Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - 2014
volatility and economic activity assuming that both variables are driven by the same set of unobserved common factors and that … these factors affect volatility and economic activity with a time lag of at least a quarter. Under these assumptions, the … paper analytically shows that volatility is forward looking and that the output equation of a typical VAR estimated in the …
