components, and innovations to trend and gap inflation are affected by stochastic volatility. A novelty of our model is to allow …This paper studies the joint dynamics of U.S. inflation and a term structure of average inflation predictions taken … (UC) model of inflation and a sticky-information forecast mechanism. The UC model decomposes inflation into trend and gap …

considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters … concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …

In this paper, I study the drop of real GDP volatility which has been observed in the United States during the postwar … disaggregated only up to 10 sectors. Blanchard and Simon (2001) come to the same result. Using a new estimation method and more … this in order to get, for each observation period, an estimation of the covariance matrix of the sectoral growth rates …

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …

volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are …

1970s’ United States would not have prevented the Great Inflation. We show that a standard policy counterfactual suggests … that the Bundesbank–which is near-universally credited for sparing West Germany the Great Inflation–would also not have … been able to prevent the Great Inflation in the United States. The sheer implausibility of this result sounds a cautionary …

Any measure of unobserved inflation uncertainty relies on specific assumptions which are most likely not fulfilled … forecast models, and volatility models. We show that all measures are driven by a common component which constitutes an … indicator for inflation uncertainty. Moreover, the idiosyncratic component of survey disagreement contains systematic …

stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on …

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and …