devoted to the GMM estimation of crucial parameters of the inflation-aversion model of the previous chapter. A model featuring …-separability of the utility function, inflation aversion, nominal transaction frictions). The monograph is organized as follows … market share competition with the assumption that agent?s behavior is characterized by inflation aversion. Chapter IV is …

). 'Likelihood-based estimation of latent generalized ARCH structures', Econometrica, 72(5), 1481-1517. [The definitive version is …

This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional multivariate time … factor model with that of the heavy tailed univariate stochastic volatility model. A unified analysis of the model, and its … special cases, is developed that encompasses estimation, filtering and model choice. The centerpieces of the estimation …

einer Dominanz der Geldpolitik als Angebotsschock erklärt werden. Zu einem großen Teil bleibt die identifizierte …

This paper is concerned with simulation-based inference in generalized models of stochastic volatility defined by heavy …-tailed Student-t distributions (with unknown degrees of freedom) and exogenous variables in the observation and volatility equations … several stochastic volatility models are formally compared under different priors on the parameters. …

This paper is concerned with the Bayesian analysis of stochastic volatility (SV) models with leverage. Specifically …, the paper shows how the often used Kim et al. [1998. Stochastic volatility: likelihood inference and comparison with ARCH … volatility innovations by a suitably constructed ten-component mixture of bivariate normal distributions. The resulting posterior …

equilibrium to achieve a simple, linear model, that only depends on inflation, the output gap, and the interest rate, in the case … inflation dynamics is crucial. Because of the controversial debate on the importance of expectations, the consequences of … central banks should react stronger to changes in inflation and output under uncertainty. Furthermore, it is shown that …

-modal, indicating that a mixed-density approach to estimation may be more appropriate. …