.de/10010382183

Asymmetry and leverage in conditional volatility models

McAleer, Michael - 2014

Persistent link: https://www.econbiz.de/10010410186

Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH

Caporin, Massimiliano; McAleer, Michael - 2010 - Rev.

Persistent link: https://www.econbiz.de/10008760500

Robust estimation and forecasting of climate change using score-driven ice-age models

Blazsek, Szabolcs; Escribano, Álvaro - 2021

Persistent link: https://www.econbiz.de/10013259967

A Hodrick-Prescott filter with automatically selected jumps

Maranzano, Paolo; Pelagatti, Matteo - 2024

The Hodrick-Prescott filter is a popular tool in macroeconomics for decomposing a time series into a smooth trend and a business cycle component. The last few years have witnessed global events, such as the Global Financial Crisis, the COVID-19 pandemic, and the war in Ukraine, that have had...

Persistent link: https://www.econbiz.de/10014578421

Building uncertainty into the adaptation cost estimation in integrated assessment models

Markandya, Anil; De Cian, Enrica; Drouet, Laurent; … - 2016

uncertainty into Integrated Assessment Models (IAMs). Uncertainty is transformed into a risk-premium, damage-correction, region …. This risk premium quantifies what society would be willing to pay to insure against the uncertainty of the damages, and it … highly sensitive to the coefficient of relative risk aversion. Once the climate change damage function incorporates the risk …

Persistent link: https://www.econbiz.de/10011451668

A simple framework for climate-change policy under model uncertainty

Athanasoglou, Stergios; Bosetti, Valentina; Drouet, Laurent - 2016

We propose a novel framework for the economic assessment of climate-change policy. Our main point of departure from existing work is the adoption of a "satisficing", as opposed to optimizing, modeling approach. Along these lines, we place primary emphasis on the extent to which different...

Persistent link: https://www.econbiz.de/10011614242

Estimating time-varying DSGE models using minimum distance methods

Giraitis, Liudas; Kapetanios, George; Theodoridis, … - 2015

Following Giraitis, Kapetanios, and Yates (2014b), this paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the data set constructed by Smets and Wouters (2007). We apply an indirect inference method to map from this TV VAR to time...

Persistent link: https://www.econbiz.de/10011405253

Fractionally integrated generalized autoregressive conditional heteroskedasticity

Baillie, Richard; Bollerslev, Tim; Mikkelsen, Hans Ole Æ. - 1994 - current version

Persistent link: https://www.econbiz.de/10000891757

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