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Financial regimes and uncertainty shocks
Alessandri, Piergiorgio; Mumtaz, Haroon - 2014
uncertainty is proxied by the (unobserved) volatility of the structural shocks, and a regime change occurs whenever credit …
Persistent link: https://www.econbiz.de/10010472852
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An empirical study of Asian stock volatility using stochastic volatility factor model : factor analysis and forecasting
Lui, Silvia S. W. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003402009
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A stochastic variance factor model for large datasets and an application to S&P data
Cipollini, Andrea (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001920657
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Asymmetry and long memory in volatility modelling
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008695596
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Large vector autoregressions with asymmetric priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015
We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...
Persistent link: https://www.econbiz.de/10011389735
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Dynamic effects of monetary policy shocks on macroeconomic volatility
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard … deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The …
Persistent link: https://www.econbiz.de/10011389786
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Common and country specific economic uncertainty
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …
Persistent link: https://www.econbiz.de/10011306276
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Fat-tails in VAR models
Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2014
volatility and Student-t disturbances outperforms restricted alternatives that feature either attributes. The VAR model with …
Persistent link: https://www.econbiz.de/10010339759
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Asymmetry and leverage in conditional volatility models
McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010410186
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Testing the Box-Cox parameter for an integrated process
Huang, Jian; Kobayashi, Masahito; McAleer, Michael - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008760495